public void ComparesWithExternalDataDelayedKijunSenkouA()
{
var ichimoku = new IchimokuKinkoHyo("Ichimoku", 9, 26, 26, 52, 26, 26);
TestHelper.TestIndicator(
ichimoku,
"spy_with_ichimoku.csv",
"DelayedKijunSenkouA",
(ind, expected) => Assert.AreEqual(expected, (double)((IchimokuKinkoHyo)ind).DelayedKijunSenkouA.Current.Value)
);
}
public void ComparesAgainstExternalDataOnStochasticsK()
{
var stochastics = new Stochastic("sto", 12, 3, 5);
const double epsilon = 1e-3;
TestHelper.TestIndicator(stochastics, "spy_with_stoch12k3.txt", "Stochastics 12 %K 3",
(ind, expected) => Assert.AreEqual(expected, (double)((Stochastic)ind).StochK.Current.Value, epsilon)
);
}
public void ComparesAgainstExternalData()
{
var onBalanceVolumeIndicator = new OnBalanceVolume("OBV");
TestHelper.TestIndicator(onBalanceVolumeIndicator, "spy_with_obv.txt", "OBV",
(ind, expected) => Assert.AreEqual(
expected.ToString("0.##E-00"),
(onBalanceVolumeIndicator.Current.Value).ToString("0.##E-00")
)
);
}
public void ComparesAgainstExternalData()
{
var adx = new AverageDirectionalIndex("adx", 14);
const double epsilon = 1;
TestHelper.TestIndicator(adx, "spy_with_adx.txt", "ADX 14",
(ind, expected) => Assert.AreEqual(expected, (double)((AverageDirectionalIndex)ind).Current.Value, epsilon)
);
}
public void ComparesWithExternalDataTenkanMaximum()
{
var ichimoku = new IchimokuKinkoHyo("Ichimoku", 9, 26, 26, 52, 26, 26);
TestHelper.TestIndicator(
ichimoku,
"spy_with_ichimoku.csv",
"TenkanMaximum",
(ind, expected) => Assert.AreEqual(expected, (double)((IchimokuKinkoHyo)ind).TenkanMaximum.Current.Value)
);
}
public void PrimaryOutputIsFastStochProperty()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Stochastics 12 %K 3",
(ind, expected) => Assert.AreEqual(
(double)((Stochastic)ind).FastStoch.Current.Value,
ind.Current.Value
)
);
}
public void ComparesTimeStampBetweenKeltnerChannelAndMiddleBand()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Middle Band",
(ind, expected) => Assert.AreEqual(
((KeltnerChannels)ind).Current.EndTime,
((KeltnerChannels)ind).MiddleBand.Current.EndTime
)
);
}
public void ComparesWithExternalDataKijun()
{
var ichimoku = new IchimokuKinkoHyo("Ichimoku", 9, 26, 26, 52, 26, 26);
ichimoku.Current.Time.ToString();
TestHelper.TestIndicator(
ichimoku,
"spy_with_ichimoku.csv",
"Kijun",
(ind, expected) => Assert.AreEqual(expected, (double)((IchimokuKinkoHyo)ind).Kijun.Current.Value)
);
}
public void ComparesWithExternalDataUpperBand()
{
var abands = CreateIndicator();
TestHelper.TestIndicator(
abands,
"spy_acceleration_bands_20_4.txt",
"UpperBand",
(ind, expected) => Assert.AreEqual(expected, (double)((AccelerationBands)ind).UpperBand.Current.Value,
delta: 1e-4, message: "Upper band test fail.")
);
}
public void ComparesAgainstExternalDataOnStochasticsK()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Stochastics 12 %K 3",
(ind, expected) => Assert.AreEqual(
expected,
(double)((Stochastic)ind).StochK.Current.Value,
1e-3
)
);
}
public void ComparesWithExternalDataLowerBand()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Keltner Channels 20 Bottom",
(ind, expected) => Assert.AreEqual(
expected,
(double)((KeltnerChannels)ind).LowerBand.Current.Value,
1e-3
)
);
}
public override void ComparesAgainstExternalData()
{
const double epsilon = .0001;
var adx = CreateIndicator();
TestHelper.TestIndicator(adx, TestFileName, "+DI14",
(ind, expected) => Assert.AreEqual(expected, (double)((AverageDirectionalIndex)ind).PositiveDirectionalIndex.Current.Value, epsilon)
);
adx.Reset();
TestHelper.TestIndicator(adx, TestFileName, "-DI14",
(ind, expected) => Assert.AreEqual(expected, (double)((AverageDirectionalIndex)ind).NegativeDirectionalIndex.Current.Value, epsilon)
);
}
public void ComparesWithExternalDataMacdSignal()
{
var macd = CreateIndicator();
TestHelper.TestIndicator(
macd,
TestFileName,
"Signal",
(ind, expected) => Assert.AreEqual(
expected,
(double)((MovingAverageConvergenceDivergence)ind).Signal.Current.Value,
delta: 1e-4
)
);
}
/// <summary>
/// Executes a test of the specified indicator
/// </summary>
protected virtual void RunTestIndicator(IndicatorBase <T> indicator)
{
if (indicator is IndicatorBase <IndicatorDataPoint> )
{
TestHelper.TestIndicator(indicator as IndicatorBase <IndicatorDataPoint>, TestFileName, TestColumnName, Assertion as Action <IndicatorBase <IndicatorDataPoint>, double>);
}
else if (indicator is IndicatorBase <TradeBar> )
{
TestHelper.TestIndicator(indicator as IndicatorBase <TradeBar>, TestFileName, TestColumnName, Assertion as Action <IndicatorBase <TradeBar>, double>);
}
else
{
throw new NotSupportedException("RunTestIndicator: Unsupported indicator data type: " + typeof(T));
}
}
public void ComparesWithExternalDataSignal()
{
var tsi = CreateIndicator();
TestHelper.TestIndicator(
tsi,
TestFileName,
"Signal_7",
(ind, expected) => Assert.AreEqual(
expected,
(double)((TrueStrengthIndex)ind).Signal.Current.Value,
delta: 1e-4
)
);
}
public override void ComparesAgainstExternalDataAfterReset()
{
var indicator = new HeikinAshi();
for (var i = 1; i <= 2; i++)
{
TestHelper.TestIndicator(indicator, TestFileName, "HA_Open", (ind, expected) => Assert.AreEqual(expected, (double)((HeikinAshi)ind).Open.Current.Value, 1e-3));
indicator.Reset();
TestHelper.TestIndicator(indicator, TestFileName, "HA_High", (ind, expected) => Assert.AreEqual(expected, (double)((HeikinAshi)ind).High.Current.Value, 1e-3));
indicator.Reset();
TestHelper.TestIndicator(indicator, TestFileName, "HA_Low", (ind, expected) => Assert.AreEqual(expected, (double)((HeikinAshi)ind).Low.Current.Value, 1e-3));
indicator.Reset();
TestHelper.TestIndicator(indicator, TestFileName, "HA_Close", (ind, expected) => Assert.AreEqual(expected, (double)((HeikinAshi)ind).Close.Current.Value, 1e-3));
indicator.Reset();
}
}
public void ComparesAgainstExternalData()
{
var onBalanceVolumeIndicator = new OnBalanceVolume("OBV")
{
Current =
{
Time = new DateTime(2013, 4, 30),
Value = decimal.Parse("1.156486E+08", NumberStyles.Float, CultureInfo.InvariantCulture)
}
};
TestHelper.TestIndicator(onBalanceVolumeIndicator, "spy_with_obv.txt", "OBV",
(ind, expected) => Assert.AreEqual(
expected.ToString("0.##E-00"),
(onBalanceVolumeIndicator.Current.Value).ToString("0.##E-00")
)
);
}
public void ComparesWithExternalDataLowerBand()
{
var bb = new BollingerBands(20, 2.0m, MovingAverageType.Simple);
TestHelper.TestIndicator(bb, "spy_bollinger_bands.txt", "Bollinger Bands® 20 2 Bottom", (BollingerBands ind) => (double)ind.LowerBand.Current.Value);
}
public void CompareAgainstExternalData()
{
var sma = new SimpleMovingAverage(14);
TestHelper.TestIndicator(sma, "SMA14", 1e-2); // test file only has
}
public void ComparesAgainstExternalDataSma()
{
var rsiSimple = new RelativeStrengthIndex("rsi", 14, MovingAverageType.Simple);
TestHelper.TestIndicator(rsiSimple, "RSI 14");
}
public void ComparesWithExternalData()
{
var psar = new ParabolicStopAndReverse();
TestHelper.TestIndicator(psar, "spy_parabolic_SAR.txt", "Parabolic SAR 0.02 0.20");
}
public void ComparesAgainstExternalData()
{
var cci = new CommodityChannelIndex(14);
TestHelper.TestIndicator(cci, "spy_with_cci.txt", "Commodity Channel Index (CCI) 14", 1e-2);
}
public override void ComparesAgainstExternalData()
{
var atrSimple = new AverageTrueRange(14, MovingAverageType.Simple);
TestHelper.TestIndicator(atrSimple, "spy_atr.txt", "Average True Range 14");
}
private void RunTestIndicator(IndicatorBase <IndicatorDataPoint> indicator, string field, decimal variance)
{
TestHelper.TestIndicator(indicator, TestFileName, field, (actual, expected) => { AssertResult(expected, actual.Current.Value, variance); });
}
private static void RunTestIndicator(TradeBarIndicator indicator)
{
TestHelper.TestIndicator(indicator, "spy_natr.txt", "NATR_5", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, 1e-3));
}
public void ComparesAgainstExternalData()
{
var mfi = new MoneyFlowIndex(20);
TestHelper.TestIndicator(mfi, "spy_mfi.txt", "Money Flow Index 20");
}
private static void TestIndicator(ChandeMomentumOscillator cmo)
{
TestHelper.TestIndicator(cmo, "spy_cmo.txt", "CMO_5", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, 1e-3));
}
private static void RunTestIndicator(TradeBarIndicator indicator)
{
TestHelper.TestIndicator(indicator, "frama.txt", "Filt", (actual, expected) => { AssertResult(expected, actual.Current.Value); });
}
public void ComparesAgainstExternalData()
{
var ema = new ExponentialMovingAverage(14);
TestHelper.TestIndicator(ema, "spy_with_indicators.txt", "EMA14", TestHelper.AssertDeltaDecreases(2.5e-2));
}
private static void RunTestIndicator(DoubleExponentialMovingAverage dema)
{
TestHelper.TestIndicator(dema, "spy_dema.txt", "DEMA_5", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, 1e-2));
}
