// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetPivotPoints <TQuote>(
IEnumerable <TQuote> history,
PeriodSize windowSize,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidatePivotPoints(history, windowSize);
// initialize
List <PivotPointsResult> results = new List <PivotPointsResult>(historyList.Count);
PivotPointsResult windowPoint = new PivotPointsResult();
TQuote h0 = historyList[0];
int windowId = GetWindowNumber(h0.Date, windowSize);
int windowEval;
bool firstWindow = true;
decimal windowHigh = h0.High;
decimal windowLow = h0.Low;
decimal windowOpen = h0.Open;
decimal windowClose = h0.Close;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
PivotPointsResult r = new PivotPointsResult
{
Date = h.Date
};
// new window evaluation
windowEval = GetWindowNumber(h.Date, windowSize);
if (windowEval != windowId)
{
windowId = windowEval;
firstWindow = false;
// set new levels
if (pointType == PivotPointType.Woodie)
{
windowOpen = h.Open;
}
windowPoint = GetPivotPoint(pointType, windowOpen, windowHigh, windowLow, windowClose);
// reset window min/max thresholds
windowOpen = h.Open;
windowHigh = h.High;
windowLow = h.Low;
}
// add levels
if (!firstWindow)
{
// pivot point
r.PP = windowPoint.PP;
// support
r.S1 = windowPoint.S1;
r.S2 = windowPoint.S2;
r.S3 = windowPoint.S3;
r.S4 = windowPoint.S4;
// resistance
r.R1 = windowPoint.R1;
r.R2 = windowPoint.R2;
r.R3 = windowPoint.R3;
r.R4 = windowPoint.R4;
}
results.Add(r);
// capture window threholds (for next iteration)
windowHigh = (h.High > windowHigh) ? h.High : windowHigh;
windowLow = (h.Low < windowLow) ? h.Low : windowLow;
windowClose = h.Close;
}
return(results);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetRollingPivots <TQuote>(
IEnumerable <TQuote> history,
int windowPeriod,
int offsetPeriod,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateRollingPivots(history, windowPeriod, offsetPeriod);
// initialize
List <PivotPointsResult> results = new(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
PivotPointsResult r = new()
{
Date = h.Date
};
if (i >= windowPeriod + offsetPeriod)
{
// window values
int s = i - windowPeriod - offsetPeriod;
TQuote hi = historyList[s];
decimal windowHigh = hi.High;
decimal windowLow = hi.Low;
decimal windowClose = historyList[i - offsetPeriod - 1].Close;
for (int p = s; p <= i - offsetPeriod - 1; p++)
{
TQuote d = historyList[p];
windowHigh = (d.High > windowHigh) ? d.High : windowHigh;
windowLow = (d.Low < windowLow) ? d.Low : windowLow;
}
// pivot points
PivotPointsResult wp =
GetPivotPoint(pointType, h.Open, windowHigh, windowLow, windowClose);
r.PP = wp.PP;
r.S1 = wp.S1;
r.S2 = wp.S2;
r.S3 = wp.S3;
r.S4 = wp.S4;
r.R1 = wp.R1;
r.R2 = wp.R2;
r.R3 = wp.R3;
r.R4 = wp.R4;
}
results.Add(r);
}
return(results);
}