public Tendency Classify(DateTime day, CandleTimeSeries series)
{
AverageDirectionalMovementIndex adx = AverageDirectionalMovementIndex.Create(directionalIndexPeriod, averagePeriod);
double adxValue = adx.GetValueAt(series, day.Date);
double adxSlope = 0;
DateTime previousDay = day.Date.Subtract(TimeSpan.FromDays(1));
bool containsPreviousDayCandle = series.ContainsCandleAt(previousDay);
if (containsPreviousDayCandle)
{
double previousDayAdxValue = adx.GetValueAt(series, previousDay);
adxSlope = (adxValue - previousDayAdxValue) / 1;
}
DirectionalMovementPlus diPlus = DirectionalMovementPlus.Create();
double diPlusValue = diPlus.GetValueAt(series, day.Date);
DirectionalMovementMinus diMinus = DirectionalMovementMinus.Create();
double diMinusValue = diMinus.GetValueAt(series, day.Date);
if (adxValue >= adxMinimumValue &&
adxSlope >= 0)
{
return(diPlusValue > diMinusValue
? Tendency.Up
: Tendency.Down);
}
return(Tendency.Range);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
TrueRange.Reset();
DirectionalMovementPlus.Reset();
DirectionalMovementMinus.Reset();
SmoothedTrueRange.Reset();
SmoothedDirectionalMovementMinus.Reset();
SmoothedDirectionalMovementPlus.Reset();
PositiveDirectionalIndex.Reset();
NegativeDirectionalIndex.Reset();
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
TrueRange.Update(input);
DirectionalMovementPlus.Update(input);
DirectionalMovementMinus.Update(input);
SmoothedTrueRange.Update(Current);
SmoothedDirectionalMovementMinus.Update(Current);
SmoothedDirectionalMovementPlus.Update(Current);
if (_previousInput != null)
{
PositiveDirectionalIndex.Update(Current);
NegativeDirectionalIndex.Update(Current);
}
var diff = Math.Abs(PositiveDirectionalIndex - NegativeDirectionalIndex);
var sum = PositiveDirectionalIndex + NegativeDirectionalIndex;
var value = sum == 0 ? 50 : ((_period - 1) * Current.Value + 100 * diff / sum) / _period;
_previousInput = input;
return(value);
}
