public void varianceShouldBeZeroWhenTimeFrameIs1()
{
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 1);
Assert.AreEqual(var.GetValue(3), 0);
Assert.AreEqual(var.GetValue(8), 0);
}
public void VarianceShouldBeZeroWhenTimeFrameIs1()
{
var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 0);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(8), 0);
}
protected override Decimal Calculate(int index)
{
var cov = _covariance.GetValue(index);
var var1 = _variance1.GetValue(index);
var var2 = _variance2.GetValue(index);
return(cov.DividedBy(var1.MultipliedBy(var2).Sqrt()));
}
public void VarianceUsingTimeFrame2UsingClosePrice()
{
var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 2);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(1), 0.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(2), 0.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 0.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(9), 2.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(10), 20.25);
}
public void varianceUsingTimeFrame2UsingClosePrice()
{
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 2);
Assert.AreEqual(var.GetValue(0), 0);
Assert.AreEqual(var.GetValue(1), 0.25M);
Assert.AreEqual(var.GetValue(2), 0.25M);
Assert.AreEqual(var.GetValue(3), 0.25M);
Assert.AreEqual(var.GetValue(9), 2.25M);
Assert.AreEqual(var.GetValue(10), 20.25M);
}
protected override Decimal Calculate(int index)
{
return(_variance.GetValue(index).Sqrt());
}
public void FirstValueShouldBeZero()
{
var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 4);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0);
}
public void VarianceUsingTimeFrame4UsingClosePrice()
{
var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 4);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(1), 0.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(2), 2.0 / 3);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 1.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(4), 0.5);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(5), 0.25);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(6), 0.5);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(7), 0.5);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(8), 0.5);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(9), 3.5);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(10), 10.5);
}
public void firstValueShouldBeZero()
{
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4);
Assert.AreEqual(var.GetValue(0), 0);
}
public void varianceUsingTimeFrame4UsingClosePrice()
{
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4);
Assert.AreEqual(var.GetValue(0), 0M);
Assert.AreEqual(var.GetValue(1), 0.25M);
Assert.AreEqual(var.GetValue(2), 2.0M / 3M);
Assert.AreEqual(var.GetValue(3), 1.25M);
Assert.AreEqual(var.GetValue(4), 0.5M);
Assert.AreEqual(var.GetValue(5), 0.25M);
Assert.AreEqual(var.GetValue(6), 0.5M);
Assert.AreEqual(var.GetValue(7), 0.5M);
Assert.AreEqual(var.GetValue(8), 0.5M);
Assert.AreEqual(var.GetValue(9), 3.5M);
Assert.AreEqual(var.GetValue(10), 10.5M);
}
