예제 #1
0
        /// <summary>
        /// TrueHigh = Highest of high[0] or close[-1]
        /// TrueLow = Highest of low[0] or close[-1]
        /// TR = TrueHigh - TrueLow
        /// ATR = EMA(TR)
        /// </summary>
        /// <see cref="http://www.fmlabs.com/reference/default.htm?url=TR.htm"/>
        /// <see cref="http://www.fmlabs.com/reference/default.htm?url=ATR.htm"/>
        /// <returns></returns>
        public override ATRSerie Calculate()
        {
            ATRSerie atrSerie = new ATRSerie();

            atrSerie.TrueHigh.Add(null);
            atrSerie.TrueLow.Add(null);
            atrSerie.TrueRange.Add(null);
            atrSerie.ATR.Add(null);

            for (int i = 1; i < OhlcList.Count; i++)
            {
                double trueHigh = OhlcList[i].High >= OhlcList[i - 1].Close ? OhlcList[i].High : OhlcList[i - 1].Close;
                atrSerie.TrueHigh.Add(trueHigh);
                double trueLow = OhlcList[i].Low <= OhlcList[i - 1].Close ? OhlcList[i].Low : OhlcList[i - 1].Close;
                atrSerie.TrueLow.Add(trueLow);
                double trueRange = trueHigh - trueLow;
                atrSerie.TrueRange.Add(trueRange);
            }

            for (int i = 1; i < OhlcList.Count; i++)
            {
                OhlcList[i].Close = atrSerie.TrueRange[i].Value;
            }

            EMA ema = new EMA(Period, true);

            ema.Load(OhlcList.Skip(1).ToList());
            List <double?> atrList = ema.Calculate().Values;

            foreach (var atr in atrList)
            {
                atrSerie.ATR.Add(atr);
            }

            return(atrSerie);
        }
예제 #2
0
        public override ADXSerie Calculate()
        {
            ADXSerie adxSerie = new ADXSerie();

            List <Ohlc> tempOhlcList = new List <Ohlc>();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                Ohlc tempOhlc = new Ohlc()
                {
                    Close = OhlcList[i].High
                };
                tempOhlcList.Add(tempOhlc);
            }
            Momentum momentum = new Momentum();

            momentum.Load(tempOhlcList);
            List <double?> highMomentums = momentum.Calculate().Values;

            tempOhlcList = new List <Ohlc>();
            for (int i = 0; i < OhlcList.Count; i++)
            {
                Ohlc tempOhlc = new Ohlc()
                {
                    Close = OhlcList[i].Low
                };
                tempOhlcList.Add(tempOhlc);
            }
            momentum = new Momentum();
            momentum.Load(tempOhlcList);
            List <double?> lowMomentums = momentum.Calculate().Values;

            for (int i = 0; i < lowMomentums.Count; i++)
            {
                if (lowMomentums[i].HasValue)
                {
                    lowMomentums[i] *= -1;
                }
            }

            //DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
            List <double?> DMIPositives = new List <double?>()
            {
                null
            };
            // DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
            List <double?> DMINegatives = new List <double?>()
            {
                null
            };

            for (int i = 1; i < OhlcList.Count; i++)
            {
                if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
                {
                    DMIPositives.Add(0);
                }
                else
                {
                    if (highMomentums[i] > lowMomentums[i])
                    {
                        DMIPositives.Add(highMomentums[i]);
                    }
                    else
                    {
                        DMIPositives.Add(0);
                    }
                }

                if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
                {
                    DMINegatives.Add(0);
                }
                else
                {
                    if (highMomentums[i] < lowMomentums[i])
                    {
                        DMINegatives.Add(lowMomentums[i]);
                    }
                    else
                    {
                        DMINegatives.Add(0);
                    }
                }
            }

            ATR atr = new ATR();

            atr.Load(OhlcList);
            List <double?> trueRanges = atr.Calculate().TrueRange;

            adxSerie.TrueRange = trueRanges;

            List <double?> trSum = wilderSum(trueRanges);

            // DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
            List <double?> DIPositives     = new List <double?>();
            List <double?> wilderSumOfDMIp = wilderSum(DMIPositives);

            for (int i = 0; i < wilderSumOfDMIp.Count; i++)
            {
                if (wilderSumOfDMIp[i].HasValue)
                {
                    DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
                }
                else
                {
                    DIPositives.Add(null);
                }
            }
            adxSerie.DIPositive = DIPositives;

            // DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
            List <double?> DINegatives     = new List <double?>();
            List <double?> wilderSumOfDMIn = wilderSum(DMINegatives);

            for (int i = 0; i < wilderSumOfDMIn.Count; i++)
            {
                if (wilderSumOfDMIn[i].HasValue)
                {
                    DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
                }
                else
                {
                    DINegatives.Add(null);
                }
            }
            adxSerie.DINegative = DINegatives;

            // DX  <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
            List <double?> DX = new List <double?>();

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (DIPositives[i].HasValue)
                {
                    double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
                    DX.Add(dx);
                }
                else
                {
                    DX.Add(null);
                }
            }
            adxSerie.DX = DX;

            for (int i = 0; i < OhlcList.Count; i++)
            {
                if (DX[i].HasValue)
                {
                    OhlcList[i].Close = DX[i].Value;
                }
                else
                {
                    OhlcList[i].Close = 0.0;
                }
            }

            EMA ema = new EMA(Period, true);

            ema.Load(OhlcList.Skip(Period).ToList());
            List <double?> emaValues = ema.Calculate().Values;

            for (int i = 0; i < Period; i++)
            {
                emaValues.Insert(0, null);
            }
            adxSerie.ADX = emaValues;

            return(adxSerie);
        }