public Indicator AnalyzeData(DataState state)
{
double[] closePrices = _analyseRepo.LoadClosePriceBySymbol(state.Symbol, true).ToArray();
double[] RsiValues = RSICalculator.CalculateRsi(RSICalculator.Period, closePrices);
if (RsiValues.Length == 0)
{
return(null);
}
var cont = new ContinuousCalculator(RsiValues, r => r > 50.0);
RSI value = new RSI();
value.Symbol = state.Symbol;
value.Date = state.Last.Value;
value.Avg = RsiValues.Average();
value.LastRSI = AlgorithmHelper.GetLast(RsiValues);
value.PercentGT50 = RsiValues.Where(r => r > 50).Count() * 100 / RsiValues.Count();
value.TotalDays = RsiValues.Count();
value.MaxContGT50Days = cont.TrueMax;
value.MaxContLT50Days = cont.FalseMax;
value.AvgContGT50Days = cont.TrueAvg;
value.AvgContLT50Days = cont.FalseAvg;
value.LastContDays = cont.LastCont;
return(value.ToIndicator());
}
public void CanDoContinuousCalculation()
{
double[] raw = new double[] { 1.0, 2.2, 3.1, 6, 7, 2.3, 7.2, 8.2 };
var calc = new ContinuousCalculator(
raw, i => i > 5);
Assert.IsTrue(calc.FalseMax == 3);
Assert.IsTrue(calc.FalseAvg == 2.0);
Assert.IsTrue(calc.TrueMax == 2);
Assert.IsTrue(calc.TrueAvg == 2.0);
Assert.IsTrue(calc.LastCont == 2);
calc = new ContinuousCalculator(
raw, i => i > 50);
Assert.IsTrue(calc.FalseMax == 8);
Assert.IsTrue(calc.FalseAvg == 8.0);
Assert.IsTrue(calc.TrueMax == 0);
Assert.IsTrue(calc.TrueAvg == 0.0);
Assert.IsTrue(calc.LastCont == 8);
calc = new ContinuousCalculator(
raw, i => i < 50);
Assert.IsTrue(calc.FalseMax == 0);
Assert.IsTrue(calc.FalseAvg == 0.0);
Assert.IsTrue(calc.TrueMax == 8);
Assert.IsTrue(calc.TrueAvg == 8.0);
Assert.IsTrue(calc.LastCont == 8);
}
public Indicator AnalyzeData(DataState state)
{
double[] gainLoss = _analyseRepo.LoadComputedEod(state.Symbol)
.OrderByDescending(ce => ce.Date)
.Select(e => e.GL).ToArray();
var calculator = new ContinuousCalculator(gainLoss, gl => gl > 0);
GainLoss value = new GainLoss();
value.Symbol = state.Symbol;
value.Date = state.Last.Value;
value.MaxContGainDays = calculator.TrueMax;
value.AvgContGainDays = calculator.TrueAvg;
value.MaxContLossDays = calculator.FalseMax;
value.AvgContLossDays = calculator.FalseAvg;
value.LastGLContDays = calculator.LastCont;
return(value.ToIndicator());
}
