/// <inheritdoc />
public IList <Signal> GenerateSignals(IList <Price> prices)
{
var signals = new List <Signal>();
var values = Calculate(prices);
var trend = MovingAverageHelper.ExpotentialMovingAverage(prices, Term);
for (int i = Term; i < prices.Count; i++)
{
if (prices[i].ClosePrice > trend[i - Term + 1].Value && trend[i - Term].Value < trend[i - Term + 1].Value && values[i - Term].Value < 0)
{
signals.Add(new Signal(SignalAction.Buy)
{
Date = prices[i].Date
});
}
else if (prices[i].ClosePrice <trend[i - Term + 1].Value && trend[i - Term].Value> trend[i - Term + 1].Value && values[i - Term].Value > 0)
{
signals.Add(new Signal(SignalAction.Sell)
{
Date = prices[i].Date
});
}
}
return(signals);
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
var longEma = MovingAverageHelper.ExpotentialMovingAverage(prices, LongTerm);
var shortEma = MovingAverageHelper.ExpotentialMovingAverage(prices, ShortTerm);
var macdLine = SubstractLongEmaFromShortEma(shortEma, longEma);
var signalLine = MovingAverageHelper.ExpotentialMovingAverage(macdLine, SignalTerm);
return(PrepareResult(macdLine, signalLine));
}
public void Moving_averages_should_ignore_holes_between_dates()
{
var data = new List <Price>
{
new Price {
ClosePrice = 10, Date = new DateTime(2016, 10, 1)
},
new Price {
ClosePrice = 20, Date = new DateTime(2016, 10, 4)
}
};
var ema = MovingAverageHelper.ExpotentialMovingAverage(data, 1);
ema.Count.Should().Be(2);
}
/// <inheritdoc />
public IList <IndicatorValue> Calculate(IList <Price> prices)
{
return(MovingAverageHelper.ExpotentialMovingAverage(prices, Term));
}
public void ExpotentialMovingAverage12Test()
{
var actual12DaysEma = MovingAverageHelper.ExpotentialMovingAverage(MacdData.HistoricalData, 12);
actual12DaysEma.ShouldAllBeEquivalentTo(MacdData.Ema12DaysResults);
}