public DirectionalMovementIndex(Equity equity, int periodCount) : base(equity, periodCount)
{
_atrIndicator = new AverageTrueRange(equity, periodCount);
Func <int, decimal?> pdm = i => i > 0 ? Equity[i].High - Equity[i - 1].High : (decimal?)null;
Func <int, decimal?> mdm = i => i > 0 ? Equity[i - 1].Low - Equity[i].Low : (decimal?)null;
Func <int, decimal?> tpdm = i => pdm(i) > 0 && pdm(i) > mdm(i) ? pdm(i) : 0;
Func <int, decimal?> tmdm = i => mdm(i) > 0 && pdm(i) < mdm(i) ? mdm(i) : 0;
var tpdmEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tpdm(j)).Average(),
i => tpdm(i),
i => 1.0m / periodCount);
var tmdmEma = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tmdm(j)).Average(),
i => tmdm(i),
i => 1.0m / periodCount);
_pdi = i => tpdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100;
_mdi = i => tmdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100;
_dx = i =>
{
var value = (_pdi(i) - _mdi(i)) / (_pdi(i) + _mdi(i));
return(value.HasValue ? Math.Abs(value.Value) * 100 : (decimal?)null);
};
_adx = new GenericExponentialMovingAverage(
equity,
periodCount,
i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => _dx(j)).Average(),
i => _dx(i),
i => 1.0m / periodCount);
}
public ChandelierExit(Equity equity, int periodCount, int atrCount) : base(equity, periodCount, atrCount)
{
_highestHigh = new HighestHigh(equity, periodCount);
_lowestLow = new LowestLow(equity, periodCount);
_atrIndicator = new AverageTrueRange(equity, periodCount);
}
