public void GetKeltnerTest()
{
int emaPeriod = 20;
int multiplier = 2;
int atrPeriod = 10;
int lookbackPeriod = Math.Max(emaPeriod, atrPeriod);
IEnumerable <KeltnerResult> results = Indicator.GetKeltner(history, emaPeriod, multiplier, atrPeriod);
// 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.Centerline != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.LowerBand != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Width != null).Count());
// sample value
KeltnerResult r1 = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)262.1873, Math.Round((decimal)r1.UpperBand, 4));
Assert.AreEqual((decimal)249.3519, Math.Round((decimal)r1.Centerline, 4));
Assert.AreEqual((decimal)236.5165, Math.Round((decimal)r1.LowerBand, 4));
Assert.AreEqual((decimal)0.102950, Math.Round((decimal)r1.Width, 6));
KeltnerResult r2 = results.Where(x => x.Date == DateTime.Parse("12/06/2018")).FirstOrDefault();
Assert.AreEqual((decimal)275.4260, Math.Round((decimal)r2.UpperBand, 4));
Assert.AreEqual((decimal)265.4599, Math.Round((decimal)r2.Centerline, 4));
Assert.AreEqual((decimal)255.4938, Math.Round((decimal)r2.LowerBand, 4));
Assert.AreEqual((decimal)0.075085, Math.Round((decimal)r2.Width, 6));
}
public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = History.GetHistoryLong(200 + qty);
IEnumerable <KeltnerResult> r = Indicator.GetKeltner(h, 100);
KeltnerResult l = r.LastOrDefault();
Console.WriteLine("KC-UP on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.UpperBand);
}
}
public void Keltner()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(qty);
IEnumerable <KeltnerResult> r = quotes.GetKeltner(100);
KeltnerResult l = r.LastOrDefault();
Console.WriteLine(
"KC-UP on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.UpperBand);
}
}
public void Removed()
{
int emaPeriods = 20;
int multiplier = 2;
int atrPeriods = 10;
int n = Math.Max(emaPeriods, atrPeriods);
List <KeltnerResult> results =
quotes.GetKeltner(emaPeriods, multiplier, atrPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - Math.Max(2 * n, n + 100), results.Count);
KeltnerResult last = results.LastOrDefault();
Assert.AreEqual(262.1873m, Math.Round((decimal)last.UpperBand, 4));
Assert.AreEqual(249.3519m, Math.Round((decimal)last.Centerline, 4));
Assert.AreEqual(236.5165m, Math.Round((decimal)last.LowerBand, 4));
Assert.AreEqual(0.102950m, Math.Round((decimal)last.Width, 6));
}
public void Standard()
{
int emaPeriod = 20;
int multiplier = 2;
int atrPeriod = 10;
List <KeltnerResult> results =
Indicator.GetKeltner(history, emaPeriod, multiplier, atrPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
int warmupPeriod = 502 - Math.Max(emaPeriod, atrPeriod) + 1;
Assert.AreEqual(warmupPeriod, results.Where(x => x.Centerline != null).Count());
Assert.AreEqual(warmupPeriod, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(warmupPeriod, results.Where(x => x.LowerBand != null).Count());
Assert.AreEqual(warmupPeriod, results.Where(x => x.Width != null).Count());
// sample value
KeltnerResult r1 = results[485];
Assert.AreEqual(275.4260m, Math.Round((decimal)r1.UpperBand, 4));
Assert.AreEqual(265.4599m, Math.Round((decimal)r1.Centerline, 4));
Assert.AreEqual(255.4938m, Math.Round((decimal)r1.LowerBand, 4));
Assert.AreEqual(0.075085m, Math.Round((decimal)r1.Width, 6));
KeltnerResult r2 = results[501];
Assert.AreEqual(262.1873m, Math.Round((decimal)r2.UpperBand, 4));
Assert.AreEqual(249.3519m, Math.Round((decimal)r2.Centerline, 4));
Assert.AreEqual(236.5165m, Math.Round((decimal)r2.LowerBand, 4));
Assert.AreEqual(0.102950m, Math.Round((decimal)r2.Width, 6));
}
