public void Removed()
{
List <RocWbResult> results = quotes.GetRocWb(20, 3, 20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (20 + 3 + 100), results.Count);
RocWbResult last = results.LastOrDefault();
Assert.AreEqual(-8.2482, Math.Round(last.Roc.Value, 4));
Assert.AreEqual(-8.3390, Math.Round(last.RocEma.Value, 4));
Assert.AreEqual(6.1294, Math.Round(last.UpperBand.Value, 4));
Assert.AreEqual(-6.1294, Math.Round(last.LowerBand.Value, 4));
}
public void Standard()
{
List <RocWbResult> results = quotes.GetRocWb(20, 3, 20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.Roc != null).Count());
Assert.AreEqual(480, results.Where(x => x.RocEma != null).Count());
Assert.AreEqual(463, results.Where(x => x.UpperBand != null).Count());
Assert.AreEqual(463, results.Where(x => x.LowerBand != null).Count());
// sample values
RocWbResult r19 = results[19];
Assert.IsNull(r19.Roc);
Assert.IsNull(r19.RocEma);
Assert.IsNull(r19.UpperBand);
Assert.IsNull(r19.LowerBand);
RocWbResult r20 = results[20];
Assert.AreEqual(1.0573, Math.Round(r20.Roc.Value, 4));
Assert.IsNull(r20.RocEma);
Assert.IsNull(r20.UpperBand);
Assert.IsNull(r20.LowerBand);
RocWbResult r22 = results[22];
Assert.AreEqual(0.9617, Math.Round(r22.RocEma.Value, 4));
Assert.IsNull(r22.UpperBand);
Assert.IsNull(r22.LowerBand);
RocWbResult r23 = results[23];
Assert.AreEqual(0.8582, Math.Round(r23.RocEma.Value, 4));
Assert.IsNull(r23.UpperBand);
Assert.IsNull(r23.LowerBand);
RocWbResult r38 = results[38];
Assert.AreEqual(3.6872, Math.Round(r38.RocEma.Value, 4));
Assert.IsNull(r38.UpperBand);
Assert.IsNull(r38.LowerBand);
RocWbResult r39 = results[39];
Assert.AreEqual(4.5348, Math.Round(r39.RocEma.Value, 4));
Assert.AreEqual(3.0359, Math.Round(r39.UpperBand.Value, 4));
Assert.AreEqual(-3.0359, Math.Round(r39.LowerBand.Value, 4));
RocWbResult r49 = results[49];
Assert.AreEqual(2.3147, Math.Round(r49.RocEma.Value, 4));
Assert.AreEqual(3.6761, Math.Round(r49.UpperBand.Value, 4));
RocWbResult r149 = results[149];
Assert.AreEqual(1.7377, Math.Round(r149.UpperBand.Value, 4));
RocWbResult r249 = results[249];
Assert.AreEqual(3.0683, Math.Round(r249.UpperBand.Value, 4));
RocWbResult r501 = results[501];
Assert.AreEqual(-8.2482, Math.Round(r501.Roc.Value, 4));
Assert.AreEqual(-8.3390, Math.Round(r501.RocEma.Value, 4));
Assert.AreEqual(6.1294, Math.Round(r501.UpperBand.Value, 4));
Assert.AreEqual(-6.1294, Math.Round(r501.LowerBand.Value, 4));
}
// RATE OF CHANGE (ROC) WITH BANDS
/// <include file='./info.xml' path='indicator/type[@name="WithBands"]/*' />
///
public static IEnumerable <RocWbResult> GetRocWb <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods,
int emaPeriods,
int stdDevPeriods)
where TQuote : IQuote
{
// check parameter arguments
ValidateRocWb(lookbackPeriods, emaPeriods, stdDevPeriods);
// initialize
List <RocWbResult> results = GetRoc(quotes, lookbackPeriods)
.Select(x => new RocWbResult
{
Date = x.Date,
Roc = x.Roc
})
.ToList();
double k = 2d / (emaPeriods + 1);
double?lastEma = 0;
int length = results.Count;
if (length > lookbackPeriods)
{
int initPeriods = Math.Min(lookbackPeriods + emaPeriods, length);
for (int i = lookbackPeriods; i < initPeriods; i++)
{
lastEma += results[i].Roc;
}
lastEma /= emaPeriods;
}
double?[] rocSq = results
.Select(x => x.Roc * x.Roc)
.ToArray();
// roll through quotes
for (int i = lookbackPeriods; i < length; i++)
{
RocWbResult r = results[i];
int index = i + 1;
// exponential moving average
if (index > lookbackPeriods + emaPeriods)
{
r.RocEma = lastEma + (k * (r.Roc - lastEma));
lastEma = r.RocEma;
}
else if (index == lookbackPeriods + emaPeriods)
{
r.RocEma = lastEma;
}
// ROC deviation
if (index >= lookbackPeriods + stdDevPeriods)
{
double?sumSq = 0;
for (int p = i - stdDevPeriods + 1; p <= i; p++)
{
sumSq += rocSq[p];
}
if (sumSq is not null)
{
double?rocDev = Math.Sqrt((double)sumSq / stdDevPeriods);
r.UpperBand = rocDev;
r.LowerBand = -rocDev;
}
}
}
return(results);
}