diff --git a/Quantower/Indicators/RSI_chart.cs b/Quantower/Indicators/RSI_chart.cs new file mode 100644 index 00000000..d5b840e7 --- /dev/null +++ b/Quantower/Indicators/RSI_chart.cs @@ -0,0 +1,53 @@ +using System.Drawing; +using TradingPlatform.BusinessLayer; +namespace QuanTAlib; + +public class RSI_chart : Indicator +{ + #region Parameters + + [InputParameter("Smoothing period", 0, 1, 999, 1, 1)] + private int Period = 10; + + [InputParameter("Data source", 1, variants: new object[] + { "Open", 0, "High", 1, "Low", 2, "Close", 3, "HL2", 4, "OC2", 5, + "OHL3", 6, "HLC3", 7, "OHLC4", 8, "Weighted (HLCC4)", 9 })] + private int DataSource = 8; + + #endregion Parameters + + private TBars bars; + + /////// + private RSI_Series indicator; + /////// + + public RSI_chart() + { + this.SeparateWindow = true; + this.Name = "RSI - Relative Strength Index"; + this.Description = "RSI description"; + this.AddLineSeries("RSI", Color.RoyalBlue, 3, LineStyle.Solid); + } + + protected override void OnInit() + { + this.bars = new(); + this.ShortName = + "RSI (" + TBars.SelectStr(this.DataSource) + ", " + this.Period + ")"; + this.indicator = new(source: bars.Select(this.DataSource), + period: this.Period, useNaN: true); + } + protected override void OnUpdate(UpdateArgs args) + { + bool update = !(args.Reason == UpdateReason.NewBar || + args.Reason == UpdateReason.HistoricalBar); + this.bars.Add(this.Time(), this.GetPrice(PriceType.Open), + this.GetPrice(PriceType.High), this.GetPrice(PriceType.Low), + this.GetPrice(PriceType.Close), + this.GetPrice(PriceType.Volume), update); + double result = this.indicator[this.indicator.Count - 1].v; + + this.SetValue(result, 0); + } +} diff --git a/Source/Indicators/MACD_Series.cs b/Source/Indicators/MACD_Series.cs new file mode 100644 index 00000000..0e75a26e --- /dev/null +++ b/Source/Indicators/MACD_Series.cs @@ -0,0 +1,46 @@ +namespace QuanTAlib; +using System; + +/* +MACD: Moving Average Convergence/Divergence + Moving average convergence divergence (MACD) is a trend-following momentum + indicator that shows the relationship between two moving averages of a series. + The MACD is calculated by subtracting the 26-period exponential moving average (EMA) + from the 12-period EMA. MACD Signal is 9-day EMA of MACD. + +Sources: + https://www.investopedia.com/terms/m/macd.asp + https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/macd + + */ + +public class MACD_Series : Single_TSeries_Indicator +{ + private EMA_Series _TSslow; + private EMA_Series _TSfast; + private SUB_Series _TSmacd; + public EMA_Series Signal { get; } + + public MACD_Series(TSeries source, int slow = 26, int fast = 12, int signal = 9, bool useNaN = false) + : base(source, period: 0, useNaN) + { + _TSslow = new(source: source, period: slow, useNaN: false); + _TSfast = new(source: source, period: fast, useNaN: false); + _TSmacd = new(_TSfast, _TSslow); + Signal = new(source: _TSmacd, period: signal, useNaN: useNaN); + + if (source.Count > 0) { base.Add(_TSmacd); } + } + public override void Add((System.DateTime t, double v) TValue, bool update) + { + double _macd; + if (update) + { + _TSslow.Add(TValue, true); + _TSfast.Add(TValue, true); + } + _macd = this._TSmacd[(this.Count < this._TSmacd.Count) ? this.Count : this._TSmacd.Count - 1].v; + var result = (TValue.t, _macd); + base.Add(result, update); + } +} \ No newline at end of file diff --git a/Source/Indicators/RSI_Series.cs b/Source/Indicators/RSI_Series.cs new file mode 100644 index 00000000..e9d57f39 --- /dev/null +++ b/Source/Indicators/RSI_Series.cs @@ -0,0 +1,73 @@ +namespace QuanTAlib; +using System; + +/* +RSI: Relative Strength Index + Created by J. Welles Wilder, the Relative Strength Index measures strength + of the winning/losing streak over N lookback periods on a scale of 0 to 100, + to depict overbought and oversold conditions. + +Sources: + https://www.investopedia.com/terms/r/rsi.asp + + */ + +public class RSI_Series : Single_TSeries_Indicator +{ + private readonly System.Collections.Generic.List _gain = new(); + private readonly System.Collections.Generic.List _loss = new(); + double _avgGain = 0; + double _avgLoss = 0; + double _lastValue = 0; + double _lastlastValue = 0; + + public RSI_Series(TSeries source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN) + { if (source.Count > 0) { base.Add(source); } } + + public override void Add((System.DateTime t, double v) TValue, bool update) + { + int i = this.Count; + double _rsi = 0; + if (update) { _lastValue = _lastlastValue; } + if (i == 0) { _lastValue = TValue.v; } + + double _gainval = (TValue.v > _lastValue) ? TValue.v - _lastValue : 0; + if (update) { _gain[_gain.Count - 1] = _gainval; } else { _gain.Add(_gainval); } + if (_gain.Count > this._p) { _gain.RemoveAt(0); } + + double _lossval = (TValue.v < _lastValue) ? _lastValue - TValue.v : 0; + if (update) { _loss[_loss.Count - 1] = _lossval; } else { _loss.Add(_lossval); } + if (_loss.Count > this._p) { _loss.RemoveAt(0); } + + _lastlastValue = _lastValue; + _lastValue = TValue.v; + + // calculate RSI + if (i > _p) + { + _avgGain = ((_avgGain * (_p - 1)) + _gain[_gain.Count - 1]) / _p; + _avgLoss = ((_avgLoss * (_p - 1)) + _loss[_loss.Count - 1]) / _p; + if (_avgLoss > 0) { + double rs = _avgGain / _avgLoss; + _rsi = 100 - (100 / (1 + rs)); + } + else { _rsi = 100; } + } + // initialize average gain + else + { + double _sumGain = 0; + for (int p = 0; p < _gain.Count; p++) { _sumGain += _gain[p]; } + double _sumLoss = 0; + for (int p = 0; p < _loss.Count; p++) { _sumLoss += _loss[p]; } + + _avgGain = _sumGain / _gain.Count; + _avgLoss = _sumLoss / _loss.Count; + + _rsi = (_avgLoss > 0) ? 100 - (100 / (1 + (_avgGain / _avgLoss))) : 100; + } + + var result = (TValue.t, (this.Count < this._p && this._NaN) ? double.NaN : _rsi); + base.Add(result, update); + } +} \ No newline at end of file