public override MACDSerie Calculate()
{
MACDSerie macdSerie = new MACDSerie();
EMA ema = new EMA(Fast, false);
ema.Load(OhlcList);
List <double?> fastEmaValues = ema.Calculate().Values;
ema = new EMA(Slow, false);
ema.Load(OhlcList);
List <double?> slowEmaValues = ema.Calculate().Values;
for (int i = 0; i < OhlcList.Count; i++)
{
// MACD Line
if (fastEmaValues[i].HasValue && slowEmaValues[i].HasValue)
{
if (!Percent)
{
macdSerie.MACDLine.Add(fastEmaValues[i].Value - slowEmaValues[i].Value);
}
else
{
// macd <- 100 * ( mavg.fast / mavg.slow - 1 )
macdSerie.MACDLine.Add(100 * ((fastEmaValues[i].Value / slowEmaValues[i].Value) - 1));
}
OhlcList[i].Close = macdSerie.MACDLine[i].Value;
}
else
{
macdSerie.MACDLine.Add(null);
OhlcList[i].Close = 0.0;
}
}
int zeroCount = macdSerie.MACDLine.Where(x => x == null).Count();
ema = new EMA(Signal, false);
ema.Load(OhlcList.Skip(zeroCount).ToList());
List <double?> signalEmaValues = ema.Calculate().Values;
for (int i = 0; i < zeroCount; i++)
{
signalEmaValues.Insert(0, null);
}
// Fill Signal and MACD Histogram lists
for (int i = 0; i < signalEmaValues.Count; i++)
{
macdSerie.Signal.Add(signalEmaValues[i]);
macdSerie.MACDHistogram.Add(macdSerie.MACDLine[i] - macdSerie.Signal[i]);
}
return(macdSerie);
}
public void EMA()
{
EMA ema = new EMA(10, true);
ema.Load(Directory.GetCurrentDirectory() + "\\table.csv");
SingleDoubleSerie serie = ema.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Values.Count > 0);
}
public void EMA()
{
EMA ema = new EMA(10, true);
ema.Load(OhlcList);
SingleDoubleSerie serie = ema.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.Values.Count > 0);
}
public void EMA()
{
EMA ema = new EMA(10, true);
ema.Load(csvPath);
SingleDoubleSerie serie = ema.Calculate();
Assert.NotNull(serie);
Assert.True(serie.Values.Count > 0);
}
/// <summary>
/// DEMA = 2 * EMA - EMA of EMA
/// </summary>
/// <see cref="http://forex-indicators.net/trend-indicators/dema"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie demaSerie = new SingleDoubleSerie();
EMA ema = new EMA(Period, false);
ema.Load(OhlcList);
List <double?> emaValues = ema.Calculate().Values;
// assign EMA values to Close price
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = emaValues[i].HasValue ? emaValues[i].Value : 0.0;
}
ema.Load(OhlcList.Skip(Period - 1).ToList());
// EMA(EMA(value))
List <double?> emaEmaValues = ema.Calculate().Values;
for (int i = 0; i < Period - 1; i++)
{
emaEmaValues.Insert(0, null);
}
// Calculate DEMA
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= 2 * Period - 2)
{
var dema = 2 * emaValues[i] - emaEmaValues[i];
demaSerie.Values.Add(dema);
}
else
{
demaSerie.Values.Add(null);
}
}
return(demaSerie);
}
public double[] CalculateEMA(IEnumerable <Quote> quotes, int period)
{
var listOhlc = quotes.Select(
x => new Ohlc
{
Date = x.Date,
Close = x.Close,
AdjClose = x.Close,
High = x.High,
Low = x.Low,
Open = x.Open,
Volume = x.Volume
}).ToList();
var ema = new EMA(period, true);
ema.Load(listOhlc);
var result = ema.Calculate();
return(result.Values.Select(x => x.GetValueOrDefault()).ToArray());
}
/// <summary>
/// 1 - EMA of Close prices [EMA(Close)]
/// 2 - Double smooth [EMA(EMA(Close))]
/// 3 - Triple smooth [EMA(EMA(EMA(Close)))]
/// 4 - a) Calculation with percentage: [ROC(EMA(EMA(EMA(Close))))]
/// 4 - b) Calculation with percentage: [Momentum(EMA(EMA(EMA(Close))))]
/// </summary>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix"/>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=TRIX.htm"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
// EMA calculation
EMA ema = new EMA(Period, false);
ema.Load(OhlcList);
List <double?> emaValues = ema.Calculate().Values;
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = emaValues[i].HasValue ? emaValues[i].Value : 0.0;
}
// Double smooth
ema.Load(OhlcList.Skip(Period - 1).ToList());
List <double?> doubleSmoothValues = ema.Calculate().Values;
for (int i = 0; i < Period - 1; i++)
{
doubleSmoothValues.Insert(0, null);
}
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = doubleSmoothValues[i].HasValue ? doubleSmoothValues[i].Value : 0.0;
}
// Triple smooth
ema.Load(OhlcList.Skip(2 * (Period - 1)).ToList());
List <double?> tripleSmoothValues = ema.Calculate().Values;
for (int i = 0; i < (2 * (Period - 1)); i++)
{
tripleSmoothValues.Insert(0, null);
}
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = tripleSmoothValues[i].HasValue ? tripleSmoothValues[i].Value : 0.0;
}
// Last step
SingleDoubleSerie trixSerie = new SingleDoubleSerie();
if (CalculatePercentage)
{
ROC roc = new ROC(1);
roc.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = roc.Calculate();
}
else
{
Momentum momentum = new Momentum();
momentum.Load(OhlcList.Skip(3 * (Period - 1)).ToList());
trixSerie = momentum.Calculate();
}
for (int i = 0; i < (3 * (Period - 1)); i++)
{
trixSerie.Values.Insert(0, null);
}
return(trixSerie);
}
public Form1()
{
InitializeComponent();
chart1.Series.Clear();
Int32 timeStampStart = (Int32)(DateTime.UtcNow.AddMonths(-12).Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
Int32 timeStampNow = (Int32)(DateTime.UtcNow.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
String yahooAPI = $"https://query1.finance.yahoo.com/v7/finance/download/BTC-EUR?period1={timeStampStart}&period2={timeStampNow}&interval=1d&events=history";
using (var client = new WebClient())
{
client.DownloadFile(yahooAPI, "fileLOG");
}
String csvFile = @"fileLOG";
List <Ohlc> ohlcList = new List <Ohlc>();
StreamReader r = new StreamReader(csvFile);
String file = r.ReadToEnd();
String[] pricesClose = file.Split(new String[] { "\r\n", "\n" }, StringSplitOptions.RemoveEmptyEntries);
chart1.Series.Add("Price").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.FastPoint;
// chart1.Series["Price"].Color = Color.Black;
int j = 0;
List <DateTime> dates = new List <DateTime>();
foreach (var s in pricesClose)
{
String[] pricesOscillation = s.Split(new String[] { "," }, StringSplitOptions.RemoveEmptyEntries);
try
{
int index = 0;
DateTime date = DateTime.Parse(pricesOscillation[index++]);
double open = double.Parse(pricesOscillation[index++]);
double high = double.Parse(pricesOscillation[index++]);
double low = double.Parse(pricesOscillation[index++]);
double close = double.Parse(pricesOscillation[index++]);
double adjClose = double.Parse(pricesOscillation[index++]);
double volume = double.Parse(pricesOscillation[index++]);
Ohlc newOhlc = new Ohlc();
newOhlc.Open = open;
newOhlc.High = high;
newOhlc.Low = low;
newOhlc.Close = close;
newOhlc.AdjClose = adjClose;
newOhlc.Volume = volume;
ohlcList.Add(newOhlc);
dates.Add(date);
chart1.Series["Price"].Points.AddXY(date, close);
}
catch (Exception err)
{
}
}
BollingerBand bollingerBand = new BollingerBand();
bollingerBand.Load(ohlcList);
BollingerBandSerie serie = bollingerBand.Calculate();
MACD macd = new MACD();
macd.Load(ohlcList);
MACDSerie macdserie = macd.Calculate();
EMA ema = new EMA();
ema.Load(ohlcList);
SingleDoubleSerie singleDoubleSerie = ema.Calculate();
RSI rsi = new RSI(14);
rsi.Load(ohlcList);
RSISerie serieRSI = rsi.Calculate();
chart1.Series.Add("bUP").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("bDOWN").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("bMIDDLE").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("RSI").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("EMA").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("MACD").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
chart1.Series.Add("MACDHistogram").ChartType = System.Windows.Forms.DataVisualization.Charting.SeriesChartType.Line;
for (int i = 0; i < serie.BandWidth.Count; i++)
{
if (macdserie.MACDLine[i] != null)
{
chart1.Series["MACD"].Points.AddXY(dates[i], macdserie.MACDLine[i]);
}
if (macdserie.MACDHistogram[i] != null)
{
chart1.Series["MACDHistogram"].Points.AddXY(dates[i], macdserie.MACDHistogram[i]);
}
if (singleDoubleSerie.Values[i] != null)
{
chart1.Series["EMA"].Points.AddXY(dates[i], singleDoubleSerie.Values[i]);
}
if (serie.UpperBand[i] != null)
{
chart1.Series["bUP"].Points.AddXY(dates[i], serie.UpperBand[i]);
}
if (serie.MidBand[i] != null)
{
chart1.Series["bMIDDLE"].Points.AddXY(dates[i], serie.MidBand[i]);
}
if (serie.LowerBand[i] != null)
{
chart1.Series["bDOWN"].Points.AddXY(dates[i], serie.LowerBand[i]);
}
if (serieRSI.RSI[i] != null)
{
chart1.Series["RSI"].Points.AddXY(dates[i], serieRSI.RSI[i]);
}
}
}
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);
}