public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie pukeSerie = new FloatSerie(stockSerie.Count);
int period = ((int)this.parameters[0]);
int smoothing = ((int)this.parameters[1]);
int signalSmoothing = ((int)this.parameters[3]);
int inputSmoothing = ((int)this.parameters[2]);
FloatSerie closeSerie = stockSerie.GetSerie(StockDataType.CLOSE).CalculateEMA(inputSmoothing);
var values = stockSerie.ValueArray;
// Calculate PUKE
for (int i = period; i < stockSerie.Count; i++)
{
int puke = 0;
for (int j = i - period+1; j <= i; j++)
{
StockDailyValue dv = values[j];
if (closeSerie[j] - closeSerie[j-1] >= 0) puke++;
else puke--;
}
pukeSerie[i] = puke;
}
pukeSerie = pukeSerie.CalculateEMA(smoothing);
this.Series[0] = pukeSerie;
this.series[0].Name = this.SerieNames[0];
FloatSerie signalSerie = pukeSerie.CalculateEMA(signalSmoothing);
this.series[1] = signalSerie;
this.series[1].Name = this.SerieNames[1];
// Detecting events
this.CreateEventSeries(stockSerie.Count);
for (int i = period; i < stockSerie.Count; i++)
{
this.eventSeries[0][i] = (signalSerie[i - 1] > pukeSerie[i - 1] && signalSerie[i] < pukeSerie[i]);
this.eventSeries[1][i] = (signalSerie[i - 1] < pukeSerie[i - 1] && signalSerie[i] > pukeSerie[i]);
this.eventSeries[2][i] = pukeSerie[i] > signalSerie[i];
this.eventSeries[3][i] = pukeSerie[i] < signalSerie[i];
}
}
public override void ApplyTo(StockSerie stockSerie)
{
// Set HLine value
float trendThreshold = (float)this.Parameters[1];
int period = (int)this.Parameters[0];
FloatSerie atrSerie = stockSerie.GetIndicator("ATR(" + period + ")").Series[0];
FloatSerie pDM = new FloatSerie(stockSerie.Count);
FloatSerie mDM = new FloatSerie(stockSerie.Count);
FloatSerie lowSerie = stockSerie.GetSerie(StockDataType.LOW).CalculateEMA((int)this.Parameters[2]);
FloatSerie higherie = stockSerie.GetSerie(StockDataType.HIGH).CalculateEMA((int)this.Parameters[2]);
// Calculate +DM and -DM
for (int i = 1; i < stockSerie.Count; i++)
{
float rangeUp = higherie[i] - higherie[i - 1];
float rangeDown = lowSerie[i - 1] - lowSerie[i];
if (rangeUp > rangeDown)
{
pDM[i] = Math.Max(0, rangeUp);
}
else
{
mDM[i] = Math.Max(0, rangeDown);
}
}
// Calclate +DI and -DI
FloatSerie pDI = pDM.CalculateEMA(period).Div(atrSerie).Mult(100);
FloatSerie mDI = mDM.CalculateEMA(period).Div(atrSerie).Mult(100);
FloatSerie ADX = ((pDI - mDI).Abs() / (pDI + mDI)).CalculateEMA(period).Mult(100);
ADX.Name = this.SerieNames[0];
pDI.Name = this.SerieNames[1];
mDI.Name = this.SerieNames[2];
this.Series[0] = ADX;
this.Series[1] = pDI;
this.Series[2] = mDI;
// Manage events
this.CreateEventSeries(stockSerie.Count);
for (int i = period; i < stockSerie.Count; i++)
{
this.eventSeries[0][i] = ADX[i] > trendThreshold && ADX[i] > ADX[i - 1] && pDI[i] > mDI[i];
this.eventSeries[1][i] = ADX[i] > trendThreshold && ADX[i] > ADX[i - 1] && pDI[i] < mDI[i];
}
}
public FloatSerie CalculateCorrelation(FloatSerie otherSerie, int period)
{
if (this.Count != otherSerie.Count)
{
return null;
}
FloatSerie correlationSerie = new FloatSerie(this.Count, "CORREL");
float[] x = this.Values;
float[] y = otherSerie.Values;
float[] mx = this.CalculateEMA(period).Values;
float[] my = otherSerie.CalculateEMA(period).Values;
double sum1 = 0, sum2 = 0, sum3 = 0, xmx = 0, ymy = 0;
correlationSerie[0] = 0;
for (int i = 1; i < this.Count; i++)
{
sum1 = 0; sum2 = 0; sum3 = 0;
for (int j = Math.Max(0, i - period); j <= i; j++)
{
xmx = x[j] - mx[j];
ymy = y[j] - my[j];
sum1 += xmx * ymy;
sum2 += xmx * xmx;
sum3 += ymy * ymy;
}
correlationSerie[i] = (float)(sum1 / (Math.Sqrt(sum2) * Math.Sqrt(sum3)));
}
return correlationSerie;
}
public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie highSerie = stockSerie.GetSerie(StockDataType.HIGH).CalculateEMA((int)this.Parameters[1]);
FloatSerie lowSerie = stockSerie.GetSerie(StockDataType.LOW).CalculateEMA((int)this.Parameters[1]);
FloatSerie closeSerie = stockSerie.GetSerie(StockDataType.CLOSE).CalculateEMA((int)this.Parameters[1]);
FloatSerie atrSerie = new FloatSerie(stockSerie.Count);
for (int i = 1; i < stockSerie.Count; i++)
{
atrSerie[i] = 100f*(highSerie[i] - lowSerie[i]) / closeSerie[i - 1];
}
this.series[0] = atrSerie.CalculateEMA((int)this.Parameters[0]);
this.Series[0].Name = this.Name;
}
public override void ApplyTo(StockSerie stockSerie)
{
// Calculate Bollinger Bands
FloatSerie breadthIndicator = new FloatSerie(stockSerie.Count);
int fastSmoothing = (int)this.parameters[1];
StockSerie breadthSerie = StockDictionary.StockDictionarySingleton[(string)this.parameters[0]];
breadthSerie.Initialise();
int index = -1;
int i = 0;
float breadth = 0;
foreach (StockDailyValue dailyValue in stockSerie.Values)
{
if ((index = breadthSerie.IndexOf(dailyValue.DATE)) == -1)
{
breadthIndicator[i] = breadth;
}
else
{
breadthIndicator[i] = breadth = breadthSerie.ElementAt(index).Value.CLOSE;
}
i++;
}
breadthIndicator = breadthIndicator.CalculateEMA(fastSmoothing);
this.series[0] = breadthIndicator;
this.Series[0].Name = this.SerieNames[0];
// Detecting events
this.CreateEventSeries(stockSerie.Count);
for (i = 1; i < stockSerie.Count; i++)
{
if (breadthIndicator[i] >= 0)
{
this.Events[0][i] = true;
}
else
{
this.Events[1][i] = true;
}
if (breadthIndicator[i] >= breadthIndicator[i - 1])
{
this.Events[2][i] = true;
}
else
{
this.Events[3][i] = true;
}
}
}
public override void ApplyTo(StockSerie stockSerie)
{
int period = (int)this.parameters[0];
int smooting = (int)this.parameters[1];
int signalSmoothing = (int)this.parameters[2];
FloatSerie closeSerie = stockSerie.GetSerie(StockDataType.CLOSE);
if (smooting > 1) closeSerie = closeSerie.CalculateEMA(smooting);
FloatSerie momentumSerie = new FloatSerie(stockSerie.Count);
for (int i = period; i < stockSerie.Count; i++)
{
momentumSerie[i] = 100.0f * (closeSerie[i] - closeSerie[i - period]) / closeSerie[i - period];
}
FloatSerie signalSerie = momentumSerie.CalculateEMA(signalSmoothing);
this.series[0] = momentumSerie;
this.series[0].Name = this.SerieNames[0];
this.series[1] = signalSerie;
this.series[1].Name = this.SerieNames[1];
// Detecting events
this.CreateEventSeries(stockSerie.Count);
FloatSerie atrSerie = 100.0f * stockSerie.GetSerie(StockDataType.ATR).CalculateEMA(smooting) / closeSerie;
for (int i = 2; i < stockSerie.Count; i++)
{
this.eventSeries[0][i] = (momentumSerie[i] - signalSerie[i]) >= atrSerie[i];
this.eventSeries[1][i] = (momentumSerie[i] - signalSerie[i]) <= -atrSerie[i];
this.eventSeries[2][i] = this.eventSeries[0][i] && !this.eventSeries[0][i - 1];
this.eventSeries[3][i] = this.eventSeries[1][i] && !this.eventSeries[1][i - 1];
}
}
public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie fastK = stockSerie.CalculateFastOscillator((int)this.parameters[0]).Div(100.0f).Sub(0.5f);
FloatSerie oscSerie = new FloatSerie(stockSerie.Count);
int i = 0;
StockDailyValue previousValue = null;
float previousOSCValue = 0.0f;
foreach (StockDailyValue dailyValue in stockSerie.Values)
{
if (previousValue != null)
{
if (fastK[i] > 0)
{
previousOSCValue += (1.0f - previousOSCValue) * fastK[i];
}
else
{
previousOSCValue -= (-1.0f - previousOSCValue) * fastK[i];
}
oscSerie[i] = previousOSCValue;
}
previousValue = dailyValue;
i++;
}
this.series[0] = oscSerie;
this.Series[0].Name = this.Name;
FloatSerie signalSerie = oscSerie.CalculateEMA((int)this.parameters[1]);
this.series[1] = signalSerie;
this.series[1].Name = this.series[0].Name + "_SIGNAL";
// Detecting events
this.CreateEventSeries(stockSerie.Count);
for (i = 2; i < oscSerie.Count; i++)
{
this.eventSeries[0][i] = (oscSerie[i] > signalSerie[i]);
this.eventSeries[1][i] = (oscSerie[i] < signalSerie[i]);
this.eventSeries[0][i] = eventSeries[0][i] & !eventSeries[0][i - 1];
this.eventSeries[1][i] = eventSeries[1][i] & !eventSeries[1][i - 1];
}
}
public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie highSerie = stockSerie.GetSerie(StockDataType.HIGH);
FloatSerie lowSerie = stockSerie.GetSerie(StockDataType.LOW);
FloatSerie chopSerie = new FloatSerie(stockSerie.Count);
int period = (int) this.parameters[0];
for (int i = period; i < stockSerie.Count; i++)
{
float low = float.MaxValue;
float high = float.MinValue;
float dist = 0f;
for (int j = i - period; j <= i; j++)
{
low = Math.Min(low, lowSerie[j]);
high = Math.Max(high, highSerie[j]);
dist += highSerie[j] - lowSerie[j];
}
chopSerie[i] = dist/(high - low);
}
chopSerie = chopSerie.CalculateEMA((int) this.parameters[1]);
this.series[0] = chopSerie;
this.series[0].Name = this.Name;
FloatSerie signal = chopSerie.CalculateEMA((int)this.parameters[1]);
this.series[1] = signal;
this.series[1].Name = this.SerieNames[1];
// Detecting events
this.CreateEventSeries(stockSerie.Count);
for (int i = 1; i < stockSerie.Count; i++)
{
this.eventSeries[0][i] = chopSerie[i] >= signal[i];
this.eventSeries[1][i] = chopSerie[i] < signal[i];
this.eventSeries[2][i] = (chopSerie[i - 1] < signal[i - 1] && chopSerie[i] >= signal[i]);
this.eventSeries[3][i] = (chopSerie[i - 1] >= signal[i - 1] && chopSerie[i] < signal[i]);
}
}
public override void ApplyTo(StockSerie stockSerie)
{
StockDailyValue previousValue = null;
FloatSerie varSerie = new FloatSerie(stockSerie.Count);
FloatSerie varAbsSerie = new FloatSerie(stockSerie.Count);
int i = 0;
float var = 0;
foreach (StockDailyValue value in stockSerie.Values)
{
if (previousValue != null)
{
var = (value.CLOSE - previousValue.CLOSE)/previousValue.CLOSE;
varSerie[i] = var;
varAbsSerie[i] = Math.Abs(var);
}
else
{
varSerie[i] = 0;
varAbsSerie[0] = 1;
}
previousValue = value;
i++;
}
FloatSerie smoothedVarSerie = varSerie.CalculateEMA((int)this.parameters[0]).CalculateEMA((int)this.parameters[1]);
FloatSerie smoothedVarAbsSerie = varAbsSerie.CalculateEMA((int)this.parameters[0]).CalculateEMA((int)this.parameters[1]);
FloatSerie TSISerie = smoothedVarSerie / smoothedVarAbsSerie;
this.series[0] = TSISerie;
this.series[0].Name = this.SerieNames[0];
this.series[1] = TSISerie.CalculateEMA((int)this.parameters[2]);
this.series[1].Name = this.SerieNames[1];
// Detecting events
this.CreateEventSeries(stockSerie.Count);
//
float overbought = (float)this.Parameters[3];
float oversold = (float)this.Parameters[4];
for (i = (int)this.Parameters[1]; i < stockSerie.Count; i++)
{
float tsi = TSISerie[i];
float signal = this.series[1][i];
this.eventSeries[0][i] = (tsi >= overbought);
this.eventSeries[1][i] = (tsi <= oversold);
this.eventSeries[2][i] = (tsi > signal);
this.eventSeries[3][i] = (tsi < signal);
}
}
public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie atrSerie = stockSerie.GetSerie(StockDataType.ATR).CalculateEMA((int)this.Parameters[0]);
FloatSerie lowCloseSerie = new FloatSerie(stockSerie.Count);
int i = 0;
foreach (StockDailyValue dailyValue in stockSerie.Values)
{
lowCloseSerie[i++] = dailyValue.CLOSE - dailyValue.LOW;
}
lowCloseSerie = lowCloseSerie.CalculateEMA((int)this.Parameters[0]);
lowCloseSerie = lowCloseSerie / atrSerie;
lowCloseSerie = (lowCloseSerie * 100.0f) - 50.0f;
this.series[0] = lowCloseSerie.CalculateEMA((int)this.Parameters[0] / 4);
this.Series[0].Name = this.Name;
}
public override void ApplyTo(StockSerie stockSerie)
{
FloatSerie varSerie = new FloatSerie(stockSerie.Count);
FloatSerie emaSerie = varSerie.CalculateEMA((int)this.parameters[0]);
int period = (int)this.parameters[0];
for (int i = period; i < stockSerie.Count; i++)
{
float close1 = stockSerie.ValueArray[i - period].CLOSE;
float close2 = stockSerie.ValueArray[i].CLOSE;
float var = 0;
if (close2 < close1)
{
var = (close2 - close1) / close1;
}
else
{
close2 = 1f / close2;
close1 = 1f / close1;
var = -(close2 - close1) / close1;
}
varSerie[i] = var*100f;
}
this.series[0] = varSerie;
this.Series[0].Name = this.Name;
}
