public void VarianceShouldBeZeroWhenTimeFrameIs1()
{
var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 0);
TaTestsUtils.AssertDecimalEquals(variance.GetValue(8), 0);
}
public void BollingerBandWidthUsingSmaAndStandardDeviation()
{
var sma = new SmaIndicator(_closePrice, 5);
var standardDeviation = new StandardDeviationIndicator(_closePrice, 5);
var bbmSma = new BollingerBandsMiddleIndicator(sma);
var bbuSma = new BollingerBandsUpperIndicator(bbmSma, standardDeviation);
var bblSma = new BollingerBandsLowerIndicator(bbmSma, standardDeviation);
var bandwidth = new BollingerBandWidthIndicator(bbuSma, bbmSma, bblSma);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(0), 0.0);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(1), 36.3636);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(2), 66.6423);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(3), 60.2443);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(4), 71.0767);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(5), 69.9394);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(6), 62.7043);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(7), 56.0178);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(8), 27.683);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(9), 12.6491);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(10), 12.6491);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(11), 24.2956);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(12), 68.3332);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(13), 85.1469);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(14), 112.8481);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(15), 108.1682);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(16), 66.9328);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(17), 56.5194);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(18), 28.1091);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(19), 32.5362);
}
public void ShouldBeZeroWhenTimeFrameIs1()
{
var se = new StandardErrorIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(se.GetValue(1), 0);
TaTestsUtils.AssertDecimalEquals(se.GetValue(3), 0);
}
public void UsingTimeFrame5UsingClosePriceAndVolume()
{
var coef = new CorrelationCoefficientIndicator(_close, _volume, 5);
Assert.IsTrue(coef.GetValue(0).NaN);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(1), 1);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(2), 0.8773);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(3), 0.9073);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(4), 0.9219);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(5), 0.9205);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(6), 0.4565);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(7), -0.4622);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(8), 0.05747);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(9), 0.1442);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(10), -0.1263);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(11), -0.5345);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(12), -0.7275);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(13), 0.1676);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(14), 0.2506);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(15), -0.2938);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(16), -0.3586);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(17), 0.1713);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(18), 0.9841);
TaTestsUtils.AssertDecimalEquals(coef.GetValue(19), 0.9799);
}
public void ConstantIndicator()
{
TaTestsUtils.AssertDecimalEquals(_multiplierIndicator.GetValue(10), "4.5");
TaTestsUtils.AssertDecimalEquals(_multiplierIndicator.GetValue(1), "4.5");
TaTestsUtils.AssertDecimalEquals(_multiplierIndicator.GetValue(0), "4.5");
TaTestsUtils.AssertDecimalEquals(_multiplierIndicator.GetValue(30), "4.5");
}
public void MeanDeviationShouldBeZeroWhenTimeFrameIs1()
{
var meanDeviation = new MeanDeviationIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(2), 0);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(7), 0);
}
public void PercentBUsingSmaAndStandardDeviation()
{
var pcb = new PercentBIndicator(_closePrice, 5, Decimal.Two);
Assert.IsTrue(pcb.GetValue(0).NaN);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(1), 0.75);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(2), 0.8244);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(3), 0.6627);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(4), 0.8517);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(5), 0.90328);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(6), 0.83);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(7), 0.6552);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(8), 0.5737);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(9), 0.1047);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(10), 0.5);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(11), 0.0284);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(12), 0.0344);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(13), 0.2064);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(14), 0.1835);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(15), 0.2131);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(16), 0.3506);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(17), 0.5737);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(18), 0.5);
TaTestsUtils.AssertDecimalEquals(pcb.GetValue(19), 0.7673);
}
public void StandardDeviationShouldBeZeroWhenTimeFrameIs1()
{
var sdv = new StandardDeviationIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(3), 0);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(8), 0);
}
public void ConstantIndicator()
{
TaTestsUtils.AssertDecimalEquals(_constantIndicator.GetValue(0), "30.33");
TaTestsUtils.AssertDecimalEquals(_constantIndicator.GetValue(1), "30.33");
TaTestsUtils.AssertDecimalEquals(_constantIndicator.GetValue(10), "30.33");
TaTestsUtils.AssertDecimalEquals(_constantIndicator.GetValue(30), "30.33");
}
public void BollingerBandsLowerUsingSmaAndStandardDeviation()
{
var bbmSma = new BollingerBandsMiddleIndicator(_sma);
var standardDeviation = new StandardDeviationIndicator(_closePrice, _timeFrame);
var bblSma = new BollingerBandsLowerIndicator(bbmSma, standardDeviation);
TaTestsUtils.AssertDecimalEquals(bblSma.K, 2);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(1), 0.5);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(2), 0.367);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(3), 1.367);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(4), 2.3905);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(5), 2.7239);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(6), 2.367);
var bblSmAwithK = new BollingerBandsLowerIndicator(bbmSma, standardDeviation, Decimal.ValueOf("1.5"));
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.K, 1.5);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(1), 0.75);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(2), 0.7752);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(3), 1.7752);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(4), 2.6262);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(5), 2.9595);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(6), 2.7752);
}
public void UlcerIndexUsingTimeFrame14UsingIbmData()
{
var ulcer = new UlcerIndexIndicator(new ClosePriceIndicator(_ibmData), 14);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(0), 0);
// From: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ulcer_index
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(26), 1.3047);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(27), 1.3022);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(28), 1.2156);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(29), 0.9967);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(30), 0.7257);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(31), 0.453);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(32), 0.4284);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(33), 0.4284);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(34), 0.4284);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(35), 0.4287);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(36), 0.5089);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(37), 0.6673);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(38), 0.9914);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(39), 1.0921);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(40), 1.3161);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(41), 1.5632);
TaTestsUtils.AssertDecimalEquals(ulcer.GetValue(42), 1.7609);
}
public void BollingerBandsUpperUsingSmaAndStandardDeviation()
{
var bbmSma = new BollingerBandsMiddleIndicator(_sma);
var standardDeviation = new StandardDeviationIndicator(_closePrice, _timeFrame);
var bbuSma = new BollingerBandsUpperIndicator(bbmSma, standardDeviation);
TaTestsUtils.AssertDecimalEquals(bbuSma.K, 2);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(1), 2.5);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(2), 3.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(3), 4.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(4), 4.2761);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(5), 4.6094);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(6), 5.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(7), 5.2761);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(8), 5.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(9), 4.2761);
var bbuSmAwithK = new BollingerBandsUpperIndicator(bbmSma, standardDeviation, Decimal.ValueOf("1.5"));
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.K, 1.5);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(1), 2.25);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(2), 3.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(3), 4.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(4), 4.0404);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(5), 4.3737);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(6), 5.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(7), 5.0404);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(8), 5.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(9), 4.0404);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(1355.69, 2739.55));
ticks.Add(GenerateTick.From(1325.51, 3119.46));
ticks.Add(GenerateTick.From(1335.02, 3466.88));
ticks.Add(GenerateTick.From(1313.72, 2577.12));
ticks.Add(GenerateTick.From(1319.99, 2480.45));
ticks.Add(GenerateTick.From(1331.85, 2329.79));
ticks.Add(GenerateTick.From(1329.04, 2793.07));
ticks.Add(GenerateTick.From(1362.16, 3378.78));
ticks.Add(GenerateTick.From(1365.51, 2417.59));
ticks.Add(GenerateTick.From(1374.02, 1442.81));
TimeSeries series = GenerateTimeSeries.From(ticks);
var nvi = new NviIndicator(series);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(0), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(1), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(2), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(3), 984.0452);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(4), 988.7417);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(5), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(6), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(7), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(8), 1000.079);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(9), 1006.3116);
}
public void ShouldBeZeroWhenTimeFrameIs1()
{
var covar = new CovarianceIndicator(_close, _volume, 1);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(3), 0);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(8), 0);
}
public void UsingTimeFrame5UsingClosePriceAndVolume()
{
var covar = new CovarianceIndicator(_close, _volume, 5);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(1), 26.25);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(2), 63.3333);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(3), 143.75);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(4), 156);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(5), 60.8);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(6), 15.2);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(7), -17.6);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(8), 4);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(9), 11.6);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(10), -14.4);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(11), -100.2);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(12), -70.0);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(13), 24.6);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(14), 35.0);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(15), -19.0);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(16), -47.8);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(17), 11.4);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(18), 55.8);
TaTestsUtils.AssertDecimalEquals(covar.GetValue(19), 33.4);
}
public void AverageDirectionalMovement()
{
var tick1 = GenerateTick.From(0, 0, 13, 7);
var tick2 = GenerateTick.From(0, 0, 11, 5);
var tick3 = GenerateTick.From(0, 0, 15, 3);
var tick4 = GenerateTick.From(0, 0, 14, 2);
var tick5 = GenerateTick.From(0, 0, 13, 0.2);
IList <Tick> ticks = new List <Tick>();
ticks.Add(tick1);
ticks.Add(tick2);
ticks.Add(tick3);
ticks.Add(tick4);
ticks.Add(tick5);
var series = GenerateTimeSeries.From(ticks);
var admdown = new AverageDirectionalMovementDownIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(1), 4d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(2), 4d / 3 * 2d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(3), (4d / 3 * 2d / 3) * 2d / 3 + 1d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(4), ((4d / 3 * 2d / 3) * 2d / 3 + 1d / 3) * 2d / 3 + 1.8 * 1d / 3);
}
public void EmaUsingTimeFrame10UsingClosePrice()
{
var ema = new EmaIndicator(new ClosePriceIndicator(_data), 10);
TaTestsUtils.AssertDecimalEquals(ema.GetValue(9), 63.6536);
TaTestsUtils.AssertDecimalEquals(ema.GetValue(10), 63.2312);
TaTestsUtils.AssertDecimalEquals(ema.GetValue(11), 62.9182);
}
public void ZlemaUsingTimeFrame10UsingClosePrice()
{
var zlema = new ZlemaIndicator(new ClosePriceIndicator(_data), 10);
TaTestsUtils.AssertDecimalEquals(zlema.GetValue(9), 11.9091);
TaTestsUtils.AssertDecimalEquals(zlema.GetValue(10), 8.8347);
TaTestsUtils.AssertDecimalEquals(zlema.GetValue(11), 5.7739);
}
public void StochasticOscilatorKParam14()
{
var sof = new StochasticOscillatorKIndicator(_data, 14);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(0), 313 / 3.5);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(12), 1000 / 10.81);
TaTestsUtils.AssertDecimalEquals(sof.GetValue(13), 57.8168);
}
public void CashFlowValueWithNoTrades()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(3d, 2d, 5d, 4d, 7d, 6d, 7d, 8d, 5d, 6d);
var cashFlow = new CashFlow(sampleTimeSeries, new TradingRecord());
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(4), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(7), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(9), 1);
}
public void ValueLessThenTimeFrame()
{
var wr = new WilliamsRIndicator(new ClosePriceIndicator(_data), 100, new MaxPriceIndicator(_data), new MinPriceIndicator(_data));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(0), -100d * (0.12 / 0.21));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(1), -100d * (0.07 / 0.21));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(2), -100d * (0.13 / 0.36));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(3), -100d * (0.18 / 0.36));
}
public void WilliamsRUsingTimeFrame10UsingClosePrice()
{
var wr = new WilliamsRIndicator(new ClosePriceIndicator(_data), 10, new MaxPriceIndicator(_data), new MinPriceIndicator(_data));
TaTestsUtils.AssertDecimalEquals(wr.GetValue(9), -4.0816);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(10), -11.7647);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(11), -8.9286);
TaTestsUtils.AssertDecimalEquals(wr.GetValue(12), -10.5263);
}
public void ReallyLongCashFlow()
{
const int size = 1000000;
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(Enumerable.Repeat((Tick)GenerateTick.From(10), size).ToList());
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(size - 1));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(size - 1), 1);
}
public void CalculateLinearRegression()
{
var values = new double[] { 1, 2, 1.3, 3.75, 2.25 };
var indicator = new ClosePriceIndicator(GenerateTimeSeries.From(values));
var reg = new SimpleLinearRegressionIndicator(indicator, 5);
// SimpleRegression origReg = buildSimpleRegression(values);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(4), 2.91); //origReg.predict(4));
}
public void GetValueWithCacheLengthIncrease()
{
var data = new double[200];
TaTestsUtils.ArraysFill(data, 10);
var sma = new SmaIndicator(new ClosePriceIndicator(GenerateTimeSeries.From(data)), 100);
TaTestsUtils.AssertDecimalEquals(sma.GetValue(105), 10);
}
public void IndicatorShouldRetrieveTickVariation()
{
TaTestsUtils.AssertDecimalEquals(_variationIndicator.GetValue(0), 1);
for (var i = 1; i < 10; i++)
{
var previousTickClosePrice = _timeSeries.GetTick(i - 1).ClosePrice;
var currentTickClosePrice = _timeSeries.GetTick(i).ClosePrice;
Assert.AreEqual(_variationIndicator.GetValue(i), currentTickClosePrice.DividedBy(previousTickClosePrice));
}
}
public void CashFlowBuyWithOnlyOneTrade()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(1d, 2d);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(1), 2);
}
public void GetValue()
{
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(0), "4");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(1), "7");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(2), "9");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(3), "11.53");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(4), "21.87");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(5), "-30");
TaTestsUtils.AssertDecimalEquals(_sumIndicator.GetValue(6), "-1321");
}
public void GetValue()
{
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(0), "8");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(1), "6");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(2), "5");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(3), "3.47");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(4), "0.13");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(5), "0");
TaTestsUtils.AssertDecimalEquals(_differenceIndicator.GetValue(6), "-4");
}
public void MeanDeviationUsingTimeFrame5UsingClosePrice()
{
var meanDeviation = new MeanDeviationIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(2), 2.44444444444444);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(3), 2.5);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(7), 2.16);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(8), 2.32);
TaTestsUtils.AssertDecimalEquals(meanDeviation.GetValue(9), 2.72);
}