[Parameter(DefaultValue = 3.0,MinValue = 1, MaxValue = 4)]
public int degree { get; set; }
[Parameter(DefaultValue = 120)]
public int period { get; set; }
[Parameter(DefaultValue = 1.62)]
public double strdDev { get; set; }
[Parameter(DefaultValue = 2)]
public double strdDev2 { get; set; }
[Output("PRC",Color=Colors.Gray)]
public IndicatorDataSeries prc { get; set; }
[Output("SQH",Color=Colors.Red)]
public IndicatorDataSeries sqh { get; set; }
[Output("SQL",Color=Colors.Blue)]
public IndicatorDataSeries sql { get; set; }
[Output("SQL2",Color=Colors.Blue)]
public IndicatorDataSeries sql2 { get; set; }
[Output("SQH2",Color=Colors.Red)]
public IndicatorDataSeries sqh2 { get; set; }
private double[,] ai = new double[10,10];
private double[] b = new double[10];
private double[] x = new double[10];
private double[] sx = new double[10];
private double sum;
private int ip;
private int p;
private int n;
private int f;
private double qq;
private double mm;
private double tt;
private int ii;
private int jj;
private int kk;
private int ll;
private int nn;
private double sq;
private double sq2;
private int i0 = 0;
private int mi;
public override void Calculate(int index)
{
ip = period;
p = ip;
sx[1] = p + 1;
nn = degree + 1;
//----------------------sx-------------------------------------------------------------------
for(mi=1;mi<=nn*2-2;mi++) //
{
sum=0;
for(n=i0;n<=i0+p;n++)
{
sum+=Math.Pow(n,mi);
}
sx[mi+1]=sum;
}
//----------------------syx-----------
for(mi=1;mi<=nn;mi++)
{
sum=0.00000;
for(n=i0;n<=i0+p;n++)
{
if(mi==1) sum+=MarketSeries.Close[index-n];
else sum+=MarketSeries.Close[index-n]*Math.Pow(n,mi-1);
}
b[mi]=sum;
}
//===============Matrix=======================================================================================================
for(jj=1;jj<=nn;jj++)
{
for(ii=1; ii<=nn; ii++)
{
kk=ii+jj-1;
ai[ii,jj]=sx[kk];
}
}
//===============Gauss========================================================================================================
for(kk=1; kk<=nn-1; kk++)
{
ll=0;
mm=0;
for(ii=kk; ii<=nn; ii++)
{
if(Math.Abs(ai[ii,kk])>mm)
{
mm=Math.Abs(ai[ii,kk]);
ll=ii;
}
}
if(ll==0) return;
if (ll!=kk)
{
for(jj=1; jj<=nn; jj++)
{
tt=ai[kk,jj];
ai[kk,jj]=ai[ll,jj];
ai[ll,jj]=tt;
}
tt=b[kk];
b[kk]=b[ll];
b[ll]=tt;
}
for(ii=kk+1;ii<=nn;ii++)
{
qq=ai[ii,kk]/ai[kk,kk];
for(jj=1;jj<=nn;jj++)
{
if(jj==kk) ai[ii,jj]=0;
else ai[ii,jj]=ai[ii,jj]-qq*ai[kk,jj];
}
b[ii]=b[ii]-qq*b[kk];
}
}
x[nn]=b[nn]/ai[nn,nn];
for(ii=nn-1;ii>=1;ii--)
{
tt=0;
for(jj=1;jj<=nn-ii;jj++)
{
tt=tt+ai[ii,ii+jj]*x[ii+jj];
x[ii]=(1/ai[ii,ii])*(b[ii]-tt);
}
}
sq=0.0;
sq2=0.0;
for(n=i0;n<=i0+p;n++)
{
sum=0;
for(kk=1;kk<=degree;kk++)
{
sum+=x[kk+1]*Math.Pow(n,kk);
}
prc[index-n]=(x[1]+sum);
sq+=Math.Pow(MarketSeries.Close[index-n]-prc[index-n],2);
sq2+=Math.Pow(MarketSeries.Close[index-n]-prc[index-n],2);
}
sq=Math.Sqrt(sq/(p+1))*strdDev;
sq2=Math.Sqrt(sq2/(p+1))*strdDev2;
for(n=i0;n<=i0+p;n++)
{
sqh[index-n]=(prc[index-n]+sq);
sql[index-n]=(prc[index-n]-sq);
sqh2[index-n]=(prc[index-n]+sq2);
sql2[index-n]=(prc[index-n]-sq2);
}
}
}
}
.
