// DONCHIAN CHANNEL
public static IEnumerable <DonchianResult> GetDonchian <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 20)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateDonchian(history, lookbackPeriod);
// initialize
List <DonchianResult> results = new List <DonchianResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
DonchianResult result = new DonchianResult
{
Date = h.Date
};
if (i >= lookbackPeriod)
{
decimal highHigh = 0;
decimal lowLow = decimal.MaxValue;
// high/low over prior periods
for (int p = i - lookbackPeriod; p < i; p++)
{
TQuote d = historyList[p];
if (d.High > highHigh)
{
highHigh = d.High;
}
if (d.Low < lowLow)
{
lowLow = d.Low;
}
}
result.UpperBand = highHigh;
result.LowerBand = lowLow;
result.Centerline = (result.UpperBand + result.LowerBand) / 2;
result.Width = (result.Centerline == 0) ? null
: (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <DonchianResult> GetDonchian(
IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate parameters
ValidateDonchian(history, lookbackPeriod);
// initialize
List <DonchianResult> results = new List <DonchianResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
DonchianResult result = new DonchianResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
decimal highHigh = 0;
decimal lowLow = decimal.MaxValue;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
if (d.High > highHigh)
{
highHigh = d.High;
}
if (d.Low < lowLow)
{
lowLow = d.Low;
}
}
result.UpperBand = highHigh;
result.LowerBand = lowLow;
result.Centerline = (result.UpperBand + result.LowerBand) / 2;
result.Width = (result.Centerline == 0) ? null : (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <DonchianResult> GetDonchian(
IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate parameters
ValidateDonchian(history, lookbackPeriod);
// initialize
List <DonchianResult> results = new List <DonchianResult>();
decimal?prevWidth = null;
// roll through history
foreach (Quote h in history)
{
DonchianResult result = new DonchianResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index);
result.UpperBand = period.Select(h => h.High).Max();
result.LowerBand = period.Select(l => l.Low).Min();
result.Centerline = (result.UpperBand + result.LowerBand) / 2;
result.Width = (result.Centerline == 0) ? null : (result.UpperBand - result.LowerBand) / result.Centerline;
if (prevWidth != null)
{
if (result.Width == prevWidth)
{
result.IsDiverging = null;
}
else
{
result.IsDiverging = (result.Width > prevWidth);
}
}
// for next iteration
prevWidth = result.Width;
}
results.Add(result);
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <DonchianResult> GetDonchian(
IEnumerable <Quote> history, int lookbackPeriod = 20)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate parameters
ValidateDonchian(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <DonchianResult> results = new List <DonchianResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
DonchianResult result = new DonchianResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.ToList();
result.UpperBand = period.Select(h => h.High).Max();
result.LowerBand = period.Select(l => l.Low).Min();
result.Centerline = (result.UpperBand + result.LowerBand) / 2;
result.Width = (result.Centerline == 0) ? null : (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}
