/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="window"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
{
// Until the window is ready, the indicator returns the input value.
if (window.Samples <= window.Size) return input;
// Sort the window by time, convert the observations to double and transform it to an array
var series = window
.OrderBy(i => i.Time)
.Select(i => Convert.ToDouble(i.Value))
.ToArray();
// Fit OLS
var ols = Fit.Line(x: t, y: series);
Intercept.Update(input.Time, (decimal)ols.Item1);
Slope.Update(input.Time, (decimal)ols.Item2);
// Calculate the fitted value corresponding to the input
return Intercept + Slope * Period;
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="window"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
// Until the windows is ready, the indicator returns the input value.
decimal output = input;
if (IsReady)
{
// Sort the windows by time, convert the observations ton double and transform it to a double array
double[] series = window
.OrderBy(i => i.Time)
.Select(i => Convert.ToDouble(i.Value))
.ToArray <double>();
// Fit OLS
Tuple <double, double> ols = Fit.Line(x: t, y: series);
var alfa = (decimal)ols.Item1;
var beta = (decimal)ols.Item2;
// Make the projection.
output = alfa + beta * (Period);
}
return(output);
}