// AROON OSCILLATOR
public static IEnumerable <AroonResult> GetAroon <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 25)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateAroon(history, lookbackPeriod);
// initialize
List <AroonResult> results = new List <AroonResult>(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
AroonResult result = new AroonResult
{
Date = h.Date
};
// add aroons
if (index > lookbackPeriod)
{
decimal lastHighPrice = 0;
decimal lastLowPrice = decimal.MaxValue;
int lastHighIndex = 0;
int lastLowIndex = 0;
for (int p = index - lookbackPeriod - 1; p < index; p++)
{
TQuote d = historyList[p];
if (d.High > lastHighPrice)
{
lastHighPrice = d.High;
lastHighIndex = p + 1;
}
if (d.Low < lastLowPrice)
{
lastLowPrice = d.Low;
lastLowIndex = p + 1;
}
}
result.AroonUp = 100 * (decimal)(lookbackPeriod - (index - lastHighIndex)) / lookbackPeriod;
result.AroonDown = 100 * (decimal)(lookbackPeriod - (index - lastLowIndex)) / lookbackPeriod;
result.Oscillator = result.AroonUp - result.AroonDown;
}
results.Add(result);
}
return(results);
}
// AROON OSCILLATOR
public static IEnumerable <AroonResult> GetAroon(IEnumerable <Quote> history, int lookbackPeriod = 25)
{
// clean quotes
List <Quote> historyList = Cleaners.PrepareHistory(history).ToList();
// validate parameters
ValidateAroon(history, lookbackPeriod);
// initialize
List <AroonResult> results = new List <AroonResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
AroonResult result = new AroonResult
{
Index = (int)h.Index,
Date = h.Date
};
// add aroons
if (h.Index > lookbackPeriod)
{
decimal lastHighPrice = 0;
decimal lastLowPrice = decimal.MaxValue;
int lastHighIndex = 0;
int lastLowIndex = 0;
for (int p = (int)h.Index - lookbackPeriod - 1; p < h.Index; p++)
{
Quote d = historyList[p];
if (d.High > lastHighPrice)
{
lastHighPrice = d.High;
lastHighIndex = (int)d.Index;
}
if (d.Low < lastLowPrice)
{
lastLowPrice = d.Low;
lastLowIndex = (int)d.Index;
}
}
result.AroonUp = 100 * (decimal)(lookbackPeriod - (h.Index - lastHighIndex)) / lookbackPeriod;
result.AroonDown = 100 * (decimal)(lookbackPeriod - (h.Index - lastLowIndex)) / lookbackPeriod;
result.Oscillator = result.AroonUp - result.AroonDown;
}
results.Add(result);
}
return(results);
}
// AROON OSCILLATOR
public static IEnumerable <AroonResult> GetAroon(IEnumerable <Quote> history, int lookbackPeriod = 25)
{
// clean quotes
Cleaners.PrepareHistory(history);
// validate parameters
ValidateAroon(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <AroonResult> results = new List <AroonResult>();
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
AroonResult result = new AroonResult
{
Index = (int)h.Index,
Date = h.Date
};
// add aroons
if (h.Index >= lookbackPeriod)
{
List <Quote> period = historyList
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod))
.ToList();
decimal lastHighPrice = period.Select(x => x.High).Max();
decimal lastLowPrice = period.Select(x => x.Low).Min();
int lastHighIndex = period
.Where(x => x.High == lastHighPrice)
.OrderBy(x => x.Index) // implies "new" high, so not picking new tie for high
.Select(x => (int)x.Index)
.FirstOrDefault();
int lastLowIndex = period
.Where(x => x.Low == lastLowPrice)
.OrderBy(x => x.Index)
.Select(x => (int)x.Index)
.FirstOrDefault();
result.AroonUp = 100 * (decimal)(lookbackPeriod - (h.Index - lastHighIndex)) / lookbackPeriod;
result.AroonDown = 100 * (decimal)(lookbackPeriod - (h.Index - lastLowIndex)) / lookbackPeriod;
result.Oscillator = result.AroonUp - result.AroonDown;
}
results.Add(result);
}
return(results);
}
// AROON OSCILLATOR
public static IEnumerable <AroonResult> GetAroon(IEnumerable <Quote> history, int lookbackPeriod = 25)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// exceptions
if (lookbackPeriod <= 0)
{
throw new BadParameterException("Lookback period must be greater than 0 for Aroon.");
}
int qtyHistory = history.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Aroon. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <AroonResult> results = new List <AroonResult>();
// roll through history
foreach (Quote h in history)
{
AroonResult result = new AroonResult
{
Index = (int)h.Index,
Date = h.Date
};
// add aroons
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index <= h.Index && x.Index > (h.Index - lookbackPeriod));
decimal lastHighPrice = period.Select(x => x.High).Max();
decimal lastLowPrice = period.Select(x => x.Low).Min();
int lastHighIndex = period
.Where(x => x.High == lastHighPrice)
.OrderBy(x => x.Index) // implies "new" high, so not picking new tie for high
.Select(x => (int)x.Index)
.FirstOrDefault();
int lastLowIndex = period
.Where(x => x.Low == lastLowPrice)
.OrderBy(x => x.Index)
.Select(x => (int)x.Index)
.FirstOrDefault();
result.AroonUp = 100 * (decimal)(lookbackPeriod - (h.Index - lastHighIndex)) / lookbackPeriod;
result.AroonDown = 100 * (decimal)(lookbackPeriod - (h.Index - lastLowIndex)) / lookbackPeriod;
result.Oscillator = result.AroonUp - result.AroonDown;
}
results.Add(result);
}
return(results);
}
