// PARABOLIC SAR
public static IEnumerable <ParabolicSarResult> GetParabolicSar(
IEnumerable <Quote> history,
decimal accelerationStep = (decimal)0.02,
decimal maxAccelerationFactor = (decimal)0.2)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// initialize
List <ParabolicSarResult> results = new List <ParabolicSarResult>();
Quote first = history.Where(x => x.Index == 1).FirstOrDefault();
decimal accelerationFactor = accelerationStep;
decimal extremePoint = first.High;
decimal priorSar = first.Low;
bool isRising = true;
// roll through history
foreach (Quote h in history)
{
ParabolicSarResult result = new ParabolicSarResult
{
Index = (int)h.Index,
Date = h.Date
};
// skip first one
if (h.Index == 1)
{
results.Add(result);
continue;
}
// was rising
if (isRising)
{
decimal currentSar = priorSar + accelerationFactor * (extremePoint - priorSar);
// turn down
if (h.Low < currentSar)
{
result.IsReversal = true;
result.Sar = extremePoint;
isRising = false;
accelerationFactor = accelerationStep;
extremePoint = h.Low;
}
// continue rising
else
{
result.IsReversal = false;
result.Sar = currentSar;
// SAR cannot be higher than last two lows
decimal minLastTwo = history.Where(x => x.Index >= h.Index - 2 && x.Index < h.Index).Select(x => x.Low).Min();
result.Sar = Math.Min((decimal)result.Sar, minLastTwo);
if (h.High > extremePoint)
{
extremePoint = h.High;
accelerationFactor = Math.Min(accelerationFactor += accelerationStep, maxAccelerationFactor);
}
}
}
// was falling
else
{
decimal currentSar = priorSar - accelerationFactor * (priorSar - extremePoint);
// turn up
if (h.High > currentSar)
{
result.IsReversal = true;
result.Sar = extremePoint;
isRising = true;
accelerationFactor = accelerationStep;
extremePoint = h.High;
}
// continue falling
else
{
result.IsReversal = false;
result.Sar = currentSar;
// SAR cannot be lower than last two highs
decimal maxLastTwo = history.Where(x => x.Index >= h.Index - 2 && x.Index < h.Index).Select(x => x.High).Max();
result.Sar = Math.Max((decimal)result.Sar, maxLastTwo);
if (h.Low < extremePoint)
{
extremePoint = h.Low;
accelerationFactor = Math.Min(accelerationFactor += accelerationStep, maxAccelerationFactor);
}
}
}
result.IsRising = isRising;
priorSar = (decimal)result.Sar;
results.Add(result);
}
return(results);
}
// PARABOLIC SAR
public static IEnumerable <ParabolicSarResult> GetParabolicSar <TQuote>(
IEnumerable <TQuote> history,
decimal accelerationStep = (decimal)0.02,
decimal maxAccelerationFactor = (decimal)0.2)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// check parameters
ValidateParabolicSar(history, accelerationStep, maxAccelerationFactor);
// initialize
List <ParabolicSarResult> results = new List <ParabolicSarResult>(historyList.Count);
TQuote first = historyList[0];
decimal accelerationFactor = accelerationStep;
decimal extremePoint = first.High;
decimal priorSar = first.Low;
bool isRising = true; // initial guess
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
ParabolicSarResult result = new ParabolicSarResult
{
Date = h.Date
};
// skip first one
if (i == 0)
{
results.Add(result);
continue;
}
// was rising
if (isRising)
{
decimal currentSar = priorSar + accelerationFactor * (extremePoint - priorSar);
// turn down
if (h.Low < currentSar)
{
result.IsReversal = true;
result.Sar = extremePoint;
isRising = false;
accelerationFactor = accelerationStep;
extremePoint = h.Low;
}
// continue rising
else
{
result.IsReversal = false;
result.Sar = currentSar;
// SAR cannot be higher than last two lows
if (i >= 2)
{
decimal minLastTwo = Math.Min(historyList[i - 1].Low, historyList[i - 2].Low);
result.Sar = Math.Min((decimal)result.Sar, minLastTwo);
}
else
{
result.Sar = (decimal)result.Sar;
}
if (h.High > extremePoint)
{
extremePoint = h.High;
accelerationFactor = Math.Min(accelerationFactor += accelerationStep, maxAccelerationFactor);
}
}
}
// was falling
else
{
decimal currentSar = priorSar - accelerationFactor * (priorSar - extremePoint);
// turn up
if (h.High > currentSar)
{
result.IsReversal = true;
result.Sar = extremePoint;
isRising = true;
accelerationFactor = accelerationStep;
extremePoint = h.High;
}
// continue falling
else
{
result.IsReversal = false;
result.Sar = currentSar;
// SAR cannot be lower than last two highs
if (i >= 2)
{
decimal maxLastTwo = Math.Max(historyList[i - 1].High, historyList[i - 2].High);
result.Sar = Math.Max((decimal)result.Sar, maxLastTwo);
}
else
{
result.Sar = (decimal)result.Sar;
}
if (h.Low < extremePoint)
{
extremePoint = h.Low;
accelerationFactor = Math.Min(accelerationFactor += accelerationStep, maxAccelerationFactor);
}
}
}
priorSar = (decimal)result.Sar;
results.Add(result);
}
// remove first trend to reversal, since it is an invalid guess
ParabolicSarResult firstReversal = results
.Where(x => x.IsReversal == true)
.OrderBy(x => x.Date)
.FirstOrDefault();
if (firstReversal != null)
{
int cutIndex = results.IndexOf(firstReversal);
for (int d = 0; d <= cutIndex; d++)
{
ParabolicSarResult r = results[d];
r.Sar = null;
r.IsReversal = null;
}
}
return(results);
}