// EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetEma(IEnumerable <Quote> history, int lookbackPeriod)
{
// convert history to basic format
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// calculate
return(CalcEma(bd, lookbackPeriod));
}
// RELATIVE STRENGTH INDEX
public static IEnumerable <RsiResult> GetRsi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// convert history to basic format
List <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// calculate
return(CalcRsi(bd, lookbackPeriod));
}
// STANDARD DEVIATION
public static IEnumerable <StdDevResult> GetStdDev(IEnumerable <Quote> history, int lookbackPeriod)
{
// convert to basic data
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// calculate
return(CalcStdDev(bd, lookbackPeriod));
}
// TRIPLE EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetTripleEma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = Cleaners.ConvertHistoryToBasic(history, "C");
// validate parameters
ValidateTema(bdList, lookbackPeriod);
// initialize
List <EmaResult> results = new List <EmaResult>(bdList.Count);
List <EmaResult> emaN1 = CalcEma(bdList, lookbackPeriod).ToList();
List <BasicData> bd2 = emaN1
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod).ToList();
List <BasicData> bd3 = emaN2
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN3 = CalcEma(bd3, lookbackPeriod).ToList();
// compose final results
for (int i = 0; i < emaN1.Count; i++)
{
EmaResult e1 = emaN1[i];
int index = i + 1;
EmaResult result = new EmaResult
{
Date = e1.Date
};
if (index >= 3 * lookbackPeriod - 2)
{
EmaResult e2 = emaN2[index - lookbackPeriod];
EmaResult e3 = emaN3[index - 2 * lookbackPeriod + 1];
result.Ema = 3 * e1.Ema - 3 * e2.Ema + e3.Ema;
}
results.Add(result);
}
return(results);
}
// EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetEma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = Cleaners.ConvertHistoryToBasic(history, "C");
// calculate
return(CalcEma(bdList, lookbackPeriod));
}
// STANDARD DEVIATION
public static IEnumerable <StdDevResult> GetStdDev <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod,
int?smaPeriod = null)
where TQuote : IQuote
{
// convert to basic data
List <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// calculate
return(CalcStdDev(bd, lookbackPeriod, smaPeriod));
}
// DOUBLE EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetDoubleEma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// validate parameters
ValidateDema(bd, lookbackPeriod);
// initialize
List <EmaResult> results = new List <EmaResult>();
List <EmaResult> emaN = CalcEma(bd, lookbackPeriod).ToList();
List <BasicData> bd2 = emaN
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Ema
})
.ToList(); // note: ToList seems to be required when changing data
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod).ToList();
// compose final results
for (int i = 0; i < emaN.Count; i++)
{
EmaResult e1 = emaN[i];
int index = i + 1;
EmaResult result = new EmaResult
{
Date = e1.Date
};
if (index >= 2 * lookbackPeriod - 1)
{
EmaResult e2 = emaN2[index - lookbackPeriod];
result.Ema = 2 * e1.Ema - e2.Ema;
}
results.Add(result);
}
return(results);
}
// CONNORS RSI
public static IEnumerable <ConnorsRsiResult> GetConnorsRsi <TQuote>(
IEnumerable <TQuote> history,
int rsiPeriod = 3,
int streakPeriod = 2,
int rankPeriod = 100)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C").ToList();
// check parameters
ValidateConnorsRsi(bd, rsiPeriod, streakPeriod, rankPeriod);
// initialize
List <ConnorsRsiResult> results = CalcConnorsRsiBaseline(bd, rsiPeriod, rankPeriod);
int startPeriod = Math.Max(rsiPeriod, Math.Max(streakPeriod, rankPeriod)) + 2;
// RSI of streak
List <BasicData> bdStreak = results
.Where(x => x.Streak != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Streak
})
.ToList();
List <RsiResult> rsiStreakResults = CalcRsi(bdStreak, streakPeriod).ToList();
// compose final results
for (int p = streakPeriod + 2; p < results.Count; p++)
{
ConnorsRsiResult r = results[p];
RsiResult k = rsiStreakResults[p - 1];
r.RsiStreak = k.Rsi;
if (p + 1 >= startPeriod)
{
r.ConnorsRsi = (r.RsiClose + r.RsiStreak + r.PercentRank) / 3;
}
}
return(results);
}
// DOUBLE EXPONENTIAL MOVING AVERAGE
public static IEnumerable <EmaResult> GetDoubleEma(IEnumerable <Quote> history, int lookbackPeriod)
{
// convert history to basic format
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// validate parameters
ValidateDema(bd, lookbackPeriod);
// initialize
List <EmaResult> results = new List <EmaResult>();
IEnumerable <EmaResult> emaN = CalcEma(bd, lookbackPeriod);
List <BasicData> bd2 = emaN
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Ema
})
.ToList(); // note: ToList seems to be required when changing data
IEnumerable <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod);
// compose final results
foreach (EmaResult h in emaN)
{
EmaResult result = new EmaResult
{
Index = h.Index,
Date = h.Date
};
if (h.Index >= 2 * lookbackPeriod)
{
EmaResult emaEma = emaN2.Where(x => x.Index == h.Index - lookbackPeriod + 1).FirstOrDefault();
result.Ema = 2 * h.Ema - emaEma.Ema;
}
results.Add(result);
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd <TQuote>(
IEnumerable <TQuote> history,
int fastPeriod = 12,
int slowPeriod = 26,
int signalPeriod = 9)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = Cleaners.ConvertHistoryToBasic(history, "C");
// check parameter arguments
ValidateMacd(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriod).ToList();
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriod).ToList();
int size = bdList.Count;
List <BasicData> emaDiff = new List <BasicData>();
List <MacdResult> results = new List <MacdResult>(size);
// roll through history
for (int i = 0; i < size; i++)
{
BasicData h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new MacdResult
{
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
decimal macd = (decimal)df.Ema - (decimal)ds.Ema;
result.Macd = macd;
// temp data for interim EMA of macd
BasicData diff = new BasicData
{
Date = h.Date,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod).ToList();
for (int d = slowPeriod - 1; d < size; d++)
{
MacdResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriod];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}
// TRIPLE EMA OSCILLATOR (TRIX)
public static IEnumerable <TrixResult> GetTrix <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod,
int?signalPeriod = null)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = Cleaners.ConvertHistoryToBasic(history, "C");
// validate parameters
ValidateTrix(bdList, lookbackPeriod);
// initialize
List <TrixResult> results = new List <TrixResult>(bdList.Count);
decimal? lastEma = null;
List <EmaResult> emaN1 = CalcEma(bdList, lookbackPeriod).ToList();
List <BasicData> bd2 = emaN1
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod).ToList();
List <BasicData> bd3 = emaN2
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN3 = CalcEma(bd3, lookbackPeriod).ToList();
// compose final results
for (int i = 0; i < emaN1.Count; i++)
{
EmaResult e1 = emaN1[i];
int index = i + 1;
TrixResult result = new TrixResult
{
Date = e1.Date
};
results.Add(result);
if (index >= 3 * lookbackPeriod - 2)
{
EmaResult e2 = emaN2[index - lookbackPeriod];
EmaResult e3 = emaN3[index - 2 * lookbackPeriod + 1];
result.Ema3 = e3.Ema;
if (lastEma != null && lastEma != 0)
{
result.Trix = 100 * (e3.Ema - lastEma) / lastEma;
}
lastEma = e3.Ema;
// optional SMA signal
GetTrixSignal(signalPeriod, index, lookbackPeriod, results);
}
}
return(results);
}
// CONNORS RSI
public static IEnumerable <ConnorsRsiResult> GetConnorsRsi(
IEnumerable <Quote> history, int rsiPeriod = 3, int streakPeriod = 2, int rankPeriod = 100)
{
// convert history to basic format
List <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C").ToList();
// check parameters
ValidateConnorsRsi(bd, rsiPeriod, streakPeriod, rankPeriod);
// initialize
List <ConnorsRsiResult> results = new List <ConnorsRsiResult>();
List <RsiResult> rsiResults = CalcRsi(bd, rsiPeriod).ToList();
int startPeriod = Math.Max(rsiPeriod, Math.Max(streakPeriod, rankPeriod)) + 2;
decimal?lastClose = null;
decimal streak = 0;
// compose interim results
for (int i = 0; i < bd.Count; i++)
{
BasicData h = bd[i];
ConnorsRsiResult result = new ConnorsRsiResult
{
Index = (int)h.Index,
Date = h.Date,
RsiClose = rsiResults[i].Rsi
};
// bypass for first record
if (lastClose == null)
{
lastClose = h.Value;
results.Add(result);
continue;
}
// streak of up or down
if (h.Value == lastClose)
{
streak = 0;
}
else if (h.Value > lastClose)
{
if (streak >= 0)
{
streak++;
}
else
{
streak = 1;
}
}
else // h.Value < lastClose
{
if (streak <= 0)
{
streak--;
}
else
{
streak = -1;
}
}
result.Streak = streak;
// percentile rank
result.PeriodGain = (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
if (h.Index > rankPeriod)
{
List <ConnorsRsiResult> period = results
.Where(x => x.Index >= (h.Index - rankPeriod) && x.Index < h.Index)
.ToList();
result.PercentRank = 100m * period
.Where(x => x.PeriodGain < result.PeriodGain)
.Count() / rankPeriod;
}
results.Add(result);
lastClose = h.Value;
}
// RSI of streak
List <BasicData> bdStreak = results
.Where(x => x.Streak != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Streak
})
.ToList();
IEnumerable <RsiResult> rsiStreakResults = CalcRsi(bdStreak, streakPeriod);
// compose final results
foreach (ConnorsRsiResult r in results.Where(x => x.Index >= streakPeriod + 2))
{
r.RsiStreak = rsiStreakResults
.Where(x => x.Index == r.Index - 1)
.FirstOrDefault()
.Rsi;
if (r.Index >= startPeriod)
{
r.ConnorsRsi = (r.RsiClose + r.RsiStreak + r.PercentRank) / 3;
}
}
return(results);
}
// TRIPLE EMA OSCILLATOR (TRIX)
public static IEnumerable <TrixResult> GetTrix(
IEnumerable <Quote> history, int lookbackPeriod, int?signalPeriod = null)
{
// convert history to basic format
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// validate parameters
ValidateTrix(bd, lookbackPeriod);
// initialize
List <TrixResult> results = new List <TrixResult>();
decimal? lastEma = null;
List <EmaResult> emaN1 = CalcEma(bd, lookbackPeriod).ToList();
List <BasicData> bd2 = emaN1
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN2 = CalcEma(bd2, lookbackPeriod).ToList();
List <BasicData> bd3 = emaN2
.Where(x => x.Ema != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Ema
})
.ToList();
List <EmaResult> emaN3 = CalcEma(bd3, lookbackPeriod).ToList();
// compose final results
for (int i = 0; i < emaN1.Count; i++)
{
EmaResult e1 = emaN1[i];
TrixResult result = new TrixResult
{
Index = e1.Index,
Date = e1.Date
};
results.Add(result);
if (e1.Index >= 3 * lookbackPeriod - 2)
{
EmaResult e2 = emaN2[e1.Index - lookbackPeriod];
EmaResult e3 = emaN3[e2.Index - lookbackPeriod];
result.Ema3 = e3.Ema;
if (lastEma != null && lastEma != 0)
{
result.Trix = 100 * (e3.Ema - lastEma) / lastEma;
}
lastEma = e3.Ema;
// optional SMA
if (signalPeriod != null && e1.Index >= 3 * lookbackPeriod - 2 + signalPeriod)
{
decimal sumSma = 0m;
for (int p = e1.Index - (int)signalPeriod; p < e1.Index; p++)
{
sumSma += (decimal)results[p].Trix;
}
result.Signal = sumSma / signalPeriod;
}
}
}
return(results);
}