public void subSeriesCreation()
{
ITimeSeries subSeries = defaultSeries.GetSubSeries(2, 5);
Assert.AreEqual(defaultSeries.Name, subSeries.Name);
Assert.AreEqual(0, subSeries.GetBeginIndex());
Assert.AreEqual(defaultSeries.GetBeginIndex(), subSeries.GetBeginIndex());
Assert.AreEqual(2, subSeries.GetEndIndex());
Assert.AreNotEqual(defaultSeries.GetEndIndex(), subSeries.GetEndIndex());
Assert.AreEqual(3, subSeries.GetBarCount());
subSeries = defaultSeries.GetSubSeries(-1000, 1000);
Assert.AreEqual(0, subSeries.GetBeginIndex());
Assert.AreEqual(defaultSeries.GetEndIndex(), subSeries.GetEndIndex());
}
public void test()
{
AroonOscillatorIndicator aroonOscillator = new AroonOscillatorIndicator(data, 25);
Assert.AreEqual(aroonOscillator.GetValue(data.GetBeginIndex()), 0);
Assert.AreEqual(aroonOscillator.GetValue(data.GetBeginIndex() + 25), 84M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetBeginIndex() + 26), 80M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetBeginIndex() + 27), 76M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex() - 5), 56M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex() - 4), 52M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex() - 3), 48M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex() - 2), 44M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex() - 1), 40M);
Assert.AreEqual(aroonOscillator.GetValue(data.GetEndIndex()), 32M);
}
/**
* Calculates the Maximum drawdown from a cash flow over a series.
* @param series the time series
* @param cashFlow the cash flow
* @return the Maximum drawdown from a cash flow over a series
*/
private decimal CalculateMaximumDrawdown(ITimeSeries series, CashFlow cashFlow)
{
decimal MaximumDrawdown = Decimals.Zero;
decimal MaxPeak = Decimals.Zero;
if (!series.IsEmpty())
{
// The series is not empty
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
decimal value = cashFlow.GetValue(i);
if (value.IsGreaterThan(MaxPeak))
{
MaxPeak = value;
}
decimal drawdown = MaxPeak.Minus(value).DividedBy(MaxPeak);
if (drawdown.IsGreaterThan(MaximumDrawdown))
{
MaximumDrawdown = drawdown;
}
}
}
return(MaximumDrawdown);
}
public void getEndGetBeginGetBarCountIsEmpty()
{
// series
Assert.AreEqual(0, defaultSeries.GetBeginIndex());
Assert.AreEqual(bars.Count - 1, defaultSeries.GetEndIndex());
Assert.AreEqual(bars.Count, defaultSeries.GetBarCount());
Assert.IsFalse(defaultSeries.IsEmpty());
// Constrained series
Assert.AreEqual(2, constrainedSeries.GetBeginIndex());
Assert.AreEqual(4, constrainedSeries.GetEndIndex());
Assert.AreEqual(3, constrainedSeries.GetBarCount());
Assert.IsFalse(constrainedSeries.IsEmpty());
// Empty series
Assert.AreEqual(-1, emptySeries.GetBeginIndex());
Assert.AreEqual(-1, emptySeries.GetEndIndex());
Assert.AreEqual(0, emptySeries.GetBarCount());
Assert.IsTrue(emptySeries.IsEmpty());
}
public override decimal Calculate(ITimeSeries series, Trade trade)
{
ITradingRecord fakeRecord = new BaseTradingRecord();
fakeRecord.Enter(series.GetBeginIndex());
fakeRecord.Exit(series.GetEndIndex());
return(_criterion.Calculate(series, trade) / _criterion.Calculate(series, fakeRecord));
}
public void addBar()
{
defaultSeries = new BaseTimeSeries();
IBar firstBar = new MockBar(new DateTime(2014, 6, 13, 0, 0, 0, 0), 1M);
IBar secondBar = new MockBar(new DateTime(2014, 6, 14, 0, 0, 0, 0), 2M);
Assert.AreEqual(0, defaultSeries.GetBarCount());
Assert.AreEqual(-1, defaultSeries.GetBeginIndex());
Assert.AreEqual(-1, defaultSeries.GetEndIndex());
defaultSeries.AddBar(firstBar);
Assert.AreEqual(1, defaultSeries.GetBarCount());
Assert.AreEqual(0, defaultSeries.GetBeginIndex());
Assert.AreEqual(0, defaultSeries.GetEndIndex());
defaultSeries.AddBar(secondBar);
Assert.AreEqual(2, defaultSeries.GetBarCount());
Assert.AreEqual(0, defaultSeries.GetBeginIndex());
Assert.AreEqual(1, defaultSeries.GetEndIndex());
}
public void dpo()
{
DPOIndicator dpo = new DPOIndicator(series, 9);
ClosePriceIndicator cp = new ClosePriceIndicator(series);
SMAIndicator sma = new SMAIndicator(cp, 9);
int timeShift = 9 / 2 + 1;
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
Assert.AreEqual(dpo.GetValue(i), cp.GetValue(i).Minus(sma.GetValue(i - timeShift)));
}
Assert.AreEqual(dpo.GetValue(9), 0.112M);
Assert.AreEqual(dpo.GetValue(10), -0.02M);
Assert.AreEqual(dpo.GetValue(11), 0.211428571428571428571428571M);
Assert.AreEqual(dpo.GetValue(12), 0.17M);
}
protected override decimal Calculate(int index)
{
decimal sar = Decimals.NaN;
if (index == _series.GetBeginIndex())
{
return(sar); // no trend detection possible for the first value
}
else if (index == _series.GetBeginIndex() + 1)
{// start trend detection
_currentTrend = _series.GetBar(_series.GetBeginIndex()).ClosePrice.IsLessThan(_series.GetBar(index).ClosePrice);
if (!_currentTrend)
{ // down trend
sar = _maxPriceIndicator.GetValue(index); // put sar on Max price of candlestick
_currentExtremePoint = sar;
_minMaxExtremePoint = _currentExtremePoint;
}
else
{ // up trend
sar = _minPriceIndicator.GetValue(index); // put sar on Min price of candlestick
_currentExtremePoint = sar;
_minMaxExtremePoint = _currentExtremePoint;
}
return(sar);
}
decimal priorSar = GetValue(index - 1);
if (_currentTrend)
{ // if up trend
sar = priorSar.Plus(_accelerationFactor.MultipliedBy((_currentExtremePoint.Minus(priorSar))));
_currentTrend = _minPriceIndicator.GetValue(index).IsGreaterThan(sar);
if (!_currentTrend)
{ // check if sar touches the Min price
sar = _minMaxExtremePoint; // sar starts at the highest extreme point of previous up trend
_currentTrend = false; // switch to down trend and reset values
_startTrendIndex = index;
_accelerationFactor = _accelarationStart;
_currentExtremePoint = _series.GetBar(index).MinPrice; // put point on Max
_minMaxExtremePoint = _currentExtremePoint;
}
else
{ // up trend is going on
_currentExtremePoint = new HighestValueIndicator(_maxPriceIndicator, index - _startTrendIndex).GetValue(index);
if (_currentExtremePoint.IsGreaterThan(_minMaxExtremePoint))
{
IncrementAcceleration();
_minMaxExtremePoint = _currentExtremePoint;
}
}
}
else
{ // downtrend
sar = priorSar.Minus(_accelerationFactor.MultipliedBy(((priorSar.Minus(_currentExtremePoint)))));
_currentTrend = _maxPriceIndicator.GetValue(index).IsGreaterThanOrEqual(sar);
if (_currentTrend)
{ // check if switch to up trend
sar = _minMaxExtremePoint; // sar starts at the lowest extreme point of previous down trend
_accelerationFactor = _accelarationStart;
_startTrendIndex = index;
_currentExtremePoint = _series.GetBar(index).MaxPrice;
_minMaxExtremePoint = _currentExtremePoint;
}
else
{ // down trend io going on
_currentExtremePoint = new LowestValueIndicator(_minPriceIndicator, index - _startTrendIndex).GetValue(index);
if (_currentExtremePoint.IsLessThan(_minMaxExtremePoint))
{
IncrementAcceleration();
_minMaxExtremePoint = _currentExtremePoint;
}
}
}
return(sar);
}
/**
* Runs the provided strategy over the managed series.
* <p>
* @param strategy the trading strategy
* @param orderType the {@link OrderType} used to open the trades
* @param amount the amount used to open/close the trades
* @return the trading record coMing from the run
*/
public ITradingRecord Run(IStrategy strategy, OrderType orderType, decimal amount)
{
return(Run(strategy, orderType, amount, _timeSeries.GetBeginIndex(), _timeSeries.GetEndIndex()));
}
public override decimal Calculate(ITimeSeries series, ITradingRecord tradingRecord)
{
return(series.GetBar(series.GetEndIndex()).ClosePrice.DividedBy(series.GetBar(series.GetBeginIndex()).ClosePrice));
}
