private static List <ConnorsRsiResult> CalcConnorsRsiBaseline(
List <BasicData> bdList, int rsiPeriod, int rankPeriod)
{
// initialize
List <RsiResult> rsiResults = CalcRsi(bdList, rsiPeriod).ToList();
int size = bdList.Count;
List <ConnorsRsiResult> results = new List <ConnorsRsiResult>(size);
decimal?[] gain = new decimal?[size];
decimal?lastClose = null;
decimal streak = 0;
// compose interim results
for (int i = 0; i < size; i++)
{
BasicData h = bdList[i];
int index = i + 1;
ConnorsRsiResult result = new ConnorsRsiResult
{
Date = h.Date,
RsiClose = rsiResults[i].Rsi
};
// bypass for first record
if (lastClose == null)
{
lastClose = h.Value;
results.Add(result);
continue;
}
// streak of up or down
if (h.Value == lastClose)
{
streak = 0;
}
else if (h.Value > lastClose)
{
if (streak >= 0)
{
streak++;
}
else
{
streak = 1;
}
}
else // h.Value < lastClose
{
if (streak <= 0)
{
streak--;
}
else
{
streak = -1;
}
}
result.Streak = streak;
// percentile rank
gain[i] = (lastClose == 0) ? null
: (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
results.Add(result);
if (index > rankPeriod)
{
int qty = 0;
for (int p = index - rankPeriod - 1; p < index; p++)
{
if (gain[p] < gain[i])
{
qty++;
}
}
result.PercentRank = 100m * qty / rankPeriod;
}
lastClose = h.Value;
}
return(results);
}
// CONNORS RSI
public static IEnumerable <ConnorsRsiResult> GetConnorsRsi(
IEnumerable <Quote> history, int rsiPeriod = 3, int streakPeriod = 2, int rankPeriod = 100)
{
// convert history to basic format
IEnumerable <BasicData> bd = Cleaners.ConvertHistoryToBasic(history, "C");
// check parameters
ValidateConnorsRsi(bd, rsiPeriod, streakPeriod, rankPeriod);
// initialize
List <ConnorsRsiResult> results = new List <ConnorsRsiResult>();
IEnumerable <RsiResult> rsiResults = CalcRsi(bd, rsiPeriod);
int startPeriod = Math.Max(rsiPeriod, Math.Max(streakPeriod, rankPeriod)) + 2;
decimal?lastClose = null;
decimal streak = 0;
// compose interim results
foreach (BasicData h in bd)
{
ConnorsRsiResult result = new ConnorsRsiResult
{
Index = (int)h.Index,
Date = h.Date,
RsiClose = rsiResults.Where(x => x.Index == h.Index).FirstOrDefault().Rsi
};
// bypass for first record
if (lastClose == null)
{
lastClose = h.Value;
results.Add(result);
continue;
}
// streak of up or down
if (h.Value == lastClose)
{
streak = 0;
}
else if (h.Value > lastClose)
{
if (streak >= 0)
{
streak++;
}
else
{
streak = 1;
}
}
else // h.Value < lastClose
{
if (streak <= 0)
{
streak--;
}
else
{
streak = -1;
}
}
result.Streak = streak;
// percentile rank
result.PeriodGain = (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
if (h.Index > rankPeriod)
{
IEnumerable <ConnorsRsiResult> period = results
.Where(x => x.Index >= (h.Index - rankPeriod) && x.Index < h.Index);
result.PercentRank = (decimal)100 * period
.Where(x => x.PeriodGain < result.PeriodGain).Count() / rankPeriod;
}
results.Add(result);
lastClose = h.Value;
}
// RSI of streak
List <BasicData> bdStreak = results
.Where(x => x.Streak != null)
.Select(x => new BasicData {
Index = null, Date = x.Date, Value = (decimal)x.Streak
})
.ToList();
IEnumerable <RsiResult> rsiStreakResults = CalcRsi(bdStreak, streakPeriod);
// compose final results
foreach (ConnorsRsiResult r in results.Where(x => x.Index >= streakPeriod + 2))
{
r.RsiStreak = rsiStreakResults
.Where(x => x.Index == r.Index - 1)
.FirstOrDefault()
.Rsi;
if (r.Index >= startPeriod)
{
r.ConnorsRsi = (r.RsiClose + r.RsiStreak + r.PercentRank) / 3;
}
}
return(results);
}
