// SIMPLE MOVING AVERAGE
public static IEnumerable <ChaikinOscResult> GetChaikinOsc(
IEnumerable <Quote> history,
int fastPeriod = 3,
int slowPeriod = 10)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check parameters
ValidateChaikinOsc(history, fastPeriod, slowPeriod);
// initialize
List <ChaikinOscResult> results = new List <ChaikinOscResult>();
IEnumerable <AdlResult> adlResults = GetAdl(history);
// EMA of ADL
IEnumerable <BasicData> adlBasicData = adlResults
.Select(x => new BasicData {
Index = x.Index, Date = x.Date, Value = x.Adl
});
IEnumerable <EmaResult> adlEmaSlow = CalcEma(adlBasicData, slowPeriod);
IEnumerable <EmaResult> adlEmaFast = CalcEma(adlBasicData, fastPeriod);
// roll through history
foreach (AdlResult r in adlResults)
{
ChaikinOscResult result = new ChaikinOscResult
{
Index = r.Index,
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume,
Adl = r.Adl
};
// add Oscillator
if (r.Index >= slowPeriod)
{
EmaResult f = adlEmaFast.Where(x => x.Index == r.Index).FirstOrDefault();
EmaResult s = adlEmaSlow.Where(x => x.Index == r.Index).FirstOrDefault();
result.Oscillator = f.Ema - s.Ema;
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <ChaikinOscResult> GetChaikinOsc(
IEnumerable <Quote> history,
int fastPeriod = 3,
int slowPeriod = 10)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidateChaikinOsc(history, fastPeriod, slowPeriod);
// initialize
IEnumerable <AdlResult> adlResults = GetAdl(history);
// money flow
List <ChaikinOscResult> results = adlResults
.Select(r => new ChaikinOscResult
{
Index = r.Index,
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume,
Adl = r.Adl
})
.ToList();
// EMA of ADL
IEnumerable <BasicData> adlBasicData = adlResults
.Select(x => new BasicData {
Index = x.Index, Date = x.Date, Value = x.Adl
});
List <EmaResult> adlEmaSlow = CalcEma(adlBasicData, slowPeriod).ToList();
List <EmaResult> adlEmaFast = CalcEma(adlBasicData, fastPeriod).ToList();
// add Oscillator
for (int i = slowPeriod - 1; i < results.Count; i++)
{
ChaikinOscResult r = results[i];
EmaResult f = adlEmaFast[i];
EmaResult s = adlEmaSlow[i];
r.Oscillator = f.Ema - s.Ema;
}
return(results);
}
// CHAIKIN OSCILLATOR
public static IEnumerable <ChaikinOscResult> GetChaikinOsc <TQuote>(
IEnumerable <TQuote> history,
int fastPeriod = 3,
int slowPeriod = 10)
where TQuote : IQuote
{
// check parameters
ValidateChaikinOsc(history, fastPeriod, slowPeriod);
// money flow
List <ChaikinOscResult> results = GetAdl(history)
.Select(r => new ChaikinOscResult
{
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume,
Adl = r.Adl
})
.ToList();
// EMA of ADL
List <BasicData> adlBasicData = results
.Select(x => new BasicData {
Date = x.Date, Value = x.Adl
})
.ToList();
List <EmaResult> adlEmaSlow = CalcEma(adlBasicData, slowPeriod).ToList();
List <EmaResult> adlEmaFast = CalcEma(adlBasicData, fastPeriod).ToList();
// add Oscillator
for (int i = slowPeriod - 1; i < results.Count; i++)
{
ChaikinOscResult r = results[i];
EmaResult f = adlEmaFast[i];
EmaResult s = adlEmaSlow[i];
r.Oscillator = f.Ema - s.Ema;
}
return(results);
}
