public void LOGRComputesCorrectly()
{
var period = 4;
var logr = new LogReturn(period);
var data = new[] { 1, 10, 100, 1000, 10000, 1234, 56789 };
var seen = new List <int>();
var time = DateTime.Now;
for (var i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0.0;
if (seen.Count >= 0 && seen.Count < period)
{
value0 = data[0];
}
else if (seen.Count >= period)
{
value0 = data[i - period];
}
var expected = (decimal)Math.Log(datum / value0);
seen.Add(datum);
logr.Update(time.AddSeconds(i), datum);
Assert.AreEqual(expected, logr.Current.Value);
}
}
public void LOGRComputesCorrectly()
{
int period = 4;
var logr = new LogReturn(period);
var data = new[] { 1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m };
var seen = new List <decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0m;
if (seen.Count >= 0 && seen.Count < period)
{
value0 = data[0];
}
else if (seen.Count >= period)
{
value0 = data[i - period];
}
var expected = (decimal)Math.Log((double)datum / (double)value0);
seen.Add(datum);
logr.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
Assert.AreEqual(expected, logr.Current.Value);
}
}
public void LOGRComputesCorrectly()
{
int period = 4;
var logr = new LogReturn(period);
var data = new[] { 1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m };
var seen = new List<decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0m;
if (seen.Count >= 0 && seen.Count < period)
value0 = data[0];
else if (seen.Count >= period)
value0 = data[i - period];
var expected = (decimal)Math.Log((double)datum / (double)value0);
seen.Add(datum);
logr.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
Assert.AreEqual(expected, logr.Current.Value);
}
}