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Miha Kralj
2022-11-12 20:06:54 -08:00
parent 97fb428147
commit 59ca5c2395
80 changed files with 4237 additions and 4257 deletions
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Source/Momentum/CCI_Series.cs
+48 -48
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@@ -1,49 +1,49 @@
namespace QuanTAlib;
using System;
/* <summary>
CCI: Commodity Channel Index
Commodity Channel Index is a momentum oscillator used to primarily identify overbought
and oversold levels relative to a mean. CCI measures the current price level relative
to an average price level over a given period of time:
- CCI is relatively high when prices are far above their average.
- CCI is relatively low when prices are far below their average.
Using this method, CCI can be used to identify overbought and oversold levels.
Sources:
https://www.investopedia.com/terms/c/commoditychannelindex.asp
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cci
</summary> */
public class CCI_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _tp = new();
public CCI_Series(TBars source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN)
{
if (_bars.Count > 0) { base.Add(_bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
{
double _tpItem = (TBar.h + TBar.l + TBar.c) / 3.0;
if (update) { this._tp[this._tp.Count - 1] = _tpItem; } else { this._tp.Add(_tpItem); }
if (this._tp.Count > this._p) { this._tp.RemoveAt(0); }
// average TP over _tp buffer
double _avgTp = 0;
for (int i = 0; i < this._tp.Count; i++) { _avgTp+=this._tp[i]; }
_avgTp /= this._tp.Count;
// average Deviation over _tp buffer
double _avgDv = 0;
for (int i = 0; i < this._tp.Count; i++) { _avgDv += Math.Abs(_avgTp - this._tp[i]); }
_avgDv /= this._tp.Count;
double _cci = (_avgDv == 0) ? double.NaN : (this._tp[this._tp.Count-1] - _avgTp) / (0.015 * _avgDv);
var result = (TBar.t, (this.Count < this._p && this._NaN) ? double.NaN : _cci);
base.Add(result, update);
}
namespace QuanTAlib;
using System;
/* <summary>
CCI: Commodity Channel Index
Commodity Channel Index is a momentum oscillator used to primarily identify overbought
and oversold levels relative to a mean. CCI measures the current price level relative
to an average price level over a given period of time:
- CCI is relatively high when prices are far above their average.
- CCI is relatively low when prices are far below their average.
Using this method, CCI can be used to identify overbought and oversold levels.
Sources:
https://www.investopedia.com/terms/c/commoditychannelindex.asp
https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cci
</summary> */
public class CCI_Series : Single_TBars_Indicator
{
private readonly System.Collections.Generic.List<double> _tp = new();
public CCI_Series(TBars source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN)
{
if (_bars.Count > 0) { base.Add(_bars); }
}
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
{
double _tpItem = (TBar.h + TBar.l + TBar.c) / 3.0;
if (update) { this._tp[this._tp.Count - 1] = _tpItem; } else { this._tp.Add(_tpItem); }
if (this._tp.Count > this._p) { this._tp.RemoveAt(0); }
// average TP over _tp buffer
double _avgTp = 0;
for (int i = 0; i < this._tp.Count; i++) { _avgTp+=this._tp[i]; }
_avgTp /= this._tp.Count;
// average Deviation over _tp buffer
double _avgDv = 0;
for (int i = 0; i < this._tp.Count; i++) { _avgDv += Math.Abs(_avgTp - this._tp[i]); }
_avgDv /= this._tp.Count;
double _cci = (_avgDv == 0) ? double.NaN : (this._tp[this._tp.Count-1] - _avgTp) / (0.015 * _avgDv);
var result = (TBar.t, (this.Count < this._p && this._NaN) ? double.NaN : _cci);
base.Add(result, update);
}
}