public void Removed()
{
List <WmaResult> results = quotes.GetWma(20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
WmaResult last = results.LastOrDefault();
Assert.AreEqual(246.5110m, Math.Round((decimal)last.Wma, 4));
}
public void Standard()
{
List <WmaResult> results = quotes.GetWma(20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Wma != null).Count());
// sample values
WmaResult r1 = results[149];
Assert.AreEqual(235.5253m, Math.Round((decimal)r1.Wma, 4));
WmaResult r2 = results[501];
Assert.AreEqual(246.5110m, Math.Round((decimal)r2.Wma, 4));
}
public void GetWmaTest()
{
int lookbackPeriod = 20;
IEnumerable <WmaResult> results = Indicator.GetWma(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Wma != null).Count());
// sample values
WmaResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(246.5110m, Math.Round((decimal)r1.Wma, 4));
WmaResult r2 = results.Where(x => x.Index == 150).FirstOrDefault();
Assert.AreEqual(235.5253m, Math.Round((decimal)r2.Wma, 4));
}
public void GetWma()
{
int lookbackPeriod = 20;
List <WmaResult> results = Indicator.GetWma(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(502 - lookbackPeriod + 1, results.Where(x => x.Wma != null).Count());
// sample values
WmaResult r1 = results[501];
Assert.AreEqual(246.5110m, Math.Round((decimal)r1.Wma, 4));
WmaResult r2 = results[149];
Assert.AreEqual(235.5253m, Math.Round((decimal)r2.Wma, 4));
}
// HULL MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <HmaResult> GetHma <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateHma(lookbackPeriods);
// initialize
List <Quote> synthHistory = new();
List <WmaResult> wmaN1 = GetWma(quotes, lookbackPeriods).ToList();
List <WmaResult> wmaN2 = GetWma(quotes, lookbackPeriods / 2).ToList();
// roll through quotes, to get interim synthetic quotes
for (int i = 0; i < quotesList.Count; i++)
{
TQuote q = quotesList[i];
Quote sh = new()
{
Date = q.Date
};
WmaResult w1 = wmaN1[i];
WmaResult w2 = wmaN2[i];
if (w1.Wma != null && w2.Wma != null)
{
sh.Close = (decimal)((w2.Wma * 2m) - w1.Wma);
synthHistory.Add(sh);
}
}
// add back truncated null results
int sqN = (int)Math.Sqrt(lookbackPeriods);
int shiftQty = lookbackPeriods - 1;
List <HmaResult> results = quotesList
.Take(shiftQty)
.Select(x => new HmaResult
{
Date = x.Date
})
.ToList();
// calculate final HMA = WMA with period SQRT(n)
List <HmaResult> hmaResults = synthHistory.GetWma(sqN)
.Select(x => new HmaResult
{
Date = x.Date,
Hma = x.Wma
})
.ToList();
// add WMA to results
results.AddRange(hmaResults);
results = results.OrderBy(x => x.Date).ToList();
return(results);
}