public DirectionalMovementIndex(Equity equity, int periodCount) : base(equity, periodCount) { _atrIndicator = new AverageTrueRange(equity, periodCount); Func <int, decimal?> pdm = i => i > 0 ? Equity[i].High - Equity[i - 1].High : (decimal?)null; Func <int, decimal?> mdm = i => i > 0 ? Equity[i - 1].Low - Equity[i].Low : (decimal?)null; Func <int, decimal?> tpdm = i => pdm(i) > 0 && pdm(i) > mdm(i) ? pdm(i) : 0; Func <int, decimal?> tmdm = i => mdm(i) > 0 && pdm(i) < mdm(i) ? mdm(i) : 0; var tpdmEma = new GenericExponentialMovingAverage( equity, periodCount, i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tpdm(j)).Average(), i => tpdm(i), i => 1.0m / periodCount); var tmdmEma = new GenericExponentialMovingAverage( equity, periodCount, i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => tmdm(j)).Average(), i => tmdm(i), i => 1.0m / periodCount); _pdi = i => tpdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100; _mdi = i => tmdmEma.ComputeByIndex(i).Ema / _atrIndicator.ComputeByIndex(i).Atr * 100; _dx = i => { var value = (_pdi(i) - _mdi(i)) / (_pdi(i) + _mdi(i)); return(value.HasValue ? Math.Abs(value.Value) * 100 : (decimal?)null); }; _adx = new GenericExponentialMovingAverage( equity, periodCount, i => Enumerable.Range(i - periodCount + 1, periodCount).Select(j => _dx(j)).Average(), i => _dx(i), i => 1.0m / periodCount); }
public ChandelierExit(Equity equity, int periodCount, int atrCount) : base(equity, periodCount, atrCount) { _highestHigh = new HighestHigh(equity, periodCount); _lowestLow = new LowestLow(equity, periodCount); _atrIndicator = new AverageTrueRange(equity, periodCount); }