/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
MiddleBand.Reset();
LowerBand.Reset();
UpperBand.Reset();
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
AverageTrueRange.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value of the following sub-indicators from the given state:
/// StandardDeviation, MiddleBand, UpperBand, LowerBand
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>The input is returned unmodified.</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
StandardDeviation.Update(input);
MiddleBand.Update(input);
UpperBand.Update(input);
LowerBand.Update(input);
return(input);
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(String name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(k), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(k), name + "_UpperBand");
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
var coeff = _width * (input[HighIdx] - input[LowIdx]) / (input[HighIdx] + input[LowIdx]);
LowerBand.Update(time, input[LowIdx] * (1 - coeff));
UpperBand.Update(time, input[HighIdx] * (1 + coeff));
MiddleBand.Update(time, input[CloseIdx]);
return(MiddleBand);
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand, BandWidth, %B)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
BandWidth.Reset();
PercentB.Reset();
base.Reset();
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
var coeff = _width * (input.High - input.Low) / (input.High + input.Low);
LowerBand.Update(input.Time, input.Low * (1 - coeff));
UpperBand.Update(input.Time, input.High * (1 + coeff));
MiddleBand.Update(input.Time, input.Close);
return(MiddleBand);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(TradeBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
Console.WriteLine(input.Time.ToString("yyyymmdd") + "\t" + typicalPrice.SmartRounding() + "\t" + MiddleBand.Current.Value.SmartRounding());
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="time"></param>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
AverageTrueRange.Update(time, input);
var typicalPrice = (input[HighIdx] + input[LowIdx] + input[CloseIdx]) / 3d;
MiddleBand.Update(time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(time, input);
UpperBand.Update(time, input);
return(MiddleBand);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The TradeBar to this indicator on this time step</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
AverageTrueRange.Update(input);
var typicalPrice = (input.High + input.Low + input.Close) / 3m;
MiddleBand.Update(input.Time, typicalPrice);
// poke the upper/lower bands, they actually don't use the input, they compute
// based on the ATR and the middle band
LowerBand.Update(input);
UpperBand.Update(input);
return(MiddleBand);
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
WarmUpPeriod = period;
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(k), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(k), name + "_UpperBand");
var UpperMinusLower = UpperBand.Minus(LowerBand);
BandWidth = UpperMinusLower
.Over(MiddleBand)
.Times(new ConstantIndicator <IndicatorDataPoint>("ct", 100m), name + "_BandWidth");
Price = new Identity(name + "_Close");
PercentB = IndicatorExtensions.Over(
Price.Minus(LowerBand),
UpperMinusLower,
name + "_%B");
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiples specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
WarmUpPeriod = period;
//Initialise ATR and SMA
AverageTrueRange = new AverageTrueRange(name + "_AverageTrueRange", period, movingAverageType);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
//Compute Lower Band
LowerBand = new FunctionalIndicator <IBaseDataBar>(name + "_LowerBand",
input => MiddleBand.IsReady ? MiddleBand.Current.Value - AverageTrueRange.Current.Value * k : decimal.Zero,
lowerBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
//Compute Upper Band
UpperBand = new FunctionalIndicator <IBaseDataBar>(name + "_UpperBand",
input => MiddleBand.IsReady ? MiddleBand.Current.Value + AverageTrueRange.Current.Value * k : decimal.Zero,
upperBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiples specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(string name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
_k = k;
//Initialise ATR and SMA
AverageTrueRange = new AverageTrueRange(name + "_AverageTrueRange", period, MovingAverageType.Simple);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
//Compute Lower Band
LowerBand = new FunctionalIndicator <IBaseDataBar>(name + "_LowerBand",
input => ComputeLowerBand(),
lowerBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
//Compute Upper Band
UpperBand = new FunctionalIndicator <IBaseDataBar>(name + "_UpperBand",
input => ComputeUpperBand(),
upperBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
}
/// <summary>
/// Initializes a new instance of the KeltnerChannels class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the average true range and moving average (middle band)</param>
/// <param name="k">The number of multiples specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public KeltnerChannels(string name, int period, double k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
_k = k;
WarmUpPeriod = period;
//Initialise ATR and SMA
AverageTrueRange = new AverageTrueRange(name + "_AverageTrueRange", period, MovingAverageType.Simple);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
//Compute Lower Band
LowerBand = new FunctionalIndicator(name + "_LowerBand",
(time, input) => MiddleBand.IsReady ? MiddleBand - AverageTrueRange * _k : Constants.Zero,
lowerBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
//Compute Upper Band
UpperBand = new FunctionalIndicator(name + "_UpperBand",
(time, input) => MiddleBand.IsReady ? MiddleBand + AverageTrueRange * _k : Constants.Zero,
upperBand => MiddleBand.IsReady,
() => MiddleBand.Reset()
);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>
/// A new value for this indicator
/// </returns>
protected override decimal ComputeNextValue(IBaseDataBar input)
{
MiddleBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.Close
});
var coeff = _width * (input.High - input.Low) / (input.High + input.Low);
LowerBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.Low * (1 - coeff)
});
UpperBand.Update(new IndicatorDataPoint
{
Time = input.Time,
Value = input.High * (1 + coeff)
});
return(MiddleBand);
}
/// <summary>
/// Computes the next value of the following sub-indicators from the given state:
/// StandardDeviation, MiddleBand, UpperBand, LowerBand
/// </summary>
/// <param name="time"></param>
/// <param name="input">The input given to the indicator</param>
/// <returns>The input is returned unmodified.</returns>
protected override DoubleArray Forward(long time, DoubleArray input)
{
StandardDeviation.Update(time, input);
MiddleBand.Update(time, input);
return(input);
}
public BollingerBands(CandleStickCollection candleSticks, int period = 20,
double multiplier = 2, PriceSource priceSource = PriceSource.Close)
{
int length = candleSticks.Count - period;
double[] prices = priceSource.GetArrayFromCandleStickCollection(candleSticks);
StandardDeviation standardDeviation;
LowerBand = UpperBand = new double[length];
MiddleBand = MovingAverages.SMA(candleSticks, period, priceSource).MA;
for (int i = 0; i < length; i++)
{
standardDeviation = new StandardDeviation(prices.GetSegment(i, i + period), MiddleBand.GetSegment(i, i + period));
UpperBand[i] = MiddleBand[i] + multiplier * standardDeviation.Value;
LowerBand[i] = MiddleBand[i] - multiplier * standardDeviation.Value;
}
}
