/// <summary>
/// Calculate range over the specified number of past bars.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">number of bars to search</param>
/// <returns>range between highest and lowest value of past n bars</returns>
public static ITimeSeries <double> Range(this ITimeSeries <double> series, int n)
{
return(series
.Highest(n)
.Subtract(series
.Lowest(n)));
}
/// <summary>
/// Calculate Stochastic Oscillator, as described here:
/// <see href="https://en.wikipedia.org/wiki/Stochastic_oscillator"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">oscillator period</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>Stochastic Oscillator as time series</returns>
public static _StochasticOscillator StochasticOscillator(this ITimeSeries <double> series, int n = 14,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
var container = Cache <_StochasticOscillator> .GetData(
cacheId,
() => new _StochasticOscillator());
double hh = series
.Highest(n, cacheId)[0];
double ll = series
.Lowest(n, cacheId)[0];
double price = series[0];
container.PercentK = IndicatorsBasic.BufferedLambda(
v => 100.0 * (price - ll) / Math.Max(1e-10, hh - ll),
50.0,
cacheId);
container.PercentD = container.PercentK
.SMA(3, cacheId);
return(container);
}
/// <summary>
/// Calculate range over the specified number of past bars.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">number of bars to search</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>range between highest and lowest value of past n bars</returns>
public static ITimeSeries <double> Range(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(series
.Highest(n, cacheId)
.Subtract(series
.Lowest(n, cacheId), cacheId));
}
/// <summary>
/// Calculate volatility estimate from recent trading range.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of calculation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>volatility as time series</returns>
public static ITimeSeries <double> VolatilityFromRange(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(IndicatorsBasic.BufferedLambda(
(v) =>
{
double hi = series.Highest(n)[0];
double lo = series.Lowest(n)[0];
return 0.80 * Math.Sqrt(1.0 / n) * Math.Log(hi / lo);
},
0.0,
cacheId));
}
/// <summary>
/// Calculate Williams %R, as described here:
/// <see href="https://en.wikipedia.org/wiki/Williams_%25R"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">period</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>Williams %R as time series</returns>
public static ITimeSeries <double> WilliamsPercentR(this ITimeSeries <double> series, int n = 10,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return(IndicatorsBasic.BufferedLambda(
(v) =>
{
double hh = series.Highest(n)[0];
double ll = series.Lowest(n)[0];
double price = series[0];
return -100.0 * (hh - price) / Math.Max(1e-10, hh - ll);
},
-50.0,
cacheId));
}