public void GetStochStandardTest()
{
int lookbackPeriod = 14;
int signalPeriod = 3;
int smoothPeriod = 3;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(487, results.Where(x => x.Oscillator != null).Count());
Assert.AreEqual(485, results.Where(x => x.Signal != null).Count());
Assert.AreEqual(486, results.Where(x => x.IsIncreasing != null).Count());
// sample value
StochResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)43.1353, Math.Round((decimal)r.Oscillator, 4));
Assert.AreEqual((decimal)35.5674, Math.Round((decimal)r.Signal, 4));
Assert.AreEqual(true, r.IsIncreasing);
}
// 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 Extended() // with extra parameteres
{
List <StochResult> results =
quotes.GetStoch(9, 3, 3, 5, 4, MaType.SMMA)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(494, results.Where(x => x.K != null).Count());
Assert.AreEqual(494, results.Where(x => x.D != null).Count());
// sample values
StochResult r7 = results[7];
Assert.IsNull(r7.K);
Assert.IsNull(r7.D);
Assert.IsNull(r7.J);
StochResult r8 = results[8];
Assert.AreEqual(81.9178m, Math.Round((decimal)r8.K, 4));
Assert.AreEqual(81.9178m, Math.Round((decimal)r8.D, 4));
Assert.AreEqual(81.9178m, Math.Round((decimal)r8.J, 4));
StochResult r17 = results[17];
Assert.AreEqual(82.5181m, Math.Round((decimal)r17.K, 4));
Assert.AreEqual(76.2603m, Math.Round((decimal)r17.D, 4));
Assert.AreEqual(107.5491m, Math.Round((decimal)r17.J, 4));
StochResult r149 = results[149];
Assert.AreEqual(77.1571m, Math.Round((decimal)r149.K, 4));
Assert.AreEqual(72.8206m, Math.Round((decimal)r149.D, 4));
Assert.AreEqual(94.5030m, Math.Round((decimal)r149.J, 4));
StochResult r249 = results[249]; // also testing aliases here
Assert.AreEqual(74.3652m, Math.Round((decimal)r249.K, 4));
Assert.AreEqual(75.5660m, Math.Round((decimal)r249.D, 4));
Assert.AreEqual(69.5621m, Math.Round((decimal)r249.J, 4));
StochResult r501 = results[501];
Assert.AreEqual(46.9807m, Math.Round((decimal)r501.K, 4));
Assert.AreEqual(32.0413m, Math.Round((decimal)r501.D, 4));
Assert.AreEqual(106.7382m, Math.Round((decimal)r501.J, 4));
}
public void Standard() // Slow
{
int lookbackPeriod = 14;
int signalPeriod = 3;
int smoothPeriod = 3;
List <StochResult> results =
Indicator.GetStoch(history, lookbackPeriod, signalPeriod, smoothPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(487, results.Where(x => x.Oscillator != null).Count());
Assert.AreEqual(485, results.Where(x => x.Signal != null).Count());
// sample values
StochResult r1 = results[15];
Assert.AreEqual(81.1253m, Math.Round((decimal)r1.Oscillator, 4));
Assert.IsNull(r1.Signal);
Assert.IsNull(r1.PercentJ);
StochResult r2 = results[17];
Assert.AreEqual(92.1307m, Math.Round((decimal)r2.Oscillator, 4));
Assert.AreEqual(88.4995m, Math.Round((decimal)r2.Signal, 4));
Assert.AreEqual(99.3929m, Math.Round((decimal)r2.PercentJ, 4));
StochResult r3 = results[149];
Assert.AreEqual(81.6870m, Math.Round((decimal)r3.Oscillator, 4));
Assert.AreEqual(79.7935m, Math.Round((decimal)r3.Signal, 4));
Assert.AreEqual(85.4741m, Math.Round((decimal)r3.PercentJ, 4));
StochResult r4 = results[249];
Assert.AreEqual(83.2020m, Math.Round((decimal)r4.Oscillator, 4));
Assert.AreEqual(83.0813m, Math.Round((decimal)r4.Signal, 4));
Assert.AreEqual(83.4435m, Math.Round((decimal)r4.PercentJ, 4));
StochResult r5 = results[501];
Assert.AreEqual(43.1353m, Math.Round((decimal)r5.Oscillator, 4));
Assert.AreEqual(35.5674m, Math.Round((decimal)r5.Signal, 4));
Assert.AreEqual(58.2712m, Math.Round((decimal)r5.PercentJ, 4));
}
public void Standard() // Slow
{
int lookbackPeriods = 14;
int signalPeriods = 3;
int smoothPeriods = 3;
List <StochResult> results =
quotes.GetStoch(lookbackPeriods, signalPeriods, smoothPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(487, results.Where(x => x.Oscillator != null).Count());
Assert.AreEqual(485, results.Where(x => x.Signal != null).Count());
// sample values
StochResult r15 = results[15];
Assert.AreEqual(81.1253m, Math.Round((decimal)r15.Oscillator, 4));
Assert.IsNull(r15.Signal);
Assert.IsNull(r15.PercentJ);
StochResult r17 = results[17];
Assert.AreEqual(92.1307m, Math.Round((decimal)r17.Oscillator, 4));
Assert.AreEqual(88.4995m, Math.Round((decimal)r17.Signal, 4));
Assert.AreEqual(99.3929m, Math.Round((decimal)r17.PercentJ, 4));
StochResult r149 = results[149];
Assert.AreEqual(81.6870m, Math.Round((decimal)r149.Oscillator, 4));
Assert.AreEqual(79.7935m, Math.Round((decimal)r149.Signal, 4));
Assert.AreEqual(85.4741m, Math.Round((decimal)r149.PercentJ, 4));
StochResult r249 = results[249]; // also testing aliases here
Assert.AreEqual(83.2020m, Math.Round((decimal)r249.K, 4));
Assert.AreEqual(83.0813m, Math.Round((decimal)r249.D, 4));
Assert.AreEqual(83.4435m, Math.Round((decimal)r249.J, 4));
StochResult r501 = results[501];
Assert.AreEqual(43.1353m, Math.Round((decimal)r501.Oscillator, 4));
Assert.AreEqual(35.5674m, Math.Round((decimal)r501.Signal, 4));
Assert.AreEqual(58.2712m, Math.Round((decimal)r501.PercentJ, 4));
}
public void GetStochNoSignalTest()
{
int lookbackPeriod = 5;
int signalPeriod = 1;
int smoothPeriod = 3;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// signal equals oscillator
StochResult r1 = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual(r1.Oscillator, r1.Signal);
StochResult r2 = results.Where(x => x.Date == DateTime.ParseExact("12/10/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual(r2.Oscillator, r2.Signal);
}
public void GetStochNoSignalTest()
{
int lookbackPeriod = 5;
int signalPeriod = 1;
int smoothPeriod = 3;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// signal equals oscillator
StochResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(r1.Oscillator, r1.Signal);
StochResult r2 = results.Where(x => x.Index == 488).FirstOrDefault();
Assert.AreEqual(r2.Oscillator, r2.Signal);
}
public void GetStochFastSmallPeriodTest()
{
int lookbackPeriod = 1;
int signalPeriod = 10;
int smoothPeriod = 1;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// sample values
StochResult r1 = results.Where(x => x.Index == 71).FirstOrDefault();
Assert.AreEqual(0m, Math.Round((decimal)r1.Oscillator, 4));
StochResult r2 = results.Where(x => x.Index == 72).FirstOrDefault();
Assert.AreEqual(100m, Math.Round((decimal)r2.Oscillator, 4));
}
public void GetStochFastSmall()
{
int lookbackPeriod = 1;
int signalPeriod = 10;
int smoothPeriod = 1;
List <StochResult> results =
Indicator.GetStoch(history, lookbackPeriod, signalPeriod, smoothPeriod)
.ToList();
// sample values
StochResult r1 = results[70];
Assert.AreEqual(0m, Math.Round((decimal)r1.Oscillator, 4));
StochResult r2 = results[71];
Assert.AreEqual(100m, Math.Round((decimal)r2.Oscillator, 4));
}
public void GetStochNoSignal()
{
int lookbackPeriod = 5;
int signalPeriod = 1;
int smoothPeriod = 3;
List <StochResult> results =
Indicator.GetStoch(history, lookbackPeriod, signalPeriod, smoothPeriod)
.ToList();
// signal equals oscillator
StochResult r1 = results[501];
Assert.AreEqual(r1.Oscillator, r1.Signal);
StochResult r2 = results[487];
Assert.AreEqual(r2.Oscillator, r2.Signal);
}
public void Removed()
{
int lookbackPeriods = 14;
int signalPeriods = 3;
int smoothPeriods = 3;
List <StochResult> results =
quotes.GetStoch(lookbackPeriods, signalPeriods, smoothPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (lookbackPeriods + smoothPeriods - 2), results.Count);
StochResult last = results.LastOrDefault();
Assert.AreEqual(43.1353m, Math.Round((decimal)last.Oscillator, 4));
Assert.AreEqual(35.5674m, Math.Round((decimal)last.Signal, 4));
Assert.AreEqual(58.2712m, Math.Round((decimal)last.PercentJ, 4));
}
public void GetStochFastTest()
{
int lookbackPeriod = 5;
int signalPeriod = 10;
int smoothPeriod = 1;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// sample values
StochResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(91.6233m, Math.Round((decimal)r1.Oscillator, 4));
Assert.AreEqual(36.0608m, Math.Round((decimal)r1.Signal, 4));
StochResult r2 = results.Where(x => x.Index == 488).FirstOrDefault();
Assert.AreEqual(25.0353m, Math.Round((decimal)r2.Oscillator, 4));
Assert.AreEqual(60.5706m, Math.Round((decimal)r2.Signal, 4));
}
public void GetStochFast()
{
int lookbackPeriod = 5;
int signalPeriod = 10;
int smoothPeriod = 1;
List <StochResult> results =
Indicator.GetStoch(history, lookbackPeriod, signalPeriod, smoothPeriod)
.ToList();
// sample values
StochResult r1 = results[501];
Assert.AreEqual(91.6233m, Math.Round((decimal)r1.Oscillator, 4));
Assert.AreEqual(36.0608m, Math.Round((decimal)r1.Signal, 4));
StochResult r2 = results[487];
Assert.AreEqual(25.0353m, Math.Round((decimal)r2.Oscillator, 4));
Assert.AreEqual(60.5706m, Math.Round((decimal)r2.Signal, 4));
}
public void GetStochFastTest()
{
int lookbackPeriod = 5;
int signalPeriod = 10;
int smoothPeriod = 1;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// sample values
StochResult r1 = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)91.6233, Math.Round((decimal)r1.Oscillator, 4));
Assert.AreEqual((decimal)36.0608, Math.Round((decimal)r1.Signal, 4));
Assert.AreEqual(true, r1.IsIncreasing);
StochResult r2 = results.Where(x => x.Date == DateTime.ParseExact("12/10/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)25.0353, Math.Round((decimal)r2.Oscillator, 4));
Assert.AreEqual((decimal)60.5706, Math.Round((decimal)r2.Signal, 4));
Assert.AreEqual(true, r2.IsIncreasing);
}
public void GetStochStandardTest()
{
int lookbackPeriod = 14;
int signalPeriod = 3;
int smoothPeriod = 3;
IEnumerable <StochResult> results = Indicator.GetStoch(
history, lookbackPeriod, signalPeriod, smoothPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(487, results.Where(x => x.Oscillator != null).Count());
Assert.AreEqual(485, results.Where(x => x.Signal != null).Count());
// sample value
StochResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(43.1353m, Math.Round((decimal)r.Oscillator, 4));
Assert.AreEqual(35.5674m, Math.Round((decimal)r.Signal, 4));
}
/// <include file='./info.xml' path='indicator/type[@name="Extended"]/*' />
///
public static IEnumerable <StochResult> GetStoch <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods,
int signalPeriods,
int smoothPeriods,
decimal kFactor,
decimal dFactor,
MaType movingAverageType)
where TQuote : IQuote
{
// convert quotes
List <QuoteD> quotesList = quotes.ConvertToList();
// check parameter arguments
ValidateStoch(
lookbackPeriods, signalPeriods, smoothPeriods,
kFactor, dFactor, movingAverageType);
// initialize
int length = quotesList.Count;
List <StochResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
QuoteD q = quotesList[i];
int index = i + 1;
StochResult result = new()
{
Date = q.Date
};
if (index >= lookbackPeriods)
{
double?highHigh = double.MinValue;
double?lowLow = double.MaxValue;
for (int p = index - lookbackPeriods; p < index; p++)
{
QuoteD x = quotesList[p];
if (x.High > highHigh)
{
highHigh = x.High;
}
if (x.Low < lowLow)
{
lowLow = x.Low;
}
}
result.Oscillator = lowLow != highHigh
? 100 * (decimal?)((q.Close - lowLow) / (highHigh - lowLow))
: 0;
}
results.Add(result);
}
// smooth the oscillator
if (smoothPeriods > 1)
{
results = SmoothOscillator(
results, length, lookbackPeriods, smoothPeriods, movingAverageType);
}
// handle insufficient length
if (length < lookbackPeriods - 1)
{
return(results);
}
// signal (%D) and %J
int signalIndex = lookbackPeriods + smoothPeriods + signalPeriods - 2;
double?s = (double?)results[lookbackPeriods - 1].Oscillator;
for (int i = lookbackPeriods - 1; i < length; i++)
{
StochResult r = results[i];
int index = i + 1;
// add signal
if (signalPeriods <= 1)
{
r.Signal = r.Oscillator;
}
// SMA case
else if (index >= signalIndex && movingAverageType is MaType.SMA)
{
double?sumOsc = 0;
for (int p = index - signalPeriods; p < index; p++)
{
StochResult x = results[p];
sumOsc += (double?)x.Oscillator;
}
r.Signal = (decimal?)(sumOsc / signalPeriods);
}
// SMMA case
else if (i >= lookbackPeriods - 1 && movingAverageType is MaType.SMMA)
{
s = (s == null) ? (double?)results[i].Oscillator : s; // reset if null
s = ((s * (signalPeriods - 1)) + (double?)results[i].Oscillator) / signalPeriods;
r.Signal = (decimal?)s;
}
// %J
r.PercentJ = (kFactor * r.Oscillator) - (dFactor * r.Signal);
}
return(results);
}
