74 lines
3.3 KiB
C#
74 lines
3.3 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Text;
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using MarketData.Generator.MovingAverage;
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using MarketData.MarketDataModel;
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// Filename: BollingerBandGenerator.cs
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// Author:Sean Kessler
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// Date:05/2013
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namespace MarketData.Generator
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{
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/// <summary>GenerateBollingerBands - Bollinger band generator utility class</summary>
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public class BollingerBandGenerator
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{
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private BollingerBandGenerator()
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{
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}
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public static BollingerBands GenerateBollingerBands(Prices prices,int movingAverageDays=20)
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{
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try
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{
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double standardDeviations = 2.00;
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BollingerBands bollingerBands = new BollingerBands();
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Dictionary<DateTime, DMADeviation> deviationsByDate = new Dictionary<DateTime, DMADeviation>();
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Dictionary<DateTime, DMAPrice> averagesByDate = new Dictionary<DateTime, DMAPrice>();
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if (movingAverageDays < 20) standardDeviations = 1.9;
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else if (movingAverageDays >= 20) standardDeviations = 2.1;
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if (null == prices || prices.Count < movingAverageDays * 2) return null;
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DMAPrices dmaPrices = MovingAverageGenerator.GenerateMovingAverage(prices, movingAverageDays);
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DMADeviations dmaDeviations = MovingDeviation.GenerateMovingDeviation(prices, movingAverageDays);
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for (int index = 0; index < dmaPrices.Count; index++)
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{
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DMAPrice dmaPrice = dmaPrices[index];
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if (!averagesByDate.ContainsKey(dmaPrice.Date)) averagesByDate.Add(dmaPrice.Date, dmaPrice);
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}
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for (int index = 0; index < dmaDeviations.Count; index++)
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{
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DMADeviation dmaDeviation = dmaDeviations[index];
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if (!deviationsByDate.ContainsKey(dmaDeviation.Date)) deviationsByDate.Add(dmaDeviation.Date, dmaDeviation);
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}
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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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if (!deviationsByDate.ContainsKey(price.Date) || !averagesByDate.ContainsKey(price.Date)) continue;
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DMADeviation dmaDeviation = deviationsByDate[price.Date];
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DMAPrice dmaPrice = averagesByDate[price.Date];
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BollingerBandElement bollingerBandElement = new BollingerBandElement();
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bollingerBandElement.Symbol = price.Symbol;
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bollingerBandElement.Date = price.Date;
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bollingerBandElement.Open = price.Open;
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bollingerBandElement.High = price.High;
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bollingerBandElement.Low = price.Low;
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bollingerBandElement.Close = price.Close;
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bollingerBandElement.Volume = price.Volume;
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bollingerBandElement.SMAN = dmaPrice.AVGPrice;
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bollingerBandElement.StDevN = dmaDeviation.StDevPrice;
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bollingerBandElement.K = bollingerBandElement.SMAN + (standardDeviations * bollingerBandElement.StDevN);
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bollingerBandElement.L = bollingerBandElement.SMAN - (standardDeviations * bollingerBandElement.StDevN);
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bollingerBandElement.KL1 = bollingerBandElement.SMAN + ((standardDeviations - 1) * bollingerBandElement.StDevN);
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bollingerBandElement.LP1 = bollingerBandElement.SMAN - ((standardDeviations - 1) * bollingerBandElement.StDevN);
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bollingerBands.Add(bollingerBandElement);
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}
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return bollingerBands;
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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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}
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}
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