Exemplo n.º 1
0
        // COMMODITY CHANNEL INDEX
        public static IEnumerable <CciResult> GetCci <TQuote>(
            IEnumerable <TQuote> history,
            int lookbackPeriod = 20)
            where TQuote : IQuote
        {
            // clean quotes
            List <TQuote> historyList = history.Sort();

            // validate parameters
            ValidateCci(history, lookbackPeriod);

            // initialize
            List <CciResult> results = new List <CciResult>();


            // roll through history
            for (int i = 0; i < historyList.Count; i++)
            {
                TQuote h     = historyList[i];
                int    index = i + 1;

                CciResult result = new CciResult
                {
                    Date = h.Date,
                    Tp   = (h.High + h.Low + h.Close) / 3
                };
                results.Add(result);

                if (index >= lookbackPeriod)
                {
                    // average TP over lookback
                    decimal avgTp = 0;
                    for (int p = index - lookbackPeriod; p < index; p++)
                    {
                        CciResult d = results[p];
                        avgTp += (decimal)d.Tp;
                    }
                    avgTp /= lookbackPeriod;

                    // average Deviation over lookback
                    decimal avgDv = 0;
                    for (int p = index - lookbackPeriod; p < index; p++)
                    {
                        CciResult d = results[p];
                        avgDv += Math.Abs(avgTp - (decimal)d.Tp);
                    }
                    avgDv /= lookbackPeriod;

                    result.Cci = (avgDv == 0) ? null
                        : (result.Tp - avgTp) / ((decimal)0.015 * avgDv);
                }
            }

            return(results);
        }
Exemplo n.º 2
0
        // COMMODITY CHANNEL INDEX
        public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
        {
            // clean quotes
            List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();

            // validate parameters
            ValidateCci(history, lookbackPeriod);

            // initialize
            List <CciResult> results = new List <CciResult>();


            // roll through history
            for (int i = 0; i < historyList.Count; i++)
            {
                Quote h = historyList[i];

                CciResult result = new CciResult
                {
                    Index = (int)h.Index,
                    Date  = h.Date,
                    Tp    = (h.High + h.Low + h.Close) / 3
                };
                results.Add(result);

                if (h.Index >= lookbackPeriod)
                {
                    // average TP over lookback
                    decimal avgTp = 0;
                    for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
                    {
                        CciResult d = results[p];
                        avgTp += (decimal)d.Tp;
                    }
                    avgTp /= lookbackPeriod;

                    // average Deviation over lookback
                    decimal avgDv = 0;
                    for (int p = (int)h.Index - lookbackPeriod; p < h.Index; p++)
                    {
                        CciResult d = results[p];
                        avgDv += Math.Abs(avgTp - (decimal)d.Tp);
                    }
                    avgDv /= lookbackPeriod;

                    result.Cci = (result.Tp - avgTp) / ((decimal)0.015 * avgDv);
                }
            }

            return(results);
        }
Exemplo n.º 3
0
        // COMMODITY CHANNEL INDEX
        public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
        {
            // clean quotes
            history = Cleaners.PrepareHistory(history);

            // check exceptions
            int qtyHistory = history.Count();
            int minHistory = lookbackPeriod + 1;

            if (qtyHistory < minHistory)
            {
                throw new BadHistoryException("Insufficient history provided for Commodity Channel Index.  " +
                                              string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
            }

            // initialize
            List <CciResult> results = new List <CciResult>();


            // roll through history to get Typical Price
            foreach (Quote h in history)
            {
                CciResult result = new CciResult
                {
                    Index = (int)h.Index,
                    Date  = h.Date,
                    Tp    = (h.High + h.Low + h.Close) / 3
                };
                results.Add(result);
            }


            // roll through interim results to calculate CCI
            foreach (CciResult result in results.Where(x => x.Index >= lookbackPeriod))
            {
                IEnumerable <CciResult> period = results.Where(x => x.Index <= result.Index && x.Index > (result.Index - lookbackPeriod));

                decimal smaTp  = (decimal)period.Select(x => x.Tp).Average();
                decimal meanDv = 0;

                foreach (CciResult p in period)
                {
                    meanDv += Math.Abs(smaTp - (decimal)p.Tp);
                }
                meanDv    /= lookbackPeriod;
                result.Cci = (result.Tp - smaTp) / ((decimal)0.015 * meanDv);
            }

            return(results);
        }
Exemplo n.º 4
0
        // COMMODITY CHANNEL INDEX
        public static IEnumerable <CciResult> GetCci(IEnumerable <Quote> history, int lookbackPeriod = 20)
        {
            // clean quotes
            Cleaners.PrepareHistory(history);

            // validate parameters
            ValidateCci(history, lookbackPeriod);

            // initialize
            List <CciResult> results = new List <CciResult>();


            // roll through history to get Typical Price
            foreach (Quote h in history)
            {
                CciResult result = new CciResult
                {
                    Index = (int)h.Index,
                    Date  = h.Date,
                    Tp    = (h.High + h.Low + h.Close) / 3
                };
                results.Add(result);
            }


            // roll through interim results to calculate CCI
            foreach (CciResult result in results.Where(x => x.Index >= lookbackPeriod))
            {
                List <CciResult> period = results
                                          .Where(x => x.Index > (result.Index - lookbackPeriod) && x.Index <= result.Index)
                                          .ToList();

                decimal smaTp  = (decimal)period.Select(x => x.Tp).Average();
                decimal meanDv = 0;

                foreach (CciResult p in period)
                {
                    meanDv += Math.Abs(smaTp - (decimal)p.Tp);
                }
                meanDv    /= lookbackPeriod;
                result.Cci = (result.Tp - smaTp) / ((decimal)0.015 * meanDv);
            }

            return(results);
        }