/// <summary>
/// Smoothed Moving Average/Running Moving Average
/// </summary>
/// <returns>The smma.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage SMMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] smma = new double[count];
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double sum = priceArray[0];
//Iterate for first sum over period n
for (int i = 0; i < period - 1; i++)
{
sum = sum + priceArray[i];
}
// First n values are zero
smma[period - 1] = sum / period;
for (int i = period; i < count; i++)
{
// No need to iterate through every sum
sum = sum - priceArray[i - period] + priceArray[i];
smma[i] = (sum - smma[0] + priceArray[i]) / (double)period;
}
return(new MovingAverage(smma, MAType.SMMA));
}
/// <summary>
/// Relatives the index of the strength.
/// </summary>
/// <returns>The strength index.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
public static RelativeStrengthIndex RelativeStrengthIndex(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] rsi = new double[count];
double[] up = new double[count];
double[] down = new double[count];
double[] rs = new double[count];
for (int i = 1; i < count; i++)
{
if (priceArray[i] > priceArray[i - 1])
{
up[i] = priceArray[i] - priceArray[i - 1];
}
else
{
down[i] = priceArray[i - 1] - priceArray[i];
}
}
for (int i = period; i < count; i++)
{
rs[i] = MovingAverages.SMMA(up, period, i - period, period).MA[i] / MovingAverages.SMMA(down, period, i - period, period).MA[i];
rsi[i] = 100 - 1 / (1 + rs[i]);
}
return(new RelativeStrengthIndex(rsi));
}
/// <summary>
/// Weighted Moving Average
/// </summary>
/// <returns>The wma.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="weight">Weight.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage WMA(CandleStickCollection candleSticks, int weight = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] wma = new double[count];
double[] weights = new double[weight];
double sum = weight * (weight + 1) / 2;
for (int i = 0; i < weight; i++)
{
weights[i] = i / sum;
}
for (int i = weight - 1; i < count; i++)
{
for (int j = 0; j < weight; j++)
{
wma[i] = wma[i] + priceArray[j + i] * weight;
}
}
return(new MovingAverage(wma, MAType.WMA));
}
public static BollingerBands BollingerBands(CandleStickCollection candleSticks, int period = 14,
double multiplier = 2, PriceSource priceSource = PriceSource.Close)
{
BollingerBands bollingerBands = new BollingerBands(candleSticks, period, multiplier, priceSource);
return(bollingerBands);
}
/// <summary>
/// Simple Moving Average
/// </summary>
/// <returns>The SMA.</returns>
/// <param name="candleSticks">Candle stick data</param>
/// <param name="period">Time period (size of candlestick time inerval * period)</param>
/// <param name="priceSource">Price Source (enum: open, high, low, close)</param>
public static MovingAverage SMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
double[] sma = new double[count];
double sum = priceArray[0];
// Compute the first sum
for (int i = 1; i < period - 1; i++)
{
sum = sum + priceArray[i];
}
sma[period - 1] = sum / period;
for (int j = period; j < count - 1; j++)
{
// No more iterating required for the other sums
sum = sum - priceArray[j - period] + priceArray[j];
sma[j] = sum / period;
}
return(new MovingAverage(sma, MAType.SMA));
}
public static MovingAverageConvergenceDivergence MACD(CandleStickCollection candleSticks, int fast = 12, int slow = 26, int length = 9,
PriceSource priceSource = PriceSource.Close)
{
MovingAverage fastMA = MovingAverages.EMA(candleSticks, fast, priceSource);
MovingAverage slowMA = MovingAverages.EMA(candleSticks, slow, priceSource);
double[] macd = SubtractArray(fastMA.MA, slowMA.MA);
return(new MovingAverageConvergenceDivergence(macd, length));
}
/// <summary>
/// Cumulative Moving Average
/// </summary>
/// <returns>The CMA.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage CMA(CandleStickCollection candleSticks,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] cma = new double[count];
double[] priceArray = priceSource.GetArrayFromCandleStickCollection(candleSticks);
cma[0] = priceArray[0];
for (int i = 1; i < count; i++)
{
cma[i] = cma[i - 1] + (priceArray[i] - cma[i - 1]) / (double)i;
}
return(new MovingAverage(cma, MAType.CMA));
}
/// <summary>
/// Vortex Indicator Model
/// </summary>
/// <returns>The indicator.</returns>
/// <param name="candleSticks">Candle stick data array.</param>
/// <param name="period">Period.</param>
public static VortexIndicator VortexIndicator(CandleStickCollection candleSticks, int period = 14)
{
int count = candleSticks.Count;
double[] sumVMUp = new double[count];
double[] sumVMDown = new double[count];
double[] sumTrueRange = new double[count];
double[] viUP = new double[count];
double[] viDown = new double[count];
try
{
for (int j = 0; j < count - period - 2; j++)
{
for (int i = 1 + j; i < 1 + j + period; i++)
{
// abs(current high - current low)
var chcl = Abs(candleSticks[i].High - candleSticks[i].Low);
// abs(current low - previous close)
var clpc = Abs(candleSticks[i].Low - candleSticks[i - 1].Close);
// abs(current high - previous close)
var chpc = Abs(candleSticks[i].High - candleSticks[i - 1].Close);
//true range
var trueRange = Max(chcl, clpc, chpc);
var vmUp = Abs(candleSticks[i].High - candleSticks[i - 1].Low);
var vmDown = Abs(candleSticks[i].Low - candleSticks[i - 1].High);
sumVMUp[j] = sumVMUp[j] + vmUp;
sumVMDown[j] = sumVMDown[j] + vmDown;
sumTrueRange[j] = sumTrueRange[j] + trueRange;
}
viUP[j] = sumVMUp[j] / sumTrueRange[j];
viDown[j] = sumVMDown[j] / sumTrueRange[j];
}
return(new VortexIndicator(viUP, viDown));
}
catch (IndexOutOfRangeException e)
{
throw e;
}
}
public BollingerBands(CandleStickCollection candleSticks, int period = 20,
double multiplier = 2, PriceSource priceSource = PriceSource.Close)
{
int length = candleSticks.Count - period;
double[] prices = priceSource.GetArrayFromCandleStickCollection(candleSticks);
StandardDeviation standardDeviation;
LowerBand = UpperBand = new double[length];
MiddleBand = MovingAverages.SMA(candleSticks, period, priceSource).MA;
for (int i = 0; i < length; i++)
{
standardDeviation = new StandardDeviation(prices.GetSegment(i, i + period), MiddleBand.GetSegment(i, i + period));
UpperBand[i] = MiddleBand[i] + multiplier * standardDeviation.Value;
LowerBand[i] = MiddleBand[i] - multiplier * standardDeviation.Value;
}
}
/// <summary>
/// Exponential Moving Average
/// </summary>
/// <returns>The EMA.</returns>
/// <param name="candleSticks">Candle sticks.</param>
/// <param name="period">Period.</param>
/// <param name="priceSource">Price source.</param>
public static MovingAverage EMA(CandleStickCollection candleSticks, int period = 14,
PriceSource priceSource = PriceSource.Close)
{
int count = candleSticks.Count;
double[] ema = new double[count];
double w = 1 / period;
// Set intial value to first price value
ema[0] = priceSource.GetValueFromCandleStick(candleSticks[0]);
for (int i = 1; i < count; i++)
{
ema[i] = w * priceSource.GetValueFromCandleStick(candleSticks[i])
+ (1.0 - w) * ema[i - 1];
}
return(new MovingAverage(ema, MAType.EMA));
}
