Esempio n. 1
0
        /// <summary>
        /// Upper Envelope: 20-day SMA + (20-day SMA x .025)
        /// Lower Envelope: 20-day SMA - (20-day SMA x .025)
        /// </summary>
        /// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_average_envelopes"/>
        /// <returns></returns>
        public override EnvelopeSerie Calculate()
        {
            EnvelopeSerie envelopeSerie = new EnvelopeSerie();

            SMA sma = new SMA(Period);

            sma.Load(OhlcList);
            List <double?> smaList = sma.Calculate().Values;

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (smaList[i].HasValue)
                {
                    envelopeSerie.Lower.Add(smaList[i].Value - (smaList[i].Value * Factor));
                    envelopeSerie.Upper.Add(smaList[i].Value + (smaList[i].Value * Factor));
                }
                else
                {
                    envelopeSerie.Lower.Add(null);
                    envelopeSerie.Upper.Add(null);
                }
            }

            return(envelopeSerie);
        }
Esempio n. 2
0
        /// <summary>
        /// Price {X/2 + 1} periods ago less the X-period simple moving average.
        /// X refers to the number of periods used to calculate the Detrended Price
        /// Oscillator. A 20-day DPO would use a 20-day SMA that is displaced by 11
        /// periods {20/2 + 1 = 11}. This displacement shifts the 20-day SMA 11 days
        /// to the left, which actually puts it in the middle of the look-back
        /// period. The value of the 20-day SMA is then subtracted from the price
        /// in the middle of this look-back period. In short, DPO(20) equals price
        /// 11 days ago less the 20-day SMA.
        /// </summary>
        /// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:detrended_price_osci"/>
        /// <returns></returns>
        public override SingleDoubleSerie Calculate()
        {
            SingleDoubleSerie dpoSerie = new SingleDoubleSerie();

            SMA sma = new SMA(Period);

            sma.Load(OhlcList);
            List <double?> smaList = sma.Calculate().Values;

            // shift to left (n / 2) + 1
            for (int i = 0; i < smaList.Count; i++)
            {
                if (i >= Period - 1)
                {
                    smaList[i - ((Period / 2) + 1)] = smaList[i];
                    smaList[i] = null;
                }
            }

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (smaList[i].HasValue)
                {
                    double dpo = OhlcList[i].Close - smaList[i].Value;
                    dpoSerie.Values.Add(dpo);
                }
                else
                {
                    dpoSerie.Values.Add(null);
                }
            }

            return(dpoSerie);
        }
Esempio n. 3
0
        /// <summary>
        /// Commodity Channel Index (CCI)
        /// tp = (high + low + close) / 3
        /// cci = (tp - SMA(tp)) / (Factor * meanDeviation(tp))
        /// </summary>
        /// <see cref="http://www.fmlabs.com/reference/default.htm?url=CCI.htm"/>
        /// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci"/>
        /// <returns></returns>
        public override SingleDoubleSerie Calculate()
        {
            SingleDoubleSerie cciSerie = new SingleDoubleSerie();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                OhlcList[i].Close = (OhlcList[i].High + OhlcList[i].Low + OhlcList[i].Close) / 3;
            }

            SMA sma = new SMA(Period);

            sma.Load(OhlcList);
            List <double?> smaList = sma.Calculate().Values;

            List <double?> meanDeviationList = new List <double?>();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (i >= Period - 1)
                {
                    double total = 0.0;
                    for (int j = i; j >= i - (Period - 1); j--)
                    {
                        total += Math.Abs(smaList[i].Value - OhlcList[j].Close);
                    }
                    meanDeviationList.Add(total / (double)Period);

                    double cci = (OhlcList[i].Close - smaList[i].Value) / (Factor * meanDeviationList[i].Value);
                    cciSerie.Values.Add(cci);
                }
                else
                {
                    meanDeviationList.Add(null);
                    cciSerie.Values.Add(null);
                }
            }

            return(cciSerie);
        }