public void GetStochRsiSlowTest()
{
int rsiPeriod = 14;
int stochPeriod = 14;
int signalPeriod = 3;
int smoothPeriod = 3;
IEnumerable <StochRsiResult> results = Indicator.GetStochRsi(
history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
// assertions
// proper quantities
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - rsiPeriod - stochPeriod - smoothPeriod + 2, results.Where(x => x.StochRsi != null).Count());
Assert.AreEqual(502 - rsiPeriod - stochPeriod - signalPeriod - smoothPeriod + 3, results.Where(x => x.Signal != null).Count());
// this series starts with 2 periods of topped Stochastic RSI, so no direction can be determined
Assert.AreEqual(502 - rsiPeriod - stochPeriod - smoothPeriod + 2 - 2, results.Where(x => x.IsIncreasing != null).Count());
// sample value
StochRsiResult r = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)89.8385, Math.Round((decimal)r.StochRsi, 4));
Assert.AreEqual((decimal)73.4176, Math.Round((decimal)r.Signal, 4));
Assert.AreEqual(true, r.IsIncreasing);
}
public void Convergence()
{
foreach (int qty in convergeQuantities.Where(x => x <= 502))
{
IEnumerable <Quote> h = HistoryTestData.Get(110 + qty);
IEnumerable <StochRsiResult> r = Indicator.GetStochRsi(h, 14, 14, 3, 1);
StochRsiResult l = r.LastOrDefault();
Console.WriteLine("SRSI on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.StochRsi);
}
}
public void StochRsi()
{
foreach (int qty in QuotesQuantities.Where(x => x <= 502))
{
IEnumerable <Quote> quotes = TestData.GetDefault(10 + qty);
IEnumerable <StochRsiResult> r = quotes.GetStochRsi(14, 14, 3, 1);
StochRsiResult l = r.LastOrDefault();
Console.WriteLine(
"SRSI on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.StochRsi);
}
}
public void GetStochRsiTest()
{
int lookbackPeriod = 14;
IEnumerable <StochRsiResult> results = Indicator.GetStochRsi(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - 2 * lookbackPeriod + 1, results.Where(x => x.StochRsi != null).Count());
Assert.AreEqual(502 - 2 * lookbackPeriod + 1, results.Where(x => x.IsIncreasing != null).Count());
// sample value
StochRsiResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)0.9752, Math.Round((decimal)result.StochRsi, 4));
Assert.AreEqual(true, result.IsIncreasing);
}
public void FastRsi()
{
int rsiPeriods = 14;
int stochPeriods = 14;
int signalPeriods = 3;
int smoothPeriods = 1;
List <StochRsiResult> results =
quotes.GetStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods)
.ToList();
// assertions
// proper quantities
Assert.AreEqual(502, results.Count);
Assert.AreEqual(475, results.Where(x => x.StochRsi != null).Count());
Assert.AreEqual(473, results.Where(x => x.Signal != null).Count());
// sample values
StochRsiResult r1 = results[31];
Assert.AreEqual(93.3333m, Math.Round((decimal)r1.StochRsi, 4));
Assert.AreEqual(97.7778m, Math.Round((decimal)r1.Signal, 4));
StochRsiResult r2 = results[152];
Assert.AreEqual(0m, Math.Round((decimal)r2.StochRsi, 4));
Assert.AreEqual(0m, Math.Round((decimal)r2.Signal, 4));
StochRsiResult r3 = results[249];
Assert.AreEqual(36.5517m, Math.Round((decimal)r3.StochRsi, 4));
Assert.AreEqual(27.3094m, Math.Round((decimal)r3.Signal, 4));
StochRsiResult r4 = results[501];
Assert.AreEqual(97.5244m, Math.Round((decimal)r4.StochRsi, 4));
Assert.AreEqual(89.8385m, Math.Round((decimal)r4.Signal, 4));
}
public void SlowRsi()
{
int rsiPeriods = 14;
int stochPeriods = 14;
int signalPeriods = 3;
int smoothPeriods = 3;
List <StochRsiResult> results =
Indicator.GetStochRsi(quotes, rsiPeriods, stochPeriods, signalPeriods, smoothPeriods)
.ToList();
// assertions
// proper quantities
Assert.AreEqual(502, results.Count);
Assert.AreEqual(473, results.Where(x => x.StochRsi != null).Count());
Assert.AreEqual(471, results.Where(x => x.Signal != null).Count());
// sample values
StochRsiResult r1 = results[31];
Assert.AreEqual(97.7778m, Math.Round((decimal)r1.StochRsi, 4));
Assert.AreEqual(99.2593m, Math.Round((decimal)r1.Signal, 4));
StochRsiResult r2 = results[152];
Assert.AreEqual(0m, Math.Round((decimal)r2.StochRsi, 4));
Assert.AreEqual(20.0263m, Math.Round((decimal)r2.Signal, 4));
StochRsiResult r3 = results[249];
Assert.AreEqual(27.3094m, Math.Round((decimal)r3.StochRsi, 4));
Assert.AreEqual(33.2716m, Math.Round((decimal)r3.Signal, 4));
StochRsiResult r4 = results[501];
Assert.AreEqual(89.8385m, Math.Round((decimal)r4.StochRsi, 4));
Assert.AreEqual(73.4176m, Math.Round((decimal)r4.Signal, 4));
}
public void Removed()
{
int rsiPeriods = 14;
int stochPeriods = 14;
int signalPeriods = 3;
int smoothPeriods = 3;
List <StochRsiResult> results =
Indicator.GetStochRsi(quotes, rsiPeriods, stochPeriods, signalPeriods, smoothPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
int removeQty = rsiPeriods + stochPeriods + smoothPeriods + 100;
Assert.AreEqual(502 - removeQty, results.Count);
StochRsiResult last = results.LastOrDefault();
Assert.AreEqual(89.8385m, Math.Round((decimal)last.StochRsi, 4));
Assert.AreEqual(73.4176m, Math.Round((decimal)last.Signal, 4));
}
public void GetStochRsiSlowTest()
{
int rsiPeriod = 14;
int stochPeriod = 14;
int signalPeriod = 3;
int smoothPeriod = 3;
IEnumerable <StochRsiResult> results = Indicator.GetStochRsi(
history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
// assertions
// proper quantities
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - rsiPeriod - stochPeriod - smoothPeriod + 2, results.Where(x => x.StochRsi != null).Count());
Assert.AreEqual(502 - rsiPeriod - stochPeriod - signalPeriod - smoothPeriod + 3, results.Where(x => x.Signal != null).Count());
// sample value
StochRsiResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(89.8385m, Math.Round((decimal)r.StochRsi, 4));
Assert.AreEqual(73.4176m, Math.Round((decimal)r.Signal, 4));
}
public static void Main()
{
// See ConsoleApp first. This is more advanced.
/* This is a basic 20-year backtest-style analysis of
* Stochastic RSI. It will buy-to-open (BTO) one share
* when the Stoch RSI (%K) is below 20 and crosses over the
* Signal (%D). The reverse Sell-to-Close (STC) and
* Sell-To-Open (STO) occurs when the Stoch RSI is above 80 and
* crosses below the Signal.
*
* As a result, there will always be one open LONG or SHORT
* position that is opened and closed at signal crossover
* points in the overbought and oversold regions of the indicator.
*/
// fetch historical quotes from data provider
List <Quote> quotesList = GetHistoryFromFeed()
.ToList();
// calculate Stochastic RSI
List <StochRsiResult> resultsList =
quotesList
.GetStochRsi(14, 14, 3, 1)
.ToList();
// initialize
decimal trdPrice = 0;
decimal trdQty = 0;
decimal rlzGain = 0;
Console.WriteLine(" Date Close StRSI Signal Cross Net Gains");
Console.WriteLine("-------------------------------------------------------");
// roll through history
for (int i = 1; i < quotesList.Count; i++)
{
Quote q = quotesList[i];
StochRsiResult e = resultsList[i]; // evaluation period
StochRsiResult l = resultsList[i - 1]; // last (prior) period
string cross = string.Empty;
// unrealized gain on open trade
decimal trdGain = trdQty * (q.Close - trdPrice);
// check for LONG event
// condition: Stoch RSI was <= 20 and Stoch RSI crosses over Signal
if (l.StochRsi <= 20 &&
l.StochRsi < l.Signal &&
e.StochRsi >= e.Signal &&
trdQty != 1)
{
// emulates BTC + BTO
rlzGain += trdGain;
trdQty = 1;
trdPrice = q.Close;
cross = "LONG";
}
// check for SHORT event
// condition: Stoch RSI was >= 80 and Stoch RSI crosses under Signal
if (l.StochRsi >= 80 &&
l.StochRsi > l.Signal &&
e.StochRsi <= e.Signal &&
trdQty != -1)
{
// emulates STC + STO
rlzGain += trdGain;
trdQty = -1;
trdPrice = q.Close;
cross = "SHORT";
}
if (cross != string.Empty)
{
Console.WriteLine(
$"{q.Date,10:yyyy-MM-dd} " +
$"{q.Close,10:c2}" +
$"{e.StochRsi,7:N1}" +
$"{e.Signal,7:N1}" +
$"{cross,7}" +
$"{rlzGain + trdGain,13:c2}");
}
}
}
