protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
double ifish = 0d;
double normalized;
mean.Update(input);
sd.Update(input);
if (mean.IsReady &&
sd.IsReady &&
sd != 0)
{
normalized = (double)(4 * (input - mean) / sd);
ifish = (Math.Exp(2 * normalized) - 1) / (Math.Exp(2 * normalized) + 1);
}
return((decimal)ifish);
}
/// <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(IndicatorDataPoint input)
{
var fastReady = Fast.Update(input);
var slowReady = Slow.Update(input);
var macd = Fast.Current.Value - Slow.Current.Value;
if (fastReady && slowReady)
{
if (Signal.Update(input.Time, macd))
{
Histogram.Update(input.Time, macd - Signal.Current.Value);
}
}
return(macd);
}
/// <summary>
/// Configures the event handlers for Left.Updated and Right.Updated to update this instance when
/// they both have new data.
/// </summary>
private void ConfigureEventHandlers()
{
// if either of these are constants then there's no reason
bool leftIsConstant = Left.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator <>));
bool rightIsConstant = Right.GetType().IsSubclassOfGeneric(typeof(ConstantIndicator <>));
// wire up the Updated events such that when we get a new piece of data from both left and right
// we'll call update on this indicator. It's important to note that the CompositeIndicator only uses
// the timestamp that gets passed into the Update function, his compuation is soley a function
// of the left and right indicator via '_composer'
IndicatorDataPoint newLeftData = null;
IndicatorDataPoint newRightData = null;
Left.Updated += (sender, updated) =>
{
newLeftData = updated;
// if we have left and right data (or if right is a constant) then we need to update
if (newRightData != null || rightIsConstant)
{
Update(new T {
Time = MaxTime(updated)
});
// reset these to null after each update
newLeftData = null;
newRightData = null;
}
};
Right.Updated += (sender, updated) =>
{
newRightData = updated;
// if we have left and right data (or if left is a constant) then we need to update
if (newLeftData != null || leftIsConstant)
{
Update(new T {
Time = MaxTime(updated)
});
// reset these to null after each update
newLeftData = null;
newRightData = null;
}
};
}
/// <summary>
/// Updates the state of this indicator with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="input">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public bool Update(T input)
{
if (_previousInput != null && input.Time < _previousInput.Time)
{
// if we receive a time in the past, throw
throw new ArgumentException("This is a forward only indicator.");
}
if (!ReferenceEquals(input, _previousInput))
{
// compute a new value and update our previous time
Samples++;
_previousInput = input;
var nextValue = ComputeNextValue(input);
Current = new IndicatorDataPoint(input.Time, nextValue);
}
return(IsReady);
}
/// <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(IndicatorDataPoint input)
{
// Update internal indicator, automatically updates _maximum and _minimum
_MACD.Update(input);
// Update our Stochastics K, automatically updates our Stochastics D variable which is a smoothed version of K
var MACD_K = new IndicatorDataPoint(input.Time, ComputeStoch(_MACD.Current.Value, _maximum.Current.Value, _minimum.Current.Value));
_K.Update(MACD_K);
// With our Stochastic D values calculate PF
var PF = new IndicatorDataPoint(input.Time, ComputeStoch(_D.Current.Value, _maximumD.Current.Value, _minimumD.Current.Value));
_PF.Update(PF);
return(_PFF.Current.Value);
}
/// <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(IndicatorDataPoint input)
{
// Until the windows is ready, the indicator returns the input value.
decimal output = input;
seriesQ.Enqueue((double)input.Value);
if (IsReady)
{
seriesQ.Dequeue();
var series = seriesQ.ToArray();
// Fit OLS
Tuple <double, double> ols = Fit.Line(x: t, y: series);
var alfa = (decimal)ols.Item1;
var beta = (decimal)ols.Item2;
// Make the projection.
output = alfa + beta * (_period);
}
return(output);
}
/// <summary>
/// Updates the state of this indicator with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="input">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public bool Update(T input)
{
if (_previousInput != null && input.Time < _previousInput.Time)
{
// if we receive a time in the past, throw
throw new ArgumentException("This is a forward only indicator: Input: " + input.Time.ToString("u") + " Previous: " + _previousInput.Time.ToString("u"));
}
if (!ReferenceEquals(input, _previousInput))
{
// compute a new value and update our previous time
Samples++;
_previousInput = input;
var nextValue = ComputeNextValue(input);
Current = new IndicatorDataPoint(input.Time, nextValue);
// let others know we've produced a new data point
OnUpdated(Current);
}
return(IsReady);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The input value to this indicator on this time step</param>
/// <returns>A a value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_rollingData.Add(input.Value);
if (_rollingData.Count < 3)
{
return(0m);
}
var previousPoint = _rollingData[1];
var previousPoint2 = _rollingData[2];
var logPoint = 0.0;
if (previousPoint2 != 0)
{
logPoint = Math.Log((double)(previousPoint / previousPoint2));
}
_standardDeviation.Update(input.Time, (decimal)logPoint);
if (!_rollingData.IsReady)
{
return(0m);
}
if (!_standardDeviation.IsReady)
{
return(0m);
}
var m = _standardDeviation.Current.Value * previousPoint;
if (m == 0)
{
return(0);
}
var spikeValue = (input.Value - previousPoint) / m;
return(spikeValue);
}
/// <summary>
/// Forecasts the series of the fitted model one point ahead.
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_rollingData.Add((double)input.Value);
if (_rollingData.IsReady)
{
var arrayData = _rollingData.ToArray();
arrayData = _diffOrder > 0 ? DifferenceSeries(_diffOrder, arrayData, out _diffHeads) : arrayData;
TwoStepFit(arrayData);
double summants = 0;
if (_arOrder > 0)
{
for (var i = 0; i < _arOrder; i++) // AR Parameters
{
summants += ArParameters[i] * arrayData[i];
}
}
if (_maOrder > 0)
{
for (var i = 0; i < _maOrder; i++) // MA Parameters
{
summants += MaParameters[i] * _residuals[_maOrder + i + 1];
}
}
summants += Intercept; // By default equals 0
if (_diffOrder > 0)
{
var dataCast = arrayData.ToList();
dataCast.Insert(0, summants); // Prepends
summants = InverseDifferencedSeries(dataCast.ToArray(), _diffHeads).First(); // Returns disintegrated series
}
return((decimal)summants);
}
return(0m);
}
/// <summary>
/// Updates the state of this indicator with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="input">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public bool Update(T input)
{
if (_previousInput != null && input.Time < _previousInput.Time)
{
// if we receive a time in the past, throw
throw new ArgumentException(string.Format("This is a forward only indicator: {0} Input: {1} Previous: {2}", Name, input.Time.ToString("u"), _previousInput.Time.ToString("u")));
}
if (!ReferenceEquals(input, _previousInput))
{
// compute a new value and update our previous time
Samples++;
_previousInput = input;
var nextResult = ValidateAndComputeNextValue(input);
if (nextResult.Status == IndicatorStatus.Success)
{
Current = new IndicatorDataPoint(input.Time, nextResult.Value);
// let others know we've produced a new data point
OnUpdated(Current);
}
}
return(IsReady);
}
/// <summary>
/// Initializes a new instance of the Indicator class using the specified name.
/// </summary>
/// <param name="name">The name of this indicator</param>
protected IndicatorBase(string name)
{
Name = name;
Current = new IndicatorDataPoint(DateTime.MinValue, 0m);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public virtual void Reset()
{
Samples = 0;
Current = new IndicatorDataPoint(DateTime.MinValue, default(decimal));
}
/// <summary>
/// AroonDown = 100 * (period - {periods since min})/period
/// </summary>
/// <param name="downPeriod">The AroonDown period</param>
/// <param name="min">A Minimum indicator used to compute periods since min</param>
/// <param name="input">The next input data</param>
/// <returns>The AroonDown value</returns>
private static decimal ComputeAroonDown(int downPeriod, Minimum min, IndicatorDataPoint input)
{
min.Update(input);
return(100m * (downPeriod - min.PeriodsSinceMinimum) / downPeriod);
}
/// <summary>
/// AroonUp = 100 * (period - {periods since max})/period
/// </summary>
/// <param name="upPeriod">The AroonUp period</param>
/// <param name="max">A Maximum indicator used to compute periods since max</param>
/// <param name="input">The next input data</param>
/// <returns>The AroonUp value</returns>
private static decimal ComputeAroonUp(int upPeriod, Maximum max, IndicatorDataPoint input)
{
max.Update(input);
return(100m * (upPeriod - max.PeriodsSinceMaximum) / upPeriod);
}
private DateTime MaxTime(IndicatorDataPoint updated)
{
return(new DateTime(Math.Max(updated.Time.Ticks, Math.Max(Right.Current.Time.Ticks, Left.Current.Time.Ticks))));
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <remarks>
/// Since this class overrides <see cref="ValidateAndComputeNextValue"/>, this method is a no-op
/// </remarks>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
// this should never actually be invoked
return(_composer.Invoke(Left, Right).Value);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// and returns an instance of the <see cref="IndicatorResult"/> class
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>An IndicatorResult object including the status of the indicator</returns>
protected override IndicatorResult ValidateAndComputeNextValue(IndicatorDataPoint input)
{
return(_composer.Invoke(Left, Right));
}
/// <summary>
/// Event invocator for the Updated event
/// </summary>
/// <param name="consolidated">This is the new piece of data produced by this indicator</param>
protected virtual void OnUpdated(IndicatorDataPoint consolidated)
{
Updated?.Invoke(this, consolidated);
}
/// <summary>
/// Initializes a new instance of the Indicator class.
/// </summary>
protected IndicatorBase()
{
Current = new IndicatorDataPoint(DateTime.MinValue, 0m);
}
/// <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(IndicatorDataPoint input)
{
_previousRsi = _currentRsi;
_currentRsi = _rsi;
return(_currentRsi);
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public virtual void Reset()
{
Samples = 0;
_previousInput.Clear();
Current = new IndicatorDataPoint(DateTime.MinValue, default(decimal));
}
/// <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);
return(input);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <param name="window">The window for the input history</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
return((decimal)Math.Sqrt((double)base.ComputeNextValue(window, input)));
}
