private static List <ConnorsRsiResult> CalcConnorsRsiBaseline(
List <BasicData> bdList, int rsiPeriod, int rankPeriod)
{
// initialize
List <RsiResult> rsiResults = CalcRsi(bdList, rsiPeriod).ToList();
int size = bdList.Count;
List <ConnorsRsiResult> results = new List <ConnorsRsiResult>(size);
decimal?[] gain = new decimal?[size];
decimal?lastClose = null;
decimal streak = 0;
// compose interim results
for (int i = 0; i < size; i++)
{
BasicData h = bdList[i];
int index = i + 1;
ConnorsRsiResult result = new ConnorsRsiResult
{
Date = h.Date,
RsiClose = rsiResults[i].Rsi
};
// bypass for first record
if (lastClose == null)
{
lastClose = h.Value;
results.Add(result);
continue;
}
// streak of up or down
if (h.Value == lastClose)
{
streak = 0;
}
else if (h.Value > lastClose)
{
if (streak >= 0)
{
streak++;
}
else
{
streak = 1;
}
}
else // h.Value < lastClose
{
if (streak <= 0)
{
streak--;
}
else
{
streak = -1;
}
}
result.Streak = streak;
// percentile rank
gain[i] = (lastClose == 0) ? null
: (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
results.Add(result);
if (index > rankPeriod)
{
int qty = 0;
for (int p = index - rankPeriod - 1; p < index; p++)
{
if (gain[p] < gain[i])
{
qty++;
}
}
result.PercentRank = 100m * qty / rankPeriod;
}
lastClose = h.Value;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(IEnumerable <BasicData> basicData, int lookbackPeriod = 14)
{
// clean data
List <BasicData> bdList = Cleaners.PrepareBasicData(basicData).ToList();
// check parameters
ValidateRsi(basicData, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
List <RsiResult> results = new List <RsiResult>();
// load gain data
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
RsiResult result = new RsiResult
{
Index = (int)h.Index,
Date = h.Date,
Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
};
results.Add(result);
lastValue = h.Value;
}
// initialize average gain
decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
// initial first record
decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
first.Rsi = lastRSI;
// calculate RSI
foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)))
{
avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
lastRSI = (decimal)r.Rsi;
}
return(results);
}
// PRICE VOLUME OSCILLATOR (PVO)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PvoResult> GetPvo <TQuote>(
IEnumerable <TQuote> history,
int fastPeriod = 12,
int slowPeriod = 26,
int signalPeriod = 9)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = history.ConvertToBasic("V");
// check parameter arguments
ValidatePvo(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriod).ToList();
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriod).ToList();
int size = bdList.Count;
List <BasicData> emaDiff = new List <BasicData>();
List <PvoResult> results = new List <PvoResult>(size);
// roll through history
for (int i = 0; i < size; i++)
{
BasicData h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
PvoResult result = new PvoResult
{
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
decimal?pvo = (ds.Ema != 0) ?
100 * (df.Ema - ds.Ema) / ds.Ema : null;
result.Pvo = pvo;
// temp data for interim EMA of PVO
BasicData diff = new BasicData
{
Date = h.Date,
Value = (decimal)pvo
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod).ToList();
for (int d = slowPeriod - 1; d < size; d++)
{
PvoResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriod];
r.Signal = ds.Ema;
r.Histogram = r.Pvo - r.Signal;
}
return(results);
}
private static IEnumerable <RsiResult> CalcRsi(List <BasicData> bdList, int lookbackPeriod)
{
// check parameter arguments
ValidateRsi(bdList, lookbackPeriod);
// initialize
decimal lastValue = bdList[0].Value;
decimal avgGain = 0m;
decimal avgLoss = 0m;
int size = bdList.Count;
List <RsiResult> results = new(size);
decimal[] gain = new decimal[size]; // gain
decimal[] loss = new decimal[size]; // loss
// roll through history
for (int i = 0; i < bdList.Count; i++)
{
BasicData h = bdList[i];
int index = i + 1;
RsiResult r = new()
{
Date = h.Date
};
results.Add(r);
gain[i] = (h.Value > lastValue) ? h.Value - lastValue : 0;
loss[i] = (h.Value < lastValue) ? lastValue - h.Value : 0;
lastValue = h.Value;
// calculate RSI
if (index > lookbackPeriod + 1)
{
avgGain = (avgGain * (lookbackPeriod - 1) + gain[i]) / lookbackPeriod;
avgLoss = (avgLoss * (lookbackPeriod - 1) + loss[i]) / lookbackPeriod;
if (avgLoss > 0)
{
decimal rs = avgGain / avgLoss;
r.Rsi = 100 - (100 / (1 + rs));
}
else
{
r.Rsi = 100;
}
}
// initialize average gain
else if (index == lookbackPeriod + 1)
{
decimal sumGain = 0;
decimal sumLoss = 0;
for (int p = 1; p <= lookbackPeriod; p++)
{
sumGain += gain[p];
sumLoss += loss[p];
}
avgGain = sumGain / lookbackPeriod;
avgLoss = sumLoss / lookbackPeriod;
r.Rsi = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
}
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MacdResult> GetMacd <TQuote>(
this IEnumerable <TQuote> history,
int fastPeriod = 12,
int slowPeriod = 26,
int signalPeriod = 9)
where TQuote : IQuote
{
// convert history to basic format
List <BasicData> bdList = history.ConvertToBasic("C");
// check parameter arguments
ValidateMacd(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriod).ToList();
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriod).ToList();
int size = bdList.Count;
List <BasicData> emaDiff = new();
List <MacdResult> results = new(size);
// roll through history
for (int i = 0; i < size; i++)
{
BasicData h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new()
{
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
decimal macd = (decimal)df.Ema - (decimal)ds.Ema;
result.Macd = macd;
// temp data for interim EMA of macd
BasicData diff = new()
{
Date = h.Date,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod).ToList();
for (int d = slowPeriod - 1; d < size; d++)
{
MacdResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriod];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}
