public void ShouldGroupGeneratedTimeSeriesByDate()
{
var userEvents = new[]
{
new UserEvent {At = new DateTime(2013, 07, 17), Feature = "Moose", Type = "tick"},
new UserEvent {At = new DateTime(2013, 07, 17), Feature = "Moose", Type = "tick"},
new UserEvent {At = new DateTime(2013, 07, 18), Feature = "Moose", Type = "tick"}
};
var results = new GenerateTimeSeries().Generate(userEvents);
Assert.Equal(2, results.Count());
}
public void CalculateWithOneTrade()
{
TimeSeries series = GenerateTimeSeries.From(100d, 95d, 102d, 105d, 97d, 113d);
var trade = new Trade(Order.BuyAt(0), Order.SellAt(1));
var average = new AverageProfitableTradesCriterion();
Assert.AreEqual(0d, average.Calculate(series, trade), TaTestsUtils.TaOffset);
trade = new Trade(Order.BuyAt(1), Order.SellAt(2));
Assert.AreEqual(1d, average.Calculate(series, trade), TaTestsUtils.TaOffset);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(10, 18, 20, 10));
ticks.Add(GenerateTick.From(17, 20, 21, 17));
ticks.Add(GenerateTick.From(15, 15, 16, 14));
ticks.Add(GenerateTick.From(15, 11, 15, 8));
ticks.Add(GenerateTick.From(11, 12, 12, 10));
_series = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 16, 8));
ticks.Add(GenerateTick.From(0, 0, 12, 6));
ticks.Add(GenerateTick.From(0, 0, 18, 14));
ticks.Add(GenerateTick.From(0, 0, 10, 6));
ticks.Add(GenerateTick.From(0, 0, 8, 4));
this._series = GenerateTimeSeries.From(ticks);
}
public void WmaWithTimeFrameGreaterThanSeriesSize()
{
var series = GenerateTimeSeries.From(1d, 2d, 3d, 4d, 5d, 6d);
IIndicator <Decimal> close = new ClosePriceIndicator(series);
IIndicator <Decimal> wmaIndicator = new WmaIndicator(close, 55);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(1), 1.6667);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(2), 2.3333);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(3), 3);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(4), 3.6666);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(5), 4.3333);
}
public void RunOnWholeSeriesWithAmount()
{
TimeSeries series = GenerateTimeSeries.From(20d, 40d, 60d, 10d, 30d, 50d, 0d, 20d, 40d);
var allTrades = series.Run(_strategy, OrderType.Buy, Decimal.Hundred).Trades;
Assert.Multiple(() =>
{
Assert.AreEqual(2, allTrades.Count);
Assert.AreEqual(Decimal.Hundred, allTrades[0].Entry.Amount);
Assert.AreEqual(Decimal.Hundred, allTrades[1].Entry.Amount);
});
}
public void GetValueWithOldResultsRemoval()
{
var data = new double[20];
TaTestsUtils.ArraysFill(data, 1);
TimeSeries timeSeries = GenerateTimeSeries.From(data);
var sma = new SmaIndicator(new ClosePriceIndicator(timeSeries), 10);
TaTestsUtils.AssertDecimalEquals(sma.GetValue(5), 1);
TaTestsUtils.AssertDecimalEquals(sma.GetValue(10), 1);
timeSeries.MaximumTickCount = 12;
TaTestsUtils.AssertDecimalEquals(sma.GetValue(19), 1);
}
public void ZeroDirectionalMovement3()
{
var yesterdayTick = GenerateTick.From(0, 0, 6, 6);
var todayTick = GenerateTick.From(0, 0, 12, 4);
IList <Tick> ticks = new List <Tick>();
ticks.Add(yesterdayTick);
ticks.Add(todayTick);
var series = GenerateTimeSeries.From(ticks);
var down = new DirectionalMovementDownIndicator(series);
TaTestsUtils.AssertDecimalEquals(down.GetValue(1), 0);
}
[Test] // calculate()
public void Calculate()
{
var series = GenerateTimeSeries.From(1d, 2d, 3d, 4d, 5d, 6d);
IIndicator <Decimal> close = new ClosePriceIndicator(series);
IIndicator <Decimal> wmaIndicator = new WmaIndicator(close, 3);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(1), 1.6667);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(2), 2.3333);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(3), 3.3333);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(4), 4.3333);
TaTestsUtils.AssertDecimalEquals(wmaIndicator.GetValue(5), 5.3333);
}
public void PositiveDirectionalMovement()
{
var yesterdayTick = GenerateTick.From(0, 0, 6, 6);
var todayTick = GenerateTick.From(0, 0, 12, 4);
IList <Tick> ticks = new List <Tick>();
ticks.Add(yesterdayTick);
ticks.Add(todayTick);
var series = GenerateTimeSeries.From(ticks);
var dup = new DirectionalMovementUpIndicator(series);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(1), 6);
}
public void CashFlowValueWithTwoTradesAndLongTimeWithoutOrders()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(1d, 2d, 4d, 8d, 16d, 32d);
var tradingRecord = new TradingRecord(Order.BuyAt(1), Order.SellAt(2), Order.BuyAt(4), Order.SellAt(5));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(1), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(2), 2);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(3), 2);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(4), 2);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(5), 4);
}
public void GetValueOnResultsCalculatedFromRemovedTicksShouldReturnFirstRemainingResult()
{
TimeSeries timeSeries = GenerateTimeSeries.From(1, 1, 1, 1, 1);
timeSeries.MaximumTickCount = 3;
Assert.AreEqual(2, timeSeries.RemovedTicksCount);
var sma = new SmaIndicator(new ClosePriceIndicator(timeSeries), 2);
for (var i = 0; i < 5; i++)
{
TaTestsUtils.AssertDecimalEquals(sma.GetValue(i), 1);
}
}
public void CashFlowShortSell()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(1, 2, 4, 8, 16, 32);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.SellAt(2), Order.BuyAt(4), Order.BuyAt(4), Order.SellAt(5));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(1), 2);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(2), 4);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(3), 2);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(4), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(5), 2);
}
public void DynamicAddTrade()
{
var data = new double[] { 2, 1, 3, 5, 6, 3, 20, 20, 3 };
// We will rely on this being correct as it duplicates tests above...
TimeSeries confirmedSeries = GenerateTimeSeries.From(data);
var confirmedTradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(4), Order.BuyAt(5), Order.SellAt(6), Order.BuyAt(7), Order.SellAt(8));
// use these results to check against the dynamically added Trades
var confirmedCashFlow = new CashFlow(confirmedSeries, confirmedTradingRecord);
TimeSeries sampleTimeSeries = new TimeSeries();
var tradingRecord = new TradingRecord();
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
for (var i = 0; i < data.Length; i++)
{
sampleTimeSeries.AddTick(GenerateTick.From((new LocalDateTime()).WithMillisOfSecond(i), data[i]));
switch (i)
{
case 0: // buy
case 3: // buy
case 5: // buy
case 7: // buy
tradingRecord.Enter(i);
break;
case 2: // sell
case 4: // sell
case 6: // sell
case 8: // sell
tradingRecord.Exit(i);
cashFlow.AddTrade(tradingRecord.LastTrade);
break;
default:
// don't do anything
break;
}
}
// Check all the data off...
Assert.Multiple(() =>
{
for (var i = 0; i < data.Length; i++)
{
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(i), confirmedCashFlow.GetValue(i).ToDouble());
}
});
}
public void CashFlowWithSellAndBuyOrders()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(2, 1, 3, 5, 6, 3, 20);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(3), Order.SellAt(4), Order.SellAt(5), Order.BuyAt(6));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(1), "0.5");
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(2), "0.5");
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(3), "0.5");
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(4), "0.6");
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(5), "0.6");
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(6), "0.09");
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(19, 19, 22, 15));
ticks.Add(GenerateTick.From(10, 18, 20, 8));
ticks.Add(GenerateTick.From(17, 20, 21, 17));
ticks.Add(GenerateTick.From(19, 17, 20, 16.9));
ticks.Add(GenerateTick.From(17.5, 14, 18, 13.9));
ticks.Add(GenerateTick.From(15, 11, 15, 11));
ticks.Add(GenerateTick.From(12, 14, 15, 8));
ticks.Add(GenerateTick.From(13, 16, 16, 11));
_series = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(19, 19, 22, 15));
ticks.Add(GenerateTick.From(10, 18, 20, 8));
ticks.Add(GenerateTick.From(17, 16, 21, 15));
ticks.Add(GenerateTick.From(15.6, 18, 18.1, 14));
ticks.Add(GenerateTick.From(16, 19.9, 20, 15));
ticks.Add(GenerateTick.From(16.8, 23, 23, 16.7));
ticks.Add(GenerateTick.From(17, 25, 25, 17));
ticks.Add(GenerateTick.From(23, 16.8, 24, 15));
_series = GenerateTimeSeries.From(ticks);
}
public void StackOverflowError()
{
IList <Tick> bigListOfTicks = new List <Tick>();
for (var i = 0; i < 10000; i++)
{
bigListOfTicks.Add(GenerateTick.From(i));
}
var bigSeries = GenerateTimeSeries.From(bigListOfTicks);
var obv = new OnBalanceVolumeIndicator(bigSeries);
// If a StackOverflowError is thrown here, then the RecursiveCachedIndicator
// does not work as intended.
TaTestsUtils.AssertDecimalEquals(obv.GetValue(9999), 0);
}
public void StackOverflowError()
{
IList <Tick> bigListOfTicks = new List <Tick>();
for (var i = 0; i < 10000; i++)
{
bigListOfTicks.Add(GenerateTick.From(i));
}
var bigSeries = GenerateTimeSeries.From(bigListOfTicks);
var closePrice = new ClosePriceIndicator(bigSeries);
var ema = new EmaIndicator(closePrice, 10);
// If a StackOverflowError is thrown here, then the RecursiveCachedIndicator
// does not work as intended.
TaTestsUtils.AssertDecimalEquals(ema.GetValue(9999), 9994.5);
}
public void CalculateLinearCost()
{
var series = GenerateTimeSeries.From(100, 150, 200, 100, 50, 100);
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0.005, 0.2);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1));
Assert.AreEqual(12.861, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(2);
tradingRecord.Operate(3);
Assert.AreEqual(24.3473, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(5);
Assert.AreEqual(28.2204, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateFixedCost()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0, 1.3d);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1));
Assert.AreEqual(2.6d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(2);
tradingRecord.Operate(3);
Assert.AreEqual(5.2d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(0);
Assert.AreEqual(6.5d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 12, 15, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 0, 0, 2));
var atr = new AverageTrueRangeIndicator(GenerateTimeSeries.From(ticks), 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(1), 8d / 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(2), 8d / 3 * 2d / 3 + 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(3), (8d / 3 * 2d / 3 + 3) * 2d / 3 + 1);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(4), ((8d / 3 * 2d / 3 + 3) * 2d / 3 + 1) * 2d / 3 + 15d / 3);
}
public void TrendSwitchTest()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 6, 9, 4));
ticks.Add(GenerateTick.From(0, 11, 15, 9));
ticks.Add(GenerateTick.From(0, 13, 15, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 8);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 11);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 4);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 4);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 12, 15, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 0, 0, 2));
var tr = new TrueRangeIndicator(GenerateTimeSeries.From(ticks));
TaTestsUtils.AssertDecimalEquals(tr.GetValue(0), 7);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(1), 6);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(2), 9);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(3), 3);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(4), 15);
}
public void CoppockCurveWithRoc14Roc11Wma10()
{
// Example from http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve
TimeSeries data = GenerateTimeSeries.From(872.81, 919.14, 919.32, 987.48, 1020.62, 1057.08, 1036.19, 1095.63, 1115.1, 1073.87, 1104.49, 1169.43, 1186.69, 1089.41, 1030.71, 1101.6, 1049.33, 1141.2, 1183.26, 1180.55, 1257.64, 1286.12, 1327.22, 1325.83, 1363.61, 1345.2, 1320.64, 1292.28, 1218.89, 1131.42, 1253.3, 1246.96, 1257.6, 1312.41, 1365.68, 1408.47, 1397.91, 1310.33, 1362.16, 1379.32);
var cc = new CoppockCurveIndicator(new ClosePriceIndicator(data), 14, 11, 10);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(31), 23.8929);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(32), 19.3187);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(33), 16.3505);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(34), 14.12);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(35), 12.782);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(36), 11.3924);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(37), 8.3662);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(38), 7.4532);
TaTestsUtils.AssertDecimalEquals(cc.GetValue(39), 8.79);
}
public void CalculateFixedCostWithOneTrade()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var trade = new Trade();
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0, 0.75d);
Assert.AreEqual(0, (int)transactionCost.Calculate(series, trade));
trade.Operate(1);
Assert.AreEqual(0.75d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
trade.Operate(3);
Assert.AreEqual(1.5d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
trade.Operate(4);
Assert.AreEqual(1.5d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
}
public void TrendSwitchTest2()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 11));
ticks.Add(GenerateTick.From(0, 10, 15, 13));
ticks.Add(GenerateTick.From(0, 12, 18, 11));
ticks.Add(GenerateTick.From(0, 10, 15, 9));
ticks.Add(GenerateTick.From(0, 9, 15, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 0.04 * (18 - 10) + 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 18);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 18);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 16, 8));
ticks.Add(GenerateTick.From(0, 0, 12, 6));
ticks.Add(GenerateTick.From(0, 0, 18, 14));
ticks.Add(GenerateTick.From(0, 0, 10, 6));
ticks.Add(GenerateTick.From(0, 0, 32, 6));
ticks.Add(GenerateTick.From(0, 0, 2, 2));
ticks.Add(GenerateTick.From(0, 0, 0, 0));
ticks.Add(GenerateTick.From(0, 0, 8, 1));
ticks.Add(GenerateTick.From(0, 0, 83, 32));
ticks.Add(GenerateTick.From(0, 0, 9, 3));
_timeSeries = GenerateTimeSeries.From(ticks);
_average = new MedianPriceIndicator(_timeSeries);
}
public void CashFlowWithConstrainedSeries()
{
var series = GenerateTimeSeries.From(5d, 6d, 3d, 7d, 8d, 6d, 10d, 15d, 6d);
var constrained = series.Subseries(4, 8);
var tradingRecord = new TradingRecord(Order.BuyAt(4), Order.SellAt(5), Order.BuyAt(6), Order.SellAt(8));
var flow = new CashFlow(constrained, tradingRecord);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(1), 1);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(2), 1);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(3), 1);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(4), 1);
TaTestsUtils.AssertDecimalEquals(flow.GetValue(5), "0.75");
TaTestsUtils.AssertDecimalEquals(flow.GetValue(6), "0.75");
TaTestsUtils.AssertDecimalEquals(flow.GetValue(7), "1.125");
TaTestsUtils.AssertDecimalEquals(flow.GetValue(8), "0.45");
}
public void UpTrendTest()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 11));
ticks.Add(GenerateTick.From(0, 17, 15, 11.38));
ticks.Add(GenerateTick.From(0, 18, 16, 14));
ticks.Add(GenerateTick.From(0, 19, 17, 12));
ticks.Add(GenerateTick.From(0, 20, 18, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 17);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 11.38);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 11.38);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 18);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 10, 2));
ticks.Add(GenerateTick.From(0, 0, 12, 2));
ticks.Add(GenerateTick.From(0, 0, 15, 2));
ticks.Add(GenerateTick.From(0, 0, 11, 2));
ticks.Add(GenerateTick.From(0, 0, 13, 7));
var series = GenerateTimeSeries.From(ticks);
var dup = new DirectionalUpIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(1), (4d / 3) / (14d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(2), (4d / 3 * 2d / 3 + 1) / (14d / 3 * 2d / 3 + 15d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(3), ((4d / 3 * 2d / 3 + 1) * 2d / 3) / (((14d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 11d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(4), ((4d / 3 * 2d / 3 + 1) * 2d / 3 * 2d / 3 + 2d / 3) / (((((14d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 11d / 3) * 2d / 3) + 13d / 3));
}
