public void GetBollingerBandsTest()
{
int lookbackPeriod = 20;
int standardDeviations = 2;
IEnumerable <BollingerBandsResult> results = Indicator.GetBollingerBands(history, lookbackPeriod, standardDeviations);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Sma != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.LowerBand != null).Count());
// sample value
BollingerBandsResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)251.8600, Math.Round((decimal)result.Sma, 4));
Assert.AreEqual((decimal)273.7004, Math.Round((decimal)result.UpperBand, 4));
Assert.AreEqual((decimal)230.0196, Math.Round((decimal)result.LowerBand, 4));
Assert.AreEqual((decimal) - 0.602552, Math.Round((decimal)result.ZScore, 6));
Assert.AreEqual((decimal)0.173433, Math.Round((decimal)result.Width, 6));
Assert.AreEqual(false, result.IsDiverging);
}
public void GetBollingerBandsTest()
{
int lookbackPeriod = 20;
int standardDeviations = 2;
IEnumerable <BollingerBandsResult> results = Indicator.GetBollingerBands(history, lookbackPeriod, standardDeviations);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Sma != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.LowerBand != null).Count());
// sample value
BollingerBandsResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(251.8600m, Math.Round((decimal)r.Sma, 4));
Assert.AreEqual(273.7004m, Math.Round((decimal)r.UpperBand, 4));
Assert.AreEqual(230.0196m, Math.Round((decimal)r.LowerBand, 4));
Assert.AreEqual(-0.602552m, Math.Round((decimal)r.ZScore, 6));
Assert.AreEqual(0.173433m, Math.Round((decimal)r.Width, 6));
}
public void Removed()
{
List <BollingerBandsResult> results =
quotes.GetBollingerBands(20, 2)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
BollingerBandsResult last = results.LastOrDefault();
Assert.AreEqual(251.8600m, Math.Round((decimal)last.Sma, 4));
Assert.AreEqual(273.7004m, Math.Round((decimal)last.UpperBand, 4));
Assert.AreEqual(230.0196m, Math.Round((decimal)last.LowerBand, 4));
Assert.AreEqual(0.349362, Math.Round((double)last.PercentB, 6));
Assert.AreEqual(-0.602552, Math.Round((double)last.ZScore, 6));
Assert.AreEqual(0.173433, Math.Round((double)last.Width, 6));
}
public void GetBollingerBands()
{
int lookbackPeriod = 20;
int standardDeviations = 2;
List <BollingerBandsResult> results =
Indicator.GetBollingerBands(history, lookbackPeriod, standardDeviations)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Sma != null).Count());
Assert.AreEqual(483, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(483, results.Where(x => x.LowerBand != null).Count());
Assert.AreEqual(483, results.Where(x => x.PercentB != null).Count());
Assert.AreEqual(483, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(483, results.Where(x => x.Width != null).Count());
// sample values
BollingerBandsResult r1 = results[501];
Assert.AreEqual(251.8600m, Math.Round((decimal)r1.Sma, 4));
Assert.AreEqual(273.7004m, Math.Round((decimal)r1.UpperBand, 4));
Assert.AreEqual(230.0196m, Math.Round((decimal)r1.LowerBand, 4));
Assert.AreEqual(0.349362m, Math.Round((decimal)r1.PercentB, 6));
Assert.AreEqual(-0.602552m, Math.Round((decimal)r1.ZScore, 6));
Assert.AreEqual(0.173433m, Math.Round((decimal)r1.Width, 6));
BollingerBandsResult r2 = results[249];
Assert.AreEqual(255.5500m, Math.Round((decimal)r2.Sma, 4));
Assert.AreEqual(259.5642m, Math.Round((decimal)r2.UpperBand, 4));
Assert.AreEqual(251.5358m, Math.Round((decimal)r2.LowerBand, 4));
Assert.AreEqual(0.803923m, Math.Round((decimal)r2.PercentB, 6));
Assert.AreEqual(1.215692m, Math.Round((decimal)r2.ZScore, 6));
Assert.AreEqual(0.031416m, Math.Round((decimal)r2.Width, 6));
}
public void Standard()
{
List <BollingerBandsResult> results =
quotes.GetBollingerBands(20, 2)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Sma != null).Count());
Assert.AreEqual(483, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(483, results.Where(x => x.LowerBand != null).Count());
Assert.AreEqual(483, results.Where(x => x.PercentB != null).Count());
Assert.AreEqual(483, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(483, results.Where(x => x.Width != null).Count());
// sample values
BollingerBandsResult r1 = results[249];
Assert.AreEqual(255.5500m, Math.Round((decimal)r1.Sma, 4));
Assert.AreEqual(259.5642m, Math.Round((decimal)r1.UpperBand, 4));
Assert.AreEqual(251.5358m, Math.Round((decimal)r1.LowerBand, 4));
Assert.AreEqual(0.803923, Math.Round((double)r1.PercentB, 6));
Assert.AreEqual(1.215692, Math.Round((double)r1.ZScore, 6));
Assert.AreEqual(0.031416, Math.Round((double)r1.Width, 6));
BollingerBandsResult r2 = results[501];
Assert.AreEqual(251.8600m, Math.Round((decimal)r2.Sma, 4));
Assert.AreEqual(273.7004m, Math.Round((decimal)r2.UpperBand, 4));
Assert.AreEqual(230.0196m, Math.Round((decimal)r2.LowerBand, 4));
Assert.AreEqual(0.349362, Math.Round((double)r2.PercentB, 6));
Assert.AreEqual(-0.602552, Math.Round((double)r2.ZScore, 6));
Assert.AreEqual(0.173433, Math.Round((double)r2.Width, 6));
}
} // Stochastic Indicator
public Metric()
{
BB = new BollingerBandsResult();
MACD = new MacdResult();
}
