// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd(IEnumerable <Quote> history, int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check parameters
ValidateMacd(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <EmaResult> emaFast = GetEma(history, fastPeriod).ToList();
List <EmaResult> emaSlow = GetEma(history, slowPeriod).ToList();
List <BasicData> emaDiff = new List <BasicData>();
List <MacdResult> results = new List <MacdResult>();
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new MacdResult
{
Index = (int)h.Index,
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 BasicData
{
Index = h.Index - slowPeriod + 1,
Date = h.Date,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod).ToList();
foreach (MacdResult r in results.Where(x => x.Index >= slowPeriod))
{
EmaResult ds = emaSignal[r.Index - slowPeriod];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd(IEnumerable <Quote> history, int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check parameters
ValidateMacd(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
IEnumerable <EmaResult> emaFast = GetEma(history, fastPeriod);
IEnumerable <EmaResult> emaSlow = GetEma(history, slowPeriod);
List <BasicData> emaDiff = new List <BasicData>();
List <MacdResult> results = new List <MacdResult>();
foreach (Quote h in history)
{
EmaResult df = emaFast.Where(x => x.Date == h.Date).FirstOrDefault();
EmaResult ds = emaSlow.Where(x => x.Date == h.Date).FirstOrDefault();
MacdResult result = new MacdResult
{
Index = (int)h.Index,
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 BasicData
{
Date = h.Date,
Index = h.Index - slowPeriod,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
IEnumerable <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriod);
decimal?prevMacd = null;
decimal?prevSignal = null;
// add signal, histogram to result
foreach (MacdResult r in results)
{
EmaResult ds = emaSignal.Where(x => x.Date == r.Date).FirstOrDefault();
if (ds?.Ema == null)
{
continue;
}
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
// trend and divergence
if (prevMacd != null && prevSignal != null)
{
r.IsBullish = (r.Macd > r.Signal);
r.IsDiverging = (Math.Abs((decimal)r.Macd - (decimal)r.Signal)
> Math.Abs((decimal)prevMacd - (decimal)prevSignal));
}
// store for next iteration
prevMacd = r.Macd;
prevSignal = r.Signal;
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MacdResult> GetMacd <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("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 <BasicData>();
List <MacdResult> results = new List <MacdResult>(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 MacdResult
{
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 BasicData
{
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);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd(IEnumerable <Quote> history, int fastPeriod = 12, int slowPeriod = 26, int signalPeriod = 9)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check for exceptions
if (slowPeriod <= fastPeriod)
{
throw new BadParameterException("Fast period must be smaller than the slow period.");
}
int qtyHistory = history.Count();
int minHistory = 2 * slowPeriod + signalPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for MACD. " +
string.Format("You provided {0} periods of history when {1} is required. "
+ "Since this uses a smoothing technique, "
+ "we recommend you use at least 250 data points prior to the intended "
+ "usage date for maximum precision.", qtyHistory, minHistory));
}
// initialize
IEnumerable <EmaResult> emaFast = GetEma(history, fastPeriod);
IEnumerable <EmaResult> emaSlow = GetEma(history, slowPeriod);
List <Quote> emaDiff = new List <Quote>();
List <MacdResult> results = new List <MacdResult>();
foreach (Quote h in history)
{
EmaResult df = emaFast.Where(x => x.Date == h.Date).FirstOrDefault();
EmaResult ds = emaSlow.Where(x => x.Date == h.Date).FirstOrDefault();
MacdResult result = new MacdResult
{
Index = (int)h.Index,
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
Quote diff = new Quote
{
Date = h.Date,
Index = h.Index - slowPeriod,
Close = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
IEnumerable <EmaResult> emaSignal = GetEma(emaDiff, signalPeriod);
decimal?prevMacd = null;
decimal?prevSignal = null;
// add signal, histogram to result
foreach (MacdResult r in results)
{
EmaResult ds = emaSignal.Where(x => x.Date == r.Date).FirstOrDefault();
if (ds?.Ema == null)
{
continue;
}
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
// trend and divergence
if (prevMacd != null && prevSignal != null)
{
r.IsBullish = (r.Macd > r.Signal) ? true : false;
r.IsDiverging = (Math.Abs((decimal)r.Macd - (decimal)r.Signal) > Math.Abs((decimal)prevMacd - (decimal)prevSignal)) ? true : false;
}
// store for next iteration
prevMacd = r.Macd;
prevSignal = r.Signal;
}
return(results);
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
public static IEnumerable <MacdResult> GetMacd <TQuote>(
IEnumerable <TQuote> history,
int fastPeriod = 12,
int slowPeriod = 26,
int signalPeriod = 9)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// check parameters
ValidateMacd(history, fastPeriod, slowPeriod, signalPeriod);
// initialize
List <EmaResult> emaFast = GetEma(history, fastPeriod).ToList();
List <EmaResult> emaSlow = GetEma(history, slowPeriod).ToList();
List <BasicData> emaDiff = new List <BasicData>();
List <MacdResult> results = new List <MacdResult>();
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new MacdResult
{
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 BasicData
{
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 < results.Count; d++)
{
MacdResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriod];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}