/**
* Constructor.
*
* @param indicator a price indicator
* @param timeFrame the time frame
*/
public CMOIndicator(IIndicator <decimal> indicator, int timeFrame)
: base(indicator)
{
_gainIndicator = new GainIndicator(indicator);
_lossIndicator = new LossIndicator(indicator);
_timeFrame = timeFrame;
}
public void onlineExampleTest()
{ // throws exception
// from http://cns.bu.edu/~gsc/CN710/fincast/Technical%20_indicators/Relative%20Strength%20Index%20(RSI).htm
// which uses a different calculation of RSI than ta4j
ITimeSeries series = new MockTimeSeries(
46.1250M,
47.1250M, 46.4375M, 46.9375M, 44.9375M, 44.2500M, 44.6250M, 45.7500M,
47.8125M, 47.5625M, 47.0000M, 44.5625M, 46.3125M, 47.6875M, 46.6875M,
45.6875M, 43.0625M, 43.5625M, 44.8750M, 43.6875M);
// ta4j RSI uses MMA for average gain and loss
// then uses simple division of the two for RS
IIndicator <decimal> indicator = getIndicator(new ClosePriceIndicator(
series), 14);
IIndicator <decimal> close = new ClosePriceIndicator(series);
IIndicator <decimal> gain = new GainIndicator(close);
IIndicator <decimal> loss = new LossIndicator(close);
// this site uses SMA for average gain and loss
// then uses ratio of MMAs for RS (except for first calculation)
IIndicator <decimal> avgGain = new SMAIndicator(gain, 14);
IIndicator <decimal> avgLoss = new SMAIndicator(loss, 14);
// first online calculation is simple division
decimal onlineRs = avgGain.GetValue(14).DividedBy(avgLoss.GetValue(14));
Assert.AreEqual(0.5848214285714285714285714286M, avgGain.GetValue(14));
Assert.AreEqual(0.5446428571428571428571428571M, avgLoss.GetValue(14));
Assert.AreEqual(1.0737704918032786885245901641M, onlineRs);
decimal onlineRsi = 100M - (100M / (1M + onlineRs));
// difference in RSI values:
Assert.AreEqual(51.778656126482213438735177869M, onlineRsi);
Assert.AreEqual(52.130477585417047385335308781M, indicator.GetValue(14));
// strange, online average gain and loss is not a simple moving average!
// but they only use them for the first RS calculation
// Assert.AreEqual(0.5430, avgGain.getValue(15));
// Assert.AreEqual(0.5772, avgLoss.getValue(15));
// second online calculation uses MMAs
// MMA of average gain
decimal dividend = avgGain.GetValue(14).MultipliedBy(13M).Plus(gain.GetValue(15)).DividedBy(14M);
// MMA of average loss
decimal divisor = avgLoss.GetValue(14).MultipliedBy(13M).Plus(loss.GetValue(15)).DividedBy(14M);
onlineRs = dividend / divisor;
Assert.AreEqual(0.940883977900552486187845304M, onlineRs);
onlineRsi = 100M - (100M / (1M + onlineRs));
// difference in RSI values:
Assert.AreEqual(48.477085112439510389980074014M, onlineRsi);
Assert.AreEqual(47.37103140045740279363506511M, indicator.GetValue(15));
}
public void lossUsingClosePrice()
{
LossIndicator loss = new LossIndicator(new ClosePriceIndicator(data));
Assert.AreEqual(loss.GetValue(0), 0);
Assert.AreEqual(loss.GetValue(1), 0);
Assert.AreEqual(loss.GetValue(2), 0);
Assert.AreEqual(loss.GetValue(3), 0);
Assert.AreEqual(loss.GetValue(4), 1);
Assert.AreEqual(loss.GetValue(5), 0);
Assert.AreEqual(loss.GetValue(6), 0);
Assert.AreEqual(loss.GetValue(7), 3);
Assert.AreEqual(loss.GetValue(8), 1);
Assert.AreEqual(loss.GetValue(9), 0);
Assert.AreEqual(loss.GetValue(10), 0);
Assert.AreEqual(loss.GetValue(11), 2);
Assert.AreEqual(loss.GetValue(12), 1);
}
