/// <summary>
/// Commodity Channel Index (CCI)
/// tp = (high + low + close) / 3
/// cci = (tp - SMA(tp)) / (Factor * meanDeviation(tp))
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=CCI.htm"/>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
var cciSerie = new SingleDoubleSerie();
for (var i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].closePrice = (OhlcList[i].highPrice + OhlcList[i].lowPrice + OhlcList[i].closePrice) / 3;
}
SMA sma = new SMA(Period);
sma.Load(OhlcList);
var smaList = sma.Calculate().Values;
var meanDeviationList = new List <decimal?>();
for (var i = 0; i < OhlcList.Count; i++)
{
if (i >= Period - 1)
{
var total = 0.0m;
for (var j = i; j >= i - (Period - 1); j--)
{
total += Math.Abs(smaList[i].Value - OhlcList[j].closePrice);
}
meanDeviationList.Add(total / (decimal)Period);
var cci = (OhlcList[i].closePrice - smaList[i].Value) / (Factor * meanDeviationList[i].Value);
cciSerie.Values.Add(cci);
}
else
{
meanDeviationList.Add(null);
cciSerie.Values.Add(null);
}
}
return(cciSerie);
}