public double getHurst(TimeFrame timeframe, double hurstPeriod)
{
double m = 0;
double R = 0;
double S = 0;
double a = 0.5;
List<double> Y = new List<double>();
QuoteStruct tempQS = new QuoteStruct();
List<QuoteStruct> tempQouteList = new List<QuoteStruct>();
switch (timeframe)
{
case TimeFrame.M1:
tempQouteList = M1ListQS;
break;
case TimeFrame.M5:
tempQouteList = M5ListQS;
break;
case TimeFrame.M15:
tempQouteList = M15ListQS;
break;
case TimeFrame.M30:
tempQouteList = M30ListQS;
break;
case TimeFrame.H1:
tempQouteList = H1ListQS;
break;
case TimeFrame.H4:
tempQouteList = H4ListQS;
break;
case TimeFrame.D1:
tempQouteList = D1ListQS;
break;
}
for (int i = 0; i < hurstPeriod - 1; i++)
{
tempQS = tempQouteList.ElementAt(i);
m += tempQS.Close;
}
m = m / hurstPeriod;
for (int i = 0; i < hurstPeriod - 1; i++)
{
tempQS = tempQouteList.ElementAt(i);
Y.Add(tempQS.Close - m);
S = Math.Pow(tempQS.Close - m, 2);
}
R = Y.Max() - Y.Min();
S = Math.Sqrt(S / (hurstPeriod - 1));
return (Math.Log(R / S) / Math.Log(hurstPeriod * a));
}
/// <summary>
/// Background worker for generate time series
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void backgroundWorkerSeries_DoWork(object sender, DoWorkEventArgs e)
{
FractalClass fractalClass = new FractalClass();
List<QuoteStruct> tempList = new List<QuoteStruct>();
QuoteStruct tempQuoute = new QuoteStruct();
List<double> close = new List<double>();
MyDBDataSetTableAdapters.ratesTableAdapter tbAdapter = new MyDBDataSetTableAdapters.ratesTableAdapter();
//baseDataSetTableAdapters.ratesTableAdapter tbAdapter = new baseDataSetTableAdapters.ratesTableAdapter();
double LastNum=1.42990;
int SeriesNo;
for (int k = 0; k < days_for_generate; k++)
{
SeriesNo = 1;
for (int n = 0; n < 10; n++)
{
for (int i = 1; i < time_series_count; i++)
{
//if (k>0)
LastNum=Double.Parse(tbAdapter.LastClose(i).ToString());
fractalClass.CreateFractal(FractalClass.TimeFrame.H1, 24, (n + 1) / 100, 0, 24, 0, 6, LastNum, (double)i / atr_coefficient);
tempList = fractalClass.H1ListQS;
// Set colors bars
for (int j = 0; j < tempList.Count; j++)
{
tempQuoute = tempList.ElementAt(j);
//if (tempQuoute.High<1.46&&tempQuoute.Low>1.2)
tbAdapter.Insert(0, "EUR/USD", SeriesNo, (float)tempQuoute.Open, (float)tempQuoute.High, (float)tempQuoute.Low, (float)tempQuoute.Close, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f,
0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f, 0.0f);
}
SeriesNo++;
}
}
backgroundWorkerSeries.ReportProgress(k);
}
}
public void FillQouteStruct(TimeFrame timeframe, double baseVal)
{
double iVar;
double maxVal = 0;
double minVal = Ticks.ElementAt(0);
bool nextStep = false;
QuoteStruct tempQS = new QuoteStruct();
List<QuoteStruct> tempQouteList = new List<QuoteStruct>();
tempQS.Open = Ticks.ElementAt(0);
for (int i = 0; i < Ticks.Count; i++)
{
if (nextStep)
{
tempQS.Open = Ticks.ElementAt(i);
minVal = Ticks.ElementAt(i);
maxVal = 0;
nextStep = false;
}
if (Ticks.ElementAt(i) > maxVal)
maxVal = Ticks.ElementAt(i);
if (minVal > Ticks.ElementAt(i))
minVal = Ticks.ElementAt(i);
iVar = Double.Parse(i.ToString());
if (iVar % baseVal == 0)
{
tempQS.High = maxVal;
tempQS.Low = minVal;
tempQS.Close = Ticks.ElementAt(i);
tempQouteList.Add(tempQS);
nextStep = true;
}
}
switch (timeframe)
{
case TimeFrame.M1:
M1ListQS = tempQouteList;
break;
case TimeFrame.M5:
M5ListQS = tempQouteList;
break;
case TimeFrame.M15:
M15ListQS = tempQouteList;
break;
case TimeFrame.M30:
M30ListQS = tempQouteList;
break;
case TimeFrame.H1:
H1ListQS = tempQouteList;
break;
case TimeFrame.H4:
H4ListQS = tempQouteList;
break;
case TimeFrame.D1:
D1ListQS = tempQouteList;
break;
}
}