public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = HistoryTestData.GetLong(130 + qty);
IEnumerable <PvoResult> r = Indicator.GetPvo(h);
PvoResult l = r.LastOrDefault();
Console.WriteLine("PVO on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.Pvo);
}
}
public void Pvo()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(qty);
IEnumerable <PvoResult> r = quotes.GetPvo();
PvoResult l = r.LastOrDefault();
Console.WriteLine(
"PVO on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Pvo);
}
}
public void Standard()
{
int fastPeriod = 12;
int slowPeriod = 26;
int signalPeriod = 9;
List <PvoResult> results =
history.GetPvo(fastPeriod, slowPeriod, signalPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(477, results.Where(x => x.Pvo != null).Count());
Assert.AreEqual(469, results.Where(x => x.Signal != null).Count());
Assert.AreEqual(469, results.Where(x => x.Histogram != null).Count());
// sample values
PvoResult r1 = results[24];
Assert.AreEqual(null, r1.Pvo);
Assert.AreEqual(null, r1.Signal);
Assert.AreEqual(null, r1.Histogram);
PvoResult r2 = results[33];
Assert.AreEqual(1.5795m, Math.Round((decimal)r2.Pvo, 4));
Assert.AreEqual(-3.5530m, Math.Round((decimal)r2.Signal, 4));
Assert.AreEqual(5.1325m, Math.Round((decimal)r2.Histogram, 4));
PvoResult r3 = results[149];
Assert.AreEqual(-7.1910m, Math.Round((decimal)r3.Pvo, 4));
Assert.AreEqual(-5.1159m, Math.Round((decimal)r3.Signal, 4));
Assert.AreEqual(-2.0751m, Math.Round((decimal)r3.Histogram, 4));
PvoResult r4 = results[249];
Assert.AreEqual(-6.3667m, Math.Round((decimal)r4.Pvo, 4));
Assert.AreEqual(1.7333m, Math.Round((decimal)r4.Signal, 4));
Assert.AreEqual(-8.1000m, Math.Round((decimal)r4.Histogram, 4));
PvoResult r5 = results[501];
Assert.AreEqual(10.4395m, Math.Round((decimal)r5.Pvo, 4));
Assert.AreEqual(12.2681m, Math.Round((decimal)r5.Signal, 4));
Assert.AreEqual(-1.8286m, Math.Round((decimal)r5.Histogram, 4));
}
public void Removed()
{
int fastPeriods = 12;
int slowPeriods = 26;
int signalPeriods = 9;
List <PvoResult> results =
quotes.GetPvo(fastPeriods, slowPeriods, signalPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (slowPeriods + signalPeriods + 250), results.Count);
PvoResult last = results.LastOrDefault();
Assert.AreEqual(10.4395m, Math.Round((decimal)last.Pvo, 4));
Assert.AreEqual(12.2681m, Math.Round((decimal)last.Signal, 4));
Assert.AreEqual(-1.8286m, Math.Round((decimal)last.Histogram, 4));
}
// PRICE VOLUME OSCILLATOR (PVO)
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PvoResult> GetPvo <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 12,
int slowPeriods = 26,
int signalPeriods = 9)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Volume);
// check parameter arguments
ValidatePvo(fastPeriods, slowPeriods, signalPeriods);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriods);
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriods);
int length = bdList.Count;
List <BasicD> emaDiff = new();
List <PvoResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
BasicD h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
PvoResult result = new()
{
Date = h.Date
};
if (df?.Ema != null && ds?.Ema != null)
{
double?pvo = (ds.Ema != 0) ?
100 * (double)((df.Ema - ds.Ema) / ds.Ema) : null;
result.Pvo = (decimal?)pvo;
// temp data for interim EMA of PVO
BasicD diff = new()
{
Date = h.Date,
Value = (double)pvo
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriods);
for (int d = slowPeriods - 1; d < length; d++)
{
PvoResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriods];
r.Signal = ds.Ema;
r.Histogram = r.Pvo - r.Signal;
}
return(results);
}