public static AvgGainLossPair GetAGL(int period, int index, List <double> prices)
{
if (index < period)
{
throw new Exception("no enough data");
}
AvgGainLossPair agl = GetFirstAGL(period, prices);
if (index == period)
{
return(agl);
}
for (int i = period + 1; i <= index; i++)
{
double prevPrice = prices[i - 1];
double curPrice = prices[i];
double delta = curPrice - prevPrice;
double gain = delta > 0? delta: 0;
double loss = delta < 0? Math.Abs(delta): 0;
agl.AvgGain = (agl.AvgGain * 13 + gain) / 14;
agl.AvgLoss = (agl.AvgLoss * 13 + loss) / 14;
}
return(agl);
}
public void CanGetFirstAGL()
{
AvgGainLossPair value =
RSICalculator.GetFirstAGL(_period, _shortPrices);
Assert.IsTrue(value.AvgGain.AlmostEqual(0.24));
Assert.IsTrue(value.AvgLoss.AlmostEqual(0.10));
}
public void CanGetAGL()
{
AvgGainLossPair value =
RSICalculator.GetAGL(_period, 15, _shortPrices);
Assert.IsTrue(value.AvgGain.AlmostEqual(0.22));
Assert.IsTrue(value.AvgLoss.AlmostEqual(0.11));
value = RSICalculator.GetAGL(_period, 32, _shortPrices);
Assert.IsTrue(value.AvgGain.AlmostEqual(0.18));
Assert.IsTrue(value.AvgLoss.AlmostEqual(0.30));
}
public static double PredictPrice(int period, double targetRSI, List <double> prices)
{
double currentPrice = prices.Last();
double currentRSI = RSICalculator.CalculateLastRsi(period, prices.ToArray());
if (currentRSI == 0)
{
return(0);
}
if (targetRSI == currentRSI)
{
return(currentPrice);
}
double targetRS = GetRS(targetRSI);
AvgGainLossPair aglp = GetAGL(period, prices.Count() - 1, prices);
double delta = (targetRSI > currentRSI) ? targetRS * aglp.AvgLoss * 13 - aglp.AvgGain * 13 :
(aglp.AvgGain * 13 / targetRS - aglp.AvgLoss * 13) * -1;
return(currentPrice + delta);
}
