// WILLIAMS FRACTAL
public static IEnumerable <FractalResult> GetFractal <TQuote>(
IEnumerable <TQuote> history)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateFractal(history);
// initialize
List <FractalResult> results = new List <FractalResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
FractalResult r = new FractalResult()
{
Date = h.Date
};
if (index > 2 && index <= historyList.Count - 2)
{
// bearish signal
if (h.High > historyList[i - 2].High &&
h.High > historyList[i - 1].High &&
h.High > historyList[i + 1].High &&
h.High > historyList[i + 2].High)
{
r.FractalBear = h.High;
}
// bullish signal
if (h.Low < historyList[i - 2].Low &&
h.Low < historyList[i - 1].Low &&
h.Low < historyList[i + 1].Low &&
h.Low < historyList[i + 2].Low)
{
r.FractalBull = h.Low;
}
}
results.Add(r);
}
return(results);
}
// FRACTAL CHAOS BANDS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <FcbResult> GetFcb <TQuote>(
IEnumerable <TQuote> history,
int windowSpan = 2)
where TQuote : IQuote
{
// check parameter arguments
ValidateFcb(history, windowSpan);
// initialize
List <FractalResult> fractals = GetFractal(history, windowSpan).ToList();
int size = fractals.Count;
List <FcbResult> results = new(size);
decimal? upperLine = null, lowerLine = null;
// roll through history
for (int i = 0; i < size; i++)
{
int index = i + 1;
FractalResult f = fractals[i];
FcbResult r = new()
{
Date = f.Date
};
if (index >= 2 * windowSpan + 1)
{
FractalResult fp = fractals[i - windowSpan];
upperLine = (fp.FractalBear != null) ? (decimal)fp.FractalBear : upperLine;
lowerLine = (fp.FractalBull != null) ? (decimal)fp.FractalBull : lowerLine;
r.UpperBand = upperLine;
r.LowerBand = lowerLine;
}
results.Add(r);
}
return(results);
}
// WILLIAMS FRACTAL
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <FractalResult> GetFractal <TQuote>(
IEnumerable <TQuote> history,
int windowSpan = 2)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateFractal(history, windowSpan);
// initialize
List <FractalResult> results = new List <FractalResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
FractalResult r = new FractalResult()
{
Date = h.Date
};
if (index > windowSpan && index <= historyList.Count - windowSpan)
{
bool isHigh = true;
bool isLow = true;
for (int p = i - windowSpan; p <= i + windowSpan; p++)
{
// skip current period
if (p == i)
{
continue;
}
// evaluate "wings"
TQuote d = historyList[p];
if (h.High <= d.High)
{
isHigh = false;
}
if (h.Low >= d.Low)
{
isLow = false;
}
}
// bearish signal
if (isHigh)
{
r.FractalBear = h.High;
}
// bullish signal
if (isLow)
{
r.FractalBull = h.Low;
}
}
results.Add(r);
}
return(results);
}