public void testOutputsWithIntercept()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
var residuals = indicator[0].getResiduals();
AlmostEqual(residuals[0], -3.48098, 1e-5);
AlmostEqual(residuals[1], -1.24643, 1e-5);
AlmostEqual(residuals[7], 1.28446, 1e-5);
AlmostEqual(residuals[8], -0.39302, 1e-5);
AlmostEqual(residuals[9], -0.42234, 1e-5);
AlmostEqual(indicator[0].getLastResidual(), -0.42234, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.29937, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.18367, 1e-5);
AlmostEqual(indicator[0].getNumFactors(), 2, 1e-5);
AlmostEqual(indicator[0].predict(5), 10.12916, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.78253, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(), 0.75535, 1e-5);
}
public void testWeightedRegression()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false, new [] { 0.5, 0.5358867, 0.5743492, 0.6155722, 0.6597540, 0.7071068, 0.7578583, 0.8122524, 0.8705506, 0.9330330 });
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
checkOutputs(0.5499542078002, 1.91841053644205);
AlmostEqual(indicator[0].getLastResidual(), -0.54995, 1e-5);
AlmostEqual(indicator[0].getLastResidual(true), -0.53122, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.30431, 1e-5);
AlmostEqual(indicator[0].getSigma(true), 1.84317, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.18368, 1e-5);
AlmostEqual(indicator[0].getLastZScore(true), -0.26229, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.77860, 1e-5);
AlmostEqual(indicator[0].rSquare(true), 0.79859, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(true), 0.77341, 1e-5);
}
public void testOutputsNoIntercept()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, true);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 1);
checkOutputs(0, 1.89855);
var residuals = indicator[0].getResiduals();
AlmostEqual(residuals[0], -3.10144, 1e-5);
AlmostEqual(residuals[1], -0.69565, 1e-5);
AlmostEqual(residuals[7], 1.49275, 1e-5);
AlmostEqual(residuals[8], 0.05072, 1e-5);
AlmostEqual(residuals[9], -1.89855, 1e-5);
AlmostEqual(indicator[0].getLastResidual(), -1.89855, 1e-5);
AlmostEqual(indicator[0].getSigma(), 2.30395, 1e-5);
AlmostEqual(indicator[0].getLastZScore(), -0.92569, 1e-5);
AlmostEqual(indicator[0].getNumFactors(), 1, 1e-5);
AlmostEqual(indicator[0].predict(5), 9.49275, 1e-5);
AlmostEqual(indicator[0].rSquare(), 0.75749, 1e-5);
AlmostEqual(indicator[0].rSquareAdj(), 0.73054, 1e-5);
}
public NBarFade(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLen = parameter <int>("ATRLen");
nDays = parameter <int>("nDays");
nATREntry = parameter <double>("nATRentry");
stopAfStep = parameter <double>("stopAfStep");
stopAfMax = parameter <double>("stopAfMax");
entryBarWindow = parameter <double>("entryBarWindow");
closeBetter = parameter <bool>("closeBetter");
riskDollars = parameter <double>("riskDollars");
atr = new AverageTrueRangeEW(bars, atrLen); // this should be a daily spud
nATRStopStart = nATREntry * parameter <double>("exitATRmultiple");
entryHighestHigh = bars.high.highest(nDays);
entryLowestLow = bars.low.lowest(nDays);
var halfNDays = (int)Math.Round(nDays * 0.5, 0);
exitHighestHigh = bars.high.highest(halfNDays);
exitLowestLow = bars.low.lowest(halfNDays);
inConfirm = false;
//Plot methods
parabolicStop = null;
stopIndicator = new RootSpud <double>(bars.manager);
addToPlot(stopIndicator, "ParabolicStop", Color.Red);
addToPlot(entryHighestHigh, "entryHighestHigh", Color.LightBlue);
addToPlot(entryLowestLow, "entryLowestLow", Color.Blue);
addToPlot(exitHighestHigh, "exitHighestHigh", Color.Pink);
addToPlot(exitLowestLow, "exitLowestLow", Color.Salmon);
addToPlot(bars.close, "price", Color.Purple);
addToPlot(atr, "ATR", Color.Blue, "ATRPane");
}
public RSI(Spud <double> values, int halfLife) : base(values.manager)
{
this.values = dependsOn(values);
upChanges = new RootSpud <double>(manager);
dnChanges = new RootSpud <double>(manager);
upAverage = new EWMA(upChanges, halfLife);
dnAverage = new EWMA(dnChanges, halfLife);
}
public void testGoLive()
{
var baseSpud = new RootSpud <double>(bridge().manager);
var spud = new LiveSpud(baseSpud);
IsFalse(spud);
processTick(1.5);
IsTrue(spud);
}
public KAMA(Spud <double> values, double maFastLength, double maSlowLength, int calcBars) : base(values.manager)
{
this.values = dependsOn(values);
decayFast = 2 / (maFastLength + 1);
decaySlow = 2 / (maSlowLength + 1);
this.calcBars = calcBars;
noise = new RootSpud <double>(values.manager);
noiseSum = new AggregatorSpud <double>(noise, sum, calcBars);
}
public CommodityCarry(QREBridgeBase bridge, Pair pair) : base(bridge, pair)
{
leftPrior = prior(pair.left).bars(bars[pair.left]);
rightPrior = prior(pair.right).bars(bars[pair.right]);
spread = new Minus(bars[pair.left].close, bars[pair.right].close);
vol = new StdDeviationOfSample(spread, parameter <int>("volWindow"));
cutoff = parameter <double>("payoutRatioCutoff");
payoutRatio = new RootSpud <double>(bridge.manager);
}
public void testYIsConstant()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(8, 5);
hasNaN();
addPoint(8, 6);
hasNaN();
addPoint(8, 9);
checkOutputs(8, 0);
}
public void testXIsConstant()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(5, 2);
hasNaN();
addPoint(6, 2);
hasNaN();
addPoint(9, 2);
checkOutputs(6.66666, 0);
}
public void testYAndYAreZero()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(0, 0);
hasNaN();
addPoint(0, 0);
hasNaN();
addPoint(0, 0);
checkOutputs(0, 0);
}
public void testXHasInfinity()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(5, 2);
hasNaN();
addPoint(double.NegativeInfinity, 2);
hasNaN();
addPoint(9, 2);
hasNaN();
}
public void testXIsConstant()
{
x = new RootSpud <double>(values.manager);
slope = new RootSpud <double>(values.manager);
indicator = new QRegressionForcedSlope(values, x, 3, slope);
addPoint(2, -1, 0.5);
hasNaN();
addPoint(3, -1, 0.5);
hasNaN();
addPoint(1, -1, 0.7);
checkOutputs(2.7, 0.7);
}
public void testBasicUseCase()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 3, false);
addPoint(7, 9);
hasNaN();
addPoint(6, 8);
hasNaN();
addPoint(5, 0);
checkOutputs(4.952055, 0.18493);
addPoint(6, 8);
checkOutputs(5, 0.125);
addPoint(9, 7);
checkOutputs(5.21929, 0.28947);
}
public void testLongSeries()
{
x = new RootSpud <double>(values.manager);
indicator = new QRegression(values, x, 10, false);
addPoint(-5, -1);
hasNaN();
addPoint(5, 3);
addPoint(1, 0.5);
addPoint(3, 1);
addPoint(2, 1.1);
addPoint(8, 1.3);
addPoint(-2, -1);
addPoint(-8, -5);
addPoint(1, 0.5);
addPoint(0, 0);
checkOutputs(0.42234, 1.94136);
}
public void testSlopeHasInfinity()
{
x = new RootSpud <double>(values.manager);
slope = new RootSpud <double>(values.manager);
indicator = new QRegressionForcedSlope(values, x, 3, slope);
addPoint(-5, -1, 0.5);
hasNaN();
addPoint(1, -2, 0);
hasNaN();
addPoint(-3, 0, 0.5);
addPoint(-5, -1, double.NegativeInfinity);
hasNaN();
addPoint(8, 3, 0.7);
checkOutputs(-0.46666, 0.7);
addPoint(5, 1, 0);
checkOutputs(2.66666, 0);
addPoint(4, 0, -2);
checkOutputs(8.33333, -2);
}
public ParabolicStop(
Position position, BarSpud bars, double initialStopPrice, double afStep,
double afMax, int lookbackBars, string name
) : base(position, name, PROTECTIVE_STOP, bars.manager)
{
this.initialStopPrice = initialStopPrice;
this.afStep = afStep;
this.afMax = afMax;
this.bars = bars;
af = dependsOn(new RootSpud <double>(manager));
af.set(afStep);
extreme = dependsOn(position.longShort(bars.high, bars.low));
var extremeSide = position.longShort(MinMax <double> .MAX, MinMax <double> .MIN);
maxExtreme = dependsOn(extreme.minMax(extremeSide));
opposite = position.direction().isLong() ? bars.low : bars.high;
recentOppositeExtreme = dependsOn(position.direction().isLong() ? opposite.lowest(lookbackBars) : opposite.highest(lookbackBars));
numBars = dependsOn(new BarCounter(bars));
}
public void testLongSeries()
{
x = new RootSpud <double>(values.manager);
slope = new RootSpud <double>(values.manager);
indicator = new QRegressionForcedSlope(values, x, 10, slope);
addPoint(-5, -1, 0.5);
hasNaN();
addPoint(5, 3, 0.5);
addPoint(1, 0.5, 2);
addPoint(3, 1, 0.2);
addPoint(2, 1.1, 0.6);
addPoint(8, 1.3, 0.4);
addPoint(-2, -1, 0.6);
addPoint(-8, -5, 1.9);
addPoint(1, 0.5, 2);
addPoint(0, 0, 1.678);
checkOutputs(0.43288, 1.678);
addPoint(5, 1, 1.5);
checkOutputs(1.14, 1.5);
addPoint(4, 1, 0);
checkOutputs(1.4, 0);
}
public void setUp()
{
manager = new SpudManager();
values = new RootSpud <SOURCE>(manager);
}
