public void TestEMA()
{
long ticks = 1000;
var data = new double[] { 20, 40, 22, 35, 33, 78, 21, 45, 33, 5, 67, 22, 98, 22, 34, 54 };
var input = new TimeSeries();
var ema = new EMA(input, 10);
foreach (var d in data)
input.Add(new DateTime().AddTicks(ticks++), d);
for (var i = 0; i < ema.Count; i++)
output.WriteLine(ema[i].ToString());
Assert.Equal(ema[0], 20, precision);
Assert.Equal(ema[1], 23.6363636363636, precision);
Assert.Equal(ema[2], 23.3388429752066, precision);
Assert.Equal(ema[3], 25.4590533433509, precision);
Assert.Equal(ema[4], 26.8301345536507, precision);
Assert.Equal(ema[5], 36.1337464529869, precision);
Assert.Equal(ema[6], 33.3821561888075, precision);
Assert.Equal(ema[7], 35.4944914272061, precision);
Assert.Equal(ema[8], 35.0409475313505, precision);
Assert.Equal(ema[9], 29.5789570711049, precision);
Assert.Equal(ema[10], 36.3827830581768, precision);
Assert.Equal(ema[11], 33.7677315930537, precision);
Assert.Equal(ema[12], 45.4463258488621, precision);
Assert.Equal(ema[13], 41.1833575127054, precision);
Assert.Equal(ema[14], 39.8772925103953, precision);
Assert.Equal(ema[15], 42.4450575085053, precision);
}
public static double Value(ISeries input, int index, int length1, int length2)
{
if (index >= Math.Max(length1, length2))
{
var ad = new AD(input);
var ema1 = new EMA(ad, length1);
var ema2 = new EMA(ad, length2);
return ema1[index] - ema2[index];
}
return double.NaN;
}
protected override void Init()
{
this.name = this.input is BarSeries ? $"MACD ({this.length1}, {this.length2}, {this.barData}" : $"MACD ({this.length1}, {this.length2})";
this.description = "Moving Average Convergence Divergence";
Clear();
this.calculate = true;
Detach();
this.ema1 = new EMA(this.input, this.length1, this.barData);
this.ema2 = new EMA(this.input, this.length2, this.barData);
Attach();
}
public static double Value(ISeries input, int index, int length1, int length2)
{
if (index >= length2 - 1)
{
var ts = new TimeSeries();
for (var i = 0; i <= index; i++)
ts.Add(input.GetDateTime(i), input[i, BarData.High] - input[i, BarData.Low]);
var ema = new EMA(ts, length1);
return (ema[index] - ema[index - length2 + 1])/ema[index - length2 + 1]*100;
}
return double.NaN;
}
protected override void Init()
{
this.name = $"VCH ({this.length1}, {this.length2})";
this.description = "Chaikin Volatility";
Clear();
this.calculate = true;
this.hlTS = new TimeSeries();
for (var i = 0; i < this.input.Count; i++)
this.hlTS.Add(this.input.GetDateTime(i), this.input[i, BarData.High] - this.input[i, BarData.Low]);
this.ema = new EMA(this.hlTS, this.length1);
}
public static double Value(ISeries input, int index, int length, int order)
{
if (index >= length - 1)
{
var ts = new TimeSeries();
for (int i = 0; i <= index; i++)
ts.Add(input.GetDateTime(i), input[i, BarData.High] - input[i, BarData.Low]);
var ema = new EMA(ts, order);
var ema_ema = new EMA(ema, order);
return Enumerable.Range(index - length + 1, length).Reverse().Sum(i => ema[i]/ema_ema[i]);
}
return double.NaN;
}
protected override void Init()
{
this.name = $"MASS ({this.length}, {this.order})";
this.description = "Mass Index";
Clear();
this.calculate = true;
this.hlTS = new TimeSeries();
for (var i = 0; i < this.input.Count; i++)
this.hlTS.Add(this.input.GetDateTime(i), this.input[i, BarData.High] - this.input[i, BarData.Low]);
Detach();
this.ema = new EMA(this.hlTS, this.order);
this.ema_ema = new EMA(this.ema, this.order);
Attach();
}
protected override void Init()
{
this.name = $"CAD ({this.length1}, {this.length2})";
this.description = "Chaikin A/D Oscillator";
Clear();
this.calculate = true;
Detach();
this.ad?.Detach();
this.ema1?.Detach();
this.ema2?.Detach();
this.ad = new AD(this.input);
this.ema1 = new EMA(this.ad, this.length1);
this.ema2 = new EMA(this.ad, this.length2);
Attach();
}
protected override void Init()
{
this.name = $"MASS ({this.length}, {this.order})";
this.description = "Mass Index";
Clear();
this.calculate = true;
this.hlTS = new TimeSeries();
for (var i = 0; i < this.input.Count; i++)
{
this.hlTS.Add(this.input.GetDateTime(i), this.input[i, BarData.High] - this.input[i, BarData.Low]);
}
Detach();
this.ema = new EMA(this.hlTS, this.order);
this.ema_ema = new EMA(this.ema, this.order);
Attach();
}
public static double Value(ISeries input, int index, int length1, int length2, BarData barData = BarData.Close)
{
return(index < 0
? double.NaN
: EMA.Value(input, index, length1, barData) - EMA.Value(input, index, length2, barData));
}
