// STANDARD DEVIATION CHANNELS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <StdDevChannelsResult> GetStdDevChannels <TQuote>(
this IEnumerable <TQuote> quotes,
int?lookbackPeriods = 20,
double standardDeviations = 2)
where TQuote : IQuote
{
// assume whole quotes when lookback is null
if (lookbackPeriods is null)
{
lookbackPeriods = quotes.Count();
}
// check parameter arguments
ValidateStdDevChannels(lookbackPeriods, standardDeviations);
// initialize
List <SlopeResult> slopeResults = GetSlope(quotes, (int)lookbackPeriods).ToList();
int length = slopeResults.Count;
List <StdDevChannelsResult> results = slopeResults
.Select(x => new StdDevChannelsResult {
Date = x.Date
})
.ToList();
// roll through quotes in reverse
for (int w = length - 1; w >= lookbackPeriods - 1; w -= (int)lookbackPeriods)
{
SlopeResult s = slopeResults[w];
decimal? width = (decimal?)(standardDeviations * s.StdDev);
// add regression line (y = mx + b) and channels
for (int p = w - (int)lookbackPeriods + 1; p <= w; p++)
{
if (p >= 0)
{
StdDevChannelsResult d = results[p];
d.Centerline = (decimal?)((s.Slope * (p + 1)) + s.Intercept);
d.UpperChannel = d.Centerline + width;
d.LowerChannel = d.Centerline - width;
d.BreakPoint = p == w - lookbackPeriods + 1;
}
}
}
return(results);
}
public void Removed()
{
int lookbackPeriods = 20;
double standardDeviations = 2;
List <StdDevChannelsResult> results =
quotes.GetStdDevChannels(lookbackPeriods, standardDeviations)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(500, results.Count);
StdDevChannelsResult last = results.LastOrDefault();
Assert.AreEqual(235.8131m, Math.Round((decimal)last.Centerline, 4));
Assert.AreEqual(257.6536m, Math.Round((decimal)last.UpperChannel, 4));
Assert.AreEqual(213.9727m, Math.Round((decimal)last.LowerChannel, 4));
Assert.IsFalse(last.BreakPoint);
}
public void FullHistory()
{
// null provided for lookback period
List <StdDevChannelsResult> results =
quotes.GetStdDevChannels(null, 2)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502, results.Where(x => x.Centerline != null).Count());
Assert.AreEqual(502, results.Where(x => x.UpperChannel != null).Count());
Assert.AreEqual(502, results.Where(x => x.LowerChannel != null).Count());
Assert.AreEqual(501, results.Where(x => x.BreakPoint == false).Count());
// sample value
StdDevChannelsResult r1 = results[0];
Assert.AreEqual(219.2605m, Math.Round((decimal)r1.Centerline, 4));
Assert.AreEqual(258.7104m, Math.Round((decimal)r1.UpperChannel, 4));
Assert.AreEqual(179.8105m, Math.Round((decimal)r1.LowerChannel, 4));
Assert.IsTrue(r1.BreakPoint);
StdDevChannelsResult r2 = results[249];
Assert.AreEqual(249.3814m, Math.Round((decimal)r2.Centerline, 4));
Assert.AreEqual(288.8314m, Math.Round((decimal)r2.UpperChannel, 4));
Assert.AreEqual(209.9315m, Math.Round((decimal)r2.LowerChannel, 4));
StdDevChannelsResult r3 = results[501];
Assert.AreEqual(279.8653m, Math.Round((decimal)r3.Centerline, 4));
Assert.AreEqual(319.3152m, Math.Round((decimal)r3.UpperChannel, 4));
Assert.AreEqual(240.4153m, Math.Round((decimal)r3.LowerChannel, 4));
}
public void Standard()
{
int lookbackPeriods = 20;
double standardDeviations = 2;
List <StdDevChannelsResult> results =
quotes.GetStdDevChannels(lookbackPeriods, standardDeviations)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(500, results.Where(x => x.Centerline != null).Count());
Assert.AreEqual(500, results.Where(x => x.UpperChannel != null).Count());
Assert.AreEqual(500, results.Where(x => x.LowerChannel != null).Count());
// sample value
StdDevChannelsResult r1 = results[1];
Assert.IsNull(r1.Centerline);
Assert.IsNull(r1.UpperChannel);
Assert.IsNull(r1.LowerChannel);
Assert.IsFalse(r1.BreakPoint);
StdDevChannelsResult r2 = results[2];
Assert.AreEqual(213.7993m, Math.Round((decimal)r2.Centerline, 4));
Assert.AreEqual(215.7098m, Math.Round((decimal)r2.UpperChannel, 4));
Assert.AreEqual(211.8888m, Math.Round((decimal)r2.LowerChannel, 4));
Assert.IsTrue(r2.BreakPoint);
StdDevChannelsResult r3 = results[141];
Assert.AreEqual(236.1744m, Math.Round((decimal)r3.Centerline, 4));
Assert.AreEqual(240.4784m, Math.Round((decimal)r3.UpperChannel, 4));
Assert.AreEqual(231.8704m, Math.Round((decimal)r3.LowerChannel, 4));
Assert.IsFalse(r3.BreakPoint);
StdDevChannelsResult r4 = results[142];
Assert.AreEqual(236.3269m, Math.Round((decimal)r4.Centerline, 4));
Assert.AreEqual(239.5585m, Math.Round((decimal)r4.UpperChannel, 4));
Assert.AreEqual(233.0953m, Math.Round((decimal)r4.LowerChannel, 4));
Assert.IsTrue(r4.BreakPoint);
StdDevChannelsResult r5 = results[249];
Assert.AreEqual(259.6044m, Math.Round((decimal)r5.Centerline, 4));
Assert.AreEqual(267.5754m, Math.Round((decimal)r5.UpperChannel, 4));
Assert.AreEqual(251.6333m, Math.Round((decimal)r5.LowerChannel, 4));
Assert.IsFalse(r5.BreakPoint);
StdDevChannelsResult r6 = results[482];
Assert.AreEqual(267.9069m, Math.Round((decimal)r6.Centerline, 4));
Assert.AreEqual(289.7473m, Math.Round((decimal)r6.UpperChannel, 4));
Assert.AreEqual(246.0664m, Math.Round((decimal)r6.LowerChannel, 4));
Assert.IsTrue(r6.BreakPoint);
StdDevChannelsResult r7 = results[501];
Assert.AreEqual(235.8131m, Math.Round((decimal)r7.Centerline, 4));
Assert.AreEqual(257.6536m, Math.Round((decimal)r7.UpperChannel, 4));
Assert.AreEqual(213.9727m, Math.Round((decimal)r7.LowerChannel, 4));
Assert.IsFalse(r7.BreakPoint);
}
