rd.snowflake
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    /* Copyright (c) 2015 daneko  * All rights reserved.  *   * Permission is hereby granted, free  of charge, to any person obtaining  * a  copy  of this  software  and  associated  documentation files  (the  * "Software"), to  deal in  the Software without  restriction, including  * without limitation  the rights to  use, copy, modify,  merge, publish,  * distribute,  sublicense, and/or sell  copies of  the Software,  and to  * permit persons to whom the Software  is furnished to do so, subject to  * the following conditions:  *   * The  above  copyright  notice  and  this permission  notice  shall  be  * included in all copies or substantial portions of the Software.  *   * THE  SOFTWARE IS  PROVIDED  "AS  IS", WITHOUT  WARRANTY  OF ANY  KIND,  * EXPRESS OR  IMPLIED, INCLUDING  BUT NOT LIMITED  TO THE  WARRANTIES OF  * MERCHANTABILITY,    FITNESS    FOR    A   PARTICULAR    PURPOSE    AND  * NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE  * LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION  * OF CONTRACT, TORT OR OTHERWISE,  ARISING FROM, OUT OF OR IN CONNECTION  * WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.  */ /*  * site: http://daneko.blog.jp/archives/1028380181.html  * http://ctdn.com/algos/indicators/show/849  */ using System; using System.Collections.Generic; using System.Linq; using cAlgo.API; using cAlgo.API.Internals; using cAlgo.API.Indicators;   namespace cAlgo {     [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]     public class RankCorrelationIndex : Indicator     {         [Parameter("Source (default close)")]         public DataSeries Source { get; set; }           [Parameter("periods", DefaultValue = 9, MinValue = 1)]         public int periods { get; set; }           [Output("Main")]         public IndicatorDataSeries Result { get; set; }           /**          * for cBot          */         public static RankCorrelationIndex Create(IIndicatorsAccessor indicators, DataSeries source, int periods = 9)         {             if (periods < 1)             {                 throw new ArgumentException("period < 1");             }               return indicators.GetIndicator<RankCorrelationIndex>(source, periods);         }           protected override void Initialize()         {             if (IsBacktesting)             {                 var test = new List<double>                  {                     99,                     98,                     97,                     96,                     105                 };                 var d = CalculateD(test);                 if (d != 20)                     throw new InvalidProgramException();             }         }           public override void Calculate(int index)         {             if (index < periods)             {                 return;             }               var d = CalculateD(Enumerable.Range(0, periods).Select(i => Source[index - i]));               Result[index] = (1 - (6 * d) / (periods * (Math.Pow(periods, 2) - 1))) * 100;         }             /**          * var test = new List<double> { 99,98,97,96,105 };          * var d = CalculateD(test);          * assert d == 20          * @param source desc time          */         int CalculateD(IEnumerable<double> source)         {             return source.Select((v, i) => Tuple.Create(i + 1, v)).OrderByDescending(v => v.Item2).Select((v, i) => (int)Math.Pow(i + 1 - v.Item1, 2)).Sum();         }     } }
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