public void BuildYahooNormalized_ShouldBuildCorrectYahooNormalized()
{
var date = new DateTime(2015, 01, 01);
var record = new YahooRecord
{
Date = date,
Open = 1.1230004,
High = 2.1230004,
Low = 0.1230004,
Close = 2.0230004,
Volume = 123456789012
};
var yahooNormalized = YahooHelper.BuildYahooNormalized(record, 0.11, 0.13, 0.1234567890123);
Assert.AreEqual(date, yahooNormalized.Date);
Assert.AreEqual(1.1230004, yahooNormalized.Open);
Assert.AreEqual(2.1230004, yahooNormalized.High);
Assert.AreEqual(0.1230004, yahooNormalized.Low);
Assert.AreEqual(2.0230004, yahooNormalized.Close);
Assert.AreEqual(123456789012, yahooNormalized.Volume);
Assert.AreEqual(0.11, yahooNormalized.Change);
Assert.AreEqual(0.13, yahooNormalized.MovingAverage);
Assert.AreEqual(0.1234567890123, yahooNormalized.Volatility);
}
public IEnumerable <YahooNormalized> PrepareData(int updatePeriod = 100)
{
var yahooRecords = Enumerable.Reverse(_yahooDataRepository.CsvLinesNormalized).ToList();
var data = new List <YahooNormalized>();
var period = 0;
double mean = 0.0;
double variance = 0.0;
var index = 0;
foreach (var record in yahooRecords)
{
var change = index > 0 ? MathHelpers.PreservePrecision(record.Close / yahooRecords[index - 1].Close - 1.0) : 0.0;
if (period == 0)
{
mean = record.Close;
variance = 0.0;
data.Add(YahooHelper.BuildYahooNormalized(record, change, mean, 0.0));
}
else
{
var prevSize = period;
var sizeNow = period + 1;
mean = (prevSize * mean + record.Close) / sizeNow;
var difference = record.Close - mean;
variance = (double)prevSize / sizeNow * variance + 1.0 / prevSize * difference * difference;
var volatility = MathHelpers.PreservePrecision(Math.Sqrt(variance));
data.Add(YahooHelper.BuildYahooNormalized(record, change, MathHelpers.PreservePrecision(mean), volatility));
}
index++;
period++;
period %= updatePeriod;
}
return(data);
}
