public void usingTimeFrame5UsingClosePriceAndVolume()
{
CorrelationCoefficientIndicator coef = new CorrelationCoefficientIndicator(close, volume, 5);
// Assert.IsTrue(coef.getValue(0).IsNaN());
Assert.AreEqual(coef.GetValue(1), 1M);
Assert.AreEqual(coef.GetValue(2), 0.87733848342525925124506998M);
Assert.AreEqual(coef.GetValue(3), 0.9073137143013725161493810737M);
Assert.AreEqual(coef.GetValue(4), 0.9219445959464780324897279404M);
Assert.AreEqual(coef.GetValue(5), 0.9204686084830691879429314265M);
Assert.AreEqual(coef.GetValue(6), 0.4565079193666946530704545434M);
Assert.AreEqual(coef.GetValue(7), -0.4622368993375032370867375609M);
Assert.AreEqual(coef.GetValue(8), 0.0574674682540454585943187237M);
Assert.AreEqual(coef.GetValue(9), 0.1442072366721843231551720267M);
Assert.AreEqual(coef.GetValue(10), -0.1262800365682874150793719821M);
Assert.AreEqual(coef.GetValue(11), -0.5345125968416236818993319855M);
Assert.AreEqual(coef.GetValue(12), -0.7275265284764913369741980078M);
Assert.AreEqual(coef.GetValue(13), 0.1676203622600160056069374939M);
Assert.AreEqual(coef.GetValue(14), 0.2506093635823103767503572818M);
Assert.AreEqual(coef.GetValue(15), -0.2937644826001439430561912446M);
Assert.AreEqual(coef.GetValue(16), -0.3585679550668379351786236965M);
Assert.AreEqual(coef.GetValue(17), 0.1713296125780531390600177618M);
Assert.AreEqual(coef.GetValue(18), 0.9841040262836171107084622525M);
Assert.AreEqual(coef.GetValue(19), 0.9799146648100918552300686205M);
}
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);
}
/**
* @param index the actual index
* @return true, if negative convergent
*/
private bool CalculateNegativeConvergence(int index)
{
CorrelationCoefficientIndicator cc = new CorrelationCoefficientIndicator(_indicator, _other, _timeFrame);
bool isConvergent = cc.GetValue(index).IsGreaterThanOrEqual(_minStrenght);
decimal slope = CalculateSlopeRel(index);
bool isNegative = slope.IsLessThanOrEqual(_minSlope.Abs().MultipliedBy(-1));
return(isConvergent && isNegative);
}
/**
* @param index the actual index
* @return true, if negative divergent
*/
private bool CalculateNegativeDivergence(int index)
{
CorrelationCoefficientIndicator cc = new CorrelationCoefficientIndicator(_indicator, _other, _timeFrame);
bool isDivergent = cc.GetValue(index).IsLessThanOrEqual(_minStrenght.MultipliedBy(-1));
if (isDivergent)
{
// If "isDivergent" and "ref" is positive, then "other" must be negative.
decimal slope = CalculateSlopeRel(index);
return(slope.IsLessThanOrEqual(_minSlope.Abs().MultipliedBy(-1)));
}
return(false);
}
