/// <param name="series"> a time series </param>
/// <returns> a global extrema strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Series cannot be null");
}
var closePrices = new ClosePriceIndicator(series);
// Getting the max price over the past week
var maxPrices = new MaxPriceIndicator(series);
var weekMaxPrice = new HighestValueIndicator(maxPrices, NB_TICKS_PER_WEEK);
// Getting the min price over the past week
var minPrices = new MinPriceIndicator(series);
var weekMinPrice = new LowestValueIndicator(minPrices, NB_TICKS_PER_WEEK);
// Going long if the close price goes below the min price
var downWeek = new MultiplierIndicator(weekMinPrice, Decimal.ValueOf("1.004"));
var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
// Going short if the close price goes above the max price
var upWeek = new MultiplierIndicator(weekMaxPrice, Decimal.ValueOf("0.996"));
var sellingRule = new OverIndicatorRule(closePrices, upWeek);
return(new Strategy(buyingRule, sellingRule));
}
/**
* Constructor.
* @param indicator the indicator
* @param timeFrame the time frame
*/
public UlcerIndexIndicator(IIndicator <decimal> indicator, int timeFrame)
: base(indicator)
{
_indicator = indicator;
_timeFrame = timeFrame;
_highestValueInd = new HighestValueIndicator(indicator, timeFrame);
}
/**
* Constructor.
* @param rsi the rsi indicator
* @param timeFrame the time frame
*/
public StochasticRSIIndicator(RSIIndicator rsi, int timeFrame)
: base(rsi)
{
_rsi = rsi;
_minRsi = new LowestValueIndicator(rsi, timeFrame);
_maxRsi = new HighestValueIndicator(rsi, timeFrame);
}
/**
* Constructor.
* @param series the time series
* @param timeFrame the time frame (usually 22)
* @param k the K multiplier for ATR (usually 3.0)
*/
public ChandelierExitLongIndicator(ITimeSeries series, int timeFrame, decimal k)
: base(series)
{
_high = new HighestValueIndicator(new MaxPriceIndicator(series), timeFrame);
_atr = new ATRIndicator(series, timeFrame);
_k = k;
}
public void naNValuesInIntervall()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10; i++)
{ // (0, NaN, 2, NaN, 3, NaN, 4, NaN, 5, ...)
decimal closePrice = i % 2 == 0 ? i : Decimals.NaN;
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, closePrice, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(series), 2);
// index is the biggest of (index, index-1)
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
if (i % 2 != 0) // current is NaN take the previous as highest
{
Assert.AreEqual(series.GetBar(i - 1).ClosePrice.ToString(), highestValue.GetValue(i).ToString());
}
else // current is not NaN but previous, take the current
{
Assert.AreEqual(series.GetBar(i).ClosePrice.ToString(), highestValue.GetValue(i).ToString());
}
}
}
/**
* Constructor.
* <p>
* @param series the time series
* @param MaxValueIndicator the indicator for the Maximum price ( {@link MaxPriceIndicator})
* @param timeFrame the time frame
*/
public AroonUpIndicator(ITimeSeries series, IIndicator <decimal> maxValueIndicator, int timeFrame)
: base(series)
{
_timeFrame = timeFrame;
_maxValueIndicator = maxValueIndicator;
// + 1 needed for last possible iteration in loop
_highestMaxPriceIndicator = new HighestValueIndicator(maxValueIndicator, timeFrame + 1);
}
public override bool IsSatisfied(int index, ITradingRecord tradingRecord)
{
HighestValueIndicator highest = new HighestValueIndicator(_indicator, _timeFrame);
decimal highestVal = highest.GetValue(index);
decimal refVal = _indicator.GetValue(index);
bool satisfied = !refVal.IsNaN() && !highestVal.IsNaN() && refVal.Equals(highestVal);
traceIsSatisfied(index, satisfied);
return(satisfied);
}
protected override decimal Calculate(int index)
{
HighestValueIndicator highestHigh = new HighestValueIndicator(_maxPriceIndicator, _timeFrame);
LowestValueIndicator lowestMin = new LowestValueIndicator(_minPriceIndicator, _timeFrame);
decimal highestHighPrice = highestHigh.GetValue(index);
decimal lowestLowPrice = lowestMin.GetValue(index);
return(_indicator.GetValue(index).Minus(lowestLowPrice)
.DividedBy(highestHighPrice.Minus(lowestLowPrice))
.MultipliedBy(Decimals.HUNDRED));
}
public void highestValueUsingTimeFrame5UsingClosePrice()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(highestValue.GetValue(4), 4M);
Assert.AreEqual(highestValue.GetValue(5), 4M);
Assert.AreEqual(highestValue.GetValue(6), 5M);
Assert.AreEqual(highestValue.GetValue(7), 6M);
Assert.AreEqual(highestValue.GetValue(8), 6M);
Assert.AreEqual(highestValue.GetValue(9), 6M);
Assert.AreEqual(highestValue.GetValue(10), 6M);
Assert.AreEqual(highestValue.GetValue(11), 6M);
Assert.AreEqual(highestValue.GetValue(12), 4M);
}
public void HighestValueUsingTimeFrame5UsingClosePrice()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(4), "4");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(5), "4");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(6), "5");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(7), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(8), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(9), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(10), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(11), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(12), "4");
}
public void onlyNaNValues()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10000; i++)
{
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(series), 5);
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
Assert.AreEqual(Decimals.NaN.ToString(), highestValue.GetValue(i).ToString());
}
}
public AroonUpIndicator(TimeSeries series, int timeFrame) : base(series)
{
_timeFrame = timeFrame;
_closePriceIndicator = new ClosePriceIndicator(series);
_highestClosePriceIndicator = new HighestValueIndicator(_closePriceIndicator, timeFrame);
}
public void highestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 500);
Assert.AreEqual(highestValue.GetValue(12), 6M);
}
public void firstHighestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(highestValue.GetValue(0), 1M);
}
public void HighestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 500);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(12), "6");
}
public void FirstHighestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(0), "1");
}