// COMMODITY CHANNEL INDEX
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <CciResult> GetCci <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods = 20)
where TQuote : IQuote
{
// convert quotes
List <QuoteD> quotesList = quotes.ConvertToList();
// check parameter arguments
ValidateCci(lookbackPeriods);
// initialize
List <CciResult> results = new(quotesList.Count);
// roll through quotes
for (int i = 0; i < quotesList.Count; i++)
{
QuoteD q = quotesList[i];
int index = i + 1;
CciResult result = new()
{
Date = q.Date,
Tp = (q.High + q.Low + q.Close) / 3
};
results.Add(result);
if (index >= lookbackPeriods)
{
// average TP over lookback
double avgTp = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
CciResult d = results[p];
avgTp += (double)d.Tp;
}
avgTp /= lookbackPeriods;
// average Deviation over lookback
double avgDv = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
CciResult d = results[p];
avgDv += Math.Abs(avgTp - (double)d.Tp);
}
avgDv /= lookbackPeriods;
result.Cci = (avgDv == 0) ? null
: (result.Tp - avgTp) / (0.015 * avgDv);
}
}
return(results);
}
public void Removed()
{
List <CciResult> results = quotes.GetCci(20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
CciResult last = results.LastOrDefault();
Assert.AreEqual(-52.9946, Math.Round((double)last.Cci, 4));
}
public void Standard()
{
List <CciResult> results = quotes.GetCci(20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Cci != null).Count());
// sample value
CciResult r = results[501];
Assert.AreEqual(-52.9946, Math.Round((double)r.Cci, 4));
}
public void GetCciTest()
{
int lookbackPeriod = 20;
IEnumerable <CciResult> results = Indicator.GetCci(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Cci != null).Count());
// sample value
CciResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal) - 52.9946, Math.Round((decimal)result.Cci, 4));
}
public void GetCci()
{
int lookbackPeriod = 20;
List <CciResult> results = Indicator.GetCci(history, lookbackPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Cci != null).Count());
// sample value
CciResult r = results[501];
Assert.AreEqual(-52.9946m, Math.Round((decimal)r.Cci, 4));
}
