public override double Update(double newValue)
{
double oldMACD = Fast.Value - Slow.Value;
double oldSignal = Signal.Value;
Fast.Update(newValue);
Slow.Update(newValue);
double newMACD = Fast.Value - Slow.Value;
Signal.Update(newMACD);
double newSignal = Signal.Value;
MACDCrossedSignal = (Math.Sign(oldSignal - oldMACD) != Math.Sign(newSignal - newMACD));
MACDCrossedZero = (Math.Sign(oldMACD) != Math.Sign(newMACD));
MACDStockDivergence = Math.Sign(maxValue - newValue) != Math.Sign(maxMACDValue - newMACD);
if (newValue > maxValue)
{
maxValue = newValue;
}
if (newMACD > maxMACDValue)
{
maxMACDValue = newMACD;
}
MACDValue = newMACD;
SignalValue = newSignal;
return(Value);
}
public static object EMA(object[] Data, double DecayFactor, object FullSeriesOpt, object ReverseDataOpt)
{
bool fullSeries = Utils.GetOptionalParameter(FullSeriesOpt, false);
bool reverseData = Utils.GetOptionalParameter(ReverseDataOpt, false);
double[] data = Utils.GetVector <double>(Data);
if (reverseData)
{
data = data.Reverse().ToArray();
}
EMA em = new CommonTypes.EMA(DecayFactor);
double[,] ret = new double[data.Length, 1];
for (int i = 0; i < ret.Length; ++i)
{
int index = (reverseData ? ret.Length - i - 1 : i);
ret[index, 0] = em.Update(data[i]);
}
if (fullSeries)
{
return(ret);
}
else
{
return(reverseData ? ret[0, 0] : ret[data.Length - 1, 0]);
}
}
public ATR(int windowLength)
{
WindowLength = windowLength;
if (WindowLength < 3)
{
throw new Exception("Error, ATR calculation requires at least 2 full bars! (WindowLength must be greater than 2)");
}
Cache = new CircularBuffer <Tuple <double, double, double> >(WindowLength);
ATRValue = new EMA(1D / WindowLength);
ATRValue.Update(0);
}
public MACD(double fastSmoothingFactor, double slowSmoothingFactor, double signalSmoothingFactor)
{
FastSmoothingFactor = fastSmoothingFactor;
Fast = new EMA(FastSmoothingFactor);
SlowSmoothingFactor = slowSmoothingFactor;
Slow = new EMA(SlowSmoothingFactor);
SignalSmoothingFactor = signalSmoothingFactor;
Signal = new EMA(SignalSmoothingFactor);
Signal.Update(0);
MACDCrossedSignal = false;
MACDCrossedZero = false;
MACDStockDivergence = false;
maxValue = 0;
maxMACDValue = 0;
}
public double Update(double newClose, double newLow, double newHigh)
{
Cache.Insert(new Tuple <double, double, double>(newClose, newLow, newHigh));
if (Cache.Length == WindowLength)
{
double highLowRange = newHigh - newLow;
double TR = highLowRange;
Tuple <double, double, double> previous = Cache.FromLast(-1);
double previousClose = previous.Item1;
double previousLow = previous.Item2;
double previousHigh = previous.Item3;
double highCloseRange = Math.Abs(newHigh - previousClose);
double lowCloseRange = Math.Abs(newLow - previousClose);
TR = Math.Max(highLowRange, Math.Max(highCloseRange, lowCloseRange));
ATRValue.Update(TR);
}
return(Value);
}