public void GetRocWithSma()
{
int lookbackPeriod = 20;
int smaPeriod = 5;
List <RocResult> results = Indicator.GetRoc(history, lookbackPeriod, smaPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502 - lookbackPeriod, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(478, results.Where(x => x.Sma != null).Count());
// sample values
RocResult r1 = results[501];
Assert.AreEqual(-8.2482m, Math.Round((decimal)r1.Roc, 4));
Assert.AreEqual(-8.4828m, Math.Round((decimal)r1.Sma, 4));
RocResult r2 = results[29];
Assert.AreEqual(3.2936m, Math.Round((decimal)r2.Roc, 4));
Assert.AreEqual(2.1558m, Math.Round((decimal)r2.Sma, 4));
}
public void WithSma()
{
int lookbackPeriods = 20;
int smaPeriods = 5;
List <RocResult> results = Indicator.GetRoc(quotes, lookbackPeriods, smaPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(478, results.Where(x => x.RocSma != null).Count());
// sample values
RocResult r1 = results[29];
Assert.AreEqual(3.2936, Math.Round((double)r1.Roc, 4));
Assert.AreEqual(2.1558, Math.Round((double)r1.RocSma, 4));
RocResult r2 = results[501];
Assert.AreEqual(-8.2482, Math.Round((double)r2.Roc, 4));
Assert.AreEqual(-8.4828, Math.Round((double)r2.RocSma, 4));
}
public void Standard()
{
int lookbackPeriod = 20;
List <RocResult> results = Indicator.GetRoc(history, lookbackPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(false, results.Any(x => x.RocSma != null));
// sample values
RocResult r1 = results[249];
Assert.AreEqual(2.4827m, Math.Round((decimal)r1.Roc, 4));
Assert.AreEqual(null, r1.RocSma);
RocResult r2 = results[501];
Assert.AreEqual(-8.2482m, Math.Round((decimal)r2.Roc, 4));
Assert.AreEqual(null, r2.RocSma);
}
public void Removed()
{
List <RocResult> results = quotes.GetRoc(20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 20, results.Count);
RocResult last = results.LastOrDefault();
Assert.AreEqual(-8.2482, Math.Round((double)last.Roc, 4));
Assert.AreEqual(null, last.RocSma);
}
// internals
private static List <PmoResult> CalcPmoRocEma <TQuote>(
IEnumerable <TQuote> quotes,
int timePeriods)
where TQuote : IQuote
{
// initialize
double smoothingMultiplier = 2d / timePeriods;
double? lastRocEma = null;
List <RocResult> roc = GetRoc(quotes, 1).ToList();
List <PmoResult> results = new();
int startIndex = timePeriods + 1;
for (int i = 0; i < roc.Count; i++)
{
RocResult r = roc[i];
int index = i + 1;
PmoResult result = new()
{
Date = r.Date
};
if (index > startIndex)
{
result.RocEma = (r.Roc * smoothingMultiplier) + (lastRocEma * (1 - smoothingMultiplier));
}
else if (index == startIndex)
{
double?sumRoc = 0;
for (int p = index - timePeriods; p < index; p++)
{
RocResult d = roc[p];
sumRoc += d.Roc;
}
result.RocEma = sumRoc / timePeriods;
}
lastRocEma = result.RocEma;
result.RocEma *= 10;
results.Add(result);
}
return(results);
}
public void GetRocTest()
{
int lookbackPeriod = 20;
IEnumerable <RocResult> results = Indicator.GetRoc(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod, results.Where(x => x.Roc != null).Count());
// sample value
RocResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(-8.2482m, Math.Round((decimal)r.Roc, 4));
}
public void GetRocTest()
{
int lookbackPeriod = 20;
IEnumerable <RocResult> results = Indicator.GetRoc(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod, results.Where(x => x.Roc != null).Count());
// sample value
RocResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal) - 8.2482, Math.Round((decimal)r.Roc, 4));
}
public void Standard()
{
List <RocResult> results = quotes.GetRoc(20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(false, results.Any(x => x.RocSma != null));
// sample values
RocResult r1 = results[249];
Assert.AreEqual(2.4827, Math.Round((double)r1.Roc, 4));
Assert.AreEqual(null, r1.RocSma);
RocResult r2 = results[501];
Assert.AreEqual(-8.2482, Math.Round((double)r2.Roc, 4));
Assert.AreEqual(null, r2.RocSma);
}
public void GetRocTest()
{
int lookbackPeriod = 20;
IEnumerable <RocResult> results = Indicator.GetRoc(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(482, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(false, results.Any(x => x.Sma != null));
// sample values
RocResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(-8.2482m, Math.Round((decimal)r1.Roc, 4));
Assert.AreEqual(null, r1.Sma);
RocResult r2 = results.Where(x => x.Index == 250).FirstOrDefault();
Assert.AreEqual(2.4827m, Math.Round((decimal)r2.Roc, 4));
Assert.AreEqual(null, r2.Sma);
}
