/**
* @param index the actual index
* @return the relative slope
*/
private decimal CalculateSlopeRel(int index)
{
SimpleLinearRegressionIndicator slrRef = new SimpleLinearRegressionIndicator(_indicator, _timeFrame);
int firstIndex = Math.Max(0, index - _timeFrame + 1);
return((slrRef.GetValue(index).Minus(slrRef.GetValue(firstIndex)))
.DividedBy(slrRef.GetValue(index)));
}
public void CalculateLinearRegression()
{
var values = new double[] { 1, 2, 1.3, 3.75, 2.25 };
var indicator = new ClosePriceIndicator(GenerateTimeSeries.From(values));
var reg = new SimpleLinearRegressionIndicator(indicator, 5);
// SimpleRegression origReg = buildSimpleRegression(values);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(4), 2.91); //origReg.predict(4));
}
public void NotComputedLinearRegression()
{
var linearReg = new SimpleLinearRegressionIndicator(_closePrice, 0);
Assert.IsTrue(linearReg.GetValue(0).NaN);
Assert.IsTrue(linearReg.GetValue(1).NaN);
Assert.IsTrue(linearReg.GetValue(2).NaN);
linearReg = new SimpleLinearRegressionIndicator(_closePrice, 1);
Assert.IsTrue(linearReg.GetValue(0).NaN);
Assert.IsTrue(linearReg.GetValue(1).NaN);
Assert.IsTrue(linearReg.GetValue(2).NaN);
}
public void CalculateLinearRegressionWithLessThan2ObservationsReturnsNaN()
{
var reg = new SimpleLinearRegressionIndicator(_closePrice, 0);
Assert.IsTrue(reg.GetValue(0).NaN);
Assert.IsTrue(reg.GetValue(3).NaN);
Assert.IsTrue(reg.GetValue(6).NaN);
Assert.IsTrue(reg.GetValue(9).NaN);
reg = new SimpleLinearRegressionIndicator(_closePrice, 1);
Assert.IsTrue(reg.GetValue(0).NaN);
Assert.IsTrue(reg.GetValue(3).NaN);
Assert.IsTrue(reg.GetValue(6).NaN);
Assert.IsTrue(reg.GetValue(9).NaN);
}
public void CalculateLinearRegressionOn4Observations()
{
var reg = new SimpleLinearRegressionIndicator(_closePrice, 4);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(1), 20);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(2), 30);
// SimpleRegression origReg = buildSimpleRegression(10, 20, 30, 40);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(3), 40);
// TaTestsUtils.AssertDecimalEquals(reg.GetValue(3), origReg.predict(3));
// origReg = buildSimpleRegression(30, 40, 30, 40);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(5), 38); //origReg.predict(3));
// origReg = buildSimpleRegression(30, 20, 30, 50);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(9), 43); //origReg.predict(3));
}