Initial Commit

MarketData/MarketDataLib/MarketDataModel/BollingerBand.cs

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+using System;
+using System.Collections.Generic;
+using System.Text;
+using System.Linq;
+using MarketData.Utils;
+using MarketData.Numerical;
+
+namespace MarketData.MarketDataModel
+{
+  public class BollingerBandElementsByDate : Dictionary<DateTime, BollingerBandElement>
+  {
+    public BollingerBandElementsByDate()
+    {
+    }
+  }
+  public class BollingerBands : BollingerBandElements 
+  {
+    public BollingerBands()
+    {
+    }
+    public BollingerBands(List<BollingerBandElement> bollingerBandElements)
+    {
+      foreach(BollingerBandElement bollingerBandElement in bollingerBandElements)Add(bollingerBandElement);
+    }
+    public static String GetHeader(int movingAverageDays=20)
+    {
+      StringBuilder sb = new StringBuilder();
+      sb.Append("Date,Symbol,Open,High,Low,Close,Volume,SMA(").Append(movingAverageDays).Append("),StDev(").Append(movingAverageDays).Append("),K,L,K-1,L+1");
+      return sb.ToString();
+    }
+    public BollingerBandElementsByDate GetBollingerBandElementsByDate()
+    {
+      BollingerBandElementsByDate bollingerBandElementsByDate = new BollingerBandElementsByDate();
+      for (int index = 0; index < Count; index++)
+      {
+        BollingerBandElement bollingerBandElement = this[index];
+        if (!bollingerBandElementsByDate.ContainsKey(bollingerBandElement.Date)) bollingerBandElementsByDate.Add(bollingerBandElement.Date, bollingerBandElement);
+      }
+      return bollingerBandElementsByDate;
+    }
+  }
+// **********************************************************************************
+  public class BollingerBandElements : List<BollingerBandElement>
+  {
+    public BollingerBandElements()
+    {
+    }
+    public BollingerBandElements(List<BollingerBandElement> bollingerBandElements)
+    {
+      foreach(BollingerBandElement bollingerBandElement in bollingerBandElements)Add(bollingerBandElement);
+    }
+		public LeastSquaresResult LeastSquaresFitClose()
+		{
+			double[] closingPrices=(from BollingerBandElement bollingerBandElement in this select bollingerBandElement.Close).ToList().ToArray();
+			LeastSquaresResult leastSquaresResult=Numerics.LeastSquares(closingPrices);
+			return leastSquaresResult;
+		}
+  }
+  public class BollingerBandElement
+  {                                                                                 
+    private DateTime date;
+    private String symbol;
+    private double open;
+    private double high;
+    private double low;
+    private double close;
+    private long volume;
+    private double smaN;
+    private double stdevN;
+    private double k;
+    private double l;
+    private double kl1;
+    private double lp1;
+
+    public BollingerBandElement()
+    {
+    }
+    public DateTime Date
+    {
+      get { return date; }
+      set { date = value; }
+    }
+    public String Symbol
+    {
+      get { return symbol; }
+      set { symbol = value; }
+    }
+    public double Open
+    {
+      get { return open; }
+      set { open = value; }
+    }
+    public double High
+    {
+      get { return high; }
+      set { high = value; }
+    }
+    public double Low
+    {
+      get { return low; }
+      set { low = value; }
+    }
+    public double Close
+    {
+      get { return close; }
+      set { close = value; }
+    }
+    public double SMAN
+    {
+      get { return smaN; }
+      set { smaN = value; }
+    }
+    public double StDevN
+    {
+      get { return stdevN; }
+      set { stdevN = value; }
+    }
+    public long Volume
+    {
+      get { return volume; }
+      set { volume = value; }
+    }
+    public double K
+    {
+      get { return k; }
+      set { k = value; }
+    }
+    public double L
+    {
+      get { return l; }
+      set { l = value; }
+    }
+    public double KL1
+    {
+      get { return kl1; }
+      set { kl1 = value; }
+    }
+    public double LP1
+    {
+      get { return lp1; }
+      set { lp1 = value; }
+    }
+    public override String ToString()
+    {
+      StringBuilder sb = new StringBuilder();
+      sb.Append(Utility.DateTimeToStringMMSDDSYYYY(Date)).Append(",");
+      sb.Append(Symbol).Append(",");
+      sb.Append(Open).Append(",");
+      sb.Append(High).Append(",");
+      sb.Append(Low).Append(",");
+      sb.Append(Close).Append(",");
+      sb.Append(Volume).Append(",");
+      sb.Append(SMAN).Append(",");
+      sb.Append(StDevN).Append(",");
+      sb.Append(K).Append(",");
+      sb.Append(L).Append(",");
+      sb.Append(KL1).Append(",");
+      sb.Append(LP1);
+      return sb.ToString();
+    }
+  }
+}