public void Standard()
{
List <RsiResult> results = quotes.GetRsi(14).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(488, results.Where(x => x.Rsi != null).Count());
// sample values
RsiResult r1 = results[13];
Assert.AreEqual(null, r1.Rsi);
RsiResult r2 = results[14];
Assert.AreEqual(62.0541, Math.Round((double)r2.Rsi, 4));
RsiResult r3 = results[249];
Assert.AreEqual(70.9368, Math.Round((double)r3.Rsi, 4));
RsiResult r4 = results[501];
Assert.AreEqual(42.0773, Math.Round((double)r4.Rsi, 4));
}
public void GetRsi()
{
int lookbackPeriod = 14;
List <RsiResult> results = Indicator.GetRsi(history, lookbackPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(488, results.Where(x => x.Rsi != null).Count());
// sample values
RsiResult r1 = results[501];
Assert.AreEqual(42.0773m, Math.Round((decimal)r1.Rsi, 4));
RsiResult r2 = results[249];
Assert.AreEqual(70.9368m, Math.Round((decimal)r2.Rsi, 4));
RsiResult r3 = results[14];
Assert.AreEqual(62.0541m, Math.Round((decimal)r3.Rsi, 4));
RsiResult r4 = results[13];
Assert.AreEqual(null, r4.Rsi);
}
// STOCHASTIC RSI
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <StochRsiResult> GetStochRsi <TQuote>(
this IEnumerable <TQuote> quotes,
int rsiPeriods,
int stochPeriods,
int signalPeriods,
int smoothPeriods = 1)
where TQuote : IQuote
{
// check parameter arguments
ValidateStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods);
// initialize
List <RsiResult> rsiResults = GetRsi(quotes, rsiPeriods).ToList();
List <StochRsiResult> results = new(rsiResults.Count);
// convert rsi to quote format
List <Quote> rsiQuotes = rsiResults
.Where(x => x.Rsi != null)
.Select(x => new Quote
{
Date = x.Date,
High = (decimal)x.Rsi,
Low = (decimal)x.Rsi,
Close = (decimal)x.Rsi
})
.ToList();
// get Stochastic of RSI
List <StochResult> stoResults =
GetStoch(rsiQuotes, stochPeriods, signalPeriods, smoothPeriods)
.ToList();
// compose
for (int i = 0; i < rsiResults.Count; i++)
{
RsiResult r = rsiResults[i];
int index = i + 1;
StochRsiResult result = new()
{
Date = r.Date
};
if (index >= rsiPeriods + stochPeriods)
{
StochResult sto = stoResults[index - rsiPeriods - 1];
result.StochRsi = sto.Oscillator;
result.Signal = sto.Signal;
}
results.Add(result);
}
return(results);
}
public void Rsi()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(10 + qty);
IEnumerable <RsiResult> r = quotes.GetRsi(14);
RsiResult l = r.LastOrDefault();
Console.WriteLine(
"RSI(14) on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Rsi);
}
}
public void Removed()
{
List <RsiResult> results = quotes.GetRsi(14)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (10 * 14), results.Count);
RsiResult last = results.LastOrDefault();
Assert.AreEqual(42.0773, Math.Round((double)last.Rsi, 4));
}
public void Convergence()
{
int lookbackPeriod = 14;
foreach (int qty in convergeQuantities.Where(q => q > 100 - lookbackPeriod))
{
IEnumerable <Quote> h = HistoryTestData.GetLong(lookbackPeriod + qty);
IEnumerable <RsiResult> r = Indicator.GetRsi(h, lookbackPeriod);
RsiResult l = r.LastOrDefault();
Console.WriteLine("RSI({0}) on {1:d} with {2,4} periods: {3:N8}",
lookbackPeriod, l.Date, h.Count(), l.Rsi);
}
}
public void GetRsiTest()
{
int lookbackPeriod = 14;
IEnumerable <RsiResult> results = Indicator.GetRsi(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(488, results.Where(x => x.Rsi != null).Count());
// sample value
RsiResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(42.0773m, Math.Round((decimal)r.Rsi, 4));
}
// CONNORS RSI
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ConnorsRsiResult> GetConnorsRsi <TQuote>(
this IEnumerable <TQuote> quotes,
int rsiPeriods = 3,
int streakPeriods = 2,
int rankPeriods = 100)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateConnorsRsi(rsiPeriods, streakPeriods, rankPeriods);
// initialize
List <ConnorsRsiResult> results = CalcConnorsRsiBaseline(bdList, rsiPeriods, rankPeriods);
int startPeriod = Math.Max(rsiPeriods, Math.Max(streakPeriods, rankPeriods)) + 2;
// RSI of streak
List <BasicD> bdStreak = results
.Where(x => x.Streak != null)
.Select(x => new BasicD {
Date = x.Date, Value = (double)x.Streak
})
.ToList();
List <RsiResult> rsiStreakResults = CalcRsi(bdStreak, streakPeriods);
// compose final results
for (int p = streakPeriods + 2; p < results.Count; p++)
{
ConnorsRsiResult r = results[p];
RsiResult k = rsiStreakResults[p - 1];
r.RsiStreak = k.Rsi;
if (p + 1 >= startPeriod)
{
r.ConnorsRsi = (r.RsiClose + r.RsiStreak + r.PercentRank) / 3;
}
}
return(results);
}
public void GetRsiTest()
{
int lookbackPeriod = 14;
IEnumerable <RsiResult> results = Indicator.GetRsi(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(488, results.Where(x => x.Rsi != null).Count());
Assert.AreEqual(487, results.Where(x => x.IsIncreasing != null).Count());
// sample value
RsiResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)42.0773, Math.Round((decimal)r.Rsi, 4));
Assert.AreEqual(true, r.IsIncreasing);
}
public void GetRsiSmall()
{
int lookbackPeriod = 1;
List <RsiResult> results = Indicator.GetRsi(history, lookbackPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(501, results.Where(x => x.Rsi != null).Count());
// sample values
RsiResult r1 = results[28];
Assert.AreEqual(100m, Math.Round((decimal)r1.Rsi, 4));
RsiResult r2 = results[52];
Assert.AreEqual(0m, Math.Round((decimal)r2.Rsi, 4));
}
public void GetRsiSmallPeriodTest()
{
int lookbackPeriod = 1;
IEnumerable <RsiResult> results = Indicator.GetRsi(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(501, results.Where(x => x.Rsi != null).Count());
// sample values
RsiResult r1 = results.Where(x => x.Index == 29).FirstOrDefault();
Assert.AreEqual(100m, Math.Round((decimal)r1.Rsi, 4));
RsiResult r2 = results.Where(x => x.Index == 53).FirstOrDefault();
Assert.AreEqual(0m, Math.Round((decimal)r2.Rsi, 4));
}
public void SmallLookback()
{
int lookbackPeriods = 1;
List <RsiResult> results = quotes.GetRsi(lookbackPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(501, results.Where(x => x.Rsi != null).Count());
// sample values
RsiResult r1 = results[28];
Assert.AreEqual(100, r1.Rsi);
RsiResult r2 = results[52];
Assert.AreEqual(0, r2.Rsi);
}