/// <summary>
/// Calculate True Strength Index of input time series, as described here:
/// <see href="https://en.wikipedia.org/wiki/True_strength_index"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="r">smoothing period for momentum</param>
/// <param name="s">smoothing period for smoothed momentum</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>TSI time series</returns>
public static ITimeSeries <double> TSI(this ITimeSeries <double> series, int r = 25, int s = 13,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), r, s);
ITimeSeries <double> momentum = series
.Return(cacheId);
double numerator = momentum
.EMA(r, cacheId)
.EMA(s, cacheId)[0];
double denominator = momentum
.AbsValue(cacheId)
.EMA(r, cacheId)
.EMA(s, cacheId)[0];
return(IndicatorsBasic.BufferedLambda(
v => 100.0 * numerator / Math.Max(1e-10, denominator),
0.5,
cacheId));
}
/// <summary>
/// Calculate Commodity Channel Index of input time series, as described here:
/// <see href="https://en.wikipedia.org/wiki/Commodity_channel_index"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">averaging length</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>CCI time series</returns>
public static ITimeSeries <double> CCI(this ITimeSeries <double> series, int n = 20,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(IndicatorsBasic.BufferedLambda(
(v) =>
{
ITimeSeries <double> delta = series
.Subtract(
series
.SMA(n, cacheId),
cacheId);
ITimeSeries <double> meanDeviation = delta
.AbsValue(cacheId)
.SMA(n, cacheId);
return delta[0] / Math.Max(1e-10, 0.015 * meanDeviation[0]);
},
0.5,
cacheId));
}