public MatchAggregate(string tickerSymbol, decimal initialPrice = 0.0m,
double initialVolume = 0.0d, int sampleSize = DefaultSampleSize)
{
TickerSymbol = tickerSymbol;
AvgPrice = EMWAm.Init(sampleSize, initialPrice);
AvgVolume = EMWA.Init(sampleSize, initialVolume);
}
public void EMWA_should_diverge_with_different_alphas()
{
var e1 = EMWA.Init(10, 1);
var e2 = EMWA.Init(25, 1);
var percentages = new List <double>();
foreach (var i in Enumerable.Range(2, 35))
{
e1 += i;
e2 += i;
percentages.Add(e1 % e2);
}
// differences should diverge over time
percentages.All(x => x > 0.0d).Should().BeTrue();
}
public void EMWA_percentage_difference_order_matters()
{
var e1 = EMWA.Init(10, 1);
var e2 = EMWA.Init(25, 1);
foreach (var i in Enumerable.Range(2, 35))
{
e1 += i;
e2 += i;
}
var p1 = e1 % e2;
var p2 = e2 % e1;
p1.Should().NotBe(p2);
// in this scenario, p2 should be negative as it includes many more "smaller" values in its weight
p2.Should().BeLessThan(p1);
}