public void getValueOnDeepIndicesShouldNotCauseStackOverflow()
{
ITimeSeries series = new MockTimeSeries();
series.SetMaximumBarCount(5000);
Assert.AreEqual(5000, series.GetBarCount());
KAMAIndicator kama = new KAMAIndicator(new ClosePriceIndicator(series), 10, 2, 30);
Assert.AreEqual(kama.GetValue(3000), 2999.75M);
}
public void getValueWithOldResultsRemoval()
{
decimal[] data = new decimal[20];
Arrays.fill(data, 1);
ITimeSeries timeSeries = new MockTimeSeries(data);
SMAIndicator sma = new SMAIndicator(new ClosePriceIndicator(timeSeries), 10);
Assert.AreEqual(sma.GetValue(5), 1);
Assert.AreEqual(sma.GetValue(10), 1);
timeSeries.SetMaximumBarCount(12);
Assert.AreEqual(sma.GetValue(19), 1);
}
public void getValueOnResultsCalculatedFromRemovedBarsShouldReturnFirstRemainingResult()
{
ITimeSeries timeSeries = new MockTimeSeries(1, 1, 1, 1, 1);
timeSeries.SetMaximumBarCount(3);
Assert.AreEqual(2, timeSeries.GetRemovedBarsCount());
SMAIndicator sma = new SMAIndicator(new ClosePriceIndicator(timeSeries), 2);
for (int i = 0; i < 5; i++)
{
Assert.AreEqual(1, sma.GetValue(i), $"failed for {i}");
}
}
public void strategyExecutionOnCachedIndicatorAndLimitedTimeSeries()
{
ITimeSeries timeSeries = new MockTimeSeries(0, 1, 2, 3, 4, 5, 6, 7);
SMAIndicator sma = new SMAIndicator(new ClosePriceIndicator(timeSeries), 2);
// Theoretical values for SMA(2) cache: 0, 0.5, 1.5, 2.5, 3.5, 4.5, 5.5, 6.5
timeSeries.SetMaximumBarCount(6);
// Theoretical values for SMA(2) cache: null, null, 2, 2.5, 3.5, 4.5, 5.5, 6.5
IStrategy strategy = new BaseStrategy(
new OverIndicatorRule(sma, Decimals.THREE),
new UnderIndicatorRule(sma, Decimals.THREE)
);
// Theoretical shouldEnter results: false, false, false, false, true, true, true, true
// Theoretical shouldExit results: false, false, true, true, false, false, false, false
// As we return the first bar/result found for the removed bars:
// -> Approximated values for ClosePrice cache: 2, 2, 2, 3, 4, 5, 6, 7
// -> Approximated values for SMA(2) cache: 2, 2, 2, 2.5, 3.5, 4.5, 5.5, 6.5
// Then enters/exits are also approximated:
// -> shouldEnter results: false, false, false, false, true, true, true, true
// -> shouldExit results: true, true, true, true, false, false, false, false
Assert.IsFalse(strategy.ShouldEnter(0));
Assert.IsTrue(strategy.ShouldExit(0));
Assert.IsFalse(strategy.ShouldEnter(1));
Assert.IsTrue(strategy.ShouldExit(1));
Assert.IsFalse(strategy.ShouldEnter(2));
Assert.IsTrue(strategy.ShouldExit(2));
Assert.IsFalse(strategy.ShouldEnter(3));
Assert.IsTrue(strategy.ShouldExit(3));
Assert.IsTrue(strategy.ShouldEnter(4));
Assert.IsFalse(strategy.ShouldExit(4));
Assert.IsTrue(strategy.ShouldEnter(5));
Assert.IsFalse(strategy.ShouldExit(5));
Assert.IsTrue(strategy.ShouldEnter(6));
Assert.IsFalse(strategy.ShouldExit(6));
Assert.IsTrue(strategy.ShouldEnter(7));
Assert.IsFalse(strategy.ShouldExit(7));
}