public void GetValueWhenTimeFrameIs12()
{
ROCIndicator roc = new ROCIndicator(closePrice, 12);
// Incomplete time frame
Assert.AreEqual(roc.GetValue(0), 0);
Assert.AreEqual(roc.GetValue(1), 1.104997885972909670836475700M);
Assert.AreEqual(roc.GetValue(2), -0.3319067800062832325511282200M);
Assert.AreEqual(roc.GetValue(3), 0.9647568597236645188392859600M);
// Complete time frame
decimal[] results13to20 = new decimal[] {
-3.8487968152883542004858188200M,
-4.848880483410522847021487700M,
-4.5206433873122946493699022900M,
-6.3438915406709033405279671600M,
-7.8592301293062817282691957500M,
-6.2083414610806652852563276800M,
-4.3130817313541793405523786300M,
-3.2434109184301613709644012800M
};
for (int i = 0; i < results13to20.Length; i++)
{
Assert.AreEqual(roc.GetValue(i + 12), results13to20[i]);
}
}
public static ROCIndicator Create(double eMA9Day, double eMA12Day, double rOCOnEMA9Day,
Quote market, TriggerDetail triggerDetail)
{
var macd = new ROCIndicator()
{
ROC14Days = eMA9Day,
EMA9Day = eMA12Day,
ROCOnEMA9Day = rOCOnEMA9Day,
Quote = market,
TriggerDetail = triggerDetail
};
return(macd);
}
public void Calculate_ROCIndicators()
{
var nifty = new Stock("nifty", ExchangeTypeEnum.NSE, "nifty 50");
_rocLists = new ROCLists();
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 1), 0, 0, 7954.9, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 2), 0, 0, 7931.35, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 3), 0, 0, 7864.15, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 4), 0, 0, 7781.9, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 7), 0, 0, 7765.4, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 8), 0, 0, 7701.7, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 9), 0, 0, 7612.5, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 10), 0, 0, 7683.3, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 11), 0, 0, 7610.45, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 14), 0, 0, 7650.05, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 15), 0, 0, 7700.9, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 16), 0, 0, 7750.9, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 17), 0, 0, 7844.35, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 18), 0, 0, 7761.95, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 21), 0, 0, 7834.45, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 22), 0, 0, 7786.1, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 23), 0, 0, 7865.95, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 24), 0, 0, 7861.05, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 28), 0, 0, 7925.15, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 29), 0, 0, 7928.95, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 30), 0, 0, 7896.25, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2015, 12, 31), 0, 0, 7946.35, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2016, 01, 01), 0, 0, 7963.2, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2016, 01, 04), 0, 0, 7791.3, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2016, 01, 04), 0, 0, 7784.65, 0, nifty), null));
_rocLists.Add(ROCIndicator.Create(0, 0, 0, new Quote(new DateTime(2016, 01, 06), 0, 0, 7741, 0, nifty), null));
var stringBuilder = new StringBuilder();
_rocLists.Foreach((item) =>
{
if (item.TriggerDetail != null)
{
stringBuilder.Append($"{item.Quote.Today},{item.Quote.Close}, {item.ROC14Days}, {item.EMA9Day},{item.ROCOnEMA9Day}, {item.TriggerDetail.TradeType}, {item.TriggerDetail.TriggeredPrice},{item.TriggerDetail.IsTriggered},{System.Environment.NewLine}");
}
});
File.WriteAllText(@"RocCalculation1.csv", stringBuilder.ToString());
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
/// <summary>
/// Creating indicators
/// </summary>
// Close price
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Typical price
TypicalPriceIndicator typicalPrice = new TypicalPriceIndicator(series);
// Price variation
PriceVariationIndicator priceVariation = new PriceVariationIndicator(series);
// Simple moving averages
SMAIndicator shortSma = new SMAIndicator(closePrice, 8);
SMAIndicator longSma = new SMAIndicator(closePrice, 20);
// Exponential moving averages
EMAIndicator shortEma = new EMAIndicator(closePrice, 8);
EMAIndicator longEma = new EMAIndicator(closePrice, 20);
// Percentage price oscillator
PPOIndicator ppo = new PPOIndicator(closePrice, 12, 26);
// Rate of change
ROCIndicator roc = new ROCIndicator(closePrice, 100);
// Relative strength index
RSIIndicator rsi = new RSIIndicator(closePrice, 14);
// Williams %R
WilliamsRIndicator williamsR = new WilliamsRIndicator(series, 20);
// Average true range
AverageTrueRangeIndicator atr = new AverageTrueRangeIndicator(series, 20);
// Standard deviation
StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, 14);
/// <summary>
/// Building header
/// </summary>
StringBuilder sb = new StringBuilder("timestamp,close,typical,variation,sma8,sma20,ema8,ema20,ppo,roc,rsi,williamsr,atr,sd\n");
/// <summary>
/// Adding indicators values
/// </summary>
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nbTicks = series.getTickCount();
int nbTicks = series.TickCount;
for (int i = 0; i < nbTicks; i++)
{
sb.Append(series.getTick(i).EndTime.Millis / 1000d).Append(',').Append(closePrice.getValue(i)).Append(',').Append(typicalPrice.getValue(i)).Append(',').Append(priceVariation.getValue(i)).Append(',').Append(shortSma.getValue(i)).Append(',').Append(longSma.getValue(i)).Append(',').Append(shortEma.getValue(i)).Append(',').Append(longEma.getValue(i)).Append(',').Append(ppo.getValue(i)).Append(',').Append(roc.getValue(i)).Append(',').Append(rsi.getValue(i)).Append(',').Append(williamsR.getValue(i)).Append(',').Append(atr.getValue(i)).Append(',').Append(sd.getValue(i)).Append('\n');
}
/// <summary>
/// Writing CSV file
/// </summary>
System.IO.StreamWriter writer = null;
try
{
writer = new System.IO.StreamWriter("indicators.csv");
writer.Write(sb.ToString());
} catch (IOException ioe)
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
Logger.getLogger(typeof(IndicatorsToCsv).FullName).log(Level.SEVERE, "Unable to write CSV file", ioe);
} finally
{
try
{
if (writer != null)
{
writer.Close();
}
} catch (IOException)
{
}
}
}
