public static IEnumerable <decimal> Diff <T>(this RollingWindow <T> window1, RollingWindow <IndicatorDataPoint> window2, Func <T, decimal> selector = null, int lookback = 1)
where T : IBaseDataBar
{
selector = selector ?? (x => x.Value);
return(window1.Take(lookback).Select((w1, index) => selector(w1) - window2[index]));
}
/// <summary>
/// Computes the average value
/// </summary>
/// <param name="time"></param>
/// <param name="input">The data for the calculation</param>
/// <returns>The average value</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
var price = (input[HighIdx] + input[LowIdx]) / 2;
_high.Add(input[HighIdx]);
_low.Add(input[LowIdx]);
// 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 = Math.Exp(_w * (dimen - 1));
if (alpha < .01d)
{
alpha = .01d;
}
if (alpha > 1)
{
alpha = 1;
}
return(alpha * price + (1 - alpha) * Current.Value);
}
public IEnumerable <TradeBar> NDaysDailyHistory(int n) => _dailyCloses.Take(n).Reverse();
public static IEnumerable <decimal> Diff(this RollingWindow <IndicatorDataPoint> window1, RollingWindow <IndicatorDataPoint> window2, int lookback = 1)
{
return(window1.Take(lookback).Select((w1, index) => w1 - window2[index]));
}
public static bool Falling(this RollingWindow <IndicatorDataPoint> window, int lookback = 1, decimal tolerance = 0m)
{
return(window.Take(lookback).Zip(window.Skip(1).Take(lookback), (w1, w2) => Tuple.Create(w1, w2)).All((w) => w.Item1 < w.Item2 * (1 - tolerance)));
}
public static bool Rising(this RollingWindow <decimal> window, int lookback = 1, decimal tolerance = 0m)
{
return(window.Take(lookback).Zip(window.Skip(1).Take(lookback), (w1, w2) => Tuple.Create(w1, w2)).All((w) => w.Item1 > w.Item2 * (1 + tolerance)));
}