public void ResetsProperly()
{
// ema reset is just setting the value and samples back to 0
var ema = new ExponentialMovingAverage(3);
foreach (var data in TestHelper.GetDataStream(5))
{
ema.Update(data);
}
Assert.IsTrue(ema.IsReady);
Assert.AreNotEqual(0m, ema.Current.Value);
Assert.AreNotEqual(0, ema.Samples);
ema.Reset();
TestHelper.AssertIndicatorIsInDefaultState(ema);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Second);
fast = EMA("EURUSD", 60);
slow = EMA("EURUSD", 3600);
// 3601 because rolling window waits for one to fall off the back to be considered ready
var history = History("EURUSD", 3601);
foreach (var bar in history)
{
fast.Update(bar.EndTime, bar.Close);
slow.Update(bar.EndTime, bar.Close);
}
Log(string.Format("FAST IS {0} READY. Samples: {1}", fast.IsReady ? "" : "NOT", fast.Samples));
Log(string.Format("SLOW IS {0} READY. Samples: {1}", slow.IsReady ? "" : "NOT", slow.Samples));
}
public void EMAComputesCorrectly()
{
const int period = 4;
decimal[] values = {1m, 10m, 100m, 1000m};
const decimal expFactor = 2m/(1m + period);
var ema4 = new ExponentialMovingAverage(period);
decimal current = 0m;
for (int i = 0; i < values.Length; i++)
{
ema4.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
if (i == 0)
{
current = values[i];
}
else
{
current = values[i]*expFactor + (1 - expFactor)*current;
}
Assert.AreEqual(current, ema4.Current.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="window"></param>
/// <param name="input"></param>
/// <returns></returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
decimal hfp;
decimal instPeriod;
decimal quadrature;
decimal currentInPhase;
decimal previousInPhase;
decimal deltaPhase;
decimal medianDeltaPhase;
decimal DC;
// for convenience
var time = input.Time;
if (window.IsReady)
{
_smooth.Add((window[0].Value + 2 * window[1].Value + 2 * window[2].Value + window.MostRecentlyRemoved) / 6);
if (!_cycle.IsReady)
{
// If cycle isn't ready then fill it with a FIR.
_cycle.Add((window[0].Value - 2 * window[1].Value + window[2].Value) / 4);
}
else
{
// Once is ready, calculate the cycle.
hfp = _A * (_smooth[0] - 2 * _smooth[1] + _smooth[2]) + 2 * _B * _cycle[0] - (_B * _B) * _cycle[1];
_cycle.Add(hfp);
// Quadrature calculation.
instPeriod = 0.5m + 0.08m * _instPeriod.Current.Value;
quadrature = (_quadCoeffA * _cycle[0] + _quadCoeffB * _cycle[2] -
_quadCoeffB * _cycle[4] - _quadCoeffA * _cycle.MostRecentlyRemoved) * instPeriod;
_quadrature.Add(quadrature);
currentInPhase = _cycle[3];
previousInPhase = _cycle[4];
// DeltaPhase calculation.
if (_quadrature.IsReady && (_quadrature[0] != 0 && _quadrature[1] != 0))
{
deltaPhase = (currentInPhase / _quadrature[0] - previousInPhase / _quadrature[1]) /
(1 - currentInPhase * previousInPhase / (_quadrature[0] * _quadrature[1]));
}
else
{
deltaPhase = 1;
}
if (deltaPhase < 0.1m)
{
_deltaPhase.Add(0.1m); // Minimun frequency (longest cycle) 63 bars
}
else if (deltaPhase > 1.1m)
{
_deltaPhase.Add(1.1m);
}
else
{
_deltaPhase.Add(deltaPhase);
}
if (_deltaPhase.IsReady)
{
medianDeltaPhase = Median(_deltaPhase);
}
else
{
medianDeltaPhase = 0;
}
if (medianDeltaPhase == 0)
{
DC = 15m;
}
else
{
DC = 2 * pi / medianDeltaPhase + 0.5m;
}
_instPeriod.Update(idp(time, DC));
_period.Update(idp(time, _instPeriod.Current));
}
}
return(_period.Current);
}
/// <summary>
///
/// </summary>
/// <param name="window"></param>
/// <param name="input"></param>
/// <returns></returns>
protected override decimal ComputeNextValue(IReadOnlyWindow <IndicatorDataPoint> window, IndicatorDataPoint input)
{
decimal hfp;
//decimal instPeriod;
//decimal quadrature;
//decimal currentInPhase;
//decimal previousInPhase;
//decimal deltaPhase;
//decimal medianDeltaPhase;
//decimal DC;
// for convenience
var time = input.Time;
// and assume an 8 bar Period
_Period.Add(8.0);
if (!window.IsReady)
{
_smooth.Add(window[0].Value);
}
else
{
_smooth.Add((window[0].Value + 2 * window[1].Value + 2 * window[2].Value + window.MostRecentlyRemoved) / 6);
if (!_cycle.IsReady)
{
// If cycle isn't ready then fill it with a FIR.
_cycle.Add((window[0].Value - 2 * window[1].Value + window[2].Value) / 4);
_Quadrature.Add(_cycle[0]);
_InPhase.Add(_cycle[0]);
_Q2.Add(_cycle[0]);
_I2.Add(_cycle[0]);
_re.Add(_cycle[0]);
_im.Add(_cycle[0]);
}
else
{
// Once is ready, calculate the cycle.
//hfp = _A * (_smooth[0] - 2 * _smooth[1] + _smooth[2]) + 2 * _B * _cycle[0] - (_B * _B) * _cycle[1];
_cycle.Add(Detrend(_smooth));
// Detrend and InPhase calculation.
//instPeriod = (decimal)(.075 * _Period[1] + .54);
_Quadrature.Add(Detrend(_cycle));
_InPhase.Add(_cycle[3]);
// Advance the phase of InPhase and Detrend by 90 degrees
var jI = Detrend(_InPhase);
var jQ = Detrend(_Quadrature);
// Phasor addition for 3 bar averaging
_I2.Add(_InPhase[0] - jQ);
_Q2.Add(_Quadrature[0] + jI);
// Smooth he I and Q components before applying the discriminator
_I2[0] = .2m * _I2[0] + .8m * _I2[1];
_Q2[0] = .2m * _Q2[0] + .8m * _Q2[1];
// Homodyne Discriminator
_re.Add(_I2[0] * _I2[1] + _Q2[0] * _Q2[1]);
_im.Add(_I2[0] * _Q2[1] - _Q2[1] * _I2[1]);
double re = (double)_re[0];
double im = (double)_im[0];
if (_re.Count > 1)
{
re = (double)(.2m * _re[0] + .8m * _re[1]);
im = (double)(.2m * _im[0] + .8m * _im[1]);
}
if (im != 0.0 && re != 0.0)
{
_Period[0] = 360 / Math.Atan(im / re);
}
if (_Period[0] > 1.5 * _Period[1])
{
_Period[0] = 1.5 * _Period[1];
}
if (_Period[0] < 0.67 * _Period[1])
{
_Period[0] = 0.67 * _Period[1];
}
if (_Period[0] < 6.0)
{
_Period[0] = 6.0;
}
if (_Period[0] > 50.0)
{
_Period[0] = 50.0;
}
}
_Period[0] = .2 * _Period[0] + .8 * _Period[1]; // the .2 alpha EMA of itself
}
_SmoothPeriod.Update(idp(time, (decimal)_Period[0])); // the .33 alpha EMA of the Period
return(_SmoothPeriod.Current.Value);
}
