protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_fast.Update(input);
_slow.Update(input);
_smooth.Update(input.Time, 2 * _fast - _slow);
return(_smooth);
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_shortRoc.Update(input);
_longRoc.Update(input);
if (_longRoc.IsReady && _shortRoc.IsReady)
{
var rocSum = _shortRoc + _longRoc;
_lwma.Update(input.Time, rocSum);
return(_lwma);
}
return(decimal.Zero);
}
// See http://en.wikipedia.org/wiki/Moving_average
// for the formula and the numbers in this test.
public void ComputesCorrectly(int period)
{
var values = new[] { 77m, 79m, 79m, 81m, 83m };
var weights = Enumerable.Range(1, period).ToArray();
var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
var lwma = new LinearWeightedMovingAverage(period);
var time = DateTime.UtcNow;
for (var i = 0; i < period; i++)
{
lwma.Update(time.AddSeconds(i), values[i]);
}
Assert.AreEqual(current, lwma.Current.Value);
}
public void Lwma2ComputesCorrectly()
{
const int period = 2;
decimal[] values = { 1m, 2m };
var lwma = new LinearWeightedMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
}
current = ((2 * 2m) + (1 * 1m)) / 3;
Assert.AreEqual(current, lwma.Current.Value);
}
// See http://en.wikipedia.org/wiki/Moving_average
// for the formula and the numbers in this test.
public void Lwma5ComputesCorrectly()
{
const int period = 5;
decimal[] values = { 77m, 79m, 79m, 81m, 83m };
var lwma = new LinearWeightedMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
}
current = 83 * (5m / 15) + 81 * (4m / 15) + 79 * (3m / 15) + 79 * (2m / 15) + 77 * (1m / 15);
Assert.AreEqual(current, lwma.Current.Value);
}
// See http://en.wikipedia.org/wiki/Moving_average
// for the formula and the numbers in this test.
public void Lwma5ComputesCorrectly()
{
const int period = 5;
decimal[] values = { 77m, 79m, 79m, 81m, 83m };
var lwma = new LinearWeightedMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
}
current = 83 * (5m / 15) + 81 * (4m / 15) + 79 * (3m / 15) + 79 * (2m / 15) + 77 * (1m / 15);
Assert.AreEqual(current, lwma.Current.Value);
}
public void Lwma2ComputesCorrectly()
{
const int period = 2;
decimal[] values = { 1m, 2m };
var lwma = new LinearWeightedMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
}
current = ((2 * 2m) + (1 * 1m)) / 3;
Assert.AreEqual(current, lwma.Current.Value);
}
public void Lwma4ComputesCorrectly()
{
const int period = 4;
decimal[] values = { 1m, 2m, 3m, 4m };
var lwma = new LinearWeightedMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), TimeZone.Utc, values[i]));
}
current = ((4 * .4m) + (3 * .3m) + (2 * .2m) + (1 * .1m));
Assert.Equal(current, lwma.Current.Price);
}
// See http://en.wikipedia.org/wiki/Moving_average
// for the formula and the numbers in this test.
public void WarmsUpProperly(int period)
{
var values = new[] { 77m, 79m, 79m, 81m, 83m };
var weights = Enumerable.Range(1, period).ToArray();
var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
var lwma = new LinearWeightedMovingAverage(period);
var time = DateTime.UtcNow;
var warmUpPeriod = (lwma as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
for (var i = 0; i < warmUpPeriod; i++)
{
lwma.Update(time.AddSeconds(i), values[i]);
Assert.AreEqual(i == warmUpPeriod - 1, lwma.IsReady);
}
Assert.AreEqual(current, lwma.Current.Value);
}
public void ResetsProperly()
{
const int period = 4;
decimal[] values = { 1m, 2m, 3m, 4m, 5m };
var lwma = new LinearWeightedMovingAverage(period);
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), TimeZone.Utc, values[i]));
}
Assert.True(lwma.IsReady);
Assert.NotEqual(0m, lwma.Current.Price);
Assert.NotEqual(0, lwma.Samples);
lwma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(lwma);
}
// See http://en.wikipedia.org/wiki/Moving_average
// for the formula and the numbers in this test.
public void ResetsProperly(int period)
{
var values = new[] { 77m, 79m, 79m, 81m, 83m };
var weights = Enumerable.Range(1, period).ToArray();
var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
var lwma = new LinearWeightedMovingAverage(period);
var time = DateTime.UtcNow;
for (var i = 0; i < period; i++)
{
lwma.Update(time.AddSeconds(i), values[i]);
}
Assert.AreEqual(current, lwma.Current.Value);
Assert.IsTrue(lwma.IsReady);
Assert.AreNotEqual(0m, lwma.Current.Value);
Assert.AreNotEqual(0, lwma.Samples);
lwma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(lwma);
}
public void ResetsProperly()
{
const int period = 4;
decimal[] values = { 1m, 2m, 3m, 4m, 5m };
var lwma = new LinearWeightedMovingAverage(period);
for (int i = 0; i < values.Length; i++)
{
lwma.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
}
Assert.IsTrue(lwma.IsReady);
Assert.AreNotEqual(0m, lwma.Current.Value);
Assert.AreNotEqual(0, lwma.Samples);
lwma.Reset();
TestHelper.AssertIndicatorIsInDefaultState(lwma);
}
