// RATE OF CHANGE (ROC)
public static IEnumerable <RocResult> GetRoc(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateRoc(history, lookbackPeriod);
// initialize
List <RocResult> results = new List <RocResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
RocResult result = new RocResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > lookbackPeriod)
{
Quote back = historyList[(int)h.Index - lookbackPeriod - 1];
result.Roc = 100 * (h.Close - back.Close) / back.Close;
}
results.Add(result);
}
return(results);
}
// RATE OF CHANGE (ROC)
public static IEnumerable <RocResult> GetRoc(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check parameters
ValidateRoc(history, lookbackPeriod);
// initialize
List <RocResult> results = new List <RocResult>();
// roll through history
foreach (Quote h in history)
{
RocResult result = new RocResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > lookbackPeriod)
{
Quote back = history
.Where(x => x.Index == h.Index - lookbackPeriod)
.FirstOrDefault();
result.Roc = 100 * (h.Close - back.Close) / back.Close;
}
results.Add(result);
}
return(results);
}
// RATE OF CHANGE (ROC)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <RocResult> GetRoc <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod,
int?smaPeriod = null)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateRoc(history, lookbackPeriod, smaPeriod);
// initialize
List <RocResult> results = new List <RocResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
RocResult result = new RocResult
{
Date = h.Date
};
if (index > lookbackPeriod)
{
TQuote back = historyList[index - lookbackPeriod - 1];
result.Roc = (back.Close == 0) ? null
: 100 * (h.Close - back.Close) / back.Close;
}
results.Add(result);
// optional SMA
if (smaPeriod != null && index >= lookbackPeriod + smaPeriod)
{
decimal?sumSma = 0m;
for (int p = index - (int)smaPeriod; p < index; p++)
{
sumSma += results[p].Roc;
}
result.RocSma = sumSma / smaPeriod;
}
}
return(results);
}
// RATE OF CHANGE (ROC)
public static IEnumerable <RocResult> GetRoc(
IEnumerable <Quote> history, int lookbackPeriod, int?smaPeriod = null)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateRoc(history, lookbackPeriod, smaPeriod);
// initialize
List <RocResult> results = new List <RocResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
RocResult result = new RocResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > lookbackPeriod)
{
Quote back = historyList[(int)h.Index - lookbackPeriod - 1];
result.Roc = 100 * (h.Close - back.Close) / back.Close;
}
results.Add(result);
// optional SMA
if (smaPeriod != null && h.Index >= lookbackPeriod + smaPeriod)
{
decimal sumSma = 0m;
for (int p = (int)h.Index - (int)smaPeriod; p < h.Index; p++)
{
sumSma += (decimal)results[p].Roc;
}
result.Sma = sumSma / smaPeriod;
}
}
return(results);
}
private static List <PmoResult> CalcPmoRocEma <TQuote>(
IEnumerable <TQuote> history,
int timePeriod)
where TQuote : IQuote
{
// initialize
decimal smoothingMultiplier = 2m / timePeriod;
decimal? lastRocEma = null;
List <RocResult> roc = GetRoc(history, 1).ToList();
List <PmoResult> results = new List <PmoResult>();
int startIndex = timePeriod + 1;
for (int i = 0; i < roc.Count; i++)
{
RocResult r = roc[i];
int index = i + 1;
PmoResult result = new PmoResult
{
Date = r.Date
};
if (index > startIndex)
{
result.RocEma = r.Roc * smoothingMultiplier + lastRocEma * (1 - smoothingMultiplier);
}
else if (index == startIndex)
{
decimal sumRoc = 0;
for (int p = index - timePeriod; p < index; p++)
{
RocResult d = roc[p];
sumRoc += (decimal)d.Roc;
}
result.RocEma = sumRoc / timePeriod;
}
lastRocEma = result.RocEma;
result.RocEma *= 10;
results.Add(result);
}
return(results);
}
// RATE OF CHANGE (PMO)
public static IEnumerable <PmoResult> GetPmo(
IEnumerable <Quote> history,
int timePeriod = 35,
int smoothingPeriod = 20,
int signalPeriod = 10)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidatePmo(history, timePeriod, smoothingPeriod, signalPeriod);
// initialize
List <PmoResult> results = new List <PmoResult>();
List <RocResult> roc = GetRoc(history, 1).ToList();
int startIndex = 0;
decimal smoothingMultiplier = 2m / timePeriod;
decimal smoothingConstant = 2m / smoothingPeriod;
decimal signalConstant = 2m / (signalPeriod + 1);
decimal?lastRocEma = null;
decimal?lastPmo = null;
decimal?lastSignal = null;
// get ROC EMA variant
startIndex = timePeriod + 1;
for (int i = 0; i < roc.Count; i++)
{
RocResult r = roc[i];
PmoResult result = new PmoResult
{
Index = r.Index,
Date = r.Date
};
if (r.Index > startIndex)
{
result.RocEma = r.Roc * smoothingMultiplier + lastRocEma * (1 - smoothingMultiplier);
}
else if (r.Index == startIndex)
{
result.RocEma = roc
.Where(x => x.Index > r.Index - timePeriod && x.Index <= r.Index)
.ToList()
.Select(x => x.Roc)
.Average();
}
lastRocEma = result.RocEma;
result.RocEma *= 10;
results.Add(result);
}
// calculate PMO
startIndex = timePeriod + smoothingPeriod;
for (int i = startIndex - 1; i < results.Count; i++)
{
PmoResult p = results[i];
if (p.Index > startIndex)
{
p.Pmo = (p.RocEma - lastPmo) * smoothingConstant + lastPmo;
}
else if (p.Index == startIndex)
{
p.Pmo = results
.Where(x => x.Index > p.Index - smoothingPeriod && x.Index <= p.Index)
.ToList()
.Select(x => x.RocEma)
.Average();
}
lastPmo = p.Pmo;
}
// add Signal
startIndex = timePeriod + smoothingPeriod + signalPeriod - 1;
for (int i = startIndex - 1; i < results.Count; i++)
{
PmoResult p = results[i];
if (p.Index > startIndex)
{
p.Signal = (p.Pmo - lastSignal) * signalConstant + lastSignal;
}
else if (p.Index == startIndex)
{
p.Signal = results
.Where(x => x.Index > p.Index - signalPeriod && x.Index <= p.Index)
.ToList()
.Select(x => x.Pmo)
.Average();
}
lastSignal = p.Signal;
}
return(results);
}
