public void Removed()
{
int windowPeriods = 11;
int offsetPeriods = 9;
PivotPointType pointType = PivotPointType.Standard;
List <RollingPivotsResult> results =
quotes.GetRollingPivots(windowPeriods, offsetPeriods, pointType)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (windowPeriods + offsetPeriods), results.Count);
RollingPivotsResult last = results.LastOrDefault();
Assert.AreEqual(260.0267m, Math.Round((decimal)last.PP, 4));
Assert.AreEqual(246.4633m, Math.Round((decimal)last.S1, 4));
Assert.AreEqual(238.7767m, Math.Round((decimal)last.S2, 4));
Assert.AreEqual(225.2133m, Math.Round((decimal)last.S3, 4));
Assert.AreEqual(null, last.S4);
Assert.AreEqual(267.7133m, Math.Round((decimal)last.R1, 4));
Assert.AreEqual(281.2767m, Math.Round((decimal)last.R2, 4));
Assert.AreEqual(288.9633m, Math.Round((decimal)last.R3, 4));
Assert.AreEqual(null, last.R4);
}
public void PivotPointPerType(PivotPointType pointType)
{
var pointsHighLow = new PivotPointsHighLow(10, 20);
for (var i = 0; i < pointsHighLow.WarmUpPeriod; i++)
{
Assert.IsFalse(pointsHighLow.IsReady);
var low = 1;
var high = 1;
if (i == 10)
{
if (pointType == PivotPointType.Low || pointType == PivotPointType.Both)
{
low = 0;
}
if (pointType == PivotPointType.High || pointType == PivotPointType.Both)
{
high = 2;
}
}
var bar = new TradeBar(DateTime.UtcNow.AddSeconds(i), Symbols.AAPL, i, high, low, i, i);
pointsHighLow.Update(bar);
}
Assert.IsTrue(pointsHighLow.IsReady);
var bothPivotPoint = pointsHighLow.GetAllPivotPointsArray();
var lowPivotPoint = pointsHighLow.GetLowPivotPointsArray();
var highPivotPoint = pointsHighLow.GetHighPivotPointsArray();
if (pointType == PivotPointType.None)
{
Assert.AreEqual(0, bothPivotPoint.Length);
}
if (pointType == PivotPointType.Both)
{
Assert.AreEqual(2, bothPivotPoint.Length);
Assert.AreEqual(1, lowPivotPoint.Length);
Assert.AreEqual(1, highPivotPoint.Length);
Assert.IsTrue(lowPivotPoint.Any(point => point.Value == 0));
Assert.IsTrue(highPivotPoint.Any(point => point.Value == 2));
}
if (pointType == PivotPointType.High)
{
Assert.AreEqual(1, bothPivotPoint.Length);
Assert.AreEqual(0, lowPivotPoint.Length);
Assert.AreEqual(1, highPivotPoint.Length);
Assert.IsTrue(highPivotPoint.Any(point => point.Value == 2));
}
if (pointType == PivotPointType.Low)
{
Assert.AreEqual(1, bothPivotPoint.Length);
Assert.AreEqual(1, lowPivotPoint.Length);
Assert.AreEqual(0, highPivotPoint.Length);
Assert.IsTrue(lowPivotPoint.Any(point => point.Value == 0));
}
}
internal static PivotPointsResult GetPivotPoint(
PivotPointType type, decimal open, decimal high, decimal low, decimal close)
{
return(type switch
{
PivotPointType.Standard => GetPivotPointStandard(high, low, close),
PivotPointType.Camarilla => GetPivotPointCamarilla(high, low, close),
PivotPointType.Demark => GetPivotPointDemark(open, high, low, close),
PivotPointType.Fibonacci => GetPivotPointFibonacci(high, low, close),
PivotPointType.Woodie => GetPivotPointWoodie(open, high, low),
_ => null
});
// pivot type lookup
internal static TPivotPoint GetPivotPoint <TPivotPoint>(
PivotPointType pointType, decimal open, decimal high, decimal low, decimal close)
where TPivotPoint : IPivotPoint, new()
{
return(pointType switch
{
PivotPointType.Standard => GetPivotPointStandard <TPivotPoint>(high, low, close),
PivotPointType.Camarilla => GetPivotPointCamarilla <TPivotPoint>(high, low, close),
PivotPointType.Demark => GetPivotPointDemark <TPivotPoint>(open, high, low, close),
PivotPointType.Fibonacci => GetPivotPointFibonacci <TPivotPoint>(high, low, close),
PivotPointType.Woodie => GetPivotPointWoodie <TPivotPoint>(open, high, low),
_ => default
});
public void Removed()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Standard;
List <PivotPointsResult> results = quotes.GetPivotPoints(periodSize, pointType)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(482, results.Count);
PivotPointsResult last = results.LastOrDefault();
Assert.AreEqual(266.6767m, Math.Round((decimal)last.PP, 4));
Assert.AreEqual(258.9633m, Math.Round((decimal)last.S1, 4));
Assert.AreEqual(248.9667m, Math.Round((decimal)last.S2, 4));
Assert.AreEqual(241.2533m, Math.Round((decimal)last.S3, 4));
Assert.AreEqual(null, last.S4);
Assert.AreEqual(276.6733m, Math.Round((decimal)last.R1, 4));
Assert.AreEqual(284.3867m, Math.Round((decimal)last.R2, 4));
Assert.AreEqual(294.3833m, Math.Round((decimal)last.R3, 4));
Assert.AreEqual(null, last.R4);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetPivotPoints <TQuote>(
IEnumerable <TQuote> history,
PeriodSize windowSize,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidatePivotPoints(history, windowSize);
// initialize
List <PivotPointsResult> results = new(historyList.Count);
PivotPointsResult windowPoint = new();
TQuote h0 = historyList[0];
int windowId = GetWindowNumber(h0.Date, windowSize);
int windowEval;
bool firstWindow = true;
decimal windowHigh = h0.High;
decimal windowLow = h0.Low;
decimal windowOpen = h0.Open;
decimal windowClose = h0.Close;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
PivotPointsResult r = new()
{
Date = h.Date
};
// new window evaluation
windowEval = GetWindowNumber(h.Date, windowSize);
if (windowEval != windowId)
{
windowId = windowEval;
firstWindow = false;
// set new levels
if (pointType == PivotPointType.Woodie)
{
windowOpen = h.Open;
}
windowPoint = GetPivotPoint(pointType, windowOpen, windowHigh, windowLow, windowClose);
// reset window min/max thresholds
windowOpen = h.Open;
windowHigh = h.High;
windowLow = h.Low;
}
// add levels
if (!firstWindow)
{
// pivot point
r.PP = windowPoint.PP;
// support
r.S1 = windowPoint.S1;
r.S2 = windowPoint.S2;
r.S3 = windowPoint.S3;
r.S4 = windowPoint.S4;
// resistance
r.R1 = windowPoint.R1;
r.R2 = windowPoint.R2;
r.R3 = windowPoint.R3;
r.R4 = windowPoint.R4;
}
results.Add(r);
// capture window threholds (for next iteration)
windowHigh = (h.High > windowHigh) ? h.High : windowHigh;
windowLow = (h.Low < windowLow) ? h.Low : windowLow;
windowClose = h.Close;
}
return(results);
}
public void Camarilla()
{
PeriodSize periodSize = PeriodSize.Week;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = HistoryTestData.Get(38);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(38, results.Count);
Assert.AreEqual(33, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r2 = results[4];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.PP);
Assert.AreEqual(null, r2.S1);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.R1);
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[5];
Assert.AreEqual(271.0200m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(270.13725m, Math.Round((decimal)r3.S1, 5));
Assert.AreEqual(269.2545m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(268.3718m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(265.7235m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(271.9028m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(272.7855m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(273.66825m, Math.Round((decimal)r3.R3, 5));
Assert.AreEqual(276.3165m, Math.Round((decimal)r3.R4, 4));
PivotPointsResult r4 = results[22];
Assert.AreEqual(268.9600m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(267.9819m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(267.0038m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(266.0258m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(263.0915m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(269.9381m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(270.9162m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(271.89425m, Math.Round((decimal)r4.R3, 5));
Assert.AreEqual(274.8285m, Math.Round((decimal)r4.R4, 4));
PivotPointsResult r5 = results[23];
Assert.AreEqual(257.1700m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(255.5640m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(253.9580m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(252.3520m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(247.5340m, Math.Round((decimal)r5.S4, 4));
Assert.AreEqual(258.7760m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(260.3820m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(261.9880m, Math.Round((decimal)r5.R3, 4));
Assert.AreEqual(266.8060m, Math.Round((decimal)r5.R4, 4));
PivotPointsResult r6 = results[37];
Assert.AreEqual(243.1500m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(241.56325m, Math.Round((decimal)r6.S1, 5));
Assert.AreEqual(239.9765m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(238.3898m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(233.6295m, Math.Round((decimal)r6.S4, 4));
Assert.AreEqual(244.7368m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(246.3235m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(247.91025m, Math.Round((decimal)r6.R3, 5));
Assert.AreEqual(252.6705m, Math.Round((decimal)r6.R4, 4));
}
public void Camarilla()
{
int windowPeriod = 10;
int offsetPeriod = 0;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = HistoryTestData.Get(38);
List <PivotPointsResult> results =
Indicator.GetRollingPivots(h, windowPeriod, offsetPeriod, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(38, results.Count);
Assert.AreEqual(28, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[9];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[10];
Assert.AreEqual(267.0800m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(265.8095m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(264.5390m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(263.2685m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(259.4570m, Math.Round((decimal)r2.S4, 4));
Assert.AreEqual(268.3505m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(269.6210m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(270.8915m, Math.Round((decimal)r2.R3, 4));
Assert.AreEqual(274.7030m, Math.Round((decimal)r2.R4, 4));
PivotPointsResult r3 = results[22];
Assert.AreEqual(263.2900m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(261.6840m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(260.0780m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(258.4720m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(253.6540m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(264.8960m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(266.5020m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(268.1080m, Math.Round((decimal)r3.R3, 4));
Assert.AreEqual(272.9260m, Math.Round((decimal)r3.R4, 4));
PivotPointsResult r4 = results[23];
Assert.AreEqual(257.1700m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(255.5640m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(253.9580m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(252.3520m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(247.5340m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(258.7760m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(260.3820m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(261.9880m, Math.Round((decimal)r4.R3, 4));
Assert.AreEqual(266.8060m, Math.Round((decimal)r4.R4, 4));
PivotPointsResult r5 = results[37];
Assert.AreEqual(243.1500m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(240.5650m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(237.9800m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(235.3950m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(227.6400m, Math.Round((decimal)r5.S4, 4));
Assert.AreEqual(245.7350m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(248.3200m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(250.9050m, Math.Round((decimal)r5.R3, 4));
Assert.AreEqual(258.6600m, Math.Round((decimal)r5.R4, 4));
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetPivotPoints <TQuote>(
this IEnumerable <TQuote> quotes,
PeriodSize windowSize,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// initialize
int length = quotesList.Count;
List <PivotPointsResult> results = new(length);
PivotPointsResult windowPoint = new();
TQuote h0;
if (length == 0)
{
return(results);
}
else
{
h0 = quotesList[0];
}
int windowId = GetWindowNumber(h0.Date, windowSize);
int windowEval;
bool firstWindow = true;
decimal windowHigh = h0.High;
decimal windowLow = h0.Low;
decimal windowOpen = h0.Open;
decimal windowClose = h0.Close;
// roll through quotes
for (int i = 0; i < length; i++)
{
TQuote q = quotesList[i];
PivotPointsResult r = new()
{
Date = q.Date
};
// new window evaluation
windowEval = GetWindowNumber(q.Date, windowSize);
if (windowEval != windowId)
{
windowId = windowEval;
firstWindow = false;
// set new levels
if (pointType == PivotPointType.Woodie)
{
windowOpen = q.Open;
}
windowPoint = GetPivotPoint <PivotPointsResult>(
pointType, windowOpen, windowHigh, windowLow, windowClose);
// reset window min/max thresholds
windowOpen = q.Open;
windowHigh = q.High;
windowLow = q.Low;
}
// add levels
if (!firstWindow)
{
// pivot point
r.PP = windowPoint.PP;
// support
r.S1 = windowPoint.S1;
r.S2 = windowPoint.S2;
r.S3 = windowPoint.S3;
r.S4 = windowPoint.S4;
// resistance
r.R1 = windowPoint.R1;
r.R2 = windowPoint.R2;
r.R3 = windowPoint.R3;
r.R4 = windowPoint.R4;
}
results.Add(r);
// capture window threholds (for next iteration)
windowHigh = (q.High > windowHigh) ? q.High : windowHigh;
windowLow = (q.Low < windowLow) ? q.Low : windowLow;
windowClose = q.Close;
}
return(results);
}
public void GetPivotPointsWoodie()
{
PeriodSize periodSize = PeriodSize.Day;
PivotPointType pointType = PivotPointType.Woodie;
IEnumerable <Quote> h = History.GetHistoryIntraday();
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(1564, results.Count);
Assert.AreEqual(1173, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[1563];
Assert.AreEqual(371.3625m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r1.R3, 4));
PivotPointsResult r2 = results[1173];
Assert.AreEqual(371.3625m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r2.R3, 4));
PivotPointsResult r3 = results[1172];
Assert.AreEqual(370.9769m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(370.7938m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.6845m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(368.5014m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(373.0862m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(373.2693m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(375.3786m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[391];
Assert.AreEqual(368.7875m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(367.9850m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(365.1175m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(364.3150m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(371.6550m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(372.4575m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(375.3250m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[390];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.PP);
Assert.AreEqual(null, r5.S1);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.R1);
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
}
public void GetPivotPointsDemark()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Demark;
List <PivotPointsResult> results = Indicator.GetPivotPoints(history, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[501];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(268.6050m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(262.8200m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(280.5300m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[251];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(256.0725m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(253.4450m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(262.2750m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[250];
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(252.1925m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(249.4450m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(null, r3.S2);
Assert.AreEqual(259.4350m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(null, r3.R2);
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[149];
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(234.3475m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(232.2250m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(null, r4.S2);
Assert.AreEqual(239.5350m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(null, r4.R2);
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[20];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(215.1300m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(213.2400m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(218.7400m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
PivotPointsResult r6 = results[19];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void Standard()
{
int windowPeriod = 11;
int offsetPeriod = 9;
PivotPointType pointType = PivotPointType.Standard;
List <PivotPointsResult> results =
history.GetRollingPivots(windowPeriod, offsetPeriod, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[19];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[20];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(213.6367m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(212.1033m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(209.9867m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(215.7533m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(217.2867m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[149];
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(233.6333m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(231.3567m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(227.3733m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(237.6167m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(239.8933m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[249];
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(253.9533m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(251.5267m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(247.4433m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(258.0367m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(260.4633m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[501];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(260.0267m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(246.4633m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(238.7767m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(267.7133m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(281.2767m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <RollingPivotsResult> GetRollingPivots <TQuote>(
this IEnumerable <TQuote> quotes,
int windowPeriods,
int offsetPeriods,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateRollingPivots(windowPeriods, offsetPeriods);
// initialize
List <RollingPivotsResult> results = new(quotesList.Count);
// roll through quotes
for (int i = 0; i < quotesList.Count; i++)
{
TQuote q = quotesList[i];
RollingPivotsResult r = new()
{
Date = q.Date
};
if (i >= windowPeriods + offsetPeriods)
{
// window values
int s = i - windowPeriods - offsetPeriods;
TQuote hi = quotesList[s];
decimal windowHigh = hi.High;
decimal windowLow = hi.Low;
decimal windowClose = quotesList[i - offsetPeriods - 1].Close;
for (int p = s; p <= i - offsetPeriods - 1; p++)
{
TQuote d = quotesList[p];
windowHigh = (d.High > windowHigh) ? d.High : windowHigh;
windowLow = (d.Low < windowLow) ? d.Low : windowLow;
}
// pivot points
RollingPivotsResult wp = GetPivotPoint <RollingPivotsResult>(
pointType, q.Open, windowHigh, windowLow, windowClose);
r.PP = wp.PP;
r.S1 = wp.S1;
r.S2 = wp.S2;
r.S3 = wp.S3;
r.S4 = wp.S4;
r.R1 = wp.R1;
r.R2 = wp.R2;
r.R3 = wp.R3;
r.R4 = wp.R4;
}
results.Add(r);
}
return(results);
}
// PIVOT POINTS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PivotPointsResult> GetRollingPivots <TQuote>(
IEnumerable <TQuote> history,
int windowPeriod,
int offsetPeriod,
PivotPointType pointType = PivotPointType.Standard)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateRollingPivots(history, windowPeriod, offsetPeriod);
// initialize
List <PivotPointsResult> results = new(historyList.Count);
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
PivotPointsResult r = new()
{
Date = h.Date
};
if (i >= windowPeriod + offsetPeriod)
{
// window values
int s = i - windowPeriod - offsetPeriod;
TQuote hi = historyList[s];
decimal windowHigh = hi.High;
decimal windowLow = hi.Low;
decimal windowClose = historyList[i - offsetPeriod - 1].Close;
for (int p = s; p <= i - offsetPeriod - 1; p++)
{
TQuote d = historyList[p];
windowHigh = (d.High > windowHigh) ? d.High : windowHigh;
windowLow = (d.Low < windowLow) ? d.Low : windowLow;
}
// pivot points
PivotPointsResult wp =
GetPivotPoint(pointType, h.Open, windowHigh, windowLow, windowClose);
r.PP = wp.PP;
r.S1 = wp.S1;
r.S2 = wp.S2;
r.S3 = wp.S3;
r.S4 = wp.S4;
r.R1 = wp.R1;
r.R2 = wp.R2;
r.R3 = wp.R3;
r.R4 = wp.R4;
}
results.Add(r);
}
return(results);
}
public void GetPivotPointsCamarilla()
{
PeriodSize periodSize = PeriodSize.Week;
PivotPointType pointType = PivotPointType.Camarilla;
IEnumerable <Quote> h = History.GetHistory(38);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(38, results.Count);
Assert.AreEqual(33, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[37];
Assert.AreEqual(239.7667m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(224.3975m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(222.9550m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(221.5125m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(217.1850m, Math.Round((decimal)r1.S4, 4));
Assert.AreEqual(261.9025m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(263.3450m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(264.7875m, Math.Round((decimal)r1.R3, 4));
Assert.AreEqual(269.1150m, Math.Round((decimal)r1.R4, 4));
PivotPointsResult r2 = results[23];
Assert.AreEqual(262.2767m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(238.1900m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(236.7300m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(235.2700m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(230.8900m, Math.Round((decimal)r2.S4, 4));
Assert.AreEqual(276.1500m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(277.6100m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(279.0700m, Math.Round((decimal)r2.R3, 4));
Assert.AreEqual(283.4500m, Math.Round((decimal)r2.R4, 4));
PivotPointsResult r3 = results[22];
Assert.AreEqual(265.8100m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(257.4008m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(256.5117m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(255.6225m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(252.9550m, Math.Round((decimal)r3.S4, 4));
Assert.AreEqual(280.5192m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(281.4083m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(282.2975m, Math.Round((decimal)r3.R3, 4));
Assert.AreEqual(284.9650m, Math.Round((decimal)r3.R4, 4));
PivotPointsResult r4 = results[5];
Assert.AreEqual(270.0567m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(260.5875m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(259.7850m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(258.9825m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(256.5750m, Math.Round((decimal)r4.S4, 4));
Assert.AreEqual(281.4525m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(282.2550m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(283.0575m, Math.Round((decimal)r4.R3, 4));
Assert.AreEqual(285.4650m, Math.Round((decimal)r4.R4, 4));
PivotPointsResult r5 = results[4];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.PP);
Assert.AreEqual(null, r5.S1);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.R1);
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
}
public void GetPivotPointsStandard()
{
PeriodSize periodSize = PeriodSize.Month;
PivotPointType pointType = PivotPointType.Standard;
List <PivotPointsResult> results = Indicator.GetPivotPoints(history, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[501];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(266.6767m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(258.9633m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(248.9667m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(276.6733m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(284.3867m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[251];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(255.1967m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(251.6933m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(246.3667m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(260.5233m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(264.0267m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[250];
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(251.2767m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(247.6133m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(241.2867m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(257.6033m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(261.2667m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[149];
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(233.6400m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(230.8100m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(226.3300m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(238.1200m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(240.9500m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[20];
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(214.5000m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(211.9800m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(209.0000m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(217.4800m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(220.0000m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
PivotPointsResult r6 = results[19];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void Demark()
{
int windowPeriod = 10;
int offsetPeriod = 10;
PivotPointType pointType = PivotPointType.Demark;
List <PivotPointsResult> results =
Indicator.GetRollingPivots(history, windowPeriod, offsetPeriod, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[19];
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.R4);
PivotPointsResult r2 = results[20];
Assert.AreEqual(212.9900m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(210.8100m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(214.4600m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[149];
Assert.AreEqual(232.6525m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(229.3950m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(235.6550m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(null, r3.R2);
Assert.AreEqual(null, r3.R3);
Assert.AreEqual(null, r3.R4);
Assert.AreEqual(null, r3.S2);
Assert.AreEqual(null, r3.S3);
Assert.AreEqual(null, r3.S4);
PivotPointsResult r4 = results[250];
Assert.AreEqual(252.9325m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(249.4850m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(255.9950m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(null, r4.R2);
Assert.AreEqual(null, r4.R3);
Assert.AreEqual(null, r4.R4);
Assert.AreEqual(null, r4.S2);
Assert.AreEqual(null, r4.S3);
Assert.AreEqual(null, r4.S4);
PivotPointsResult r5 = results[251];
Assert.AreEqual(252.6700m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(248.9600m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(255.4700m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(null, r5.R2);
Assert.AreEqual(null, r5.R3);
Assert.AreEqual(null, r5.R4);
Assert.AreEqual(null, r5.S2);
Assert.AreEqual(null, r5.S3);
Assert.AreEqual(null, r5.S4);
PivotPointsResult r6 = results[501];
Assert.AreEqual(264.6125m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(255.6350m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(276.8850m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void GetPivotPointsFibonacci()
{
PeriodSize periodSize = PeriodSize.Hour;
PivotPointType pointType = PivotPointType.Fibonacci;
IEnumerable <Quote> h = History.GetHistoryIntraday(300);
List <PivotPointsResult> results = Indicator.GetPivotPoints(h, periodSize, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(300, results.Count);
Assert.AreEqual(241, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[299];
Assert.AreEqual(368.8200m, Math.Round((decimal)r1.PP, 4));
Assert.AreEqual(367.5632m, Math.Round((decimal)r1.S1, 4));
Assert.AreEqual(366.7868m, Math.Round((decimal)r1.S2, 4));
Assert.AreEqual(365.5300m, Math.Round((decimal)r1.S3, 4));
Assert.AreEqual(370.0768m, Math.Round((decimal)r1.R1, 4));
Assert.AreEqual(370.8532m, Math.Round((decimal)r1.R2, 4));
Assert.AreEqual(372.1100m, Math.Round((decimal)r1.R3, 4));
PivotPointsResult r2 = results[149];
Assert.AreEqual(369.0000m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(368.5760m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(368.3140m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(367.8900m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(369.4240m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(369.6860m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(370.1100m, Math.Round((decimal)r2.R3, 4));
PivotPointsResult r3 = results[119];
Assert.AreEqual(369.0000m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(368.5760m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.3140m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(367.8900m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(369.4240m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(369.6860m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(370.1100m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[118];
Assert.AreEqual(368.4967m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(367.9237m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(367.5697m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(366.9967m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(369.0697m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(369.4237m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(369.9967m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[59];
Assert.AreEqual(368.4967m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(367.9237m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(367.5697m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(366.9967m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(369.0697m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(369.4237m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(369.9967m, Math.Round((decimal)r5.R3, 4));
PivotPointsResult r6 = results[58];
Assert.AreEqual(null, r6.R4);
Assert.AreEqual(null, r6.R3);
Assert.AreEqual(null, r6.PP);
Assert.AreEqual(null, r6.S1);
Assert.AreEqual(null, r6.S2);
Assert.AreEqual(null, r6.R1);
Assert.AreEqual(null, r6.R2);
Assert.AreEqual(null, r6.S3);
Assert.AreEqual(null, r6.S4);
}
public void Fibonacci()
{
int windowPeriod = 44;
int offsetPeriod = 15;
PivotPointType pointType = PivotPointType.Fibonacci;
IEnumerable <Quote> h = HistoryTestData.GetIntraday(300);
List <PivotPointsResult> results =
Indicator.GetRollingPivots(h, windowPeriod, offsetPeriod, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(300, results.Count);
Assert.AreEqual(241, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r1 = results[58];
Assert.AreEqual(null, r1.R4);
Assert.AreEqual(null, r1.R3);
Assert.AreEqual(null, r1.PP);
Assert.AreEqual(null, r1.S1);
Assert.AreEqual(null, r1.S2);
Assert.AreEqual(null, r1.R1);
Assert.AreEqual(null, r1.R2);
Assert.AreEqual(null, r1.S3);
Assert.AreEqual(null, r1.S4);
PivotPointsResult r2 = results[59];
Assert.AreEqual(368.4283m, Math.Round((decimal)r2.PP, 4));
Assert.AreEqual(367.8553m, Math.Round((decimal)r2.S1, 4));
Assert.AreEqual(367.5013m, Math.Round((decimal)r2.S2, 4));
Assert.AreEqual(366.9283m, Math.Round((decimal)r2.S3, 4));
Assert.AreEqual(369.0013m, Math.Round((decimal)r2.R1, 4));
Assert.AreEqual(369.3553m, Math.Round((decimal)r2.R2, 4));
Assert.AreEqual(369.9283m, Math.Round((decimal)r2.R3, 4));
PivotPointsResult r3 = results[118];
Assert.AreEqual(369.1573m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(368.7333m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(368.4713m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(368.0473m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(369.5813m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(369.8433m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(370.2673m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[119];
Assert.AreEqual(369.1533m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(368.7293m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(368.4674m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(368.0433m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(369.5774m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(369.8393m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(370.2633m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[149];
Assert.AreEqual(369.0183m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(368.6593m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(368.4374m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(368.0783m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(369.3774m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(369.5993m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(369.9583m, Math.Round((decimal)r5.R3, 4));
PivotPointsResult r6 = results[299];
Assert.AreEqual(367.7567m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(367.3174m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(367.0460m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(366.6067m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(368.1960m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(368.4674m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(368.9067m, Math.Round((decimal)r6.R3, 4));
}
/// <summary>
/// Creates a new instance of <see cref="PivotPoint"/>
/// </summary>
public PivotPoint(PivotPointType type, decimal price, DateTime time)
{
PivotPointType = type;
Value = price;
Time = time;
}
public void Woodie()
{
int windowPeriod = 375;
int offsetPeriod = 16;
PivotPointType pointType = PivotPointType.Woodie;
IEnumerable <Quote> h = HistoryTestData.GetIntraday(1564);
List <PivotPointsResult> results =
Indicator.GetRollingPivots(h, windowPeriod, offsetPeriod, pointType)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(1564, results.Count);
Assert.AreEqual(1173, results.Where(x => x.PP != null).Count());
// sample values
PivotPointsResult r2 = results[390];
Assert.AreEqual(null, r2.R4);
Assert.AreEqual(null, r2.R3);
Assert.AreEqual(null, r2.PP);
Assert.AreEqual(null, r2.S1);
Assert.AreEqual(null, r2.S2);
Assert.AreEqual(null, r2.R1);
Assert.AreEqual(null, r2.R2);
Assert.AreEqual(null, r2.S3);
Assert.AreEqual(null, r2.S4);
PivotPointsResult r3 = results[391];
Assert.AreEqual(368.7850m, Math.Round((decimal)r3.PP, 4));
Assert.AreEqual(367.9901m, Math.Round((decimal)r3.S1, 4));
Assert.AreEqual(365.1252m, Math.Round((decimal)r3.S2, 4));
Assert.AreEqual(364.3303m, Math.Round((decimal)r3.S3, 4));
Assert.AreEqual(371.6499m, Math.Round((decimal)r3.R1, 4));
Assert.AreEqual(372.4448m, Math.Round((decimal)r3.R2, 4));
Assert.AreEqual(375.3097m, Math.Round((decimal)r3.R3, 4));
PivotPointsResult r4 = results[1172];
Assert.AreEqual(371.75m, Math.Round((decimal)r4.PP, 4));
Assert.AreEqual(371.04m, Math.Round((decimal)r4.S1, 4));
Assert.AreEqual(369.35m, Math.Round((decimal)r4.S2, 4));
Assert.AreEqual(368.64m, Math.Round((decimal)r4.S3, 4));
Assert.AreEqual(373.44m, Math.Round((decimal)r4.R1, 4));
Assert.AreEqual(374.15m, Math.Round((decimal)r4.R2, 4));
Assert.AreEqual(375.84m, Math.Round((decimal)r4.R3, 4));
PivotPointsResult r5 = results[1173];
Assert.AreEqual(371.3625m, Math.Round((decimal)r5.PP, 4));
Assert.AreEqual(370.2650m, Math.Round((decimal)r5.S1, 4));
Assert.AreEqual(369.9525m, Math.Round((decimal)r5.S2, 4));
Assert.AreEqual(368.8550m, Math.Round((decimal)r5.S3, 4));
Assert.AreEqual(371.6750m, Math.Round((decimal)r5.R1, 4));
Assert.AreEqual(372.7725m, Math.Round((decimal)r5.R2, 4));
Assert.AreEqual(373.0850m, Math.Round((decimal)r5.R3, 4));
PivotPointsResult r6 = results[1563];
Assert.AreEqual(369.38m, Math.Round((decimal)r6.PP, 4));
Assert.AreEqual(366.52m, Math.Round((decimal)r6.S1, 4));
Assert.AreEqual(364.16m, Math.Round((decimal)r6.S2, 4));
Assert.AreEqual(361.30m, Math.Round((decimal)r6.S3, 4));
Assert.AreEqual(371.74m, Math.Round((decimal)r6.R1, 4));
Assert.AreEqual(374.60m, Math.Round((decimal)r6.R2, 4));
Assert.AreEqual(376.96m, Math.Round((decimal)r6.R3, 4));
}
