private static void CalcPmoSignal(
List <PmoResult> results,
int timePeriods,
int smoothPeriods,
int signalPeriods)
{
double signalConstant = 2d / (signalPeriods + 1);
double?lastSignal = null;
int startIndex = timePeriods + smoothPeriods + signalPeriods - 1;
for (int i = startIndex - 1; i < results.Count; i++)
{
PmoResult pr = results[i];
int index = i + 1;
if (index > startIndex)
{
pr.Signal = ((pr.Pmo - lastSignal) * signalConstant) + lastSignal;
}
else if (index == startIndex)
{
double?sumPmo = 0;
for (int p = index - signalPeriods; p < index; p++)
{
PmoResult d = results[p];
sumPmo += d.Pmo;
}
pr.Signal = sumPmo / signalPeriods;
}
lastSignal = pr.Signal;
}
}
public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = History.GetHistoryLong(130 + qty);
IEnumerable <PmoResult> r = Indicator.GetPmo(h);
PmoResult l = r.LastOrDefault();
Console.WriteLine("PMO on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.Pmo);
}
}
public void Pmo()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(qty);
IEnumerable <PmoResult> r = quotes.GetPmo();
PmoResult l = r.LastOrDefault();
Console.WriteLine(
"PMO on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Pmo);
}
}
public void Removed()
{
List <PmoResult> results = quotes.GetPmo(35, 20, 10)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (35 + 20 + 250), results.Count);
PmoResult last = results.LastOrDefault();
Assert.AreEqual(-2.7016, Math.Round((double)last.Pmo, 4));
Assert.AreEqual(-2.3117, Math.Round((double)last.Signal, 4));
}
// PRICE MOMENTUM OSCILLATOR (PMO)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PmoResult> GetPmo <TQuote>(
this IEnumerable <TQuote> quotes,
int timePeriods = 35,
int smoothPeriods = 20,
int signalPeriods = 10)
where TQuote : IQuote
{
// check parameter arguments
ValidatePmo(timePeriods, smoothPeriods, signalPeriods);
// initialize
List <PmoResult> results = CalcPmoRocEma(quotes, timePeriods);
double smoothingConstant = 2d / smoothPeriods;
double? lastPmo = null;
// calculate PMO
int startIndex = timePeriods + smoothPeriods;
for (int i = startIndex - 1; i < results.Count; i++)
{
PmoResult pr = results[i];
int index = i + 1;
if (index > startIndex)
{
pr.Pmo = ((pr.RocEma - lastPmo) * smoothingConstant) + lastPmo;
}
else if (index == startIndex)
{
double?sumRocEma = 0;
for (int p = index - smoothPeriods; p < index; p++)
{
PmoResult d = results[p];
sumRocEma += d.RocEma;
}
pr.Pmo = sumRocEma / smoothPeriods;
}
lastPmo = pr.Pmo;
}
// add Signal
CalcPmoSignal(results, timePeriods, smoothPeriods, signalPeriods);
return(results);
}
public void Standard()
{
List <PmoResult> results = quotes.GetPmo(35, 20, 10).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(448, results.Where(x => x.Pmo != null).Count());
Assert.AreEqual(439, results.Where(x => x.Signal != null).Count());
// sample values
PmoResult r1 = results[92];
Assert.AreEqual(0.6159, Math.Round((double)r1.Pmo, 4));
Assert.AreEqual(0.5582, Math.Round((double)r1.Signal, 4));
PmoResult r2 = results[501];
Assert.AreEqual(-2.7016, Math.Round((double)r2.Pmo, 4));
Assert.AreEqual(-2.3117, Math.Round((double)r2.Signal, 4));
}
public void GetPmoTest()
{
IEnumerable <PmoResult> results = Indicator.GetPmo(history, 35, 20, 10);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(448, results.Where(x => x.Pmo != null).Count());
Assert.AreEqual(439, results.Where(x => x.Signal != null).Count());
// sample values
PmoResult r1 = results.Where(x => x.Index == 93).FirstOrDefault();
Assert.AreEqual(0.6159m, Math.Round((decimal)r1.Pmo, 4));
Assert.AreEqual(0.5582m, Math.Round((decimal)r1.Signal, 4));
PmoResult r2 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(-2.7016m, Math.Round((decimal)r2.Pmo, 4));
Assert.AreEqual(-2.3117m, Math.Round((decimal)r2.Signal, 4));
}