public void RegressionChannelComputesCorrectly()
{
var period = 20;
var indicator = new RegressionChannel(period, 2);
var stdDev = new StandardDeviation(period);
var time = DateTime.Now;
var prices = LeastSquaresMovingAverageTest.prices;
var expected = LeastSquaresMovingAverageTest.expected;
var actual = new decimal[prices.Length];
for (int i = 0; i < prices.Length; i++)
{
indicator.Update(time, prices[i]);
stdDev.Update(time, prices[i]);
actual[i] = Math.Round(indicator.Current.Value, 4);
time = time.AddMinutes(1);
}
Assert.AreEqual(expected, actual);
var expectedUpper = indicator.Current + stdDev.Current * 2;
Assert.AreEqual(expectedUpper, indicator.UpperChannel);
var expectedLower = indicator.Current - stdDev.Current * 2;
Assert.AreEqual(expectedLower, indicator.LowerChannel);
}
public void WarmsUpProperly()
{
var indicator = new RegressionChannel(20, 2);
var period = ((IIndicatorWarmUpPeriodProvider)indicator).WarmUpPeriod;
var prices = LeastSquaresMovingAverageTest.Prices;
var time = DateTime.Now;
for (var i = 0; i < period; i++)
{
indicator.Update(time.AddMinutes(i), prices[i]);
Assert.AreEqual(i == period - 1, indicator.IsReady);
}
}
public void ResetsProperly()
{
const int period = 10;
var indicator = new RegressionChannel(period, 2);
var time = DateTime.Now;
for (var i = 0; i < period + 1; i++)
{
indicator.Update(time.AddMinutes(i), 1m);
}
Assert.IsTrue(indicator.IsReady, "Regression Channel ready");
indicator.Reset();
TestHelper.AssertIndicatorIsInDefaultState(indicator);
}
public void LowerUpperChannelUpdateOnce()
{
var regressionChannel = new RegressionChannel(2, 2d);
var lowerChannelUpdateCount = 0;
var upperChannelUpdateCount = 0;
regressionChannel.LowerChannel.Updated += (sender, updated) => { lowerChannelUpdateCount++; };
regressionChannel.UpperChannel.Updated += (sender, updated) => { upperChannelUpdateCount++; };
Assert.AreEqual(0, lowerChannelUpdateCount);
Assert.AreEqual(0, upperChannelUpdateCount);
regressionChannel.Update(DateTime.Today, 1d);
Assert.AreEqual(1, lowerChannelUpdateCount);
Assert.AreEqual(1, upperChannelUpdateCount);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2009, 1, 1); //Set Start Date
SetEndDate(2015, 1, 1); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
var equity = AddEquity(_spy, Resolution.Minute);
_holdings = equity.Holdings;
_rc = RC(_spy, 30, 2, Resolution.Daily);
var stockPlot = new Chart("Trade Plot");
stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0));
stockPlot.AddSeries(new Series("UpperChannel", SeriesType.Line, 0));
stockPlot.AddSeries(new Series("LowerChannel", SeriesType.Line, 0));
stockPlot.AddSeries(new Series("Regression", SeriesType.Line, 0));
AddChart(stockPlot);
}
