/// <summary>
/// Computes the average value
/// </summary>
/// <param name="input">The data for the calculation</param>
/// <returns>The average value</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
var price = (double)(input.High + input.Low) / 2;
_high.Add((double)input.High);
_low.Add((double)input.Low);
// our first data point just return identity
if (!_high.IsReady)
{
_filt = price;
}
double n1;
double n2;
double n3;
double hh;
double ll;
double dimen = 0;
double alpha;
n3 = (_high.Max() - _low.Min()) / _n;
hh = _high.Take(_n / 2).Max();
ll = _low.Take(_n / 2).Min();
n1 = (hh - ll) / (_n / 2);
if (_high.IsReady)
{
hh = _high.Skip(_n / 2).Take(_n / 2).Max();
ll = _low.Skip(_n / 2).Take(_n / 2).Min();
}
n2 = (hh - ll) / (_n / 2);
if (n1 > 0 && n2 > 0 && n3 > 0)
{
dimen = (Math.Log(n1 + n2) - Math.Log(n3)) / Math.Log(2);
}
;
alpha = Math.Exp(_w * (dimen - 1));
if (alpha < .01)
{
alpha = .01;
}
if (alpha > 1)
{
alpha = 1;
}
_filt = alpha * price + (1 - alpha) * _filt;
return((decimal)_filt);
}
/// <summary>
/// Computes the average value
/// </summary>
/// <param name="input">The data for the calculation</param>
/// <returns>The average value</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
var price = (input.High + input.Low) / 2;
_high.Add((double)input.High);
_low.Add((double)input.Low);
// our first data point just return identity
if (_high.Samples <= _high.Size)
{
return(price);
}
var hh = _high.Take(_n / 2).Max();
var ll = _low.Take(_n / 2).Min();
var n1 = (hh - ll) / (_n / 2);
hh = _high.Skip(_n / 2).Take(_n / 2).Max();
ll = _low.Skip(_n / 2).Take(_n / 2).Min();
var n2 = (hh - ll) / (_n / 2);
var n3 = (_high.Max() - _low.Min()) / _n;
double dimen = 0;
if (n1 + n2 > 0 && n3 > 0)
{
dimen = Math.Log((n1 + n2) / n3) / Math.Log(2);
}
var alpha = (decimal)Math.Exp(_w * (dimen - 1));
if (alpha < .01m)
{
alpha = .01m;
}
if (alpha > 1)
{
alpha = 1;
}
return(alpha * price + (1 - alpha) * Current.Value);
}