/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
var gains = new List <IndicatorValue>();
var losses = new List <IndicatorValue>();
for (var i = 1; i < prices.Count; i++)
{
var change = prices[i].ClosePrice - prices[i - 1].ClosePrice;
if (change > 0)
{
gains.Add(new IndicatorValue {
Date = prices[i].Date, Value = change
});
losses.Add(new IndicatorValue {
Date = prices[i].Date, Value = 0
});
}
else
{
losses.Add(new IndicatorValue {
Date = prices[i].Date, Value = -change
});
gains.Add(new IndicatorValue {
Date = prices[i].Date, Value = 0
});
}
}
var averageGains = MovingAverageHelper.SmoothedMovingAverage(gains, Term);
var averageLosses = MovingAverageHelper.SmoothedMovingAverage(losses, Term);
return(ComputeRsiValues(averageGains, averageLosses));
}
/// <inheritdoc />
public IList <Signal> GenerateSignals(IList <Price> prices)
{
var signals = new List <Signal>();
var values = Calculate(prices);
var trend = MovingAverageHelper.ExpotentialMovingAverage(prices, Term);
for (int i = Term; i < prices.Count; i++)
{
if (prices[i].ClosePrice > trend[i - Term + 1].Value && trend[i - Term].Value < trend[i - Term + 1].Value && values[i - Term].Value < 0)
{
signals.Add(new Signal(SignalAction.Buy)
{
Date = prices[i].Date
});
}
else if (prices[i].ClosePrice <trend[i - Term + 1].Value && trend[i - Term].Value> trend[i - Term + 1].Value && values[i - Term].Value > 0)
{
signals.Add(new Signal(SignalAction.Sell)
{
Date = prices[i].Date
});
}
}
return(signals);
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
var longEma = MovingAverageHelper.ExpotentialMovingAverage(prices, LongTerm);
var shortEma = MovingAverageHelper.ExpotentialMovingAverage(prices, ShortTerm);
var macdLine = SubstractLongEmaFromShortEma(shortEma, longEma);
var signalLine = MovingAverageHelper.ExpotentialMovingAverage(macdLine, SignalTerm);
return(PrepareResult(macdLine, signalLine));
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
var ret = new List <IndicatorValue>();
for (var i = 0; i < prices.Count - Term + 1; ++i)
{
ret.Add(MovingAverageHelper.SimpleMovingAverage(prices.Skip(i).Take(Term).ToList()));
}
return(ret);
}
public void Moving_averages_should_ignore_holes_between_dates()
{
var data = new List <Price>
{
new Price {
ClosePrice = 10, Date = new DateTime(2016, 10, 1)
},
new Price {
ClosePrice = 20, Date = new DateTime(2016, 10, 4)
}
};
var ema = MovingAverageHelper.ExpotentialMovingAverage(data, 1);
ema.Count.Should().Be(2);
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
var rsValues = GetRsValues(prices);
return(MovingAverageHelper.SmoothedMovingAverage(rsValues, Term));
}
/// <inheritdoc />
public IList <Signal> GenerateSignals(IList <Price> prices)
{
return(MovingAverageHelper.GenerateSignalsForMovingAverages(this, Term, prices));
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
return(MovingAverageHelper.ExpotentialMovingAverage(prices, Term));
}
public void ExpotentialMovingAverage12Test()
{
var actual12DaysEma = MovingAverageHelper.ExpotentialMovingAverage(MacdData.HistoricalData, 12);
actual12DaysEma.ShouldAllBeEquivalentTo(MacdData.Ema12DaysResults);
}
private void CalculateHelper(IList <Price> prices,
out IList <IndicatorValue> smaValues,
out IList <IndicatorValue> diplus,
out IList <IndicatorValue> diminus,
out IList <IndicatorValue> differences,
out IList <IndicatorValue> differences2)
{
var plusDms = new List <IndicatorValue>();
var minusDms = new List <IndicatorValue>();
for (var i = 1; i < prices.Count; ++i)
{
decimal plusDm, minusDm;
var upMove = prices[i].HighPrice - prices[i - 1].HighPrice;
var downMove = prices[i - 1].LowPrice - prices[i].LowPrice;
if (upMove > downMove && upMove > 0)
{
plusDm = upMove;
}
else
{
plusDm = 0;
}
if (downMove > upMove && downMove > 0)
{
minusDm = downMove;
}
else
{
minusDm = 0;
}
plusDms.Add(new IndicatorValue {
Date = prices[i].Date, Value = plusDm
});
minusDms.Add(new IndicatorValue {
Date = prices[i].Date, Value = minusDm
});
}
var plusDisMovingAverage = MovingAverageHelper.SmoothedSum(plusDms, Term);
var minusDisMovingAverage = MovingAverageHelper.SmoothedSum(minusDms, Term);
var atr = MovingAverageHelper.SmoothedSum(GetRsValues(prices.Skip(1).ToList()), Term);
var plusDis = new List <IndicatorValue>();
var minusDis = new List <IndicatorValue>();
var diDifferences = new List <IndicatorValue>();
var diDifferences2 = new List <IndicatorValue>();
var dxs = new List <IndicatorValue>();
for (var i = 0; i < atr.Count; ++i)
{
if (atr[i].Value > 0)
{
plusDis.Add(new IndicatorValue {
Date = atr[i].Date, Value = 100 * plusDisMovingAverage[i].Value / atr[i].Value
});
minusDis.Add(new IndicatorValue {
Date = atr[i].Date, Value = 100 * minusDisMovingAverage[i].Value / atr[i].Value
});
diDifferences.Add(new IndicatorValue {
Date = plusDis[i].Date, Value = Math.Abs(plusDis[i].Value - minusDis[i].Value)
});
diDifferences2.Add(new IndicatorValue {
Date = plusDis[i].Date, Value = plusDis[i].Value + minusDis[i].Value
});
dxs.Add(new IndicatorValue {
Date = atr[i].Date, Value = 100 * diDifferences[i].Value / diDifferences2[i].Value
});
}
else
{
plusDis.Add(new IndicatorValue()
{
Date = atr[i].Date, Value = decimal.MaxValue
});
minusDis.Add(new IndicatorValue()
{
Date = atr[i].Date, Value = decimal.MaxValue
});
diDifferences.Add(new IndicatorValue()
{
Date = plusDis[i].Date, Value = 0
});
diDifferences2.Add(new IndicatorValue()
{
Date = minusDis[i].Date, Value = decimal.MaxValue
});
dxs.Add(new IndicatorValue()
{
Date = atr[i].Date, Value = 0
});
}
}
var sma = MovingAverageHelper.SmoothedMovingAverage2(dxs, Term);
diDifferences2 = diDifferences2.Skip(Term - 1).ToList();
smaValues = sma;
diplus = plusDis;
diminus = minusDis;
differences = diDifferences;
differences2 = diDifferences2;
}
