public FloatSerie CalculateCorrelation(int period, FloatSerie serie)
{
if (this.Count != serie.Count) throw new ArgumentOutOfRangeException("Cannot Covariance on series with different size");
FloatSerie ma1 = this.CalculateMA(period);
FloatSerie ma2 = serie.CalculateMA(period);
// Formula is there http://www.socscistatistics.com/tests/pearson/
FloatSerie correl = new FloatSerie(this.Count, "CORREL");
for (int i = period; i < this.Count; i++)
{
double sum1 = 0.0;
double sum2 = 0.0;
double sum3 = 0.0;
for (int j = i - period; j <= i; j++)
{
double diff1 = this[j] - ma1[i];
double diff2 = serie[j] - ma2[i];
sum1 += diff1 * diff2;
sum2 += diff1 * diff1;
sum3 += diff2 * diff2;
}
correl[i] = (float)(sum1 / (Math.Sqrt(sum2) * Math.Sqrt(sum3)));
}
return correl;
}
public FloatSerie CalculateCovariance(int period, FloatSerie serie)
{
if (this.Count != serie.Count) throw new ArgumentOutOfRangeException("Cannot Covariance on series with different size");
FloatSerie ma1 = this.CalculateMA(period);
FloatSerie ma2 = serie.CalculateMA(period);
FloatSerie variance = new FloatSerie(this.Count, "COVAR");
float avg1, avg2;
float sum;
float spread1, spread2;
int count;
for (int i = period; i < this.Count; i++)
{
count = 0;
sum = 0.0f;
avg1 = ma1[i];
avg2 = ma2[i];
for (int j = i - period; j <= i; j++)
{
count++;
spread1 = this.Values[j] - avg1;
spread2 = serie.Values[j] - avg2;
sum += spread1 * spread2;
}
variance[i] = sum / (float)count;
}
return variance;
}
public override void ApplyTo(StockSerie stockSerie)
{
int period = (int)this.parameters[0];
FloatSerie nbUpDaysSerie = new FloatSerie(stockSerie.Count, "NBUPDAYS");
FloatSerie closeSerie = stockSerie.GetSerie(StockDataType.CLOSE);
float nbUpDays = 0;
for (int i = 1; i <= period; i++)
{
if (closeSerie[i] >= closeSerie[i - 1])
{
nbUpDays++;
}
nbUpDaysSerie[i] = nbUpDays / i;
}
for (int i = period + 1; i < closeSerie.Count; i++)
{
nbUpDays = 0;
for (int j = i - period + 1; j <= i; j++)
{
if (closeSerie[j] >= closeSerie[j - 1])
{
nbUpDays++;
}
}
nbUpDaysSerie[i] = nbUpDays / period;
}
this.Series[0] = nbUpDaysSerie.CalculateMA((int)this.parameters[1]).Sub(0.5f);
}
