// DONCHIAN CHANNEL
public static IEnumerable <KeltnerResult> GetKeltner(
IEnumerable <Quote> history, int emaPeriod = 20, decimal multiplier = 2, int atrPeriod = 10)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// validate parameters
ValidateKeltner(history, emaPeriod, multiplier, atrPeriod);
// initialize
List <KeltnerResult> results = new List <KeltnerResult>();
IEnumerable <EmaResult> emaResults = GetEma(history, emaPeriod);
IEnumerable <AtrResult> atrResults = GetAtr(history, atrPeriod);
int lookbackPeriod = Math.Max(emaPeriod, atrPeriod);
decimal?prevWidth = null;
// roll through history
foreach (Quote h in history)
{
KeltnerResult result = new KeltnerResult
{
Index = (int)h.Index,
Date = h.Date
};
if (h.Index >= lookbackPeriod)
{
IEnumerable <Quote> period = history
.Where(x => x.Index > (h.Index - lookbackPeriod) && x.Index <= h.Index);
EmaResult ema = emaResults.Where(x => x.Index == h.Index).FirstOrDefault();
AtrResult atr = atrResults.Where(x => x.Index == h.Index).FirstOrDefault();
result.UpperBand = ema.Ema + multiplier * atr.Atr;
result.LowerBand = ema.Ema - multiplier * atr.Atr;
result.Centerline = ema.Ema;
result.Width = (result.Centerline == 0) ? null : (result.UpperBand - result.LowerBand) / result.Centerline;
// for next iteration
prevWidth = result.Width;
}
results.Add(result);
}
return(results);
}
// DONCHIAN CHANNEL
public static IEnumerable <KeltnerResult> GetKeltner <TQuote>(
IEnumerable <TQuote> history,
int emaPeriod = 20,
decimal multiplier = 2,
int atrPeriod = 10)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// validate parameters
ValidateKeltner(history, emaPeriod, multiplier, atrPeriod);
// initialize
List <KeltnerResult> results = new List <KeltnerResult>();
List <EmaResult> emaResults = GetEma(history, emaPeriod).ToList();
List <AtrResult> atrResults = GetAtr(history, atrPeriod).ToList();
int lookbackPeriod = Math.Max(emaPeriod, atrPeriod);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
KeltnerResult result = new KeltnerResult
{
Date = h.Date
};
if (index >= lookbackPeriod)
{
EmaResult ema = emaResults[i];
AtrResult atr = atrResults[i];
result.UpperBand = ema.Ema + multiplier * atr.Atr;
result.LowerBand = ema.Ema - multiplier * atr.Atr;
result.Centerline = ema.Ema;
result.Width = (result.Centerline == 0) ? null
: (result.UpperBand - result.LowerBand) / result.Centerline;
}
results.Add(result);
}
return(results);
}