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);
}
static public void buildIndicators(List <BarRecord> barRecords)
{
SMA sma9 = new SMA(9);
sma9.LoadOhlcList(barRecords);
SingleDoubleSerie sma9Serie = sma9.Calculate();
double?[] sma9Arry = sma9Serie.Values.ToArray();
SMA sma20 = new SMA(20);
sma20.LoadOhlcList(barRecords);
SingleDoubleSerie sma20Serie = sma20.Calculate();
double?[] sma20Arry = sma20Serie.Values.ToArray();
SMA sma50 = new SMA(50);
sma50.LoadOhlcList(barRecords);
SingleDoubleSerie sma50Serie = sma50.Calculate();
double?[] sma50Arry = sma50Serie.Values.ToArray();
MACD macd = new MACD(true);
macd.LoadOhlcList(barRecords);
MACDSerie macdSerie = macd.Calculate();
double?[] macdHistArry = macdSerie.MACDHistogram.ToArray();
RSI rsi = new RSI(14);
rsi.LoadOhlcList(barRecords);
RSISerie rsiSerie = rsi.Calculate();
double?[] rsiArry = rsiSerie.RSI.ToArray();
BollingerBand bollingerBand = new BollingerBand();
bollingerBand.LoadOhlcList(barRecords);
BollingerBandSerie bollingerSerie = bollingerBand.Calculate();
double?[] bollLowArry = bollingerSerie.LowerBand.ToArray();
double?[] bollUpArry = bollingerSerie.UpperBand.ToArray();
CCI cci = new CCI();
cci.LoadOhlcList(barRecords);
SingleDoubleSerie cciSerie = cci.Calculate();
double?[] cciArry = cciSerie.Values.ToArray();
ATR atr = new ATR();
atr.LoadOhlcList(barRecords);
ATRSerie atrSerie = atr.Calculate();
double?[] atrHighArry = atrSerie.TrueHigh.ToArray();
double?[] atrLowArry = atrSerie.TrueLow.ToArray();
double?[] atrArry = atrSerie.ATR.ToArray();
ADX adx = new ADX();
adx.LoadOhlcList(barRecords);
ADXSerie adxSerie = adx.Calculate();
double?[] adxPositiveArry = adxSerie.DIPositive.ToArray();
double?[] adxNegativeArry = adxSerie.DINegative.ToArray();
double?[] adxArry = adxSerie.ADX.ToArray();
Momentum mo = new Momentum();
mo.LoadOhlcList(barRecords);
SingleDoubleSerie moSerie = mo.Calculate();
double?[] moArry = moSerie.Values.ToArray();
VROC vroc = new VROC(25);
vroc.LoadOhlcList(barRecords);
SingleDoubleSerie vrocSerie = vroc.Calculate();
double?[] vrocArry = vrocSerie.Values.ToArray();
int index = 0;
foreach (BarRecord bar in barRecords)
{
bar.SMA9 = sma9Arry[index].ToString();
bar.SMA20 = sma20Arry[index].ToString();
bar.SMA50 = sma50Arry[index].ToString();
bar.MACD_DIFF = macdHistArry[index].ToString();
bar.RSI = rsiArry[index].ToString();
bar.BOLL_LOW = bollLowArry[index].ToString();
bar.BOLL_HIGH = bollUpArry[index].ToString();
bar.CCI = cciArry[index].ToString();
bar.ADX_DIPositive = adxPositiveArry[index].ToString();
bar.ADX_DINegative = adxNegativeArry[index].ToString();
//bar.ADX = adxArry[index].ToString();
bar.ATR_TrueHigh = atrHighArry[index].ToString();
bar.ATR_TrueLow = atrLowArry[index].ToString();
//bar.ATR = atrArry[index].ToString();
bar.Momentum = moArry[index].ToString();
bar.VROC = vrocArry[index].ToString();
index++;
}
}