public VarianceRatio(Bars bars, DataSeries ds, int lookback, int period, string description)
: base(bars, description)
{
LNRet lnr = LNRet.Series(bars, ds, lookback);
LNRet lnr1 = LNRet.Series(bars, ds, 1);
StdDevCalculation sample = StdDevCalculation.Sample;
for (int bar = Math.Max(lookback, period); bar < bars.Count; bar++)
{
base[bar] = StdDev.Series(lnr, period, sample)[bar] / (StdDev.Series(lnr1, period, sample)[bar] * Math.Sqrt(lookback));
}
}
public static LNRet Series(Bars bars, DataSeries ds, int period)
{
string description = string.Concat(new object[] { "LNRet(", ds.Description, ",", period.ToString(), ")" });
if (bars.Cache.ContainsKey(description))
{
return((LNRet)bars.Cache[description]);
}
LNRet _LNRet = new LNRet(bars, ds, period, description);
bars.Cache[description] = _LNRet;
return(_LNRet);
}
public CTI(Bars bars, DataSeries ds, int period, bool positiveOnly, string description)
: base(ds, description)
{
Helper.CompatibilityCheck();
base.FirstValidValue = period;
if (FirstValidValue > ds.Count || FirstValidValue < 0)
{
FirstValidValue = ds.Count;
}
if (ds.Count < period)
{
return;
}
#region Parallelization (removed in 2018.08 for crash/hang issues)
//var rangePartitioner = Partitioner.Create(FirstValidValue, ds.Count);
//var rangePartitioner = Partitioner.Create(0, ds.Count);
//Parallel.ForEach(rangePartitioner, (range, loopState) =>
//{
// for (int i = range.Item1; i < range.Item2; i++)
// {
// base[i] = LNRet.Series(bars, ds, period)[i] / (StdDev.Series(LNRet.Series(bars, ds, 1), period, StdDevCalculation.Sample)[i] * Math.Sqrt(period));
// if (positiveOnly)
// base[i] = Math.Abs(base[i]);
// }
//});
#endregion
for (int i = 0; i < ds.Count; i++)
{
base[i] = LNRet.Series(bars, ds, period)[i] / (StdDev.Series(LNRet.Series(bars, ds, 1), period, StdDevCalculation.Sample)[i] * Math.Sqrt(period));
if (positiveOnly)
{
base[i] = Math.Abs(base[i]);
}
}
}
