/// <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()
{
SingleDoubleSerie cciSerie = new SingleDoubleSerie();
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = (OhlcList[i].High + OhlcList[i].Low + OhlcList[i].Close) / 3;
}
SMA sma = new SMA(Period);
sma.Load(OhlcList);
List <double?> smaList = sma.Calculate().Values;
List <double?> meanDeviationList = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= Period - 1)
{
double total = 0.0;
for (int j = i; j >= i - (Period - 1); j--)
{
total += Math.Abs(smaList[i].Value - OhlcList[j].Close);
}
meanDeviationList.Add(total / (double)Period);
double cci = (OhlcList[i].Close - smaList[i].Value) / (Factor * meanDeviationList[i].Value);
cciSerie.Values.Add(cci);
}
else
{
meanDeviationList.Add(null);
cciSerie.Values.Add(null);
}
}
return(cciSerie);
}