/// <summary>
/// Berechnet die Kovrianz und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
///
/// <param name="a">Datenreihe A</param>
/// <param name="b">Datenreihe B</param>
/// <param name="nRange">Anzahl der Daten, von dem die Kovarianz gebildet werden soll</param>
/// <returns>Neuer DatenContainer mit n Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer a, DataContainer b, int nRange)
{
if (nRange < 1)
{
throw new ArgumentOutOfRangeException("Range", nRange, "Must be greater than zero.");
}
DataContainer avg_a = MovingAverage.CreateFrom(a, nRange);
DataContainer avg_b = MovingAverage.CreateFrom(b, nRange);
DataContainer result = new DataContainer();
double dSum = 0;
WorkDate workdate = a.OldestDate.Clone();
WorkDate historyworkdate = a.OldestDate.Clone();
for (int i = 0; i < nRange - 1; i++, workdate++)
{
dSum += a[workdate] * b[workdate];
}
do
{
dSum += a[workdate] * b[workdate];
double dTemp = dSum - (nRange * avg_a[workdate] * avg_b[workdate]);
result[workdate] = dTemp / (nRange - 1);
workdate++;
dSum -= a[historyworkdate] * b[historyworkdate];
historyworkdate++;
}while (workdate <= a.YoungestDate);
return(result);
}
/// <summary>
/// Berechnet die durchschnittliche Abweichung in dB% vom Durchschnitt.
/// </summary>
/// <param name="source">Daten, von dem die durchschnittliche Abweichung gebildet werden soll</param>
/// <param name="nAverage">Anzahl der Daten, von dem die durchschnittliche Abweichung gebildet werden soll</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nAverage)
{
if (nAverage < 1)
{
throw new ArgumentOutOfRangeException("nAverage", nAverage, "Must be greater than zero.");
}
DataContainer result = new DataContainer();
DataContainer relperf = RelativePerformance.CreateFrom(source);
DataContainer movavg = MovingAverage.CreateFrom(relperf, nAverage);
if (movavg.Count >= nAverage)
{
double dSum = 0;
WorkDate workdate = movavg.OldestDate.Clone();
WorkDate historyworkdate = movavg.OldestDate.Clone();
for (int i = 0; i < nAverage - 1; i++, workdate++)
{
dSum += Math.Abs(relperf[workdate] - movavg[workdate]);
}
do
{
dSum += Math.Abs(relperf[workdate] - movavg[workdate]);
result[workdate] = dSum / nAverage;
workdate++;
dSum -= Math.Abs(relperf[historyworkdate] - movavg[historyworkdate]);
historyworkdate++;
}while (workdate <= source.YoungestDate);
}
return(result);
}
///<summary>
/// Berechnet den PriceOscillator und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Daten, von dem der Indikator gebildet werden soll</param>
/// <param name="nAverageFast">Anzahl der Daten, des kuerzeren GD</param>
/// <param name="nAverageSlow">Anzahl der Daten, des laengerem GD</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nAverageFast, int nAverageSlow)
{
if (nAverageFast > nAverageSlow)
{
throw(new ArgumentOutOfRangeException());
}
DataContainer fast = MovingAverage.CreateFrom(source, nAverageFast);
DataContainer slow = MovingAverage.CreateFrom(source, nAverageSlow);
DataContainer result = new DataContainer();
for (WorkDate workdate = slow.OldestDate.Clone(); workdate <= slow.YoungestDate; workdate++)
{
//double dPerf = Math.Log(fast[workdate] / slow[workdate], 2.0) * 100.0;
double dPerf = (fast[workdate] / slow[workdate]) - 1.0;
result[workdate] = dPerf;
}
return(result);
}
/// <summary>
/// Berechnet die ReturnRiskRatio und legt das Ergebnis in einem neuen Datencontainer ab.
/// </summary>
/// <param name="source">Datensatz, von dem die ReturnRiskRatio gebildet werden soll</param>
/// <param name="nRange">Anzahl der einzubeziehenden Daten pro Berechnung</param>
/// <returns>Neuer DatenContainer mit den Ergebnisdaten</returns>
public static DataContainer CreateFrom(DataContainer source, int nRange)
{
//DataContainer sourceperf = RelativePerformance.CreateFrom(source);
DataContainer sourcechange = RelativeChange.CreateFrom(source);
DataContainer changemovavg = MovingAverage.CreateFrom(sourcechange, nRange);
DataContainer volatility = Volatility.CreateFrom(sourcechange, nRange);
DataContainer result = new DataContainer();
//WorkDate historydate = volatility.OldestDate.Clone() - (int)nRange;
WorkDate workdate = volatility.OldestDate.Clone();
for (; workdate <= volatility.YoungestDate; workdate++ /*, historydate++*/)
{
double dReturn = changemovavg[workdate]; //sourceperf[workdate] - sourceperf[historydate];
double dRisk = volatility[workdate]; // Standardabweichung
//result[workdate] = dReturn / (dRisk + 1.0);
result[workdate] = dReturn - dRisk;
}
return(result);
}
