public void RegressionChannelComputesCorrectly()
{
var period = 20;
var indicator = new RegressionChannel(period, 2);
var stdDev = new StandardDeviation(period);
var time = DateTime.Now;
var prices = LeastSquaresMovingAverageTest.prices;
var expected = LeastSquaresMovingAverageTest.expected;
var actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
indicator.Update(time, prices[i]);
stdDev.Update(time, prices[i]);
actual[i] = Math.Round(indicator.Current.Value, 4);
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
var expectedUpper = indicator.Current + stdDev.Current * 2;
Assert.AreEqual(expectedUpper, indicator.UpperChannel);
var expectedLower = indicator.Current - stdDev.Current * 2;
Assert.AreEqual(expectedLower, indicator.LowerChannel);
}
/// <summary>
/// Computes the next value of the following sub-indicators from the given state:
/// StandardDeviation, MiddleBand, UpperBand, LowerBand
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>The input is returned unmodified.</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
StandardDeviation.Update(input);
MiddleBand.Update(input);
UpperBand.Update(input);
LowerBand.Update(input);
return(input);
}
/// <summary>
/// Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand)
/// </summary>
public override void Reset()
{
StandardDeviation.Reset();
MiddleBand.Reset();
UpperBand.Reset();
LowerBand.Reset();
base.Reset();
}
public void ComparesAgainstExternalDataAfterReset()
{
var std = new StandardDeviation("STD", 10);
RunTestIndicator(std);
std.Reset();
RunTestIndicator(std);
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(String name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(k), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(k), name + "_UpperBand");
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(String name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(k), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(k), name + "_UpperBand");
}
/// <summary>
/// Creates a new AugenPriceSpike indicator with the specified period
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of this indicator</param>
public AugenPriceSpike(string name, int period)
: base(name)
{
if (period < 3)
{
throw new ArgumentException("AugenPriceSpike Indicator must have a period of at least 3", nameof(period));
}
_standardDeviation = new StandardDeviation(period);
_rollingData = new RollingWindow <decimal>(3);
WarmUpPeriod = period + 2;
}
public void ResetsProperly()
{
var std = new StandardDeviation(3);
std.Update(DateTime.Today, 1m);
std.Update(DateTime.Today.AddSeconds(1), 5m);
std.Update(DateTime.Today.AddSeconds(2), 1m);
Assert.IsTrue(std.IsReady);
std.Reset();
TestHelper.AssertIndicatorIsInDefaultState(std);
}
public void ComputesCorrectly()
{
// Indicator output was compared against the following function in Julia
// stdpop(v) = sqrt(sum((v - mean(v)).^2) / length(v))
var std = new StandardDeviation(3);
var reference = DateTime.MinValue;
std.Update(reference.AddDays(1), 1m);
Assert.AreEqual(0m, std.Current.Value);
std.Update(reference.AddDays(2), -1m);
Assert.AreEqual(1m, std.Current.Value);
std.Update(reference.AddDays(3), 1m);
Assert.AreEqual(0.942809041582063m, std.Current.Value);
std.Update(reference.AddDays(4), -2m);
Assert.AreEqual(1.24721912892465m, std.Current.Value);
std.Update(reference.AddDays(5), 3m);
Assert.AreEqual(2.05480466765633m, std.Current.Value);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow<IndicatorDataPoint>(14);
cycleSignal = new RollingWindow<IndicatorDataPoint>(14);
cycle = new CyberCycle(7);
Price = new RollingWindow<IndicatorDataPoint>(14);
diff = new RollingWindow<IndicatorDataPoint>(20);
standardDeviation = new StandardDeviation(30);
fish = new InverseFisherTransform(10);
fishHistory = new RollingWindow<IndicatorDataPoint>(7);
fishDirectionHistory = new RollingWindow<IndicatorDataPoint>(7);
}
public SymbolData(Symbol symbol, IEnumerable<BaseData> history)
{
Symbol = symbol;
SMA = new SimpleMovingAverage(365).Of(ROC);
STD = new StandardDeviation(365).Of(ROC);
foreach (var data in history)
{
Update(data);
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug("Mean Reversion Algorithm");
mylog.Debug(ondataheader);
dailylog.Debug("Mean Reversion Algorithm");
dailylog.Debug(dailyheader);
//Initialize dates
SetStartDate(_startDate);
SetEndDate(_endDate);
SetCash(22000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);
Price = new RollingWindow<IndicatorDataPoint>(14);
trendHistory = new RollingWindow<IndicatorDataPoint>(14);
trend = new InstantaneousTrend(10);
ema10 = new ExponentialMovingAverage(10);
sma10 = new SimpleMovingAverage(10);
madiff = new RollingWindow<IndicatorDataPoint>(390);
stddev = new StandardDeviation(390);
emaHistory = new RollingWindow<IndicatorDataPoint>(10);
smaHistory = new RollingWindow<IndicatorDataPoint>(10);
}
public InverseFisherTransform(string name, int period)
: base(name)
{
mean = new SimpleMovingAverage(period);
sd = new StandardDeviation(period);
}
private static void RunTestIndicator(StandardDeviation std)
{
TestHelper.TestIndicator(std, "spy_var.txt", "Var", (ind, expected) => Assert.AreEqual(Math.Sqrt(expected), (double)std.Current.Value, 1e-6));
}
public void ComparesAgainstExternalData()
{
var std = new StandardDeviation("STD", 10);
TestHelper.TestIndicator(std, "spy_var.txt", "Var", (ind, expected) => Assert.AreEqual(Math.Sqrt(expected), (double)std.Current.Value, 1e-6));
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// initialize algorithm level parameters
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
//SetStartDate(2014, 01, 01);
//SetEndDate(2014, 06, 01);
SetCash(100000);
// leverage tradier $1 traders
SetBrokerageModel(BrokerageName.TradierBrokerage);
// request high resolution equity data
AddSecurity(SecurityType.Equity, Symbol, Resolution.Second);
// save off our security so we can reference it quickly later
Security = Securities[Symbol];
// Set our max leverage
Security.SetLeverage(MaximumLeverage);
// define our longer term indicators
ADX14 = ADX(Symbol, 28, Resolution.Hour);
STD14 = STD(Symbol, 14, Resolution.Daily);
ATR14 = ATR(Symbol, 14, resolution: Resolution.Daily);
PSARMin = new ParabolicStopAndReverse(Symbol, afStart: 0.0001m, afIncrement: 0.0001m);
// smooth our ATR over a week, we'll use this to determine if recent volatilty warrants entrance
var oneWeekInMarketHours = (int)(5*6.5);
SmoothedATR14 = new ExponentialMovingAverage("Smoothed_" + ATR14.Name, oneWeekInMarketHours).Of(ATR14);
// smooth our STD over a week as well
SmoothedSTD14 = new ExponentialMovingAverage("Smoothed_"+STD14.Name, oneWeekInMarketHours).Of(STD14);
// initialize our charts
var chart = new Chart(Symbol);
chart.AddSeries(new Series(ADX14.Name));
chart.AddSeries(new Series("Enter", SeriesType.Scatter));
chart.AddSeries(new Series("Exit", SeriesType.Scatter));
chart.AddSeries(new Series(PSARMin.Name, SeriesType.Scatter));
AddChart(chart);
var history = History(Symbol, 20, Resolution.Daily);
foreach (var bar in history)
{
ADX14.Update(bar);
ATR14.Update(bar);
STD14.Update(bar.EndTime, bar.Close);
}
// schedule an event to run every day at five minutes after our Symbol's market open
Schedule.Event("MarketOpenSpan")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: OpeningSpanInMinutes)
.Run(MarketOpeningSpanHandler);
Schedule.Event("MarketOpen")
.EveryDay(Symbol)
.AfterMarketOpen(Symbol, minutesAfterOpen: -1)
.Run(() => PSARMin.Reset());
}
