public Choppiness(Bars bars, int period, string description)
: base(bars, description)
{
base.FirstValidValue = period;
double true_high, true_low, true_rng, sum;
DataSeries n_high = bars.High - bars.High;
DataSeries n_low = bars.Low - bars.Low;
for (int bar = bars.FirstActualBar + period; bar < bars.Count; bar++)
{
true_high = Math.Max(bars.High[bar], bars.Close[bar - 1]);
true_low = Math.Min(bars.Low[bar], bars.Close[bar - 1]);
true_rng = TrueRange.Series(bars)[bar];
n_high[bar] = true_high;
n_low[bar] = true_low;
}
DataSeries trueHigh = Highest2.Series(bars.High, bars.Close >> 1, period);
DataSeries trueLow = Lowest2.Series(bars.Low, bars.Close >> 1, period);
double nHigh, nLow, nRange, ratio, log_ratio, log_n;
for (int bar = bars.FirstActualBar + period; bar < bars.Count; bar++)
{
// OLD:
/* nHigh = Highest.Series( n_high, period )[bar];
* nLow = Lowest.Series( n_low, period )[bar]; */
// NEW:
nHigh = trueHigh[bar];
nLow = trueLow[bar];
nRange = nHigh - nLow;
sum = Sum.Series(TrueRange.Series(bars), period)[bar];
ratio = sum / nRange;
log_ratio = Math.Log(ratio);
log_n = Math.Log(period);
if (bar <= period)
{
base[bar] = 50;
}
else
{
base[bar] = 100 * log_ratio / log_n;
}
}
}
public static Highest2 Series(DataSeries ds1, DataSeries ds2, int period)
{
/*Highest2 _Highest2 = new Highest2( ds1, ds2, period );
* return _Highest2;*/
string description = string.Concat(new object[] { "_Highest2(", ds1.Description, ",", ds2.Description, ",", period, ")" });
if (ds1.Cache.ContainsKey(description))
{
return((Highest2)ds1.Cache[description]);
}
Highest2 _Highest2 = new Highest2(ds1, ds2, period);
ds1.Cache[description] = _Highest2;
return(_Highest2);
}