public override double GetCovariance(TimeSeries series, DateTime datetime1, DateTime datetime2)
{
if (!(series is DoubleSeries))
{
throw new ArgumentException("not a DoubleSeries");
}
double mean1 = this.GetMean();
double mean2 = series.GetMean();
double n = 0.0;
double sum = 0.0;
int index1 = series.GetIndex(datetime1, EIndexOption.Next);
int index2 = series.GetIndex(datetime2, EIndexOption.Prev);
for (int i = index1; i <= index2; ++i)
{
DateTime dt = this.GetDateTime(i);
if (series.Contains(dt))
{
sum += (this[i] - mean1) * ((double)series[dt] - mean2);
++n;
}
}
if (n <= 1.0)
{
return(0.0);
}
return(sum / (n - 1.0));
}
public ECross Crosses(TimeSeries series, DateTime datetime, int row = 0)
{
int index1 = this.GetIndex(datetime);
int index2 = series.GetIndex(datetime);
if (index1 <= 0 || index1 >= this.Count || index2 <= 0 || index2 >= series.Count)
{
return(ECross.None);
}
DateTime dt1 = this.GetDateTime(index1 - 1);
DateTime dt2 = series.GetDateTime(index2 - 1);
if (dt1 == dt2)
{
if (this[index1 - 1, row] <= series[index2 - 1, row] && this[index1, row] > series[index2, row])
{
return(ECross.Above);
}
if (this[index1 - 1, row] >= series[index2 - 1, row] && this[index1, row] < series[index2, row])
{
return(ECross.Below);
}
}
else
{
double num1;
double num2;
if (dt1 < dt2)
{
DateTime dateTime3 = this.GetDateTime(index1 - 1);
num1 = this[index1 - 1, row];
num2 = series.GetIndex(dateTime3, EIndexOption.Next) == index2 ? series[series.GetIndex(dateTime3, EIndexOption.Prev), row] : series[series.GetIndex(dateTime3, EIndexOption.Next), row];
}
else
{
DateTime dateTime3 = series.GetDateTime(index2 - 1);
num2 = series[index2 - 1, row];
num1 = this.GetIndex(dateTime3, EIndexOption.Next) == index1 ? this[this.GetIndex(dateTime3, EIndexOption.Prev), row] : this[this.GetIndex(dateTime3, EIndexOption.Next), row];
}
if (num1 <= num2 && this[index1, row] > series[index2, row])
{
return(ECross.Above);
}
if (num1 >= num2 && this[index1, row] < series[index2, row])
{
return(ECross.Below);
}
}
return(ECross.None);
}
public ECross Crosses(TimeSeries series, DateTime datetime, int row = 0)
{
int index1 = this.GetIndex(datetime);
int index2 = series.GetIndex(datetime);
if (index1 <= 0 || index1 >= this.Count || index2 <= 0 || index2 >= series.Count)
{
return ECross.None;
}
DateTime dt1 = this.GetDateTime(index1 - 1);
DateTime dt2 = series.GetDateTime(index2 - 1);
if (dt1 == dt2)
{
if (this[index1-1, row] <= series[index2 - 1, row] && this[index1, row] > series[index2, row])
return ECross.Above;
if (this[index1-1, row] >= series[index2 - 1, row] && this[index1, row] < series[index2, row])
return ECross.Below;
}
else
{
double num1;
double num2;
if (dt1 < dt2)
{
DateTime dateTime3 = this.GetDateTime(index1 - 1);
num1 = this[index1 - 1, row];
num2 = series.GetIndex(dateTime3, EIndexOption.Next) == index2 ? series[series.GetIndex(dateTime3, EIndexOption.Prev), row] : series[series.GetIndex(dateTime3, EIndexOption.Next), row];
}
else
{
DateTime dateTime3 = series.GetDateTime(index2 - 1);
num2 = series[index2 - 1, row];
num1 = this.GetIndex(dateTime3, EIndexOption.Next) == index1 ? this[this.GetIndex(dateTime3, EIndexOption.Prev), row] : this[this.GetIndex(dateTime3, EIndexOption.Next), row];
}
if (num1 <= num2 && this[index1, row] > series[index2, row])
return ECross.Above;
if (num1 >= num2 && this[index1, row] < series[index2, row])
return ECross.Below;
}
return ECross.None;
}
public override double GetCovariance(TimeSeries series, DateTime datetime1, DateTime datetime2)
{
if (!(series is DoubleSeries))
throw new ArgumentException("not a DoubleSeries");
double mean1 = this.GetMean();
double mean2 = series.GetMean();
double n = 0.0;
double sum = 0.0;
int index1 = series.GetIndex(datetime1, EIndexOption.Next);
int index2 = series.GetIndex(datetime2, EIndexOption.Prev);
for (int i = index1; i <= index2; ++i)
{
DateTime dt = this.GetDateTime(i);
if (series.Contains(dt))
{
sum += (this[i] - mean1) * ((double)series[dt] - mean2);
++n;
}
}
if (n <= 1.0)
return 0.0;
return sum / (n - 1.0);
}
