/// <summary>
/// Commodity Channel Index (CCI)
/// tp = (high + low + close) / 3
/// cci = (tp - SMA(tp)) / (Factor * meanDeviation(tp))
/// </summary>
/// <see cref="http://www.fmlabs.com/reference/default.htm?url=CCI.htm"/>
/// <see cref="http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci"/>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
SingleDoubleSerie cciSerie = new SingleDoubleSerie();
for (int i = 0; i < OhlcList.Count; i++)
{
OhlcList[i].Close = (OhlcList[i].High + OhlcList[i].Low + OhlcList[i].Close) / 3;
}
SMA sma = new SMA(Period);
sma.Load(OhlcList);
List <double?> smaList = sma.Calculate().Values;
List <double?> meanDeviationList = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (i >= Period - 1)
{
double total = 0.0;
for (int j = i; j >= i - (Period - 1); j--)
{
total += Math.Abs(smaList[i].Value - OhlcList[j].Close);
}
meanDeviationList.Add(total / (double)Period);
double cci = (OhlcList[i].Close - smaList[i].Value) / (Factor * meanDeviationList[i].Value);
cciSerie.Values.Add(cci);
}
else
{
meanDeviationList.Add(null);
cciSerie.Values.Add(null);
}
}
return(cciSerie);
}
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();
ADX adx = new ADX();
adx.LoadOhlcList(barRecords);
ADXSerie adxSerie = adx.Calculate();
double?[] adxPositiveArry = adxSerie.DIPositive.ToArray();
double?[] adxNegativeArry = adxSerie.DINegative.ToArray();
Momentum mo = new Momentum();
mo.LoadOhlcList(barRecords);
SingleDoubleSerie moSerie = mo.Calculate();
double?[] moArry = moSerie.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.ATR_TrueHigh = atrHighArry[index].ToString();
bar.ATR_TrueLow = atrLowArry[index].ToString();
bar.Momemtum = moArry[index].ToString();
index++;
}
}