public void varianceShouldBeZeroWhenTimeFrameIs1() { VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 1); Assert.AreEqual(var.GetValue(3), 0); Assert.AreEqual(var.GetValue(8), 0); }
public void VarianceShouldBeZeroWhenTimeFrameIs1() { var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 1); TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 0); TaTestsUtils.AssertDecimalEquals(variance.GetValue(8), 0); }
protected override Decimal Calculate(int index) { var cov = _covariance.GetValue(index); var var1 = _variance1.GetValue(index); var var2 = _variance2.GetValue(index); return(cov.DividedBy(var1.MultipliedBy(var2).Sqrt())); }
public void VarianceUsingTimeFrame2UsingClosePrice() { var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 2); TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0); TaTestsUtils.AssertDecimalEquals(variance.GetValue(1), 0.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(2), 0.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 0.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(9), 2.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(10), 20.25); }
public void varianceUsingTimeFrame2UsingClosePrice() { VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 2); Assert.AreEqual(var.GetValue(0), 0); Assert.AreEqual(var.GetValue(1), 0.25M); Assert.AreEqual(var.GetValue(2), 0.25M); Assert.AreEqual(var.GetValue(3), 0.25M); Assert.AreEqual(var.GetValue(9), 2.25M); Assert.AreEqual(var.GetValue(10), 20.25M); }
protected override Decimal Calculate(int index) { return(_variance.GetValue(index).Sqrt()); }
public void FirstValueShouldBeZero() { var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 4); TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0); }
public void VarianceUsingTimeFrame4UsingClosePrice() { var variance = new VarianceIndicator(new ClosePriceIndicator(_data), 4); TaTestsUtils.AssertDecimalEquals(variance.GetValue(0), 0); TaTestsUtils.AssertDecimalEquals(variance.GetValue(1), 0.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(2), 2.0 / 3); TaTestsUtils.AssertDecimalEquals(variance.GetValue(3), 1.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(4), 0.5); TaTestsUtils.AssertDecimalEquals(variance.GetValue(5), 0.25); TaTestsUtils.AssertDecimalEquals(variance.GetValue(6), 0.5); TaTestsUtils.AssertDecimalEquals(variance.GetValue(7), 0.5); TaTestsUtils.AssertDecimalEquals(variance.GetValue(8), 0.5); TaTestsUtils.AssertDecimalEquals(variance.GetValue(9), 3.5); TaTestsUtils.AssertDecimalEquals(variance.GetValue(10), 10.5); }
public void firstValueShouldBeZero() { VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4); Assert.AreEqual(var.GetValue(0), 0); }
public void varianceUsingTimeFrame4UsingClosePrice() { VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4); Assert.AreEqual(var.GetValue(0), 0M); Assert.AreEqual(var.GetValue(1), 0.25M); Assert.AreEqual(var.GetValue(2), 2.0M / 3M); Assert.AreEqual(var.GetValue(3), 1.25M); Assert.AreEqual(var.GetValue(4), 0.5M); Assert.AreEqual(var.GetValue(5), 0.25M); Assert.AreEqual(var.GetValue(6), 0.5M); Assert.AreEqual(var.GetValue(7), 0.5M); Assert.AreEqual(var.GetValue(8), 0.5M); Assert.AreEqual(var.GetValue(9), 3.5M); Assert.AreEqual(var.GetValue(10), 10.5M); }