public void CompareAgainstExternalData()
{
var logr = new LogReturn(14);
double epsilon = 1e-3;
TestHelper.TestIndicator(logr, "spy_logr14.txt", "LOGR14", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, epsilon));
}
public void LOGRComputesCorrectly()
{
var period = 4;
var logr = new LogReturn(period);
var data = new[] { 1, 10, 100, 1000, 10000, 1234, 56789 };
var seen = new List <int>();
var time = DateTime.Now;
for (var i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0.0;
if (seen.Count >= 0 && seen.Count < period)
{
value0 = data[0];
}
else if (seen.Count >= period)
{
value0 = data[i - period];
}
var expected = (decimal)Math.Log(datum / value0);
seen.Add(datum);
logr.Update(time.AddSeconds(i), datum);
Assert.AreEqual(expected, logr.Current.Value);
}
}
public void LOGRComputesCorrectly()
{
int period = 4;
var logr = new LogReturn(period);
var data = new[] { 1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m };
var seen = new List <decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0m;
if (seen.Count >= 0 && seen.Count < period)
{
value0 = data[0];
}
else if (seen.Count >= period)
{
value0 = data[i - period];
}
var expected = (decimal)Math.Log((double)datum / (double)value0);
seen.Add(datum);
logr.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
Assert.AreEqual(expected, logr.Current.Value);
}
}
public void CompareAgainstExternalData()
{
var logr = new LogReturn(14);
double epsilon = 1e-3;
TestHelper.TestIndicator(logr, "spy_logr14.txt", "LOGR14",
(ind, expected) => ((double)ind.Current.Price).Should().BeApproximately(expected, epsilon));
}
/// <summary>
/// Creates a new LogReturn indicator.
/// </summary>
/// <param name="symbol">The symbol whose log return we seek</param>
/// <param name="period">The period of the log return.</param>
/// <param name="resolution">The resolution.</param>
/// <returns>log return indicator for the requested symbol.</returns>
public LogReturn LOGR(string symbol, int period, Resolution?resolution = null)
{
string name = CreateIndicatorName(symbol, "LOGR", resolution);
var logr = new LogReturn(name, period);
RegisterIndicator(symbol, logr, resolution);
return(logr);
}
public LogReturnSignal(LogReturn logr_Fast,
LogReturn logr_Slow,
LeastSquaresMovingAverage logrFast,
LeastSquaresMovingAverage logrSlow,
TickConsolidator ticks,
SecurityHolding securityHolding)
{
_logr_Fast = logr_Fast;
_logr_Slow = logr_Slow;
_logrFast = logrFast;
_logrSlow = logrSlow;
_ticks = ticks;
_securityHolding = securityHolding;
}
//RegisterIndicator(symbol, logr, null);
//Initialize the data and resolution you require for your strategy:
public override void Initialize()
{
//Start and End Date range for the backtest:
SetStartDate(2009, 3, 1);
SetEndDate(DateTime.Now);
//Cash allocation
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, symbol, Resolution.Hour);
logr_14 = LOGR(symbol, 14, Resolution.Hour);
logr_30 = LOGR(symbol, 2, Resolution.Hour);
logr14 = new LeastSquaresMovingAverage(14).Of(logr_14);
logr30 = new LeastSquaresMovingAverage(30).Of(logr_30);
}
public void LOGRComputesCorrectly()
{
int period = 4;
var logr = new LogReturn(period);
var data = new[] { 1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m };
var seen = new List<decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
var value0 = 0m;
if (seen.Count >= 0 && seen.Count < period)
value0 = data[0];
else if (seen.Count >= period)
value0 = data[i - period];
var expected = (decimal)Math.Log((double)datum / (double)value0);
seen.Add(datum);
logr.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
Assert.AreEqual(expected, logr.Current.Value);
}
}
public void ResetsProperly()
{
var logr = new LogReturn(14);
TestHelper.TestIndicatorReset(logr, "spy_logr14.txt");
}
public void CompareAgainstExternalData()
{
var logr = new LogReturn(14);
double epsilon = 1e-3;
TestHelper.TestIndicator(logr, "spy_logr14.txt", "LOGR14", (ind, expected) => Assert.AreEqual(expected, (double)ind.Current.Value, epsilon));
}
public void ResetsProperly()
{
var logr = new LogReturn(14);
TestHelper.TestIndicatorReset(logr, "spy_logr14.txt");
}
