Analiza techniczna - Parabolic Stop and Reverse Indicator

Question

Próbuję zbudować klasę do stworzenia serii SAR. Ale wygląda na to, że nie rozumiem dobrze tych kroków. Nie jestem pewien co do początkowych wartości obliczeń.

Oto moja pierwsza próba:

public class SAR : IndicatorCalculatorBase 
{ 
    public override List<Ohlc> OhlcList { get; set; } 
    public double AccelerationFactor = 0.02; 
    public double MaximumAccelerationFactor = 0.2; 

    public override IIndicatorSerie Calculate() 
    { 
     SingleDoubleSerie sarSerie = new SingleDoubleSerie(); 

     bool trendUp = false, trendChanged = false; 
     double instantFactor = AccelerationFactor; 

     for (int i = 1; i < OhlcList.Count; i++) 
     { 
      if (OhlcList[i].Low > OhlcList[i - 1].Low) // uptrend 
      { 
       if (!trendUp) 
       { 
        trendUp = true; 
        trendChanged = true; 
        instantFactor = AccelerationFactor; 
       } 
       else 
       { 
        if (instantFactor + AccelerationFactor <= MaximumAccelerationFactor) 
        { 
         instantFactor += AccelerationFactor; 
        } 
       } 
      } 
      else if (OhlcList[i].Low < OhlcList[i - 1].Low) // downtrend 
      { 
       if (trendUp) 
       { 
        trendUp = false; 
        trendChanged = true; 
        instantFactor = AccelerationFactor; 
       } 
       else 
       { 
        if (instantFactor + AccelerationFactor <= MaximumAccelerationFactor) 
        { 
         instantFactor += AccelerationFactor; 
        } 
       } 
      } 
      else 
      { 
       // ? 
      } 
     } 

     return sarSerie; 
    } 
} 

Czy ktoś próbował zrobić tego wcześniej?

Oto plik CSV używam:

https://drive.google.com/file/d/0Bwv_-8Q17wGaRDVCa2FhMWlyRUk/view

Korzystanie z funkcji SAR w pakiecie TTR dla R:

table <- read.csv("table.csv", header = TRUE, sep = ",") 
sar <- SAR(table[,c("High","Low")]) 
sar 

uzyskać następujące wyniki:

[1] 160.03441 160.17173 160.30629 160.43817 160.71224 161.26890 162.04099 
[8] 162.75131 170.92000 170.92000 170.54080 170.17677 169.62316 168.76051 
[15] 167.58446 166.21112 165.00259 163.93908 163.00319 156.14000 156.14000 
[22] 156.60440 157.34394 158.03910 158.69255 159.54515 160.32954 161.05117 
[29] 161.71508 162.62857 163.70634 171.61000 171.61000 171.16840 170.74446 
[36] 170.11000 169.51360 168.95298 167.99674 166.85007 165.58046 164.46320 
[43] 163.48002 162.27322 160.96710 159.14602 157.44882 156.69000 156.69000 
[50] 155.45000 154.37200 153.53116 152.69088 152.33000 150.57720 148.81404 
[57] 148.50000 147.15600 146.69000 142.54000 142.54000 142.77480 143.00021 
[64] 143.45320 144.34254 145.16074 145.91348 146.60600 147.24312 147.82927 
[71] 148.51634 154.70000 154.70000 154.32640 153.71582 152.72495 151.29746 
[78] 149.67776 147.73347 146.06139 145.16000 135.79000 135.79000 136.17800 
[85] 136.91732 137.88153 139.05938 140.36506 141.51405 142.52516 143.63464 
[92] 144.74750 146.05295 147.79636 149.64516 151.08722 152.31909 157.25000 
[99] 157.25000 157.01640 156.64342 155.92234 155.00811 154.18530 153.10826 
[106] 151.91291 150.97000 150.97000 149.73000 141.55000 152.00000 152.00000 
[113] 151.42600 150.87496 149.98426 148.75272 147.23345 145.41384 143.40570 
[120] 141.21119 139.10317 137.37460 129.50000 129.50000 129.95600 130.39376 
[127] 130.81401 131.21745 131.60475 131.97656 132.33350 132.67616 133.00511 
[134] 140.90000 140.90000 140.51600 140.14736 131.30000 131.30000 131.88280 
[141] 132.44229 132.97940 133.78463 134.54155 135.25306 146.40000 146.40000 
[148] 145.91200 145.44352 144.99378 144.56203 144.30000 144.30000 134.20000 
[155] 134.20000 134.77000 135.31720 136.19217 137.01464 137.78776 138.86234 
[162] 140.21110 141.42499 142.75400 145.31544 147.51827 149.41272 151.04194 
[169] 152.44307 153.97217 155.62238 166.71000 155.00000 155.00000 156.25640 
[176] 157.46254 158.62044 159.73202 160.79914 161.82358 162.80703 163.75115 
[183] 164.65751 165.52761 166.36290 167.16479 167.93460 168.67361 169.38307 
[190] 170.06414 170.71798 171.34566 171.94823 172.52670 173.08204 186.41000 
[197] 186.41000 185.76880 185.15325 184.17625 182.88215 181.33994 179.37915 
[204] 176.40146 173.33403 170.37770 167.53616 164.83541 162.31171 160.39370 
[211] 160.21000 158.79640 157.72206 154.32000 154.32000 158.19000 158.19000 
[218] 157.90800 157.63728 157.15804 156.70756 156.08056 148.87000 148.87000 
[225] 149.21000 159.94000 159.94000 159.45480 158.98901 158.54185 147.81000 
[232] 147.81000 148.73760 149.62810 150.48297 151.30365 152.09151 152.84785 
[239] 153.57393 154.86310 156.66845 158.87660 160.86394 162.65255 164.26229 
[246] 178.75000 178.75000 178.12840 177.53166 176.95880 176.40885 175.88089 
[253] 175.37406 174.46361 173.60780 172.80333 172.04713 171.33630 170.66812 
[260] 170.04004 169.44963 168.89466 168.37298 160.20000 160.20000 160.55840 
[267] 161.20470 161.81221 162.38328 163.16062 163.87577 164.85119 165.72907 
[274] 166.98558 168.45060 170.01851 171.70358 173.08533 174.75427 175.32000 
[281] 181.43000 181.43000 181.01280 180.30463 179.40186 178.33568 177.62000 
[288] 165.30000 165.30000 165.83120 166.68733 167.94834 169.64251 171.16726 
[295] 172.88719 174.93998 176.70538 178.45652 180.68915 183.27132 185.10000 
[302] 186.80000 187.61000 193.60000 193.60000 193.24000 192.47860 191.12831 
[309] 189.88605 188.74316 187.69171 186.72437 185.83442 175.60000 175.60000 
[316] 176.09600 176.57216 177.02927 188.00000 188.00000 187.49840 186.63810 
[323] 185.82941 184.57346 182.83211 180.69826 177.99090 175.04036 171.99829 
[330] 169.50380 167.45832 166.25000 158.14000 158.14000 158.47080 158.78837 
[337] 159.09323 166.41000 166.41000 166.07360 165.54118 165.49000 165.49000 
[344] 164.99260 164.52504 157.20000 157.20000 157.74960 158.27722 158.78373 
[351] 159.26998 159.73678 170.94000 170.94000 170.41840 169.91766 169.43696 
[358] 168.97548 168.27735 167.37676 166.54822 165.44540 164.04915 162.17047 
[365] 159.91599 157.24012 154.03209 151.14523 147.32558 146.97000 146.46000 
[372] 135.23000 135.23000 135.81280 136.37229 136.90940 137.42502 137.60000 
[379] 149.80000 149.80000 149.28840 148.79726 148.32577 147.87314 147.43862 
[386] 137.01000 137.01000 137.52920 138.32485 139.07276 140.04054 140.74000 
[393] 140.74000 141.57440 151.17000 151.17000 150.69480 150.23861 149.30089 
[400] 148.41944 147.25948 146.19232 145.21054 144.30730 143.09657 141.39778 
[407] 139.53049 138.96000 128.06000 128.06000 128.60000 129.11840 141.56000 
[414] 141.56000 140.94400 139.99816 138.52631 136.65368 134.57604 132.74771 
[421] 130.71243 128.65284 125.90373 123.64946 113.38000 113.38000 113.57000 
[428] 114.21020 115.57498 131.27000 131.27000 130.51920 129.79843 129.10649 
[435] 128.44223 126.97210 125.01273 122.55746 120.34771 118.35894 116.56905 
[442] 115.65000 114.13100 111.84728 109.83761 108.06909 105.89642 104.02792 
[449] 102.42101 100.46245 97.78361 93.64689 89.05617 85.70000 72.78000 
[456] 72.78000 73.42240 74.42966 75.94568 77.75112 79.37600 79.79000 
[463] 94.00000 94.00000 93.41080 92.84517 79.27000 79.27000 80.01840 
[470] 80.73686 81.42659 82.46059 83.43256 83.45000 98.66000 98.66000 
[477] 97.85640 97.08494 96.34435 95.63337 94.38157 92.65264 90.09938 
[484] 87.15105 83.80491 79.85692 76.54061 59.13000 59.13000 59.92000 
[491] 61.35040 63.39197 65.27021 67.52819 70.48881 73.09415 75.38685 
[498] 76.31000 92.20000 92.20000 91.51320 90.85387 90.22092 89.30106 
[505] 88.43640 87.62361 86.54493 84.74443 82.38830 80.31490 78.49032 
[512] 77.87000 65.11000 78.53000 78.53000 77.98960 77.03742 75.80000 
[519] 60.22000 60.22000 61.05880 81.19000 81.19000 79.83880 78.54165 
[526] 77.29638 76.10093 74.95329 73.85156 73.64000 47.41000 47.41000 
[533] 48.68240 50.67246 53.72266 57.82139 62.28283 66.89823 70.86748 
[540] 75.72868 80.58532 82.22000 85.90820 89.72656 95.50672 101.43070 
[547] 107.19992 123.80000 123.80000 123.00800 104.00000 128.00000 128.00000 
[554] 125.84000 123.76640 74.00000 74.00000 76.14040 80.09198 83.80646 
[561] 87.29807 90.58019 93.66537 96.56545 99.29153 101.85403 104.26279 
[568] 106.52702 144.98000 144.98000 142.63320 86.31000 86.31000 89.32840 
[575] 92.22606 95.00782 99.41015 105.25334 110.62907 115.57475 120.12477 
[582] 124.31079 128.16192 131.70497 134.96457 137.96341 140.72233 143.26055 
[589] 145.59570 147.74405 149.72052 151.53888 153.21177 154.75083 156.16676 
[596] 157.89809 160.93432 163.60620 165.95745 168.02656 169.84737 171.44969 
[603] 173.48673 175.50005 186.83000 186.83000 186.24600 172.23000 172.23000 
[610] 172.94240 173.62630 174.28285 174.85000 190.04000 190.04000 188.52840 
[617] 187.07726 185.68417 184.34681 183.06293 181.91000 152.25000 152.25000 
[624] 153.46560 154.63258 155.75287 156.82836 157.86082 159.60977 161.25379 
[631] 162.79916 164.25181 165.61730 166.90086 168.10741 169.24157 187.01000 
[638] 187.01000 185.97800 184.98728 184.03619 183.12314 182.24662 181.40515 
[645] 180.59734 179.82185 179.50000 179.50000 178.76840 178.06606 161.21000 
[652] 161.21000 162.10800 163.47552 165.54308 167.94977 170.57180 173.64035 
[659] 176.73789 179.33983 181.52546 183.36138 186.07553 188.71043 191.44053 
[666] 203.39000 203.39000 202.84720 201.97137 201.14809 200.37420 198.69306 
[673] 196.62376 194.76138 193.08524 191.14421 187.77802 184.27914 180.21130 
[680] 176.87566 174.14044 161.68000 161.68000 162.47280 163.62943 164.71667 
[687] 165.73867 166.69935 181.75000 181.75000 180.99400 180.26824 162.85000 
[694] 162.85000 163.71680 164.54893 184.52000 184.52000 182.75000 181.05080 
[701] 179.41957 177.85359 176.35024 174.90703 173.52155 172.19149 170.91463 
[708] 169.68884 140.27000 140.27000 141.87040 144.23498 146.45768 148.54702 
[715] 150.51100 152.35714 154.09251 156.27471 158.28233 160.12934 162.28941 
[722] 165.16468 168.64163 172.16137 176.05092 179.24035 182.85428 188.38634 
[729] 193.28082 193.40000 193.40000 208.78000 208.78000 208.02520 207.30059 
[736] 205.93796 203.49652 201.25040 175.42000 175.42000 176.47440 178.01914 
[743] 179.47119 180.83612 182.11915 183.32520 184.45889 186.02218 188.32396 
[750] 191.53108 195.06733 198.10851 201.25915 203.90568 205.02000 217.80000 
[757] 217.80000 217.11360 215.90078 215.20000 215.20000 196.90000 196.90000 
[764] 198.12200 199.29512 200.42132 201.50246 202.54036 203.53675 205.08554 
[771] 207.41630 209.56060 234.22000 234.22000 233.06800 231.96208 230.90040 
[778] 229.88118 229.57000 205.42000 205.42000 206.80520 208.13499 240.05000 
[785] 240.05000 238.51080 237.03317 235.61464 201.57000 201.57000 203.28360 
[792] 206.12858 208.80287 211.31670 213.67970 215.80000 215.80000 250.70000 
[799] 250.70000 249.19200 247.74432 246.35455 245.02037 243.73955 242.50997 
[806] 241.32957 240.19639 239.70000 238.63200 237.60672 236.62245 235.67755 
[813] 234.77045 233.89963 233.06365 232.26110 230.97344 229.20036 227.05132 
[820] 224.22877 221.31834 218.38740 212.81147 207.51718 202.69320 198.13963 
[827] 193.86533 190.70234 187.28569 183.59998 181.01999 175.00000 183.70000 
[834] 183.70000 183.14360 182.23018 181.37157 180.56448 167.92000 167.92000 
[841] 168.43840 168.93606 169.41382 180.88000 180.88000 179.94000 157.38000 
[848] 157.38000 158.57480 160.49931 163.53937 166.33622 168.90932 171.27657 
[855] 173.45445 175.45809 177.81128 179.92916 181.83524 184.00181 186.76656 
[862] 189.61351 192.90148 196.71518 201.28784 205.42356 209.76463 213.59654 
[869] 216.35551 223.45000 223.45000 214.65000 214.65000 215.09480 215.52181 
[876] 215.93174 225.77000 225.77000 225.28680 224.52319 223.80540 212.56000 
[883] 212.56000 213.13360 214.16538 215.13526 216.04695 216.90393 217.70949 
[890] 218.98393 220.15642 233.64000 233.64000 233.04440 232.47262 231.92372 
[897] 218.75000 218.75000 219.35880 219.94325 220.50432 221.04295 221.56003 
[904] 222.05643 222.53297 222.99045 223.42963 223.85125 224.25600 224.26000 
[911] 233.97000 233.97000 233.52920 233.10603 232.69979 232.30980 231.65701 
[918] 230.60845 229.29261 227.61949 226.14715 215.35000 215.35000 215.80040 
[925] 216.23278 216.64787 226.61000 226.61000 226.10440 225.35054 223.97209 
[932] 222.13588 220.12638 218.35801 216.80185 215.43243 214.22734 213.16686 
[939] 212.23363 210.98153 209.90471 208.97865 203.29000 203.29000 203.64720 
[946] 203.99011 204.16000 212.22000 212.22000 211.74880 210.94007 210.17987 
[953] 209.16868 208.56000 207.67840 206.86733 206.12114 205.05903 203.69594 
[960] 201.75751 189.85000 189.85000 190.41000 191.60940 193.75025 196.35522 
[967] 199.52260 202.30988 204.76270 206.92117 208.82063 210.47000 222.75000 
[974] 222.75000 222.23480 221.48931 220.78855 220.12984 219.51065 218.92861 
[981] 218.19272 217.10245 216.12120 215.23808 207.29000 207.29000 207.81880 
[988] 208.32645 208.81379 208.84000 209.10000 209.55640 209.99454 220.51000 
[995] 220.51000 219.74960 219.01962 217.76444 216.17528 214.71326 

Oto kod źródłowy, który wykonuje obliczenia:

https://github.com/joshuaulrich/TTR/blob/master/R/SAR.R https://github.com/joshuaulrich/TTR/blob/master/src/sar.c

Każdy może pomóc mi tłumaczenia obliczenia do C#?

Dzięki z góry,

Answer 1

Oto moje tłumaczenie:

public class SAR : IndicatorCalculatorBase 
{ 
    protected override List<Ohlc> OhlcList { get; set; } 
    public double AccelerationFactor = 0.02; 
    public double MaximumAccelerationFactor = 0.2; 

    public SAR() 
    { 

    } 

    public SAR(double accelerationFactor, double maximumAccelerationFactor) 
    { 
     this.AccelerationFactor = accelerationFactor; 
     this.MaximumAccelerationFactor = maximumAccelerationFactor; 
    } 

    public override IIndicatorSerie Calculate() 
    { 
     SingleDoubleSerie sarSerie = new SingleDoubleSerie(); 

     // Difference of High and Low 
     List<double> differences = new List<double>(); 
     for (int i = 0; i < OhlcList.Count; i++) 
     { 
      double difference = OhlcList[i].High - OhlcList[i].Low; 
      differences.Add(difference); 
     } 

     // STDEV of differences 
     double stDev = Statistics.StandardDeviation(differences); 

     double?[] sarArr = new double?[OhlcList.Count]; 

     double[] highList = OhlcList.Select(x => x.High).ToArray(); 
     double[] lowList = OhlcList.Select(x => x.Low).ToArray(); 

     /* Find first non-NA value */ 
     int beg = 1; 
     for (int i = 0; i < OhlcList.Count; i++) 
     { 
      if (OhlcList[i].High == 0 || OhlcList[i].Low == 0) 
      { 
       sarArr[i] = 0; 
       beg++; 
      } 
      else 
      { 
       break; 
      } 
     } 

     /* Initialize values needed by the routine */ 
     int sig0 = 1, sig1 = 0; 
     double xpt0 = highList[beg - 1], xpt1 = 0; 
     double af0 = AccelerationFactor, af1 = 0; 
     double lmin, lmax; 
     sarArr[beg - 1] = lowList[beg - 1] - stDev; 

     for (int i = beg; i < OhlcList.Count; i++) 
     { 
      /* Increment signal, extreme point, and acceleration factor */ 
      sig1 = sig0; 
      xpt1 = xpt0; 
      af1 = af0; 

      /* Local extrema */ 
      lmin = (lowList[i - 1] > lowList[i]) ? lowList[i] : lowList[i - 1]; 
      lmax = (highList[i - 1] > highList[i]) ? highList[i - 1] : highList[i]; 
      /* Create signal and extreme price vectors */ 
      if (sig1 == 1) 
      { /* Previous buy signal */ 
       sig0 = (lowList[i] > sarArr[i - 1]) ? 1 : -1; /* New signal */ 
       xpt0 = (lmax > xpt1) ? lmax : xpt1;    /* New extreme price */ 
      } 
      else 
      {   /* Previous sell signal */ 
       sig0 = (highList[i] < sarArr[i - 1]) ? -1 : 1; /* New signal */ 
       xpt0 = (lmin > xpt1) ? xpt1 : lmin;    /* New extreme price */ 
      } 

      /* 
       * Calculate acceleration factor (af) 
       * and stop-and-reverse (sar) vector 
      */ 

      /* No signal change */ 
      if (sig0 == sig1) 
      { 
       /* Initial calculations */ 
       sarArr[i] = sarArr[i - 1] + (xpt1 - sarArr[i - 1]) * af1; 
       af0 = (af1 == MaximumAccelerationFactor) ? MaximumAccelerationFactor : (AccelerationFactor + af1); 
       /* Current buy signal */ 
       if (sig0 == 1) 
       { 
        af0 = (xpt0 > xpt1) ? af0 : af1; /* Update acceleration factor */ 
        sarArr[i] = (sarArr[i] > lmin) ? lmin : sarArr[i]; /* Determine sar value */ 
       } 
       /* Current sell signal */ 
       else 
       { 
        af0 = (xpt0 < xpt1) ? af0 : af1; /* Update acceleration factor */ 
        sarArr[i] = (sarArr[i] > lmax) ? sarArr[i] : lmax; /* Determine sar value */ 
       } 
      } 
      else /* New signal */ 
      { 
       af0 = AccelerationFactor; /* reset acceleration factor */ 
       sarArr[i] = xpt0; /* set sar value */ 
      } 
     } 

     sarSerie.Values = sarArr.ToList(); 

     return sarSerie; 
    } 
} 

Answer 2

nie mogę ręczyć za dokładność wykonania, bo nie byli go uruchomić, ale starają http://www.smartquant.com/forums/viewtopic.php?t=7498