public void Standard()
{
List <CorrResult> results =
quotes.GetCorrelation(otherQuotes, 20)
.ToList();
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Correlation != null).Count());
// sample values
CorrResult r18 = results[18];
Assert.IsNull(r18.Correlation);
Assert.IsNull(r18.RSquared);
CorrResult r19 = results[19];
Assert.AreEqual(0.6933, Math.Round((double)r19.Correlation, 4));
Assert.AreEqual(0.4806, Math.Round((double)r19.RSquared, 4));
CorrResult r257 = results[257];
Assert.AreEqual(-0.1347, Math.Round((double)r257.Correlation, 4));
Assert.AreEqual(0.0181, Math.Round((double)r257.RSquared, 4));
CorrResult r501 = results[501];
Assert.AreEqual(0.8460, Math.Round((double)r501.Correlation, 4));
Assert.AreEqual(0.7157, Math.Round((double)r501.RSquared, 4));
}
public void Removed()
{
List <CorrResult> results =
quotes.GetCorrelation(otherQuotes, 20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
CorrResult last = results.LastOrDefault();
Assert.AreEqual(0.8460, Math.Round((double)last.Correlation, 4));
Assert.AreEqual(0.7157, Math.Round((double)last.RSquared, 4));
}
public void GetCorrelationTest()
{
int lookbackPeriod = 20;
IEnumerable <CorrResult> results = Indicator.GetCorrelation(history, historyOther, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Correlation != null).Count());
// sample value
CorrResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(0.8460m, Math.Round((decimal)r.Correlation, 4));
Assert.AreEqual(0.7157m, Math.Round((decimal)r.RSquared, 4));
}
public void GetCorrelationTest()
{
int lookbackPeriod = 20;
IEnumerable <CorrResult> results = Indicator.GetCorrelation(history, historyOther, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Correlation != null).Count());
// sample value
CorrResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)0.8460, Math.Round((decimal)result.Correlation, 4));
}
public void Standard()
{
int lookbackPeriod = 20;
List <CorrResult> results =
history.GetCorrelation(historyOther, lookbackPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Correlation != null).Count());
// sample value
CorrResult r = results[501];
Assert.AreEqual(0.8460m, Math.Round((decimal)r.Correlation, 4));
Assert.AreEqual(0.7157m, Math.Round((decimal)r.RSquared, 4));
}
// calculate correlation
private static void CalcCorrelation(
this CorrResult r,
double[] dataA,
double[] dataB)
{
int length = dataA.Length;
double sumA = 0;
double sumB = 0;
double sumA2 = 0;
double sumB2 = 0;
double sumAB = 0;
for (int i = 0; i < length; i++)
{
double a = dataA[i];
double b = dataB[i];
sumA += a;
sumB += b;
sumA2 += a * a;
sumB2 += b * b;
sumAB += a * b;
}
double avgA = sumA / length;
double avgB = sumB / length;
double avgA2 = sumA2 / length;
double avgB2 = sumB2 / length;
double avgAB = sumAB / length;
r.VarianceA = avgA2 - (avgA * avgA);
r.VarianceB = avgB2 - (avgB * avgB);
r.Covariance = avgAB - (avgA * avgB);
double divisor = Math.Sqrt((double)(r.VarianceA * r.VarianceB));
r.Correlation = (divisor == 0) ? null : r.Covariance / divisor;
r.RSquared = r.Correlation * r.Correlation;
}
