public static GMA Series(DataSeries ds, int period)
{
string description = string.Concat(new object[] { "GMA(", ds.Description, ",", period, ")" });
if (ds.Cache.ContainsKey(description))
{
return((GMA)ds.Cache[description]);
}
GMA _gma = new GMA(ds, period, description);
ds.Cache[description] = _gma;
return(_gma);
}
/*
* The creation of the oscillator involves taking the arithmetic average of the percentage returns (or 1-day ROCs) over the last 5 days.
* A geometric average is created by simply adding 1 to the percentage returns and taking the product of this series over the last 5 days
* (the cumulative return).
* The geometric average is derived by subtracting 1 from the cumulative return.
* Then we subtract the arithmetic return from the geometric return to find the divergence.
* This divergence is smoothed twice using a 3-day average to create smooth signals (note that the raw divergence produces signals in the same direction).
* Finally this smoothed divergence is “bounded,” by taking the PERCENTRANK of the series going back 1-year.
*/
public GAMDO(Bars bars, string description)
: base(bars, description)
{
base.FirstValidValue = 252;
int period = 5;
DataSeries ArAvg = Community.Indicators.FastSMA.Series(bars.Close / (bars.Close >> 1), period) - 1d;
DataSeries GeomAvg = GMA.Series(bars.Close / (bars.Close >> 1), period) - 1d;
DataSeries Diver = GeomAvg - ArAvg;
DataSeries SmoothedDiver = Community.Indicators.FastSMA.Series(Diver, 3);
for (int bar = FirstValidValue; bar < bars.Count; bar++)
{
base[bar] = PercentRank.Series(SmoothedDiver, 252)[bar];
}
}
