/// <inheritdoc />
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
if (Samples == 1 || input.Value <= Current.Value)
{
// our first sample or if we're bigger than our previous indicator value
// reset the periods since minimum (it's this period) and return the value
PeriodsSinceMinimum = 0;
return(input.Value);
}
if (PeriodsSinceMinimum >= Period - 1)
{
// at this point we need to find a new minimum
// the window enumerates from most recent to oldest
// so let's scour the window for the max and it's index
// this could be done more efficiently if we were to intelligently keep track of the 'next'
// minimum, so when one falls off, we have the other... but then we would also need the 'next, next'
// minimum, so on and so forth, for now this works.
var minimum = window.Select((v, i) => new
{
Value = v,
Index = i
}).OrderBy(x => x.Value.Value).First();
PeriodsSinceMinimum = minimum.Index;
return(minimum.Value);
}
// if we made it here then we didn't see a new minimum and we haven't reached our period limit,
// so just increment our periods since minimum and return the same value as we had before
PeriodsSinceMinimum++;
return(Current);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="window">The window of data held in this indicator</param>
/// <param name="input">The input value to this indicator on this time step</param>
/// <returns>
/// A new value for this indicator
/// </returns>
/// <exception cref="System.NotImplementedException"></exception>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window,
IndicatorDataPoint input)
{
return(IsReady
? window.Select((t, i) => t.Price * _weightVector[i]).Sum()
: input.Value);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="timeWindow"></param>
/// <param name="window">The window of data held in this indicator</param>
/// <param name="time"></param>
/// <param name="input">The input value to this indicator on this time step</param>
/// <returns>
/// A new value for this indicator
/// </returns>
/// <exception cref="System.NotImplementedException"></exception>
protected override DoubleArray Forward(IReadOnlyWindow <long> timeWindow, IReadOnlyWindow <DoubleArray> window,
long time,
DoubleArray input)
{
return(IsReady
? window.Select((t, i) => t.Value * _weightVector[i]).Sum()
: input);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
if (Samples < 2)
{
return(0m);
}
IEnumerable <double> doubleValues = window.Select(i => Convert.ToDouble(i.Value));
double std = MathNetStatistics.PopulationStandardDeviation(doubleValues);
return(Convert.ToDecimal(std));
}