public static TrueRange Create()
{
double Function(CandleTimeSeries series, DateTime date)
{
Candle currentCandle = series[date];
int index = series.GetIndex(currentCandle);
Candle previousCandle = series[index - 1];
double trueRange = Utils.Max(
currentCandle.Max - currentCandle.Min,
currentCandle.Max - previousCandle.Close,
currentCandle.Min - previousCandle.Close);
return(trueRange);
}
TrueRange ind = new TrueRange(Function);
return(ind);
}
public static AverageTrueRange Create(int smoothingPeriods)
{
TrueRange tr = TrueRange.Create();
double Function(CandleTimeSeries series, DateTime date)
{
Candle candle = series[date];
int index = series.GetIndex(candle);
Candle[] candles = index.GetIntegersTo(Math.Max(1, index - smoothingPeriods))
.Select(idx => series[idx])
.ToArray();
double ema = candles
.WeightedAverage((cdl, idx) => tr[series, cdl.Start],
(cdl, idx) => candles.Length - idx);
return(ema);
}
AverageTrueRange ind = new AverageTrueRange(Function);
return(ind);
}