// STOCHASTIC RSI
public static IEnumerable <StochRsiResult> GetStochRsi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = 2 * lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Stochastic RSI. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <StochRsiResult> results = new List <StochRsiResult>();
IEnumerable <RsiResult> rsiResults = GetRsi(history, lookbackPeriod);
// calculate
foreach (Quote h in history)
{
StochRsiResult result = new StochRsiResult
{
Index = (int)h.Index,
Date = h.Date,
};
if (h.Index >= 2 * lookbackPeriod)
{
IEnumerable <RsiResult> period = rsiResults.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
float?rsi = period.Where(x => x.Index == h.Index).FirstOrDefault().Rsi;
float?rsiHigh = period.Select(x => x.Rsi).Max();
float?rsiLow = period.Select(x => x.Rsi).Min();
result.StochRsi = (rsi - rsiLow) / (rsiHigh - rsiLow);
}
results.Add(result);
}
// add direction
float?lastRSI = 0;
foreach (StochRsiResult r in results.Where(x => x.Index >= 2 * lookbackPeriod).OrderBy(d => d.Index))
{
if (r.Index >= lookbackPeriod)
{
r.IsIncreasing = (r.StochRsi >= lastRSI) ? true : false;
}
lastRSI = r.StochRsi;
}
return(results);
}
// STOCHASTIC RSI
public static IEnumerable <StochRsiResult> GetStochRsi(IEnumerable <Quote> history,
int rsiPeriod, int stochPeriod, int signalPeriod, int smoothPeriod = 1)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate parameters
ValidateStochRsi(history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
// initialize
List <StochRsiResult> results = new List <StochRsiResult>();
// get RSI
IEnumerable <RsiResult> rsiResults = GetRsi(history, rsiPeriod);
// convert rsi to quote format
List <Quote> rsiQuotes = rsiResults
.Where(x => x.Rsi != null)
.Select(x => new Quote
{
Index = null,
Date = x.Date,
High = (decimal)x.Rsi,
Low = (decimal)x.Rsi,
Close = (decimal)x.Rsi
})
.ToList();
// get Stochastic of RSI
IEnumerable <StochResult> stoResults = GetStoch(rsiQuotes, stochPeriod, signalPeriod, smoothPeriod);
// compose
foreach (RsiResult r in rsiResults)
{
StochRsiResult result = new StochRsiResult
{
Index = r.Index,
Date = r.Date
};
if (r.Index >= rsiPeriod + stochPeriod)
{
StochResult sto = stoResults
.Where(x => x.Index == r.Index - stochPeriod)
.FirstOrDefault();
result.StochRsi = sto.Oscillator;
result.Signal = sto.Signal;
result.IsIncreasing = sto.IsIncreasing;
}
results.Add(result);
}
return(results);
}
// STOCHASTIC RSI
public static IEnumerable <StochRsiResult> GetStochRsi <TQuote>(
IEnumerable <TQuote> history,
int rsiPeriod,
int stochPeriod,
int signalPeriod,
int smoothPeriod = 1)
where TQuote : IQuote
{
// validate parameters
ValidateStochRsi(history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
// initialize
List <StochRsiResult> results = new List <StochRsiResult>();
// get RSI
List <RsiResult> rsiResults = GetRsi(history, rsiPeriod).ToList();
// convert rsi to quote format
List <Quote> rsiQuotes = rsiResults
.Where(x => x.Rsi != null)
.Select(x => new Quote
{
Date = x.Date,
High = (decimal)x.Rsi,
Low = (decimal)x.Rsi,
Close = (decimal)x.Rsi
})
.ToList();
// get Stochastic of RSI
List <StochResult> stoResults = GetStoch(rsiQuotes, stochPeriod, signalPeriod, smoothPeriod).ToList();
// compose
for (int i = 0; i < rsiResults.Count; i++)
{
RsiResult r = rsiResults[i];
int index = i + 1;
StochRsiResult result = new StochRsiResult
{
Date = r.Date
};
if (index >= rsiPeriod + stochPeriod)
{
StochResult sto = stoResults[index - rsiPeriod - 1];
result.StochRsi = sto.Oscillator;
result.Signal = sto.Signal;
}
results.Add(result);
}
return(results);
}
// STOCHASTIC RSI
public static IEnumerable <StochRsiResult> GetStochRsi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize
List <StochRsiResult> results = new List <StochRsiResult>();
IEnumerable <RsiResult> rsiResults = GetRsi(history, lookbackPeriod);
// calculate
foreach (Quote h in history)
{
StochRsiResult result = new StochRsiResult
{
Index = (int)h.Index,
Date = h.Date,
};
if (h.Index >= 2 * lookbackPeriod)
{
IEnumerable <RsiResult> period = rsiResults.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
float?rsi = period.Where(x => x.Index == h.Index).FirstOrDefault().Rsi;
float?rsiHigh = period.Select(x => x.Rsi).Max();
float?rsiLow = period.Select(x => x.Rsi).Min();
result.StochRsi = (rsi - rsiLow) / (rsiHigh - rsiLow);
}
results.Add(result);
}
// add direction
float?lastRSI = 0;
foreach (StochRsiResult r in results.Where(x => x.Index >= 2 * lookbackPeriod).OrderBy(d => d.Index))
{
if (r.Index >= lookbackPeriod)
{
r.IsIncreasing = (r.StochRsi >= lastRSI) ? true : false;
}
lastRSI = r.StochRsi;
}
return(results);
}
