// CHAIKIN MONEY FLOW
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <CmfResult> GetCmf <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 20)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateCmf(history, lookbackPeriod);
// initialize
List <CmfResult> results = new List <CmfResult>(historyList.Count);
List <AdlResult> adlResults = GetAdl(history).ToList();
// roll through history
for (int i = 0; i < adlResults.Count; i++)
{
AdlResult r = adlResults[i];
int index = i + 1;
CmfResult result = new CmfResult
{
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume
};
if (index >= lookbackPeriod)
{
decimal sumMfv = 0;
decimal sumVol = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote h = historyList[p];
sumVol += h.Volume;
AdlResult d = adlResults[p];
sumMfv += d.MoneyFlowVolume;
}
decimal avgMfv = sumMfv / lookbackPeriod;
decimal avgVol = sumVol / lookbackPeriod;
if (avgVol != 0)
{
result.Cmf = avgMfv / avgVol;
}
}
results.Add(result);
}
return(results);
}
// CHAIKIN MONEY FLOW
public static IEnumerable <CmfResult> GetCmf(IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateCmf(history, lookbackPeriod);
// initialize
List <CmfResult> results = new List <CmfResult>();
List <AdlResult> adlResults = GetAdl(history).ToList();
// roll through history
for (int i = 0; i < adlResults.Count; i++)
{
AdlResult r = adlResults[i];
CmfResult result = new CmfResult
{
Index = r.Index,
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume
};
if (r.Index >= lookbackPeriod)
{
decimal sumMfv = 0;
decimal sumVol = 0;
for (int p = r.Index - lookbackPeriod; p < r.Index; p++)
{
Quote h = historyList[p];
sumVol += h.Volume;
AdlResult d = adlResults[p];
sumMfv += d.MoneyFlowVolume;
}
decimal avgMfv = sumMfv / lookbackPeriod;
decimal avgVol = sumVol / lookbackPeriod;
if (avgVol != 0)
{
result.Cmf = avgMfv / avgVol;
}
}
results.Add(result);
}
return(results);
}
// SIMPLE MOVING AVERAGE
public static IEnumerable <CmfResult> GetCmf(IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidateCmf(history, lookbackPeriod);
// initialize
List <CmfResult> results = new List <CmfResult>();
IEnumerable <AdlResult> adlResults = GetAdl(history);
// roll through history
foreach (AdlResult r in adlResults)
{
CmfResult result = new CmfResult
{
Index = r.Index,
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume
};
if (r.Index >= lookbackPeriod)
{
List <AdlResult> period = adlResults
.Where(x => x.Index <= r.Index && x.Index > (r.Index - lookbackPeriod))
.ToList();
// simple moving average
result.Cmf = period
.Select(x => x.MoneyFlowVolume)
.Average();
}
results.Add(result);
}
return(results);
}
