コード例 #1
0
ファイル: Equity.cs プロジェクト: mbhul/my-market-analyzer
 /*****************************************************************************
 *  FUNCTION:  CalculateAvgPrice
 *  Description:
 *  Parameters:
 *****************************************************************************/
 private void CalculateAvgPrice()
 {
     if (HistoricalPrice.Count() > 0)
     {
         avgPrice          = Math.Round(HistoricalPrice.Average(), 2);
         avgDailyPctChange = HistoricalPctChange.Average();
         avgDailyVolume    = (long)HistoricalVolumes.Average();
     }
 }
コード例 #2
0
ファイル: Equity.cs プロジェクト: mbhul/my-market-analyzer
        /*****************************************************************************
        *  FUNCTION:  ComputeTrend
        *  Description:
        *  Parameters:
        *****************************************************************************/
        private void ComputeTrend()
        {
            int           i, windowSize;
            double        alpha, emAvg, weight, xmin, xmax;
            List <double> scaled_volumes;

            //daily percent change less than this value will be considered as zero
            const double pct_change_zero = 0.00001;

            //set scaled volume such that -1 < x < 1
            scaled_volumes = HistoricalVolumes.Select(x => (double)((double)x / (double)HistoricalVolumes.Max())).ToList();


            //Trend will be one of {-1, 0, +1}
            Trend = HistoricalPctChange.Select(sign => (Math.Abs(sign) < pct_change_zero) ? 0 : (int)(sign / Math.Abs(sign))).ToList();
            WeightedTrend.Clear();

            windowSize = 5;

            emAvg = scaled_volumes[0];
            for (i = 0; i < Trend.Count; i++)
            {
                if (i < windowSize - 1)
                {
                    alpha = 2.0 / ((double)(i + 1) + 1.0);
                }
                else
                {
                    alpha = 2.0 / ((double)(windowSize) + 1.0);
                }

                scaled_volumes[i] += 1;
                emAvg              = (scaled_volumes[i] * alpha) + ((1 - alpha) * emAvg);

                //weight = (scaled volume / exp. average volume) ^ daily % change
                // note: 100% = 1.0
                weight = Math.Pow((scaled_volumes[i] / emAvg), Math.Abs(HistoricalPctChange[i]));

                WeightedTrend.Add(Trend[i] * weight);
            }

            //Normalize the weighted trend such that -1 < x < 1
            // x' = -1 + (x - xmin)(1 - (-1)) / (xmax - xmin)
            xmin = WeightedTrend.Min();
            xmax = WeightedTrend.Max();
            for (i = 0; i < WeightedTrend.Count; i++)
            {
                WeightedTrend[i] = -1.0 + ((WeightedTrend[i] - xmin) * 2) / (xmax - xmin);
            }

            i = 0;
        }