// WEIGHTED MOVING AVERAGE
public static IEnumerable <WmaResult> GetWma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// check parameters
ValidateWma(history, lookbackPeriod);
// initialize
List <WmaResult> results = new List <WmaResult>();
decimal divisor = (lookbackPeriod * (lookbackPeriod + 1)) / 2m;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
WmaResult result = new WmaResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
decimal wma = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote d = historyList[p];
wma += d.Close * (lookbackPeriod - (decimal)(index - p - 1)) / divisor;
}
result.Wma = wma;
}
results.Add(result);
}
return(results);
}
// WEIGHTED MOVING AVERAGE
public static IEnumerable <WmaResult> GetWma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateWma(history, lookbackPeriod);
// initialize
List <WmaResult> results = new List <WmaResult>();
decimal divisor = (lookbackPeriod * (lookbackPeriod + 1)) / 2m;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
WmaResult result = new WmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
decimal wma = 0;
for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
{
Quote d = historyList[p];
wma += d.Close * (lookbackPeriod - (decimal)(h.Index - d.Index)) / divisor;
}
result.Wma = wma;
}
results.Add(result);
}
return(results);
}
// WEIGHTED MOVING AVERAGE
public static IEnumerable <WmaResult> GetWma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidateWma(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <WmaResult> results = new List <WmaResult>();
decimal divisor = (lookbackPeriod * (lookbackPeriod + 1)) / 2m;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
WmaResult result = new WmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.ToList();
result.Wma = period
.Select(x => x.Close * (lookbackPeriod - (h.Index - x.Index)) / divisor)
.Sum();
}
results.Add(result);
}
return(results);
}
// HULL MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <HmaResult> GetHma <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateHma(history, lookbackPeriod);
// initialize
List <Quote> synthHistory = new List <Quote>();
List <WmaResult> wmaN1 = GetWma(history, lookbackPeriod).ToList();
List <WmaResult> wmaN2 = GetWma(history, lookbackPeriod / 2).ToList();
// roll through history, to get interim synthetic history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
Quote sh = new Quote
{
Date = h.Date
};
WmaResult w1 = wmaN1[i];
WmaResult w2 = wmaN2[i];
if (w1.Wma != null && w2.Wma != null)
{
sh.Close = (decimal)(w2.Wma * 2m - w1.Wma);
synthHistory.Add(sh);
}
}
// add back truncated null results
int sqN = (int)Math.Sqrt(lookbackPeriod);
int shiftQty = lookbackPeriod - 1;
List <HmaResult> results = historyList
.Take(shiftQty)
.Select(x => new HmaResult
{
Date = x.Date
})
.ToList();
// calculate final HMA = WMA with period SQRT(n)
List <HmaResult> hmaResults = GetWma(synthHistory, sqN)
.Select(x => new HmaResult
{
Date = x.Date,
Hma = x.Wma
})
.ToList();
// add WMA to results
results.AddRange(hmaResults);
results = results.OrderBy(x => x.Date).ToList();
return(results);
}
// HULL MOVING AVERAGE
public static IEnumerable <HmaResult> GetHma(IEnumerable <Quote> history, int lookbackPeriod)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// check parameters
ValidateHma(history, lookbackPeriod);
// initialize
List <Quote> synthHistory = new List <Quote>();
List <WmaResult> wmaN1 = GetWma(history, lookbackPeriod).ToList();
List <WmaResult> wmaN2 = GetWma(history, lookbackPeriod / 2).ToList();
// create interim synthetic history
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
Quote sh = new Quote
{
Date = h.Date
};
WmaResult w1 = wmaN1[i];
WmaResult w2 = wmaN2[i];
if (w1.Wma != null && w2.Wma != null)
{
sh.Close = (decimal)(w2.Wma * 2m - w1.Wma);
synthHistory.Add(sh);
}
}
// initialize results, add back truncated null results
int sqN = (int)Math.Sqrt(lookbackPeriod);
int shiftQty = lookbackPeriod - 1;
List <HmaResult> results = historyList
.Select(x => new HmaResult
{
Index = (int)x.Index,
Date = x.Date
})
.Where(x => x.Index <= shiftQty)
.ToList();
// calculate final HMA = WMA with period SQRT(n)
List <HmaResult> hmaResults = GetWma(synthHistory, sqN)
.Select(x => new HmaResult
{
Index = x.Index + shiftQty,
Date = x.Date,
Hma = x.Wma
})
.ToList();
// add WMA to results
results.AddRange(hmaResults);
results = results.OrderBy(x => x.Index).ToList();
return(results);
}
