/*****************************************************************************
* FUNCTION: CalculateAvgPrice
* Description:
* Parameters:
*****************************************************************************/
private void CalculateAvgPrice()
{
if (HistoricalPrice.Count() > 0)
{
avgPrice = Math.Round(HistoricalPrice.Average(), 2);
avgDailyPctChange = HistoricalPctChange.Average();
avgDailyVolume = (long)HistoricalVolumes.Average();
}
}
/*****************************************************************************
* FUNCTION: ComputeTrend
* Description:
* Parameters:
*****************************************************************************/
private void ComputeTrend()
{
int i, windowSize;
double alpha, emAvg, weight, xmin, xmax;
List <double> scaled_volumes;
//daily percent change less than this value will be considered as zero
const double pct_change_zero = 0.00001;
//set scaled volume such that -1 < x < 1
scaled_volumes = HistoricalVolumes.Select(x => (double)((double)x / (double)HistoricalVolumes.Max())).ToList();
//Trend will be one of {-1, 0, +1}
Trend = HistoricalPctChange.Select(sign => (Math.Abs(sign) < pct_change_zero) ? 0 : (int)(sign / Math.Abs(sign))).ToList();
WeightedTrend.Clear();
windowSize = 5;
emAvg = scaled_volumes[0];
for (i = 0; i < Trend.Count; i++)
{
if (i < windowSize - 1)
{
alpha = 2.0 / ((double)(i + 1) + 1.0);
}
else
{
alpha = 2.0 / ((double)(windowSize) + 1.0);
}
scaled_volumes[i] += 1;
emAvg = (scaled_volumes[i] * alpha) + ((1 - alpha) * emAvg);
//weight = (scaled volume / exp. average volume) ^ daily % change
// note: 100% = 1.0
weight = Math.Pow((scaled_volumes[i] / emAvg), Math.Abs(HistoricalPctChange[i]));
WeightedTrend.Add(Trend[i] * weight);
}
//Normalize the weighted trend such that -1 < x < 1
// x' = -1 + (x - xmin)(1 - (-1)) / (xmax - xmin)
xmin = WeightedTrend.Min();
xmax = WeightedTrend.Max();
for (i = 0; i < WeightedTrend.Count; i++)
{
WeightedTrend[i] = -1.0 + ((WeightedTrend[i] - xmin) * 2) / (xmax - xmin);
}
i = 0;
}
