public void naNValuesInIntervall()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10; i++)
{ // (NaN, 1, NaN, 2, NaN, 3, NaN, 4, ...)
decimal closePrice = i % 2 == 0 ? i : Decimals.NaN;
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
LowestValueIndicator lowestValue = new LowestValueIndicator(new ClosePriceIndicator(series), 2);
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
if (i % 2 != 0)
{
Assert.AreEqual(series.GetBar(i - 1).ClosePrice.ToString(), lowestValue.GetValue(i).ToString());
}
else
{
Assert.AreEqual(series.GetBar(Math.Max(0, i - 1)).ClosePrice.ToString(), lowestValue.GetValue(i).ToString());
}
}
}
/// <param name="series"> a time series </param>
/// <returns> a global extrema strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Series cannot be null");
}
var closePrices = new ClosePriceIndicator(series);
// Getting the max price over the past week
var maxPrices = new MaxPriceIndicator(series);
var weekMaxPrice = new HighestValueIndicator(maxPrices, NB_TICKS_PER_WEEK);
// Getting the min price over the past week
var minPrices = new MinPriceIndicator(series);
var weekMinPrice = new LowestValueIndicator(minPrices, NB_TICKS_PER_WEEK);
// Going long if the close price goes below the min price
var downWeek = new MultiplierIndicator(weekMinPrice, Decimal.ValueOf("1.004"));
var buyingRule = new UnderIndicatorRule(closePrices, downWeek);
// Going short if the close price goes above the max price
var upWeek = new MultiplierIndicator(weekMaxPrice, Decimal.ValueOf("0.996"));
var sellingRule = new OverIndicatorRule(closePrices, upWeek);
return(new Strategy(buyingRule, sellingRule));
}
/**
* Constructor.
* @param series the time series
* @param timeFrame the time frame (usually 22)
* @param k the K multiplier for ATR (usually 3.0)
*/
public ChandelierExitShortIndicator(ITimeSeries series, int timeFrame, decimal k)
: base(series)
{
_low = new LowestValueIndicator(new MinPriceIndicator(series), timeFrame);
_atr = new ATRIndicator(series, timeFrame);
_k = k;
}
/**
* Constructor.
* @param rsi the rsi indicator
* @param timeFrame the time frame
*/
public StochasticRSIIndicator(RSIIndicator rsi, int timeFrame)
: base(rsi)
{
_rsi = rsi;
_minRsi = new LowestValueIndicator(rsi, timeFrame);
_maxRsi = new HighestValueIndicator(rsi, timeFrame);
}
/**
* Constructor.
* <p>
* @param series the time series
* @param MinValueIndicator the indicator for the Maximum price ( {@link MaxPriceIndicator})
* @param timeFrame the time frame
*/
public AroonDownIndicator(ITimeSeries series, IIndicator <decimal> MinValueIndicator, int timeFrame)
: base(series)
{
_timeFrame = timeFrame;
_minValueIndicator = MinValueIndicator;
// + 1 needed for last possible iteration in loop
_lowestMinPriceIndicator = new LowestValueIndicator(MinValueIndicator, timeFrame + 1);
}
public override bool IsSatisfied(int index, ITradingRecord tradingRecord)
{
LowestValueIndicator lowest = new LowestValueIndicator(_indicator, _timeFrame);
decimal lowestVal = lowest.GetValue(index);
decimal refVal = _indicator.GetValue(index);
bool satisfied = !refVal.IsNaN() && !lowestVal.IsNaN() && refVal.Equals(lowestVal);
traceIsSatisfied(index, satisfied);
return(satisfied);
}
protected override decimal Calculate(int index)
{
HighestValueIndicator highestHigh = new HighestValueIndicator(_maxPriceIndicator, _timeFrame);
LowestValueIndicator lowestMin = new LowestValueIndicator(_minPriceIndicator, _timeFrame);
decimal highestHighPrice = highestHigh.GetValue(index);
decimal lowestLowPrice = lowestMin.GetValue(index);
return(_indicator.GetValue(index).Minus(lowestLowPrice)
.DividedBy(highestHighPrice.Minus(lowestLowPrice))
.MultipliedBy(Decimals.HUNDRED));
}
public void LowestValueIndicatorUsingTimeFrame5UsingClosePrice()
{
var lowestValue = new LowestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(4), "1");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(5), "2");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(6), "3");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(7), "3");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(8), "3");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(9), "3");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(10), "2");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(11), "2");
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(12), "2");
}
public void lowestValueIndicatorUsingTimeFrame5UsingClosePrice()
{
LowestValueIndicator lowestValue = new LowestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(lowestValue.GetValue(1), 1M);
Assert.AreEqual(lowestValue.GetValue(2), 1M);
Assert.AreEqual(lowestValue.GetValue(3), 1M);
Assert.AreEqual(lowestValue.GetValue(4), 1M);
Assert.AreEqual(lowestValue.GetValue(5), 2M);
Assert.AreEqual(lowestValue.GetValue(6), 3M);
Assert.AreEqual(lowestValue.GetValue(7), 3M);
Assert.AreEqual(lowestValue.GetValue(8), 3M);
Assert.AreEqual(lowestValue.GetValue(9), 3M);
Assert.AreEqual(lowestValue.GetValue(10), 2M);
Assert.AreEqual(lowestValue.GetValue(11), 2M);
Assert.AreEqual(lowestValue.GetValue(12), 2M);
}
public void onlyNaNValues()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10000; i++)
{
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
LowestValueIndicator lowestValue = new LowestValueIndicator(new ClosePriceIndicator(series), 5);
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
Assert.AreEqual(Decimals.NaN.ToString(), lowestValue.GetValue(i).ToString());
}
}
public void lowestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
LowestValueIndicator lowestValue = new LowestValueIndicator(new ClosePriceIndicator(data), 500);
Assert.AreEqual(lowestValue.GetValue(12), 1);
}
public void lowestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
LowestValueIndicator lowestValue = new LowestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(lowestValue.GetValue(0), 1);
}
public AroonDownIndicator(TimeSeries series, int timeFrame) : base(series)
{
_timeFrame = timeFrame;
_closePriceIndicator = new ClosePriceIndicator(series);
_lowestClosePriceIndicator = new LowestValueIndicator(_closePriceIndicator, timeFrame);
}
public void LowestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
var lowestValue = new LowestValueIndicator(new ClosePriceIndicator(_data), 500);
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(12), "1");
}
public void LowestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
var lowestValue = new LowestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(lowestValue.GetValue(0), "1");
}
