public void GoLongAndClosePosition()
{
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
24.51m, 24.51m, 20.88m, 15m, 9.12m,
5.49m, 5.49m, 9.12m, 15m, 20.88m,
24.51m, 24.51m, 20.88m, 15m, 9.12m,
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goLong , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.closeLong, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
// Update the InverseFisher indicator from here, if not it took 11 bars until the first signal.
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goLong) strategy.Position = StockState.longPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void ResetsProperly()
{
DateTime time = DateTime.Parse("2000-01-01");
# region Arrays inputs
decimal[] prices = new decimal[10]
{
100m, 110m, 120m, 130m, 140m, 150m, 160m, 170m, 180m, 190m
};
#endregion
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, 5, 5);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
time.AddDays(1);
}
Assert.IsTrue(strategy.DecycleTrend.IsReady, "Decycle Trend Ready");
Assert.IsTrue(strategy.InverseFisher.IsReady, "Decycle Inverse Fisher Ready");
Assert.IsTrue(strategy.InvFisherRW.IsReady, "Inverse Fisher Window Ready");
strategy.Reset();
TestHelper.AssertIndicatorIsInDefaultState(strategy.DecycleTrend);
TestHelper.AssertIndicatorIsInDefaultState(strategy.InverseFisher);
Assert.IsFalse(strategy.InvFisherRW.IsReady, "Inverse Fisher Window was Reset");
}
public void ToleranceTesting()
{
// This is the same GoLongAndClosePosition Test, only the tolerance is increased to avoid signals.
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 2m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
decimal[] prices = new decimal[15]
{
24.51m, 24.51m, 20.88m, 15m, 9.12m,
5.49m, 5.49m, 9.12m, 15m, 20.88m,
24.51m, 24.51m, 20.88m, 15m, 9.12m,
};
OrderSignal[] expectedOrders = new OrderSignal[15]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goLong) strategy.Position = StockState.longPosition;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void RealDataTest2()
{
// Almost the same test, but in this case, the strategy should send a doNothing instead a repeated goShort.
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
// Real AMZN minute data
decimal[] prices = new decimal[30]
{
428.78m, 428.79m, 428.72m, 428.67m, 428.66m, 428.62m, 428.83m, 428.89m, 428.85m, 428.78m,
428.77m, 429.29m, 429.53m, 429.33m, 429.30m, 429.04m, 429.29m, 428.90m, 428.88m, 429.07m,
429.03m, 429.35m, 429.42m, 429.75m, 430.43m, 430.33m, 430.52m, 430.41m, 430.22m, 430.25m
};
OrderSignal[] expectedOrders = new OrderSignal[30]
{
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.goShort , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.closeShort, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing,
OrderSignal.doNothing , OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShort
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShort && strategy.Position == StockState.noInvested) strategy.Position = StockState.shortPosition;
if (actualOrders[i] == OrderSignal.closeShort && strategy.Position == StockState.shortPosition) strategy.Position = StockState.noInvested;
if (actualOrders[i] == OrderSignal.goLong && strategy.Position == StockState.noInvested) strategy.Position = StockState.longPosition;
if (actualOrders[i] == OrderSignal.closeLong && strategy.Position == StockState.longPosition) strategy.Position = StockState.noInvested;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
Console.WriteLine(strategy.DecycleTrend.Current.ToString());
Console.WriteLine(strategy.InverseFisher.Current.ToString() + "\n");
time = time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
public void RealDataTest()
{
int _trendPeriod = 5;
int _invFisherPeriod = 6;
decimal _tolerance = 0.001m;
decimal _threshold = 0.9m;
DateTime time = DateTime.Now;
# region Arrays inputs
// Real AMZN minute data
decimal[] prices = new decimal[30]
{
427.30m, 427.24m, 427.57m, 427.71m, 427.59m, 427.95m, 427.27m, 427.19m, 427.45m, 427.81m,
427.62m, 427.66m, 427.67m, 427.62m, 427.67m, 427.20m, 426.89m, 427.27m, 427.46m, 427.31m,
427.11m, 427.29m, 427.54m, 427.87m, 427.80m, 427.35m, 427.34m, 427.75m, 427.94m, 429.00m,
};
OrderSignal[] expectedOrders = new OrderSignal[30]
{
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.goShort , OrderSignal.doNothing , OrderSignal.closeShort,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.goShort,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.closeShort, OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.doNothing, OrderSignal.doNothing , OrderSignal.doNothing , OrderSignal.doNothing,
OrderSignal.doNothing, OrderSignal.goShort , OrderSignal.closeShort, OrderSignal.doNothing , OrderSignal.doNothing
};
# endregion
OrderSignal[] actualOrders = new OrderSignal[expectedOrders.Length];
Identity VoidIndicator = new Identity("Void");
DIFStrategy strategy = new DIFStrategy(VoidIndicator, _trendPeriod, _invFisherPeriod, _threshold, _tolerance);
for (int i = 0; i < prices.Length; i++)
{
strategy.DecycleTrend.Update(new IndicatorDataPoint(time, prices[i]));
strategy.InverseFisher.Update(strategy.DecycleTrend.Current);
actualOrders[i] = strategy.ActualSignal;
if (actualOrders[i] == OrderSignal.goShort && strategy.Position == StockState.noInvested) strategy.Position = StockState.shortPosition;
if (actualOrders[i] == OrderSignal.closeShort && strategy.Position == StockState.shortPosition) strategy.Position = StockState.noInvested;
if (actualOrders[i] == OrderSignal.goLong && strategy.Position == StockState.noInvested) strategy.Position = StockState.longPosition;
if (actualOrders[i] == OrderSignal.closeLong && strategy.Position == StockState.longPosition) strategy.Position = StockState.noInvested;
Console.WriteLine(i + "| Actual Order:" + actualOrders[i]);
Console.WriteLine(strategy.DecycleTrend.Current.ToString());
Console.WriteLine(strategy.InverseFisher.Current.ToString() + "\n");
time = time.AddDays(1);
}
Assert.AreEqual(expectedOrders, actualOrders);
}
