// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 20,
decimal standardDeviations = 2)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// validate parameters
ValidateBollingerBands(history, lookbackPeriod, standardDeviations);
// initialize
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
BollingerBandsResult r = new BollingerBandsResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
double[] periodClose = new double[lookbackPeriod];
decimal sum = 0m;
int n = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
periodClose[n] = (double)d.Close;
sum += d.Close;
n++;
}
decimal periodAvg = sum / lookbackPeriod;
decimal stdDev = (decimal)Functions.StdDev(periodClose);
r.Sma = periodAvg;
r.UpperBand = periodAvg + standardDeviations * stdDev;
r.LowerBand = periodAvg - standardDeviations * stdDev;
r.PercentB = (r.UpperBand == r.LowerBand) ? null
: (h.Close - r.LowerBand) / (r.UpperBand - r.LowerBand);
r.ZScore = (stdDev == 0) ? null : (h.Close - r.Sma) / stdDev;
r.Width = (r.Sma == 0) ? null : (r.UpperBand - r.LowerBand) / r.Sma;
}
results.Add(r);
}
return(results);
}
// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands(IEnumerable <Quote> history, int lookbackPeriod = 20, decimal standardDeviations = 2)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Bollinger Bands. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
IEnumerable <SmaResult> sma = GetSma(history, lookbackPeriod);
decimal?prevUpperBand = null;
decimal?prevLowerBand = null;
// roll through history
foreach (Quote h in history)
{
BollingerBandsResult result = new BollingerBandsResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <double> periodClose = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Close);
double stdDev = Functions.StdDev(periodClose);
result.Sma = sma.Where(x => x.Date == h.Date).Select(x => x.Sma).FirstOrDefault();
result.UpperBand = result.Sma + standardDeviations * (decimal)stdDev;
result.LowerBand = result.Sma - standardDeviations * (decimal)stdDev;
if (prevUpperBand != null && prevLowerBand != null)
{
result.IsDiverging = ((decimal)result.UpperBand - (decimal)result.LowerBand) > ((decimal)prevUpperBand - (decimal)prevLowerBand) ? true : false;
}
// for next iteration
prevUpperBand = result.UpperBand;
prevLowerBand = result.LowerBand;
}
results.Add(result);
}
return(results);
}
// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands(
IEnumerable <Quote> history, int lookbackPeriod = 20, decimal standardDeviations = 2)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate parameters
ValidateBollingerBands(history, lookbackPeriod, standardDeviations);
// initialize
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
decimal?prevUpperBand = null;
decimal?prevLowerBand = null;
// roll through history
foreach (Quote h in history)
{
BollingerBandsResult result = new BollingerBandsResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <double> periodClose = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Close);
double stdDev = Functions.StdDev(periodClose);
result.Sma = (decimal)periodClose.Average();
result.UpperBand = result.Sma + standardDeviations * (decimal)stdDev;
result.LowerBand = result.Sma - standardDeviations * (decimal)stdDev;
result.ZScore = (stdDev == 0) ? null : (h.Close - result.Sma) / (decimal)stdDev;
result.Width = (result.Sma == 0) ? null : (result.UpperBand - result.LowerBand) / result.Sma;
if (prevUpperBand != null && prevLowerBand != null)
{
result.IsDiverging = ((decimal)result.UpperBand - (decimal)result.LowerBand)
> ((decimal)prevUpperBand - (decimal)prevLowerBand);
}
// for next iteration
prevUpperBand = result.UpperBand;
prevLowerBand = result.LowerBand;
}
results.Add(result);
}
return(results);
}
// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands(
IEnumerable <Quote> history, int lookbackPeriod = 20, decimal standardDeviations = 2)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate parameters
ValidateBollingerBands(history, lookbackPeriod, standardDeviations);
// initialize
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
BollingerBandsResult result = new BollingerBandsResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
double[] periodClose = new double[lookbackPeriod];
decimal sum = 0m;
int n = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
periodClose[n] = (double)d.Close;
sum += d.Close;
n++;
}
decimal periodAvg = sum / lookbackPeriod;
decimal stdDev = (decimal)Functions.StdDev(periodClose);
result.Sma = periodAvg;
result.UpperBand = periodAvg + standardDeviations * stdDev;
result.LowerBand = periodAvg - standardDeviations * stdDev;
result.ZScore = (stdDev == 0) ? null : (h.Close - result.Sma) / stdDev;
result.Width = (result.Sma == 0) ? null : (result.UpperBand - result.LowerBand) / result.Sma;
}
results.Add(result);
}
return(results);
}
// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands(IEnumerable <Quote> history, int lookbackPeriod = 20, decimal standardDeviations = 2)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
IEnumerable <SmaResult> sma = GetSma(history, lookbackPeriod);
decimal?prevUpperBand = null;
decimal?prevLowerBand = null;
// roll through history
foreach (Quote h in history)
{
BollingerBandsResult result = new BollingerBandsResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <double> periodClose = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Close);
double stdDev = Functions.StdDev(periodClose);
result.Sma = sma.Where(x => x.Date == h.Date).Select(x => x.Sma).FirstOrDefault();
result.UpperBand = result.Sma + standardDeviations * (decimal)stdDev;
result.LowerBand = result.Sma - standardDeviations * (decimal)stdDev;
if (prevUpperBand != null && prevLowerBand != null)
{
result.IsDiverging = ((decimal)result.UpperBand - (decimal)result.LowerBand) > ((decimal)prevUpperBand - (decimal)prevLowerBand) ? true : false;
}
// for next iteration
prevUpperBand = result.UpperBand;
prevLowerBand = result.LowerBand;
}
results.Add(result);
}
return(results);
}
// BOLLINGER BANDS
public static IEnumerable <BollingerBandsResult> GetBollingerBands(
IEnumerable <Quote> history, int lookbackPeriod = 20, decimal standardDeviations = 2)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate parameters
ValidateBollingerBands(history, lookbackPeriod, standardDeviations);
// initialize
List <Quote> historyList = history.ToList();
List <BollingerBandsResult> results = new List <BollingerBandsResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
BollingerBandsResult result = new BollingerBandsResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
double[] periodClose = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Close)
.ToArray();
decimal stdDev = (decimal)Functions.StdDev(periodClose);
result.Sma = (decimal)periodClose.Average();
result.UpperBand = result.Sma + standardDeviations * stdDev;
result.LowerBand = result.Sma - standardDeviations * stdDev;
result.ZScore = (stdDev == 0) ? null : (h.Close - result.Sma) / stdDev;
result.Width = (result.Sma == 0) ? null : (result.UpperBand - result.LowerBand) / result.Sma;
}
results.Add(result);
}
return(results);
}
