public void Removed()
{
int windowPeriods = 11;
int offsetPeriods = 9;
PivotPointType pointType = PivotPointType.Standard;
List <RollingPivotsResult> results =
quotes.GetRollingPivots(windowPeriods, offsetPeriods, pointType)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (windowPeriods + offsetPeriods), results.Count);
RollingPivotsResult last = results.LastOrDefault();
Assert.AreEqual(260.0267m, Math.Round((decimal)last.PP, 4));
Assert.AreEqual(246.4633m, Math.Round((decimal)last.S1, 4));
Assert.AreEqual(238.7767m, Math.Round((decimal)last.S2, 4));
Assert.AreEqual(225.2133m, Math.Round((decimal)last.S3, 4));
Assert.AreEqual(null, last.S4);
Assert.AreEqual(267.7133m, Math.Round((decimal)last.R1, 4));
Assert.AreEqual(281.2767m, Math.Round((decimal)last.R2, 4));
Assert.AreEqual(288.9633m, Math.Round((decimal)last.R3, 4));
Assert.AreEqual(null, last.R4);
}
public void Standard()
{
int windowPeriods = 11;
int offsetPeriods = 9;
PivotPointType pointType = PivotPointType.Standard;
List <RollingPivotsResult> results =
quotes.GetRollingPivots(windowPeriods, offsetPeriods, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
RollingPivotsResult r1 = results[19];
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.R4);
RollingPivotsResult r2 = results[20];
Assert.AreEqual(213.6367m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(212.1033m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(209.9867m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(208.4533m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(null, r2.S4);
Assert.AreEqual(215.7533m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(217.2867m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(219.4033m, Math.Round((decimal)r2.R3, 4));
Assert.AreEqual(null, r2.R4);
RollingPivotsResult r3 = results[149];
Assert.AreEqual(233.6333m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(231.3567m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(227.3733m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(225.0967m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(null, r3.S4);
Assert.AreEqual(237.6167m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(239.8933m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(243.8767m, Math.Round((decimal)r3.R3, 4));
Assert.AreEqual(null, r3.R4);
RollingPivotsResult r4 = results[249];
Assert.AreEqual(253.9533m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(251.5267m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(247.4433m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(245.0167m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(null, r4.S4);
Assert.AreEqual(258.0367m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(260.4633m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(264.5467m, Math.Round((decimal)r4.R3, 4));
Assert.AreEqual(null, r4.R4);
RollingPivotsResult r5 = results[501];
Assert.AreEqual(260.0267m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(246.4633m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(238.7767m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(225.2133m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(null, r5.S4);
Assert.AreEqual(267.7133m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(281.2767m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(288.9633m, Math.Round((decimal)r5.R3, 4));
Assert.AreEqual(null, r5.R4);
}
public void Camarilla()
{
int windowPeriods = 10;
int offsetPeriods = 0;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = TestData.GetDefault(38);
List <RollingPivotsResult> results =
Indicator.GetRollingPivots(h, windowPeriods, offsetPeriods, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(38, results.Count);
Assert.AreEqual(28, results.Where(x => x.PP != null).Count());
// sample values
RollingPivotsResult r1 = results[9];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
RollingPivotsResult r2 = results[10];
Assert.AreEqual(267.0800m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(265.8095m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(264.5390m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(263.2685m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(259.4570m, Math.Round((decimal)r2.S4, 4));
Assert.AreEqual(268.3505m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(269.6210m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(270.8915m, Math.Round((decimal)r2.R3, 4));
Assert.AreEqual(274.7030m, Math.Round((decimal)r2.R4, 4));
RollingPivotsResult r3 = results[22];
Assert.AreEqual(263.2900m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(261.6840m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(260.0780m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(258.4720m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(253.6540m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(264.8960m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(266.5020m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(268.1080m, Math.Round((decimal)r3.R3, 4));
Assert.AreEqual(272.9260m, Math.Round((decimal)r3.R4, 4));
RollingPivotsResult r4 = results[23];
Assert.AreEqual(257.1700m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(255.5640m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(253.9580m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(252.3520m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(247.5340m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(258.7760m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(260.3820m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(261.9880m, Math.Round((decimal)r4.R3, 4));
Assert.AreEqual(266.8060m, Math.Round((decimal)r4.R4, 4));
RollingPivotsResult r5 = results[37];
Assert.AreEqual(243.1500m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(240.5650m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(237.9800m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(235.3950m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(227.6400m, Math.Round((decimal)r5.S4, 4));
Assert.AreEqual(245.7350m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(248.3200m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(250.9050m, Math.Round((decimal)r5.R3, 4));
Assert.AreEqual(258.6600m, Math.Round((decimal)r5.R4, 4));
}
public void Woodie()
{
int windowPeriods = 375;
int offsetPeriods = 16;
PivotPointType pointType = PivotPointType.Woodie;
IEnumerable <Quote> h = TestData.GetIntraday(1564);
List <RollingPivotsResult> results =
Indicator.GetRollingPivots(h, windowPeriods, offsetPeriods, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(1564, results.Count);
Assert.AreEqual(1173, results.Where(x => x.PP != null).Count());
// sample values
RollingPivotsResult r2 = results[390];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.PP);
Assert.AreEqual(null, r2.S1);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.R1);
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
RollingPivotsResult r3 = results[391];
Assert.AreEqual(368.7850m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(367.9901m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(365.1252m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(364.3303m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(371.6499m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(372.4448m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(375.3097m, Math.Round((decimal)r3.R3, 4));
RollingPivotsResult r4 = results[1172];
Assert.AreEqual(371.75m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(371.04m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(369.35m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(368.64m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(373.44m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(374.15m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(375.84m, Math.Round((decimal)r4.R3, 4));
RollingPivotsResult r5 = results[1173];
Assert.AreEqual(371.3625m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r5.R3, 4));
RollingPivotsResult r6 = results[1563];
Assert.AreEqual(369.38m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(366.52m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(364.16m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(361.30m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(371.74m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(374.60m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(376.96m, Math.Round((decimal)r6.R3, 4));
}
public void Fibonacci()
{
int windowPeriods = 44;
int offsetPeriods = 15;
PivotPointType pointType = PivotPointType.Fibonacci;
IEnumerable <Quote> h = TestData.GetIntraday(300);
List <RollingPivotsResult> results =
Indicator.GetRollingPivots(h, windowPeriods, offsetPeriods, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(300, results.Count);
Assert.AreEqual(241, results.Where(x => x.PP != null).Count());
// sample values
RollingPivotsResult r1 = results[58];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
RollingPivotsResult r2 = results[59];
Assert.AreEqual(368.4283m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(367.8553m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(367.5013m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(366.9283m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(369.0013m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(369.3553m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(369.9283m, Math.Round((decimal)r2.R3, 4));
RollingPivotsResult r3 = results[118];
Assert.AreEqual(369.1573m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(368.7333m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.4713m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(368.0473m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(369.5813m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(369.8433m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(370.2673m, Math.Round((decimal)r3.R3, 4));
RollingPivotsResult r4 = results[119];
Assert.AreEqual(369.1533m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(368.7293m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(368.4674m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(368.0433m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(369.5774m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(369.8393m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(370.2633m, Math.Round((decimal)r4.R3, 4));
RollingPivotsResult r5 = results[149];
Assert.AreEqual(369.0183m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(368.6593m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(368.4374m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(368.0783m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(369.3774m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(369.5993m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(369.9583m, Math.Round((decimal)r5.R3, 4));
RollingPivotsResult r6 = results[299];
Assert.AreEqual(367.7567m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(367.3174m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(367.0460m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(366.6067m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(368.1960m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(368.4674m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(368.9067m, Math.Round((decimal)r6.R3, 4));
}
public void Demark()
{
int windowPeriods = 10;
int offsetPeriods = 10;
PivotPointType pointType = PivotPointType.Demark;
List <RollingPivotsResult> results =
Indicator.GetRollingPivots(quotes, windowPeriods, offsetPeriods, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
RollingPivotsResult r1 = results[19];
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.R4);
RollingPivotsResult r2 = results[20];
Assert.AreEqual(212.9900m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(210.8100m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(214.4600m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
RollingPivotsResult r3 = results[149];
Assert.AreEqual(232.6525m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(229.3950m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(235.6550m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(null, r3.R2);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.S2);
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
RollingPivotsResult r4 = results[250];
Assert.AreEqual(252.9325m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(249.4850m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(255.9950m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(null, r4.R2);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.S2);
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
RollingPivotsResult r5 = results[251];
Assert.AreEqual(252.6700m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(248.9600m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(255.4700m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
RollingPivotsResult r6 = results[501];
Assert.AreEqual(264.6125m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(255.6350m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(276.8850m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <RollingPivotsResult> GetRollingPivots <TQuote>(
this IEnumerable <TQuote> quotes,
int windowPeriods,
int offsetPeriods,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateRollingPivots(windowPeriods, offsetPeriods);
// initialize
List <RollingPivotsResult> results = new(quotesList.Count);
// roll through quotes
for (int i = 0; i < quotesList.Count; i++)
{
TQuote q = quotesList[i];
RollingPivotsResult r = new()
{
Date = q.Date
};
if (i >= windowPeriods + offsetPeriods)
{
// window values
int s = i - windowPeriods - offsetPeriods;
TQuote hi = quotesList[s];
decimal windowHigh = hi.High;
decimal windowLow = hi.Low;
decimal windowClose = quotesList[i - offsetPeriods - 1].Close;
for (int p = s; p <= i - offsetPeriods - 1; p++)
{
TQuote d = quotesList[p];
windowHigh = (d.High > windowHigh) ? d.High : windowHigh;
windowLow = (d.Low < windowLow) ? d.Low : windowLow;
}
// pivot points
RollingPivotsResult wp = GetPivotPoint <RollingPivotsResult>(
pointType, q.Open, windowHigh, windowLow, windowClose);
r.PP = wp.PP;
r.S1 = wp.S1;
r.S2 = wp.S2;
r.S3 = wp.S3;
r.S4 = wp.S4;
r.R1 = wp.R1;
r.R2 = wp.R2;
r.R3 = wp.R3;
r.R4 = wp.R4;
}
results.Add(r);
}
return(results);
}
