public Tendency Classify(DateTime day, CandleTimeSeries series)
{
AverageDirectionalMovementIndex adx = AverageDirectionalMovementIndex.Create(directionalIndexPeriod, averagePeriod);
double adxValue = adx.GetValueAt(series, day.Date);
double adxSlope = 0;
DateTime previousDay = day.Date.Subtract(TimeSpan.FromDays(1));
bool containsPreviousDayCandle = series.ContainsCandleAt(previousDay);
if (containsPreviousDayCandle)
{
double previousDayAdxValue = adx.GetValueAt(series, previousDay);
adxSlope = (adxValue - previousDayAdxValue) / 1;
}
DirectionalMovementPlus diPlus = DirectionalMovementPlus.Create();
double diPlusValue = diPlus.GetValueAt(series, day.Date);
DirectionalMovementMinus diMinus = DirectionalMovementMinus.Create();
double diMinusValue = diMinus.GetValueAt(series, day.Date);
if (adxValue >= adxMinimumValue &&
adxSlope >= 0)
{
return(diPlusValue > diMinusValue
? Tendency.Up
: Tendency.Down);
}
return(Tendency.Range);
}
public static SimpleStrategy Create()
{
AverageDirectionalMovementIndex indicator = AverageDirectionalMovementIndex.Create(14, 14);
ITransaction Function(CandleTimeSeries series, DateTime date)
{
double d = indicator[series, date];
return(new Transaction());
}
return(new SimpleStrategy(Function));
}
public static IEnumerable <(TimeSeries, Color)> GetIndicators(CandleTimeSeries series
, int indicatorPeriod
, int smoothingPeriod
, DateTime?startDate = null)
{
if (startDate == null)
{
startDate = series.Candles.Min(candle => candle.Start);
}
DirectionalIndicatorPlus diPlus =
DirectionalIndicatorPlus.Create(indicatorPeriod);
TimeSeries diPlusSeries = series.Candles
.Where((candle, index) => index > 0 &&
candle.Start >= startDate)
.Select(candle => new DateValue(candle.Start, diPlus[series, candle.Start]))
.ToTimeSeries(DiPlusIndicatorName);
yield return(diPlusSeries, Color.Blue);
DirectionalIndicatorMinus diMinus =
DirectionalIndicatorMinus.Create(indicatorPeriod);
TimeSeries diMinusSeries = series.Candles
.Where((candle, index) => index > 0 &&
candle.Start >= startDate)
.Select(candle => new DateValue(candle.Start, diMinus[series, candle.Start]))
.ToTimeSeries(DiMinusIndicatorName);
yield return(diMinusSeries, Color.Red);
DirectionalMovementIndex dx = DirectionalMovementIndex.Create(indicatorPeriod);
TimeSeries dxSeries = series.Candles
.Where((candle, index) => index > 0 &&
candle.Start >= startDate)
.Select(candle => new DateValue(candle.Start, dx[series, candle.Start]))
.ToTimeSeries(DxIndicatorName);
yield return(dxSeries, Color.DarkSlateGray);
AverageDirectionalMovementIndex adx =
AverageDirectionalMovementIndex.Create(indicatorPeriod, smoothingPeriod);
TimeSeries adxSeries = series.Candles
.Where((candle, index) => index > 0 &&
candle.Start >= startDate)
.Select(candle => new DateValue(candle.Start, adx[series, candle.Start]))
.ToTimeSeries(AdxIndicatorName);
yield return(adxSeries, Color.DarkGray);
}