public void GoLongRevertAndClosePosition()
{
int _period = 7;
decimal _tolerance = 0.00001m;
decimal _revertPct = 1.015m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
100m, 99m, 98m, 97m, 96m, 95m, 94m, 93m, 92m, 105m,
100m, 95m, 90m, 100m, 100m
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goLong,
OrderSignal.revertToShort, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.closeShort
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
ITrendStrategy strategy = new ITrendStrategy(_period, _tolerance, _revertPct, RevertPositionCheck.vsClosePrice);
for (int i = 0; i < prices.Length; i++)
{
strategy.ITrend.Update(new IndicatorDataPoint(time, prices[i]));
actualOrders[i] = strategy.CheckSignal(prices[i]);
if (actualOrders[i] == OrderSignal.goLong)
{
strategy.Position = StockState.longPosition;
strategy.EntryPrice = prices[i];
}
if (actualOrders[i] == OrderSignal.revertToShort) strategy.Position = StockState.shortPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void GoShortAndClosePosition()
{
int _period = 7;
decimal _tolerance = 0.00001m;
decimal _revertPct = 1.015m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[20]
{
91m, 91m, 91m, 91m, 91m,
91m, 92m, 93m, 94m, 95m, 96m, 97m, 98m, 99m, 100m,
85m, 84m, 83m, 100m, 100m,
};
OrderSignal[] expectedOrders = new OrderSignal[20]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.goShortLimit , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.closeShort
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity priceIdentity = new Identity("IdentityIndicator");
ITrendStrategy strategy = new ITrendStrategy(priceIdentity, _period, _tolerance, _revertPct, RevertPositionCheck.vsClosePrice);
for (int i = 0; i < prices.Length; i++)
{
priceIdentity.Update(new IndicatorDataPoint(time, prices[i]));
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShortLimit) strategy.Position = StockState.shortPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void TestingTolerance()
{
int _period = 7;
decimal _tolerance = 0.15m;
decimal _revertPct = 1.015m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
99m, 99.25m, 99.5m, 99.75m, 100m, 100.25m, 100.5m, 100.75m, 100m, 100m,
100.1m, 100.2m, 100.3m, 100.4m, 100.5m,
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShort,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
ITrendStrategy strategy = new ITrendStrategy(_period, _tolerance, _revertPct, RevertPositionCheck.vsClosePrice);
for (int i = 0; i < prices.Length; i++)
{
strategy.ITrend.Update(new IndicatorDataPoint(time, prices[i]));
actualOrders[i] = strategy.CheckSignal(prices[i]);
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void ResetsProperly()
{
DateTime time = DateTime.Parse("2000-01-01");
# region Arrays inputs
decimal[] prices = new decimal[10]
{
100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m, 100m
};
#endregion
ITrendStrategy strategy = new ITrendStrategy(7);
for (int i = 0; i < prices.Length; i++)
{
strategy.ITrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.CheckSignal(prices[i]);
time.AddDays(1);
}
Assert.IsTrue(strategy.ITrend.IsReady, "Instantaneous Trend Ready");
Assert.IsTrue(strategy.ITrendMomentum.IsReady, "Instantaneous Trend Momentum Ready");
Assert.IsTrue(strategy.MomentumWindow.IsReady, "Instantaneous Trend Momentum Window Ready");
strategy.Reset();
TestHelper.AssertIndicatorIsInDefaultState(strategy.ITrend);
TestHelper.AssertIndicatorIsInDefaultState(strategy.ITrendMomentum);
Assert.IsFalse(strategy.MomentumWindow.IsReady, "Instantaneous Trend Momentum Windows was Reset");
}
