// ULTIMATE OSCILLATOR
public static IEnumerable <UltimateResult> GetUltimate <TQuote>(
IEnumerable <TQuote> history,
int shortPeriod = 7,
int middlePeriod = 14,
int longPeriod = 28)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// check parameters
ValidateUltimate(history, shortPeriod, middlePeriod, longPeriod);
// initialize
int size = historyList.Count;
List <UltimateResult> results = new List <UltimateResult>(size);
decimal[] bp = new decimal[size]; // buying pressure
decimal[] tr = new decimal[size]; // true range
decimal priorClose = 0;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
UltimateResult r = new UltimateResult
{
Date = h.Date
};
results.Add(r);
if (i > 0)
{
bp[i] = h.Close - Math.Min(h.Low, priorClose);
tr[i] = Math.Max(h.High, priorClose) - Math.Min(h.Low, priorClose);
}
if (index >= longPeriod + 1)
{
decimal sumBP1 = 0m;
decimal sumBP2 = 0m;
decimal sumBP3 = 0m;
decimal sumTR1 = 0m;
decimal sumTR2 = 0m;
decimal sumTR3 = 0m;
for (int p = index - longPeriod; p < index; p++)
{
int pIndex = p + 1;
// short aggregate
if (pIndex > index - shortPeriod)
{
sumBP1 += bp[p];
sumTR1 += tr[p];
}
// middle aggregate
if (pIndex > index - middlePeriod)
{
sumBP2 += bp[p];
sumTR2 += tr[p];
}
// long aggregate
sumBP3 += bp[p];
sumTR3 += tr[p];
}
decimal?avg1 = (sumTR1 == 0) ? null : sumBP1 / sumTR1;
decimal?avg2 = (sumTR2 == 0) ? null : sumBP2 / sumTR2;
decimal?avg3 = (sumTR3 == 0) ? null : sumBP3 / sumTR3;
r.Ultimate = 100 * (4m * avg1 + 2m * avg2 + avg3) / 7m;
}
priorClose = h.Close;
}
return(results);
}
// ULTIMATE OSCILLATOR
public static IEnumerable <UltimateResult> GetUltimate(
IEnumerable <Quote> history, int shortPeriod = 7, int middlePeriod = 14, int longPeriod = 28)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateUltimate(history, shortPeriod, middlePeriod, longPeriod);
// initialize
List <UltimateResult> results = new List <UltimateResult>();
decimal priorClose = 0;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
UltimateResult r = new UltimateResult
{
Index = (int)h.Index,
Date = h.Date
};
results.Add(r);
if (i > 0)
{
r.Bp = h.Close - Math.Min(h.Low, priorClose);
r.Tr = Math.Max(h.High, priorClose) - Math.Min(h.Low, priorClose);
}
if (h.Index >= longPeriod + 1)
{
decimal sumBP1 = 0m;
decimal sumBP2 = 0m;
decimal sumBP3 = 0m;
decimal sumTR1 = 0m;
decimal sumTR2 = 0m;
decimal sumTR3 = 0m;
for (int p = (int)h.Index - longPeriod; p < h.Index; p++)
{
UltimateResult pr = results[p];
// short aggregate
if (pr.Index > h.Index - shortPeriod)
{
sumBP1 += (decimal)pr.Bp;
sumTR1 += (decimal)pr.Tr;
}
// middle aggregate
if (pr.Index > h.Index - middlePeriod)
{
sumBP2 += (decimal)pr.Bp;
sumTR2 += (decimal)pr.Tr;
}
// long aggregate
sumBP3 += (decimal)pr.Bp;
sumTR3 += (decimal)pr.Tr;
}
decimal avg1 = sumBP1 / sumTR1;
decimal avg2 = sumBP2 / sumTR2;
decimal avg3 = sumBP3 / sumTR3;
r.Ultimate = 100 * (4m * avg1 + 2m * avg2 + avg3) / 7m;
}
priorClose = h.Close;
}
return(results);
}
