/// <summary>
///
/// </summary>
/// <returns></returns>
public override SingleDoubleSerie Calculate()
{
var _sar_serie = new SingleDoubleSerie();
// Difference of High and Low
var differences = new List <decimal>();
for (var i = 0; i < OhlcList.Count; i++)
{
decimal difference = OhlcList[i].highPrice - OhlcList[i].lowPrice;
differences.Add(difference);
}
// STDEV of differences
var stDev = Statistics.StandardDeviation(differences);
var sarArr = new decimal?[OhlcList.Count];
var highList = OhlcList.Select(x => x.highPrice).ToArray();
var lowList = OhlcList.Select(x => x.lowPrice).ToArray();
/* Find first non-NA value */
var beg = 1;
for (var i = 0; i < OhlcList.Count; i++)
{
if (OhlcList[i].highPrice == 0 || OhlcList[i].lowPrice == 0)
{
sarArr[i] = 0;
beg++;
}
else
{
break;
}
}
// TODO: needs attention, understand better and replace variable names with meaningful ones.
/* Initialize values needed by the routine */
int sig0 = 1, sig1 = 0;
decimal xpt0 = highList[beg - 1], xpt1 = 0;
decimal af0 = AccelerationFactor, af1 = 0;
decimal lmin, lmax;
sarArr[beg - 1] = lowList[beg - 1] - stDev;
for (var i = beg; i < OhlcList.Count; i++)
{
/* Increment signal, extreme point, and acceleration factor */
sig1 = sig0;
xpt1 = xpt0;
af1 = af0;
/* Local extrema */
lmin = (lowList[i - 1] > lowList[i]) ? lowList[i] : lowList[i - 1];
lmax = (highList[i - 1] > highList[i]) ? highList[i - 1] : highList[i];
/* Create signal and extreme price vectors */
if (sig1 == 1)
{ /* Previous buy signal */
sig0 = (lowList[i] > sarArr[i - 1]) ? 1 : -1; /* New signal */
xpt0 = (lmax > xpt1) ? lmax : xpt1; /* New extreme price */
}
else
{ /* Previous sell signal */
sig0 = (highList[i] < sarArr[i - 1]) ? -1 : 1; /* New signal */
xpt0 = (lmin > xpt1) ? xpt1 : lmin; /* New extreme price */
}
/*
* Calculate acceleration factor (af)
* and stop-and-reverse (sar) vector
*/
/* No signal change */
if (sig0 == sig1)
{
/* Initial calculations */
sarArr[i] = sarArr[i - 1] + (xpt1 - sarArr[i - 1]) * af1;
af0 = (af1 == MaximumAccelerationFactor) ? MaximumAccelerationFactor : (AccelerationFactor + af1);
/* Current buy signal */
if (sig0 == 1)
{
af0 = (xpt0 > xpt1) ? af0 : af1; /* Update acceleration factor */
sarArr[i] = (sarArr[i] > lmin) ? lmin : sarArr[i]; /* Determine sar value */
}
/* Current sell signal */
else
{
af0 = (xpt0 < xpt1) ? af0 : af1; /* Update acceleration factor */
sarArr[i] = (sarArr[i] > lmax) ? sarArr[i] : lmax; /* Determine sar value */
}
}
else /* New signal */
{
af0 = AccelerationFactor; /* reset acceleration factor */
sarArr[i] = xpt0; /* set sar value */
}
}
_sar_serie.Values = sarArr.ToList();
return(_sar_serie);
}
public override IchimokuSerie Calculate()
{
IchimokuSerie ichimokuSerie = new IchimokuSerie();
var highList = OhlcList.Select(x => x.highPrice).ToList();
var lowList = OhlcList.Select(x => x.lowPrice).ToList();
// TurningLine
var runMaxFast = Statistics.RunMax(highList, Fast);
var runMinFast = Statistics.RunMin(lowList, Fast);
var runMaxMed = Statistics.RunMax(highList, Med);
var runMinMed = Statistics.RunMin(lowList, Med);
var runMaxSlow = Statistics.RunMax(highList, Slow);
var runMinSlow = Statistics.RunMin(lowList, Slow);
for (var i = 0; i < OhlcList.Count; i++)
{
if (i >= Fast - 1)
{
ichimokuSerie.ConversionLine.Add((runMaxFast[i] + runMinFast[i]) / 2);
}
else
{
ichimokuSerie.ConversionLine.Add(null);
}
if (i >= Med - 1)
{
ichimokuSerie.BaseLine.Add((runMaxMed[i] + runMinMed[i]) / 2);
ichimokuSerie.LeadingSpanA.Add((ichimokuSerie.BaseLine[i] + ichimokuSerie.ConversionLine[i]) / 2);
}
else
{
ichimokuSerie.BaseLine.Add(null);
ichimokuSerie.LeadingSpanA.Add(null);
}
if (i >= Slow - 1)
{
ichimokuSerie.LeadingSpanB.Add((runMaxSlow[i] + runMinSlow[i]) / 2);
}
else
{
ichimokuSerie.LeadingSpanB.Add(null);
}
}
// shift to left Med
var laggingSpan = new List <decimal?>();//OhlcList.Select(x => x.Close).ToList();//new double?[OhlcList.Count];
for (var i = 0; i < OhlcList.Count; i++)
{
laggingSpan.Add(null);
}
for (var i = 0; i < OhlcList.Count; i++)
{
if (i >= Med - 1)
{
laggingSpan[i - (Med - 1)] = OhlcList[i].closePrice;
}
}
ichimokuSerie.LaggingSpan = laggingSpan;
return(ichimokuSerie);
}
