Initial Commit
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using MarketData.Cache;
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using MarketData.MarketDataModel;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace MarketData.Generator.MovingAverage
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{
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public static class ExponentialMovingAverageCrossover
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{
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public static MovingAverageCrossovers GetMovingAverageCrossovers(String symbol, DateTime analysisDate,double threshholdPercentDecimal=.05, int fastCrossOverDays=9, int slowCrossoverDays=41)
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{
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Prices prices = GBPriceCache.GetInstance().GetPrices(symbol, analysisDate, slowCrossoverDays * 6);
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if(prices == null || 0==prices.Count)return new MovingAverageCrossovers();
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return GetMovingAverageCrossovers(prices, threshholdPercentDecimal, fastCrossOverDays, slowCrossoverDays);
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}
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/// <summary>
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/// GetMovingAverageCrossovers
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/// Prices will be in descending order with the most recent price at index[0] and the least recent price at index[count-1]
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/// </summary>
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/// <param name="prices"></param>
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/// <param name="fastCrossOverDays">The fast crossover. Tom Basso uses 9</param>
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/// <param name="slowCrossoverDays">The slow crosser. Tom Basso uses 41</param>
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/// <param name="threshholdPercent">The threshhold percent. 5% would be .05</param>
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/// <returns></returns>
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public static MovingAverageCrossovers GetMovingAverageCrossovers(Prices prices, double threshholdPercentDecimal=.05, int fastCrossOverDays=9, int slowCrossoverDays=41)
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{
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MovingAverageCrossovers movingAverageCrossovers = new MovingAverageCrossovers();
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if(prices == null || 0==prices.Count || prices.Count<=slowCrossoverDays)return movingAverageCrossovers;
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if(fastCrossOverDays >= slowCrossoverDays)return movingAverageCrossovers;
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DMAPrices fastDMAPrices = MovingAverageGenerator.GenerateExponentialMovingAverage(prices, fastCrossOverDays);
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DMAPrices slowDMAPrices = MovingAverageGenerator.GenerateExponentialMovingAverage(prices, slowCrossoverDays);
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if(null == fastDMAPrices || 0 == fastDMAPrices.Count)return movingAverageCrossovers;
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if(null == slowDMAPrices || 0 == slowDMAPrices.Count)return movingAverageCrossovers;
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FindCrossovers(fastDMAPrices, slowDMAPrices, movingAverageCrossovers, threshholdPercentDecimal);
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// put the most recent item in the lowest index
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movingAverageCrossovers = new MovingAverageCrossovers((movingAverageCrossovers as List<MovingAverageCrossover>).Where(x => x.IsChangeInTrend==true).OrderByDescending(x => x.EventDate).ToList());
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return movingAverageCrossovers;
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}
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/// <summary>
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/// If the sorter term (faster) crossed the longer term (slower) moving average then a direction change is noted.
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/// If the change carried more than 5% in that direction then consider it a successful trend
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/// </summary>
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/// <param name="fastDMAPrices"></param>
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/// <param name="slowDMAPrices"></param>
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/// <param name="movingAverageCrossovers"></param>
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private static void FindCrossovers(DMAPrices fastDMAPrices, DMAPrices slowDMAPrices,MovingAverageCrossovers movingAverageCrossovers, double threshholdPercentDecimal)
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{
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double trendChangePercentThreshhold = threshholdPercentDecimal*100.00; // if a change in direction carries more than 5% then consider is a successful trend
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movingAverageCrossovers.Clear();
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DateTime startDate = slowDMAPrices[slowDMAPrices.Count-1].Date;
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MovingAverageCrossover movingAverageCrossover = default;
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DMAPricesByDate fastDMAPricesByDate = fastDMAPrices.GetDMAPricesByDate();
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DMAPricesByDate slowDMAPricesByDate = slowDMAPrices.GetDMAPricesByDate();
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List<DateTime> availableDates = new List<DateTime>(slowDMAPricesByDate.Keys);
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availableDates.Sort((a, b) => DateTime.Compare(a,b)); // earliest date should be in the lowest index, most recent date should be in the highest 2024[0], 2025[1], 2026[2] for example
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int currentDirection=0; // 1:fast DMA is above the slow, -1:fast DMA is below the slow, 0:slow DMA == fastDMA
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DMAPrice prevSlowDMAPrice = default;
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DMAPrice prevFastDMAPrice = default;
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for(int index=0;index<availableDates.Count;index++)
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{
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DateTime analysisDate = availableDates[index];
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DMAPrice slowDMAPrice = slowDMAPricesByDate[analysisDate];
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DMAPrice fastDMAPrice = fastDMAPricesByDate[analysisDate];
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if(index == 0) // establish an initial orientation of the fast and slow moving averages. We need to create a new record to have a current trend
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{
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if(fastDMAPrice.AVGPrice > slowDMAPrice.AVGPrice)
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{
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpStart;
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movingAverageCrossover.IsChangeInTrend = false;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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movingAverageCrossover.ChangePercent=0.00;
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movingAverageCrossovers.Add(movingAverageCrossover);
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currentDirection = 1;
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}
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else if(fastDMAPrice.AVGPrice < slowDMAPrice.AVGPrice)
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{
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.DownStart;
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movingAverageCrossover.IsChangeInTrend = false;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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movingAverageCrossover.ChangePercent=0.00;
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movingAverageCrossovers.Add(movingAverageCrossover);
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currentDirection = -1;
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}
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else
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{
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.NeutralStart;
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movingAverageCrossover.IsChangeInTrend = false;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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movingAverageCrossover.ChangePercent=0.00;
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movingAverageCrossovers.Add(movingAverageCrossover);
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currentDirection = 0;
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}
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prevSlowDMAPrice = slowDMAPrice;
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prevFastDMAPrice = fastDMAPrice;
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}
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else
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{
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if(fastDMAPrice.AVGPrice > slowDMAPrice.AVGPrice)
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{
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if(1 == currentDirection) // The fast is above the slow as it was previously
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{
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if(movingAverageCrossovers.Count>0) // check the last change record for a threshhold break
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{
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MovingAverageCrossover movingAverageCrossOver = movingAverageCrossovers[movingAverageCrossovers.Count-1];
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double changePercent = ((fastDMAPrice.AVGPrice - movingAverageCrossOver.FastDMAPrice.AVGPrice)/movingAverageCrossOver.FastDMAPrice.AVGPrice)*100.00;
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if(changePercent > 0.00 && changePercent > trendChangePercentThreshhold) // if the threshhold is exceeded then create a new record and mark it as a trend change
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{
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
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movingAverageCrossover.IsChangeInTrend = true;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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movingAverageCrossover.ChangePercent=changePercent;
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movingAverageCrossovers.Add(movingAverageCrossover);
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}
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}
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}
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else if(-1 == currentDirection || 0 == currentDirection) // The fast is above the slow and it was below the slow previously
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{
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currentDirection = 1; // switch directions
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - slowDMAPrice.AVGPrice)/slowDMAPrice.AVGPrice)*100.00);
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movingAverageCrossover.ChangePercent=changePercent;
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if(changePercent>trendChangePercentThreshhold)movingAverageCrossover.IsChangeInTrend = true;
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else movingAverageCrossover.IsChangeInTrend = false;
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movingAverageCrossovers.Add(movingAverageCrossover);
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}
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}
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else if(fastDMAPrice.AVGPrice < slowDMAPrice.AVGPrice)
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{
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if(-1 == currentDirection) // The fast is below the slow as it was previously
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{
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if(movingAverageCrossovers.Count>0) // check the last change record for a threshhold break
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{
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movingAverageCrossover = movingAverageCrossovers[movingAverageCrossovers.Count-1];
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double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - movingAverageCrossover.FastDMAPrice.AVGPrice)/movingAverageCrossover.FastDMAPrice.AVGPrice)*100.00);
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if(changePercent<0.00 && Math.Abs(changePercent)>trendChangePercentThreshhold) // if the threshhold is exceeded then create a new record and mark it as a trend change
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{
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.UpCross;
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movingAverageCrossover.IsChangeInTrend = true;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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movingAverageCrossover.ChangePercent = changePercent;
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movingAverageCrossovers.Add(movingAverageCrossover);
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}
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}
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}
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else if(1 == currentDirection || 0 == currentDirection) // The fast is below the slow but it was above the slow previously so we've crossed
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{
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currentDirection = -1; // switch directions
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movingAverageCrossover = new MovingAverageCrossover();
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movingAverageCrossover.EventDate = analysisDate;
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movingAverageCrossover.Symbol = slowDMAPrice.Symbol;
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movingAverageCrossover.CrossOverDirection = MovingAverageCrossover.CrossoverDirectionEnum.DownCross;
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movingAverageCrossover.SlowDMAPrice = slowDMAPrice;
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movingAverageCrossover.FastDMAPrice = fastDMAPrice;
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double changePercent = Math.Abs(((fastDMAPrice.AVGPrice - slowDMAPrice.AVGPrice)/slowDMAPrice.AVGPrice)*100.00);
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movingAverageCrossover.ChangePercent=changePercent;
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if(changePercent>trendChangePercentThreshhold)movingAverageCrossover.IsChangeInTrend = true;
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else movingAverageCrossover.IsChangeInTrend = false;
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movingAverageCrossovers.Add(movingAverageCrossover);
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}
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}
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else // The fast and the slow are equal. There's nothing to do here
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{
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}
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prevSlowDMAPrice = slowDMAPrice;
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prevFastDMAPrice = fastDMAPrice;
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}
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}
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}
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}
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}
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47
MarketData/MarketDataLib/Generator/MovingAverage/MovingAverageCrossover.cs
Executable file
47
MarketData/MarketDataLib/Generator/MovingAverage/MovingAverageCrossover.cs
Executable file
@@ -0,0 +1,47 @@
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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using System;
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using System.Collections.Generic;
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using System.Text;
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namespace MarketData.Generator.MovingAverage
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{
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public class MovingAverageCrossovers : List<MovingAverageCrossover>
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{
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public MovingAverageCrossovers()
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{
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}
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public MovingAverageCrossovers(List<MovingAverageCrossover> movingAverageCrossovers)
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{
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foreach(MovingAverageCrossover movingAverageCrossover in movingAverageCrossovers)
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{
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Add(movingAverageCrossover);
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}
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}
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}
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public class MovingAverageCrossover
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{
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public enum CrossoverDirectionEnum{UpCross, DownCross, UpStart, DownStart, NeutralStart};
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public String Symbol { get; set; }
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public DateTime EventDate { get; set; }
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public CrossoverDirectionEnum CrossOverDirection {get; set;}
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public bool IsChangeInTrend { get; set; }
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public double ChangePercent { get; set; }
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public DMAPrice SlowDMAPrice { get; set; } // the slow DMA price associated with this crossover
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public DMAPrice FastDMAPrice { get; set; } // the fast DMA price associated with this crossover
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public double CurrentPrice {get{return SlowDMAPrice.CurrentPrice;}} // it doesn't matter if sourced from slow or fast since they both refer to the same underlying price
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public override string ToString()
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{
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StringBuilder sb = new StringBuilder();
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sb.Append("Symbol:").Append(Symbol);
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sb.Append(" Date:").Append(EventDate.ToShortDateString());
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sb.Append(" Direction:").Append(CrossOverDirection.ToString());
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sb.Append(" IsChangeInTrend:").Append(IsChangeInTrend.ToString());
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sb.Append(" ChangePercent:").Append(Utility.FormatNumber(ChangePercent,2));
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sb.Append(" ClosePrice:").Append(Utility.FormatCurrency(CurrentPrice));
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return sb.ToString();
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}
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}
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}
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255
MarketData/MarketDataLib/Generator/MovingAverage/MovingAverageGenerator.cs
Executable file
255
MarketData/MarketDataLib/Generator/MovingAverage/MovingAverageGenerator.cs
Executable file
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using System;
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using System.Collections.Generic;
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using MarketData.MarketDataModel;
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using MarketData.DataAccess;
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using MarketData.Numerical;
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using MarketData.Utils;
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namespace MarketData.Generator.MovingAverage
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{
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public class MovingAverageGenerator
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{
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public static readonly int DayCount200=200;
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public static readonly int DayCount100=100;
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public static readonly int DayCount55=55;
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public static readonly int DayCount50=50;
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public static readonly int DayCount21=21;
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public static readonly int DayCount5=5;
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private MovingAverageGenerator()
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{
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}
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public static MovingAverages GenerateMovingAverages(String symbol,int dayCount=180)
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{
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try
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{
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Dictionary<DateTime, DMAPrice> ma200ByDate = new Dictionary<DateTime, DMAPrice>();
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Dictionary<DateTime, DMAPrice> ma100ByDate = new Dictionary<DateTime, DMAPrice>();
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Dictionary<DateTime, DMAPrice> ma55ByDate = new Dictionary<DateTime, DMAPrice>();
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Dictionary<DateTime, DMAPrice> ma21ByDate = new Dictionary<DateTime, DMAPrice>();
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Dictionary<DateTime, DMAPrice> ma5ByDate = new Dictionary<DateTime, DMAPrice>();
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if (null == symbol) return null;
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String companyName = PricingDA.GetNameForSymbol(symbol);
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DateGenerator dateGenerator = new DateGenerator();
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DateTime startDate = dateGenerator.GetPrevBusinessDay(DateTime.Now);
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Prices prices = PricingDA.GetPrices(symbol, startDate, dayCount);
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if (null == prices || 0 == prices.Count)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,"No prices for symbol '" + symbol + "'");
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return null;
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}
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Price latestPrice = prices[0];
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DMAPrices ma200= GenerateMovingAverage(prices, DayCount200);
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DMAPrices ma100 = GenerateMovingAverage(prices, DayCount100);
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DMAPrices ma55 = GenerateMovingAverage(prices, DayCount55);
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DMAPrices ma21 = GenerateMovingAverage(prices, DayCount21);
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DMAPrices ma5 = GenerateMovingAverage(prices, DayCount5);
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for (int index = 0; index < ma200.Count; index++) ma200ByDate.Add(ma200[index].Date,ma200[index]);
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for (int index = 0; index < ma100.Count; index++) ma100ByDate.Add(ma100[index].Date, ma100[index]);
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for (int index = 0; index < ma55.Count; index++) ma55ByDate.Add(ma55[index].Date, ma55[index]);
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for (int index = 0; index < ma21.Count; index++) ma21ByDate.Add(ma21[index].Date, ma21[index]);
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for (int index = 0; index < ma5.Count; index++) ma5ByDate.Add(ma5[index].Date, ma5[index]);
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MovingAverages movingAverages = new MovingAverages();
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movingAverages.ThruDate = prices[0].Date;
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movingAverages.FromDate = prices[prices.Count - 1].Date;
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for (int index = 0; index < prices.Count; index++)
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{
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Price price = prices[index];
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DMAPrice ma200Price = null;
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DMAPrice ma100Price = null;
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DMAPrice ma55Price = null;
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DMAPrice ma21Price = null;
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DMAPrice ma5Price = null;
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if (ma55ByDate.ContainsKey(price.Date)) ma55Price=ma55ByDate[price.Date];
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if (ma21ByDate.ContainsKey(price.Date)) ma21Price = ma21ByDate[price.Date];
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if (ma5ByDate.ContainsKey(price.Date)) ma5Price = ma5ByDate[price.Date];
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if(ma200ByDate.ContainsKey(price.Date))ma200Price = ma200ByDate[price.Date];
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if(ma100ByDate.ContainsKey(price.Date)) ma100Price = ma100ByDate[price.Date];
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MovingAverageElement movingAverageElement = new MovingAverageElement();
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movingAverageElement.Symbol = price.Symbol;
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movingAverageElement.Date = price.Date;
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movingAverageElement.Close = price.Close;
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movingAverageElement.High = price.High;
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movingAverageElement.Low = price.Low;
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movingAverageElement.MA200 = null==ma200Price?double.NaN:ma200Price.AVGPrice;
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movingAverageElement.MA100 = null == ma100Price ? double.NaN : ma100Price.AVGPrice;
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movingAverageElement.MA55 = null==ma55Price?double.NaN:ma55Price.AVGPrice;
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movingAverageElement.MA21 = null==ma21Price?double.NaN:ma21Price.AVGPrice;
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movingAverageElement.MA5 = null==ma5Price?double.NaN:ma5Price.AVGPrice;
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movingAverages.Add(movingAverageElement);
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}
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return movingAverages;
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}
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catch (Exception exception)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,exception);
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return null;
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}
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}
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public static DMAValues GenerateMovingAverage(DMAValues values,int dayCount)
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{
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try
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{
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DMAValues dmaValues = new DMAValues();
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for (int index = 0; index < values.Count; index++)
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{
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DMAValue value = values[index];
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DMAValue dmaValue = new DMAValue();
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dmaValue.Date = value.Date;
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float[] pricesArray = values.GetValues(index, dayCount);
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if (null == pricesArray) break;
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dmaValue.MAValue = Numerics.Mean(ref pricesArray);
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dmaValue.Value = value.Value;
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if (double.IsNaN(dmaValue.MAValue)) continue;
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dmaValues.Add(dmaValue);
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}
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return dmaValues;
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}
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catch (Exception exception)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,exception);
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return null;
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}
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}
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/// <summary>
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/// The EMA coverage shoudld be the same as the simple moving average. If you have 10 elements in the SMA then you should have 10 elements in the EMA
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/// The EMA smooths the line by applying a smoothing (Beta) where Beta=1/(dayCount+1). Foe example if you are wanting to calculate the
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/// 20 day exponential moving average over a series then Beta=2/(20+1)=.095
|
||||
/// The formula: EMA=prevEMA.AVGPrice+beta*(smaPrice.CurrentPrice - prevEMA.AVGPrice)
|
||||
/// Tom Basso uses a 9 day(Fast) and 41 day(Slow) exponential moving average crossover to determine change in trend direction.
|
||||
/// </summary>
|
||||
/// <param name="prices"></param>
|
||||
/// <param name="dayCount"></param>
|
||||
/// <returns></returns>
|
||||
public static DMAPrices GenerateExponentialMovingAverage(Prices prices,int dayCount)
|
||||
{
|
||||
try
|
||||
{
|
||||
if(null==prices||prices.Count<dayCount+1)return null; // (i.e.) a 20 day ExponentialMovingAverage requires 21 days of data
|
||||
double beta=2.00/((double)dayCount+1.00);
|
||||
DMAPrices emaPrices=new DMAPrices();
|
||||
|
||||
DMAPrices smaPrices=GenerateMovingAverage(prices,dayCount);
|
||||
if(null==smaPrices||smaPrices.Count<dayCount)return null;
|
||||
for(int index=0;index<smaPrices.Count;index++)
|
||||
{
|
||||
DMAPrice smaPrice=smaPrices[index];
|
||||
DMAPrice emaPrice=new DMAPrice();
|
||||
if(0==index)
|
||||
{
|
||||
emaPrice.Symbol=smaPrice.Symbol;
|
||||
emaPrice.Date=smaPrice.Date;
|
||||
emaPrice.AVGPrice=smaPrice.AVGPrice;
|
||||
emaPrice.CurrentPrice=smaPrice.CurrentPrice;
|
||||
emaPrice.MaxPrice=smaPrice.MaxPrice;
|
||||
emaPrice.MinPrice=smaPrice.MinPrice;
|
||||
emaPrices.Add(emaPrice);
|
||||
}
|
||||
else
|
||||
{
|
||||
DMAPrice prevEMA=emaPrices[emaPrices.Count-1];
|
||||
emaPrice.Symbol=smaPrice.Symbol;
|
||||
emaPrice.Date=smaPrice.Date;
|
||||
emaPrice.CurrentPrice=smaPrice.CurrentPrice;
|
||||
emaPrice.MaxPrice=smaPrice.MaxPrice;
|
||||
emaPrice.MinPrice=smaPrice.MinPrice;
|
||||
emaPrice.AVGPrice = prevEMA.AVGPrice+beta*(smaPrice.CurrentPrice - prevEMA.AVGPrice);
|
||||
emaPrices.Add(emaPrice);
|
||||
}
|
||||
}
|
||||
return emaPrices;
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
MDTrace.WriteLine(LogLevel.DEBUG,exception);
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>Generates a dayCount moving average given prices.</summary>
|
||||
public static DMAPrices GenerateMovingAverage(Prices prices, int dayCount)
|
||||
{
|
||||
try
|
||||
{
|
||||
DMAPrices dmaPrices = new DMAPrices();
|
||||
for (int index = 0; index < prices.Count; index++)
|
||||
{
|
||||
Price price = prices[index];
|
||||
DMAPrice dmaPrice = new DMAPrice();
|
||||
dmaPrice.Symbol = price.Symbol;
|
||||
dmaPrice.Date = price.Date;
|
||||
float[] pricesArray = prices.GetPrices(index, dayCount);
|
||||
if (null == pricesArray) break;
|
||||
dmaPrice.AVGPrice = Numerics.Mean(ref pricesArray);
|
||||
if (double.IsNaN(dmaPrice.AVGPrice)) continue;
|
||||
dmaPrice.CurrentPrice = price.Close;
|
||||
dmaPrices.Add(dmaPrice);
|
||||
}
|
||||
return dmaPrices;
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
MDTrace.WriteLine(LogLevel.DEBUG,exception);
|
||||
return null;
|
||||
}
|
||||
}
|
||||
public static DMAPrices GenerateMovingMinsOnLow(Prices prices, int dayCount)
|
||||
{
|
||||
try
|
||||
{
|
||||
DMAPrices dmaPrices = new DMAPrices();
|
||||
|
||||
for (int index = 0; index < prices.Count; index++)
|
||||
{
|
||||
Price price = prices[index];
|
||||
DMAPrice dmaPrice = new DMAPrice();
|
||||
dmaPrice.Symbol = price.Symbol;
|
||||
dmaPrice.Date = price.Date;
|
||||
float[] pricesArray = prices.GetPricesLow(index, dayCount);
|
||||
if (null == pricesArray) break;
|
||||
dmaPrice.MinPrice = Numerics.Min(ref pricesArray);
|
||||
if (double.IsNaN(dmaPrice.MinPrice)) continue;
|
||||
dmaPrice.CurrentPrice = price.Low;
|
||||
dmaPrices.Add(dmaPrice);
|
||||
}
|
||||
return dmaPrices;
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
|
||||
return null;
|
||||
}
|
||||
}
|
||||
public static DMAPrices GenerateMovingMaxOnHigh(Prices prices, int dayCount)
|
||||
{
|
||||
try
|
||||
{
|
||||
DMAPrices dmaPrices = new DMAPrices();
|
||||
|
||||
for (int index = 0; index < prices.Count; index++)
|
||||
{
|
||||
Price price = prices[index];
|
||||
DMAPrice dmaPrice = new DMAPrice();
|
||||
dmaPrice.Symbol = price.Symbol;
|
||||
dmaPrice.Date = price.Date;
|
||||
float[] pricesArray = prices.GetPricesHigh(index, dayCount);
|
||||
if (null == pricesArray) break;
|
||||
dmaPrice.MaxPrice = Numerics.Max(ref pricesArray);
|
||||
if (double.IsNaN(dmaPrice.MaxPrice)) continue;
|
||||
dmaPrice.CurrentPrice = price.High;
|
||||
dmaPrices.Add(dmaPrice);
|
||||
}
|
||||
return dmaPrices;
|
||||
}
|
||||
catch (Exception exception)
|
||||
{
|
||||
MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
|
||||
return null;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user