/// <param name="series">a time series </param>
/// <returns> a moving momentum strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new System.ArgumentException("Series cannot be null");
}
var closePrice = new ClosePriceIndicator(series);
// The bias is bullish when the shorter-moving average moves above the longer moving average.
// The bias is bearish when the shorter-moving average moves below the longer moving average.
var shortEma = new EMAIndicator(closePrice, 9);
var longEma = new EMAIndicator(closePrice, 26);
var stochasticOscillK = new StochasticOscillatorKIndicator(series, 14);
var macd = new MACDIndicator(closePrice, 9, 26);
var emaMacd = new EMAIndicator(macd, 18);
// Entry rule
var entryRule = (new OverIndicatorRule(shortEma, longEma)).And(new CrossedDownIndicatorRule(stochasticOscillK, Decimal.ValueOf(20))).And(new OverIndicatorRule(macd, emaMacd)); // Signal 2 - Signal 1 - Trend
// Exit rule
var exitRule = (new UnderIndicatorRule(shortEma, longEma)).And(new CrossedUpIndicatorRule(stochasticOscillK, Decimal.ValueOf(80))).And(new UnderIndicatorRule(macd, emaMacd)); // Signal 2 - Signal 1 - Trend
return(new Strategy(entryRule, exitRule));
}
public void StochasticOscilatorKParam14()
{
var sof = new StochasticOscillatorKIndicator(_data, 14);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(0), 313 / 3.5);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(12), 1000 / 10.81);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(13), 57.8168);
}
public void stochasticOscilatorKParam14()
{
StochasticOscillatorKIndicator sof = new StochasticOscillatorKIndicator(data, 14);
Assert.AreEqual(sof.GetValue(0), 313M / 3.5M);
Assert.AreEqual(sof.GetValue(12), 1000M / 10.81M);
Assert.AreEqual(sof.GetValue(13), 57.816836262719703977798334880M);
}
public void stochasticOscilatorDParam14UsingSMA3AndGenericConstructer()
{
StochasticOscillatorKIndicator sof = new StochasticOscillatorKIndicator(data, 14);
SMAIndicator sma = new SMAIndicator(sof, 3);
StochasticOscillatorDIndicator sos = new StochasticOscillatorDIndicator(sma);
Assert.AreEqual(sma.GetValue(0), sos.GetValue(0));
Assert.AreEqual(sma.GetValue(1), sos.GetValue(1));
Assert.AreEqual(sma.GetValue(2), sos.GetValue(2));
}
public void StochasticOscilatorDParam14UsingSma3()
{
var sof = new StochasticOscillatorKIndicator(_data, 14);
var sos = new StochasticOscillatorDIndicator(sof);
var sma = new SmaIndicator(sof, 3);
Assert.AreEqual(sma.GetValue(0), sos.GetValue(0));
Assert.AreEqual(sma.GetValue(1), sos.GetValue(1));
Assert.AreEqual(sma.GetValue(2), sos.GetValue(2));
Assert.AreEqual(sma.GetValue(13), sos.GetValue(13));
}
