/**
* Fills with last value till the end of the series.
*/
private void FillToTheEnd()
{
if (_timeSeries.GetEndIndex() >= _values.Count)
{
decimal lastValue = _values[_values.Count - 1];
_values.AddRange(Enumerable.Range(0, _timeSeries.GetEndIndex() - _values.Count + 1).Select(_ => lastValue));
}
}
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 override T GetValue(int index)
{
ITimeSeries series = TimeSeries;
if (series != null)
{
int seriesEndIndex = series.GetEndIndex();
if (index <= seriesEndIndex)
{
// We are not after the end of the series
int removedBarsCount = series.GetRemovedBarsCount();
int startIndex = Math.Max(removedBarsCount, HighestResultIndex);
if (index - startIndex > RECURSION_THRESHOLD)
{
// Too many unCalculated values; the risk for a StackOverflowError becomes high.
// Calculating the previous values iteratively
for (int prevIdx = startIndex; prevIdx < index; prevIdx++)
{
base.GetValue(prevIdx);
}
}
}
}
return(base.GetValue(index));
}
/**
* 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);
}
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);
}
/**
* 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));
}
