public void ValueLessThenTimeFrame()
{
var wr = new WilliamsRIndicator(new ClosePriceIndicator(_data), 100, new MaxPriceIndicator(_data), new MinPriceIndicator(_data));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(0), -100d * (0.12 / 0.21));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(1), -100d * (0.07 / 0.21));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(2), -100d * (0.13 / 0.36));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(3), -100d * (0.18 / 0.36));
}
public void WilliamsRUsingTimeFrame10UsingClosePrice()
{
var wr = new WilliamsRIndicator(new ClosePriceIndicator(_data), 10, new MaxPriceIndicator(_data), new MinPriceIndicator(_data));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(9), -4.0816);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(10), -11.7647);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(11), -8.9286);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(12), -10.5263);
}
public void valueLessThenTimeFrame()
{
WilliamsRIndicator wr = new WilliamsRIndicator(new ClosePriceIndicator(data), 100, new MaxPriceIndicator(data),
new MinPriceIndicator(data));
Assert.AreEqual(-100M * (0.12M / 0.21M), wr.GetValue(0));
Assert.AreEqual(-100M * (0.07M / 0.21M), wr.GetValue(1));
Assert.AreEqual(-100M * (0.13M / 0.36M), wr.GetValue(2));
Assert.AreEqual(-100M * (0.18M / 0.36M), wr.GetValue(3));
}
public void williamsRUsingTimeFrame10UsingClosePrice()
{
WilliamsRIndicator wr = new WilliamsRIndicator(new ClosePriceIndicator(data), 10, new MaxPriceIndicator(data),
new MinPriceIndicator(data));
Assert.AreEqual(wr.GetValue(9), -4.0816326530612244897959183700M);
Assert.AreEqual(wr.GetValue(10), -11.764705882352941176470588240M);
Assert.AreEqual(wr.GetValue(11), -8.928571428571428571428571430M);
Assert.AreEqual(wr.GetValue(12), -10.526315789473684210526315790M);
}
public void WilliamsRUsingTimeFrame5UsingClosePrice()
{
var wr = new WilliamsRIndicator(new ClosePriceIndicator(_data), 5, new MaxPriceIndicator(_data), new MinPriceIndicator(_data));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(4), -47.2222);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(5), -54.5454);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(6), -78.5714);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(7), -47.6190);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(8), -25d);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(9), -5.2632);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(10), -13.9535);
}
public void williamsRUsingTimeFrame5UsingClosePrice()
{
WilliamsRIndicator wr = new WilliamsRIndicator(new ClosePriceIndicator(data), 5,
new MaxPriceIndicator(data),
new MinPriceIndicator(data));
Assert.AreEqual(wr.GetValue(4), -47.222222222222222222222222220M);
Assert.AreEqual(wr.GetValue(5), -54.545454545454545454545454550M);
Assert.AreEqual(wr.GetValue(6), -78.571428571428571428571428570M);
Assert.AreEqual(wr.GetValue(7), -47.619047619047619047619047620M);
Assert.AreEqual(wr.GetValue(8), -25M);
Assert.AreEqual(wr.GetValue(9), -5.2631578947368421052631578900M);
Assert.AreEqual(wr.GetValue(10), -13.953488372093023255813953490M);
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
/// <summary>
/// Creating indicators
/// </summary>
// Close price
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Typical price
TypicalPriceIndicator typicalPrice = new TypicalPriceIndicator(series);
// Price variation
PriceVariationIndicator priceVariation = new PriceVariationIndicator(series);
// Simple moving averages
SMAIndicator shortSma = new SMAIndicator(closePrice, 8);
SMAIndicator longSma = new SMAIndicator(closePrice, 20);
// Exponential moving averages
EMAIndicator shortEma = new EMAIndicator(closePrice, 8);
EMAIndicator longEma = new EMAIndicator(closePrice, 20);
// Percentage price oscillator
PPOIndicator ppo = new PPOIndicator(closePrice, 12, 26);
// Rate of change
ROCIndicator roc = new ROCIndicator(closePrice, 100);
// Relative strength index
RSIIndicator rsi = new RSIIndicator(closePrice, 14);
// Williams %R
WilliamsRIndicator williamsR = new WilliamsRIndicator(series, 20);
// Average true range
AverageTrueRangeIndicator atr = new AverageTrueRangeIndicator(series, 20);
// Standard deviation
StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, 14);
/// <summary>
/// Building header
/// </summary>
StringBuilder sb = new StringBuilder("timestamp,close,typical,variation,sma8,sma20,ema8,ema20,ppo,roc,rsi,williamsr,atr,sd\n");
/// <summary>
/// Adding indicators values
/// </summary>
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nbTicks = series.getTickCount();
int nbTicks = series.TickCount;
for (int i = 0; i < nbTicks; i++)
{
sb.Append(series.getTick(i).EndTime.Millis / 1000d).Append(',').Append(closePrice.getValue(i)).Append(',').Append(typicalPrice.getValue(i)).Append(',').Append(priceVariation.getValue(i)).Append(',').Append(shortSma.getValue(i)).Append(',').Append(longSma.getValue(i)).Append(',').Append(shortEma.getValue(i)).Append(',').Append(longEma.getValue(i)).Append(',').Append(ppo.getValue(i)).Append(',').Append(roc.getValue(i)).Append(',').Append(rsi.getValue(i)).Append(',').Append(williamsR.getValue(i)).Append(',').Append(atr.getValue(i)).Append(',').Append(sd.getValue(i)).Append('\n');
}
/// <summary>
/// Writing CSV file
/// </summary>
System.IO.StreamWriter writer = null;
try
{
writer = new System.IO.StreamWriter("indicators.csv");
writer.Write(sb.ToString());
} catch (IOException ioe)
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
Logger.getLogger(typeof(IndicatorsToCsv).FullName).log(Level.SEVERE, "Unable to write CSV file", ioe);
} finally
{
try
{
if (writer != null)
{
writer.Close();
}
} catch (IOException)
{
}
}
}
