// ENDPOINT MOVING AVERAGE
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <EpmaResult> GetEpma <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// check parameter arguments
ValidateEpma(lookbackPeriods);
// initialize
List <SlopeResult> slopeResults = GetSlope(quotes, lookbackPeriods)
.ToList();
int length = slopeResults.Count;
List <EpmaResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
SlopeResult s = slopeResults[i];
EpmaResult r = new()
{
Date = s.Date,
Epma = (decimal?)((s.Slope * (i + 1)) + s.Intercept)
};
results.Add(r);
}
return(results);
}
// STANDARD DEVIATION CHANNELS
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <StdDevChannelsResult> GetStdDevChannels <TQuote>(
this IEnumerable <TQuote> quotes,
int?lookbackPeriods = 20,
double standardDeviations = 2)
where TQuote : IQuote
{
// assume whole quotes when lookback is null
if (lookbackPeriods is null)
{
lookbackPeriods = quotes.Count();
}
// check parameter arguments
ValidateStdDevChannels(lookbackPeriods, standardDeviations);
// initialize
List <SlopeResult> slopeResults = GetSlope(quotes, (int)lookbackPeriods).ToList();
int length = slopeResults.Count;
List <StdDevChannelsResult> results = slopeResults
.Select(x => new StdDevChannelsResult {
Date = x.Date
})
.ToList();
// roll through quotes in reverse
for (int w = length - 1; w >= lookbackPeriods - 1; w -= (int)lookbackPeriods)
{
SlopeResult s = slopeResults[w];
decimal? width = (decimal?)(standardDeviations * s.StdDev);
// add regression line (y = mx + b) and channels
for (int p = w - (int)lookbackPeriods + 1; p <= w; p++)
{
if (p >= 0)
{
StdDevChannelsResult d = results[p];
d.Centerline = (decimal?)((s.Slope * (p + 1)) + s.Intercept);
d.UpperChannel = d.Centerline + width;
d.LowerChannel = d.Centerline - width;
d.BreakPoint = p == w - lookbackPeriods + 1;
}
}
}
return(results);
}
public void Removed()
{
List <SlopeResult> results = quotes.GetSlope(20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
SlopeResult last = results.LastOrDefault();
Assert.AreEqual(-1.689143, Math.Round((double)last.Slope, 6));
Assert.AreEqual(1083.7629, Math.Round((double)last.Intercept, 4));
Assert.AreEqual(0.7955, Math.Round((double)last.RSquared, 4));
Assert.AreEqual(10.9202, Math.Round((double)last.StdDev, 4));
Assert.AreEqual(235.8131m, Math.Round((decimal)last.Line, 4));
}
public void Standard()
{
int lookbackPeriod = 20;
List <SlopeResult> results = Indicator.GetSlope(history, lookbackPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Slope != null).Count());
Assert.AreEqual(483, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(lookbackPeriod, results.Where(x => x.Line != null).Count());
// sample values
SlopeResult r1 = results[249];
Assert.AreEqual(0.312406m, Math.Round((decimal)r1.Slope, 6));
Assert.AreEqual(180.4164m, Math.Round((decimal)r1.Intercept, 4));
Assert.AreEqual(0.8056m, Math.Round((decimal)r1.RSquared, 4));
Assert.AreEqual(2.0071m, Math.Round((decimal)r1.StdDev, 4));
Assert.AreEqual(null, r1.Line);
SlopeResult r2 = results[482];
Assert.AreEqual(-0.337015m, Math.Round((decimal)r2.Slope, 6));
Assert.AreEqual(425.1111m, Math.Round((decimal)r2.Intercept, 4));
Assert.AreEqual(0.1730m, Math.Round((decimal)r2.RSquared, 4));
Assert.AreEqual(4.6719m, Math.Round((decimal)r2.StdDev, 4));
Assert.AreEqual(267.9069m, Math.Round((decimal)r2.Line, 4));
SlopeResult r3 = results[501];
Assert.AreEqual(-1.689143m, Math.Round((decimal)r3.Slope, 6));
Assert.AreEqual(1083.7629m, Math.Round((decimal)r3.Intercept, 4));
Assert.AreEqual(0.7955m, Math.Round((decimal)r3.RSquared, 4));
Assert.AreEqual(10.9202m, Math.Round((decimal)r3.StdDev, 4));
Assert.AreEqual(235.8131m, Math.Round((decimal)r3.Line, 4));
}
public void Standard()
{
List <SlopeResult> results = quotes.GetSlope(20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Slope != null).Count());
Assert.AreEqual(483, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(20, results.Where(x => x.Line != null).Count());
// sample values
SlopeResult r1 = results[249];
Assert.AreEqual(0.312406, Math.Round((double)r1.Slope, 6));
Assert.AreEqual(180.4164, Math.Round((double)r1.Intercept, 4));
Assert.AreEqual(0.8056, Math.Round((double)r1.RSquared, 4));
Assert.AreEqual(2.0071, Math.Round((double)r1.StdDev, 4));
Assert.AreEqual(null, r1.Line);
SlopeResult r2 = results[482];
Assert.AreEqual(-0.337015, Math.Round((double)r2.Slope, 6));
Assert.AreEqual(425.1111, Math.Round((double)r2.Intercept, 4));
Assert.AreEqual(0.1730, Math.Round((double)r2.RSquared, 4));
Assert.AreEqual(4.6719, Math.Round((double)r2.StdDev, 4));
Assert.AreEqual(267.9069m, Math.Round((decimal)r2.Line, 4));
SlopeResult r3 = results[501];
Assert.AreEqual(-1.689143, Math.Round((double)r3.Slope, 6));
Assert.AreEqual(1083.7629, Math.Round((double)r3.Intercept, 4));
Assert.AreEqual(0.7955, Math.Round((double)r3.RSquared, 4));
Assert.AreEqual(10.9202, Math.Round((double)r3.StdDev, 4));
Assert.AreEqual(235.8131m, Math.Round((decimal)r3.Line, 4));
}
// SLOPE AND LINEAR REGRESSION
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <SlopeResult> GetSlope <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateSlope(lookbackPeriods);
// initialize
int length = bdList.Count;
List <SlopeResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
BasicD q = bdList[i];
int index = i + 1;
SlopeResult r = new()
{
Date = q.Date
};
results.Add(r);
// skip initialization period
if (index < lookbackPeriods)
{
continue;
}
// get averages for period
double sumX = 0;
double sumY = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
BasicD d = bdList[p];
sumX += p + 1d;
sumY += d.Value;
}
double avgX = sumX / lookbackPeriods;
double avgY = sumY / lookbackPeriods;
// least squares method
double sumSqX = 0;
double sumSqY = 0;
double sumSqXY = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
BasicD d = bdList[p];
double devX = p + 1d - avgX;
double devY = d.Value - avgY;
sumSqX += devX * devX;
sumSqY += devY * devY;
sumSqXY += devX * devY;
}
r.Slope = sumSqXY / sumSqX;
r.Intercept = avgY - (r.Slope * avgX);
// calculate Standard Deviation and R-Squared
double stdDevX = Math.Sqrt((double)sumSqX / lookbackPeriods);
double stdDevY = Math.Sqrt((double)sumSqY / lookbackPeriods);
r.StdDev = stdDevY;
if (stdDevX * stdDevY != 0)
{
double arrr = (double)sumSqXY / (stdDevX * stdDevY) / lookbackPeriods;
r.RSquared = arrr * arrr;
}
}
// add last Line (y = mx + b)
if (length >= lookbackPeriods)
{
SlopeResult last = results.LastOrDefault();
for (int p = length - lookbackPeriods; p < length; p++)
{
SlopeResult d = results[p];
d.Line = (decimal?)((last.Slope * (p + 1)) + last.Intercept);
}
}
return(results);
}
