private static IEnumerable <StdDevResult> CalcStdDev(
IEnumerable <BasicData> basicData, int lookbackPeriod, int?smaPeriod = null)
{
// clean data
List <BasicData> basicDataList = Cleaners.PrepareBasicData(basicData).ToList();
// validate inputs
ValidateStdDev(basicData, lookbackPeriod, smaPeriod);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
// roll through history and compute lookback standard deviation
foreach (BasicData bd in basicDataList)
{
StdDevResult result = new StdDevResult
{
Index = (int)bd.Index,
Date = bd.Date,
};
if (bd.Index >= lookbackPeriod)
{
double[] periodValues = new double[lookbackPeriod];
decimal sum = 0m;
int n = 0;
for (int p = (int)bd.Index - lookbackPeriod; p < bd.Index; p++)
{
BasicData d = basicDataList[p];
periodValues[n] = (double)d.Value;
sum += d.Value;
n++;
}
decimal periodAvg = sum / lookbackPeriod;
result.StdDev = (decimal)Functions.StdDev(periodValues);
result.ZScore = (bd.Value - periodAvg) / result.StdDev;
}
results.Add(result);
// optional SMA
if (smaPeriod != null && bd.Index >= lookbackPeriod + smaPeriod - 1)
{
decimal sumSma = 0m;
for (int p = (int)bd.Index - (int)smaPeriod; p < bd.Index; p++)
{
sumSma += (decimal)results[p].StdDev;
}
result.Sma = sumSma / smaPeriod;
}
}
return(results);
}
private static IEnumerable <EmaResult> CalcEma(IEnumerable <BasicData> basicData, int lookbackPeriod)
{
// clean quotes
basicData = Cleaners.PrepareBasicData(basicData);
// validate parameters
ValidateEma(basicData, lookbackPeriod);
// initialize
List <EmaResult> results = new List <EmaResult>();
// initialize EMA
decimal k = 2 / (decimal)(lookbackPeriod + 1);
decimal lastEma = basicData
.Where(x => x.Index <= lookbackPeriod)
.ToList()
.Select(x => x.Value)
.Average();
// roll through history
foreach (BasicData h in basicData)
{
EmaResult result = new EmaResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index > lookbackPeriod)
{
result.Ema = lastEma + k * (h.Value - lastEma);
lastEma = (decimal)result.Ema;
}
else if (h.Index == lookbackPeriod)
{
result.Ema = lastEma;
}
results.Add(result);
}
return(results);
}
private static IEnumerable <StdDevResult> CalcStdDev(IEnumerable <BasicData> basicData, int lookbackPeriod)
{
// clean data
basicData = Cleaners.PrepareBasicData(basicData);
// validate inputs
ValidateStdDev(basicData, lookbackPeriod);
// initialize results
List <StdDevResult> results = new List <StdDevResult>();
decimal? prevValue = null;
// roll through history and compute lookback standard deviation
foreach (BasicData h in basicData)
{
StdDevResult result = new StdDevResult
{
Index = (int)h.Index,
Date = h.Date,
};
if (h.Index >= lookbackPeriod)
{
// price based
double[] period = basicData
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index)
.Select(x => (double)x.Value)
.ToArray();
result.StdDev = (decimal)Functions.StdDev(period);
result.ZScore = (h.Value - (decimal)period.Average()) / result.StdDev;
}
results.Add(result);
prevValue = h.Value;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
List <BasicData> bdList = Cleaners.PrepareBasicData(basicData).ToList();
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
decimal avgGain = 0m;
decimal avgLoss = 0m;
List <RsiResult> results = new List <RsiResult>();
// roll through history
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
RsiResult r = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(r);
lastValue = h.Value;
// calculate RSI
if (h.Index > lookbackPeriod + 1)
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
}
// initialize average gain
else if (h.Index == lookbackPeriod + 1)
{
decimal sumGain = 0;
decimal sumLoss = 0;
for (int p = 0; p < lookbackPeriod; p++)
{
RsiResult d = results[p];
sumGain += d.Gain;
sumLoss += d.Loss;
}
avgGain = sumGain / lookbackPeriod;
avgLoss = sumLoss / lookbackPeriod;
r.Rsi = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
}
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
List <BasicData> bdList = Cleaners.PrepareBasicData(basicData).ToList();
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
List <RsiResult> results = new List <RsiResult>();
// load gain data
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(result);
lastValue = h.Value;
}
// initialize average gain
decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial first record
decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
first.Rsi = lastRSI;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
lastRSI = (decimal)r.Rsi;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
basicData = Cleaners.PrepareBasicData(basicData);
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = basicData.First().Value;
List <RsiResult> results = new List <RsiResult>();
// load gain data
foreach (BasicData h in basicData)
{
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(result);
lastValue = h.Value;
}
// initialize average gain
decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial first record
decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
bool? lastIsIncreasing = null;
RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
first.Rsi = lastRSI;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)).OrderBy(d => d.Index))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
if (r.Rsi > lastRSI)
{
r.IsIncreasing = true;
}
else if (r.Rsi < lastRSI)
{
r.IsIncreasing = false;
}
else
{
// no change, keep trend
r.IsIncreasing = lastIsIncreasing;
}
lastRSI = (decimal)r.Rsi;
lastIsIncreasing = r.IsIncreasing;
}
return(results);
}