/// <summary>
/// TrueHigh = Highest of high[0] or close[-1]
/// TrueLow = Highest of low[0] or close[-1]
/// TR = TrueHigh - TrueLow
/// ATR = EMA(TR)
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TR.htm"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=ATR.htm"/>
/// <returns></returns>
public override ATRSerie Calculate()
{
ATRSerie atrSerie = new ATRSerie();
atrSerie.TrueHigh.Add(null);
atrSerie.TrueLow.Add(null);
atrSerie.TrueRange.Add(null);
atrSerie.ATR.Add(null);
for (int i = 1; i < OhlcList.Count; i++)
{
double trueHigh = OhlcList[i].High >= OhlcList[i - 1].Close ? OhlcList[i].High : OhlcList[i - 1].Close;
atrSerie.TrueHigh.Add(trueHigh);
double trueLow = OhlcList[i].Low <= OhlcList[i - 1].Close ? OhlcList[i].Low : OhlcList[i - 1].Close;
atrSerie.TrueLow.Add(trueLow);
double trueRange = trueHigh - trueLow;
atrSerie.TrueRange.Add(trueRange);
}
for (int i = 1; i < OhlcList.Count; i++)
{
OhlcList[i].Close = atrSerie.TrueRange[i].Value;
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(1).ToList());
List <double?> atrList = ema.Calculate().Values;
foreach (var atr in atrList)
{
atrSerie.ATR.Add(atr);
}
return(atrSerie);
}
public override ADXSerie Calculate()
{
ADXSerie adxSerie = new ADXSerie();
List <Ohlc> tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].High
};
tempOhlcList.Add(tempOhlc);
}
Momentum momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> highMomentums = momentum.Calculate().Values;
tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].Low
};
tempOhlcList.Add(tempOhlc);
}
momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> lowMomentums = momentum.Calculate().Values;
for (int i = 0; i < lowMomentums.Count; i++)
{
if (lowMomentums[i].HasValue)
{
lowMomentums[i] *= -1;
}
}
//DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
List <double?> DMIPositives = new List <double?>()
{
null
};
// DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
List <double?> DMINegatives = new List <double?>()
{
null
};
for (int i = 1; i < OhlcList.Count; i++)
{
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMIPositives.Add(0);
}
else
{
if (highMomentums[i] > lowMomentums[i])
{
DMIPositives.Add(highMomentums[i]);
}
else
{
DMIPositives.Add(0);
}
}
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMINegatives.Add(0);
}
else
{
if (highMomentums[i] < lowMomentums[i])
{
DMINegatives.Add(lowMomentums[i]);
}
else
{
DMINegatives.Add(0);
}
}
}
ATR atr = new ATR();
atr.Load(OhlcList);
List <double?> trueRanges = atr.Calculate().TrueRange;
adxSerie.TrueRange = trueRanges;
List <double?> trSum = wilderSum(trueRanges);
// DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
List <double?> DIPositives = new List <double?>();
List <double?> wilderSumOfDMIp = wilderSum(DMIPositives);
for (int i = 0; i < wilderSumOfDMIp.Count; i++)
{
if (wilderSumOfDMIp[i].HasValue)
{
DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
}
else
{
DIPositives.Add(null);
}
}
adxSerie.DIPositive = DIPositives;
// DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
List <double?> DINegatives = new List <double?>();
List <double?> wilderSumOfDMIn = wilderSum(DMINegatives);
for (int i = 0; i < wilderSumOfDMIn.Count; i++)
{
if (wilderSumOfDMIn[i].HasValue)
{
DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
}
else
{
DINegatives.Add(null);
}
}
adxSerie.DINegative = DINegatives;
// DX <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
List <double?> DX = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (DIPositives[i].HasValue)
{
double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
DX.Add(dx);
}
else
{
DX.Add(null);
}
}
adxSerie.DX = DX;
for (int i = 0; i < OhlcList.Count; i++)
{
if (DX[i].HasValue)
{
OhlcList[i].Close = DX[i].Value;
}
else
{
OhlcList[i].Close = 0.0;
}
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(Period).ToList());
List <double?> emaValues = ema.Calculate().Values;
for (int i = 0; i < Period; i++)
{
emaValues.Insert(0, null);
}
adxSerie.ADX = emaValues;
return(adxSerie);
}