/// <summary>
/// Calculates Bollinger Bands indicator
/// </summary>
/// <param name="input">Input signal</param>
/// <param name="periods">Number of periods</param>
/// <param name="standardDeviations">Number of standard deviations</param>
/// <param name="calculateBandwidth">Determines whether the bandwidth line should be calculated</param>
/// <param name="calculatePercentB">Determines whether the percent B line should be calculated</param>
/// <returns>Object containing operation results</returns>
public static BollingerBandsResult BollingerBands(IEnumerable<double> input, int periods, int standardDeviations, bool calculateBandwidth, bool calculatePercentB)
{
List<double> upperBand = new List<double>();
List<double> lowerBand = new List<double>();
List<double> middleBand = null;
List<double> bandwidth = null;
List<double> percentB = null;
if (calculateBandwidth)
{
bandwidth = new List<double>();
}
if (calculatePercentB)
{
percentB = new List<double>();
}
var middleBandSMA = SMA(input, periods);
middleBand = middleBandSMA.Values;
var stdevList = new List<double>();
var inputHelperList = input.ToList();
for (int i = 0; i < input.Count() - periods + 1; i++)
{
stdevList.Add(Helpers.StandardDeviation(inputHelperList.GetRange(i, periods)));
}
for (int i = 0; i < middleBand.Count; i++)
{
var middleValue = middleBand.ElementAt(i);
var stdev = stdevList.ElementAt(i);
var upperBandValue = middleValue + stdev * standardDeviations;
var lowerBandValue = middleValue - stdev * standardDeviations;
upperBand.Add(upperBandValue);
lowerBand.Add(lowerBandValue);
if (bandwidth != null)
{
bandwidth.Add(upperBandValue - lowerBandValue);
}
if (percentB != null)
{
var price = input.ElementAt(i + periods - 1);
percentB.Add((price - lowerBandValue) / (upperBandValue - lowerBandValue));
}
}
var result = new BollingerBandsResult()
{
Bandwidth = bandwidth,
LowerBand = lowerBand,
MiddleBand = middleBand,
PercentB = percentB,
StartIndexOffset = periods - 1,
UpperBand = upperBand
};
return result;
}
/// <summary>
/// Calculates Bollinger Bands indicator
/// </summary>
/// <param name="input">Input signal</param>
/// <param name="periods">Number of periods</param>
/// <param name="standardDeviations">Number of standard deviations</param>
/// <param name="calculateBandwidth">Determines whether the bandwidth line should be calculated</param>
/// <param name="calculatePercentB">Determines whether the percent B line should be calculated</param>
/// <returns>Object containing operation results</returns>
public static BollingerBandsResult BollingerBands(IEnumerable <double> input, int periods, int standardDeviations, bool calculateBandwidth, bool calculatePercentB)
{
List <double> upperBand = new List <double>();
List <double> lowerBand = new List <double>();
List <double> middleBand = null;
List <double> bandwidth = null;
List <double> percentB = null;
if (calculateBandwidth)
{
bandwidth = new List <double>();
}
if (calculatePercentB)
{
percentB = new List <double>();
}
var middleBandSMA = SMA(input, periods);
middleBand = middleBandSMA.Values;
var stdevList = new List <double>();
var inputHelperList = input.ToList();
for (int i = 0; i < input.Count() - periods + 1; i++)
{
stdevList.Add(Helpers.StandardDeviation(inputHelperList.GetRange(i, periods)));
}
for (int i = 0; i < middleBand.Count; i++)
{
var middleValue = middleBand.ElementAt(i);
var stdev = stdevList.ElementAt(i);
var upperBandValue = middleValue + stdev * standardDeviations;
var lowerBandValue = middleValue - stdev * standardDeviations;
upperBand.Add(upperBandValue);
lowerBand.Add(lowerBandValue);
if (bandwidth != null)
{
bandwidth.Add(upperBandValue - lowerBandValue);
}
if (percentB != null)
{
var price = input.ElementAt(i + periods - 1);
percentB.Add((price - lowerBandValue) / (upperBandValue - lowerBandValue));
}
}
var result = new BollingerBandsResult()
{
Bandwidth = bandwidth,
LowerBand = lowerBand,
MiddleBand = middleBand,
PercentB = percentB,
StartIndexOffset = periods - 1,
UpperBand = upperBand
};
return(result);
}