/// <summary>
/// Constructor. </summary>
/// <param name="series"> the time series </param>
/// <param name="timeFrame"> the time frame </param>
public CciIndicator(TimeSeries series, int timeFrame) : base(series)
{
_typicalPriceInd = new TypicalPriceIndicator(series);
_smaInd = new SmaIndicator(_typicalPriceInd, timeFrame);
_meanDeviationInd = new MeanDeviationIndicator(_typicalPriceInd, timeFrame);
_timeFrame = timeFrame;
}
public void setUp()
{
timeSeries = new MockTimeSeries();
typicalPriceIndicator = new TypicalPriceIndicator(timeSeries);
}
public void SetUp()
{
_timeSeries = GenerateTimeSeries.WithArbitraryTicks();
_typicalPriceIndicator = new TypicalPriceIndicator(_timeSeries);
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
/// <summary>
/// Creating indicators
/// </summary>
// Close price
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Typical price
TypicalPriceIndicator typicalPrice = new TypicalPriceIndicator(series);
// Price variation
PriceVariationIndicator priceVariation = new PriceVariationIndicator(series);
// Simple moving averages
SMAIndicator shortSma = new SMAIndicator(closePrice, 8);
SMAIndicator longSma = new SMAIndicator(closePrice, 20);
// Exponential moving averages
EMAIndicator shortEma = new EMAIndicator(closePrice, 8);
EMAIndicator longEma = new EMAIndicator(closePrice, 20);
// Percentage price oscillator
PPOIndicator ppo = new PPOIndicator(closePrice, 12, 26);
// Rate of change
ROCIndicator roc = new ROCIndicator(closePrice, 100);
// Relative strength index
RSIIndicator rsi = new RSIIndicator(closePrice, 14);
// Williams %R
WilliamsRIndicator williamsR = new WilliamsRIndicator(series, 20);
// Average true range
AverageTrueRangeIndicator atr = new AverageTrueRangeIndicator(series, 20);
// Standard deviation
StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, 14);
/// <summary>
/// Building header
/// </summary>
StringBuilder sb = new StringBuilder("timestamp,close,typical,variation,sma8,sma20,ema8,ema20,ppo,roc,rsi,williamsr,atr,sd\n");
/// <summary>
/// Adding indicators values
/// </summary>
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nbTicks = series.getTickCount();
int nbTicks = series.TickCount;
for (int i = 0; i < nbTicks; i++)
{
sb.Append(series.getTick(i).EndTime.Millis / 1000d).Append(',').Append(closePrice.getValue(i)).Append(',').Append(typicalPrice.getValue(i)).Append(',').Append(priceVariation.getValue(i)).Append(',').Append(shortSma.getValue(i)).Append(',').Append(longSma.getValue(i)).Append(',').Append(shortEma.getValue(i)).Append(',').Append(longEma.getValue(i)).Append(',').Append(ppo.getValue(i)).Append(',').Append(roc.getValue(i)).Append(',').Append(rsi.getValue(i)).Append(',').Append(williamsR.getValue(i)).Append(',').Append(atr.getValue(i)).Append(',').Append(sd.getValue(i)).Append('\n');
}
/// <summary>
/// Writing CSV file
/// </summary>
System.IO.StreamWriter writer = null;
try
{
writer = new System.IO.StreamWriter("indicators.csv");
writer.Write(sb.ToString());
} catch (IOException ioe)
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
Logger.getLogger(typeof(IndicatorsToCsv).FullName).log(Level.SEVERE, "Unable to write CSV file", ioe);
} finally
{
try
{
if (writer != null)
{
writer.Close();
}
} catch (IOException)
{
}
}
}
