public void ResetsProperly()
{
var roc = new RateOfChange(50);
foreach (var data in TestHelper.GetDataStream(51))
{
roc.Update(data);
}
Assert.IsTrue(roc.IsReady);
roc.Reset();
TestHelper.AssertIndicatorIsInDefaultState(roc);
}
private double[] GetReturns(QCAlgorithm algorithm, Symbol symbol)
{
var window = new RollingWindow <double>(period);
var rateOfChange = new RateOfChange(1);
rateOfChange.Updated += (s, item) => window.Add((double)item.Value);
foreach (var bar in algorithm.History(symbol, period, Resolution.Daily))
{
rateOfChange.Update(bar.EndTime, bar.Close);
}
return(window.ToArray());
}
public void ResetsProperly()
{
var roc = new RateOfChange(50);
foreach (var data in TestHelper.GetDataStream(51))
{
roc.Update(data);
}
Assert.IsTrue(roc.IsReady);
roc.Reset();
TestHelper.AssertIndicatorIsInDefaultState(roc);
}
public void IndicatorValueIsNotZeroWhenReady()
{
var indicator = new RateOfChange(1);
var time = DateTime.Now;
for (int i = 1; i <= indicator.WarmUpPeriod; i++)
{
indicator.Update(time, i);
time = time.AddSeconds(1);
Assert.AreEqual(i == indicator.WarmUpPeriod, indicator.IsReady);
}
Assert.IsTrue(indicator.Current > 0);
}
/// <summary>
/// Computes the next value for this indicator from the given state.
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_roc.Update(input);
return(_sharpeRatio);
}
public void Update(BaseData data)
{
ROC.Update(data.Time, data.Value);
}
/// <summary>
/// Updates the state of the RateOfChange with the given value and returns true
/// if this indicator is ready, false otherwise
/// </summary>
/// <param name="time">The time associated with the value</param>
/// <param name="value">The value to use to update this indicator</param>
/// <returns>True if this indicator is ready, false otherwise</returns>
public bool Update(DateTime time, decimal value)
{
return(_roc.Update(time, value));
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
barcount++;
processingDate = this.Time;
var time = this.Time;
try
{
decimal val = ((data[symbol].High - data[symbol].Low) / 2) + data[symbol].Low;
val = data[symbol].Close;
Price.Add(idp(time, val));
UpdateEma(time);
UpdateOptimalTrackingFilter(time, data[symbol].High, data[symbol].Low);
UpdateZema(time);
priceOptimalDiff.Add(idp(time, Price[0].Value - OptimalTrackingFilter[0].Value));
priceOptimalSign.Add(idp(time, Math.Sign(priceOptimalDiff[0].Value)));
priceOptimalCross.Add(barcount > 1 ? idp(time, priceOptimalSign[0].Value - priceOptimalSign[1].Value) : idp(time, 0m));
fudge.Add(idp(time, Math.Abs(priceOptimalDiff[0].Value / Price[0].Value)));
UpdateInstantTrend(time);
UpdateCyberCycle(time);
UpdateCenterGravity(time);
rvi.Update(data[symbol]);
rviHistory.Add(rvi.Current);
ROC.Update(OptimalTrackingFilter[0]);
_ROCSign = Math.Sign(ROC.Current.Value);
_nearMax = stochCyberCycleInverseFisher[0].Value > .75m;
_nearMin = stochCyberCycleInverseFisher[0].Value < .1m;
decimal trend = (instantTrend[0].Value - instantTrendTrigger[0].Value);
trend = trend > 0 ? 1 : -1;
Strategy(data);
if (barcount > 2)
{
string logmsg =
string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19},{20},{21},{22},{23},{24},{25},{26},{27},{28},{29},{30},{31},{32},{33},{34},{35},{36},{37}",
time,
barcount,
data[symbol].Open,
data[symbol].High,
data[symbol].Low,
data[symbol].Close,
data[symbol].Volume,
Price[0].Value,
ema[0].Value,
zema[0].Value,
OptimalTrackingFilter[0].Value,
OptimalValue1[0].Value,
OmtimalValue2[0].Value,
lambda[0].Value,
alpha[0].Value,
priceOptimalDiff[0].Value,
priceOptimalSign[0].Value,
priceOptimalCross[0].Value,
fudge[0].Value,
instantTrend[0].Value,
instantTrendTrigger[0].Value,
trend,
Price[0].Value,
OptimalTrackingFilter[0].Value,
OptimalTrackingFilter[2].Value,
ROC.Current.Value,
cyberCycle[0].Value,
rvi.Current.Value,
centerGravity[0].Value,
rviHistory[1].Value,
stochCyberCycleValue1[0].Value,
stochCyberCycleValue2[0].Value,
stochCyberCycleFisher[0].Value,
stochCyberCycleInverseFisher[0].Value,
sharesOwned,
Portfolio.TotalPortfolioValue,
Portfolio[symbol].UnrealizedProfit,
""
);
mylog.Debug(logmsg);
}
}
catch (Exception e)
{
throw new Exception(e.Message);
}
}