public void bollingerBandsLowerUsingSMAAndStandardDeviation()
{
BollingerBandsMiddleIndicator bbmSMA = new BollingerBandsMiddleIndicator(sma);
StandardDeviationIndicator standardDeviation = new StandardDeviationIndicator(closePrice, timeFrame);
BollingerBandsLowerIndicator bblSMA = new BollingerBandsLowerIndicator(bbmSMA, standardDeviation);
Assert.AreEqual(bblSMA.getK(), 2);
Assert.AreEqual(bblSMA.GetValue(0), 1);
Assert.AreEqual(bblSMA.GetValue(1), 0.5M);
Assert.AreEqual(bblSMA.GetValue(2), 0.3670068381445479345351439502M);
Assert.AreEqual(bblSMA.GetValue(3), 1.3670068381445479345351439502M);
Assert.AreEqual(bblSMA.GetValue(4), 2.3905242917512699674655408505M);
Assert.AreEqual(bblSMA.GetValue(5), 2.7238576250846033007988741839M);
Assert.AreEqual(bblSMA.GetValue(6), 2.3670068381445479345351439502M);
BollingerBandsLowerIndicator bblSMAwithK = new BollingerBandsLowerIndicator(bbmSMA, standardDeviation, 1.5M);
Assert.AreEqual(bblSMAwithK.getK(), 1.5M);
Assert.AreEqual(bblSMAwithK.GetValue(0), 1);
Assert.AreEqual(bblSMAwithK.GetValue(1), 0.75M);
Assert.AreEqual(bblSMAwithK.GetValue(2), 0.7752551286084109509013579626M);
Assert.AreEqual(bblSMAwithK.GetValue(3), 1.7752551286084109509013579626M);
Assert.AreEqual(bblSMAwithK.GetValue(4), 2.6262265521467858089324889712M);
Assert.AreEqual(bblSMAwithK.GetValue(5), 2.9595598854801191422658223046M);
Assert.AreEqual(bblSMAwithK.GetValue(6), 2.7752551286084109509013579626M);
}
public void StandardDeviationShouldBeZeroWhenTimeFrameIs1()
{
var sdv = new StandardDeviationIndicator(new ClosePriceIndicator(_data), 1);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(3), 0);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(8), 0);
}
public void BollingerBandsUpperUsingSmaAndStandardDeviation()
{
var bbmSma = new BollingerBandsMiddleIndicator(_sma);
var standardDeviation = new StandardDeviationIndicator(_closePrice, _timeFrame);
var bbuSma = new BollingerBandsUpperIndicator(bbmSma, standardDeviation);
TaTestsUtils.AssertDecimalEquals(bbuSma.K, 2);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(1), 2.5);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(2), 3.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(3), 4.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(4), 4.2761);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(5), 4.6094);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(6), 5.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(7), 5.2761);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(8), 5.633);
TaTestsUtils.AssertDecimalEquals(bbuSma.GetValue(9), 4.2761);
var bbuSmAwithK = new BollingerBandsUpperIndicator(bbmSma, standardDeviation, Decimal.ValueOf("1.5"));
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.K, 1.5);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(1), 2.25);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(2), 3.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(3), 4.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(4), 4.0404);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(5), 4.3737);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(6), 5.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(7), 5.0404);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(8), 5.2247);
TaTestsUtils.AssertDecimalEquals(bbuSmAwithK.GetValue(9), 4.0404);
}
public void standardDeviationShouldBeZeroWhenTimeFrameIs1()
{
StandardDeviationIndicator sdv = new StandardDeviationIndicator(new ClosePriceIndicator(data), 1);
Assert.AreEqual(sdv.GetValue(3), 0);
Assert.AreEqual(sdv.GetValue(8), 0);
}
public void BollingerBandsUpperUsingSMAAndStandardDeviation()
{
BollingerBandsMiddleIndicator bbmSMA = new BollingerBandsMiddleIndicator(sma);
StandardDeviationIndicator standardDeviation = new StandardDeviationIndicator(closePrice, timeFrame);
BollingerBandsUpperIndicator bbuSMA = new BollingerBandsUpperIndicator(bbmSMA, standardDeviation);
Assert.AreEqual(bbuSMA.getK(), 2);
Assert.AreEqual(bbuSMA.GetValue(0), 1);
Assert.AreEqual(bbuSMA.GetValue(1), 2.5M);
Assert.AreEqual(bbuSMA.GetValue(2), 3.6329931618554520654648560498M);
Assert.AreEqual(bbuSMA.GetValue(3), 4.6329931618554520654648560498M);
Assert.AreEqual(bbuSMA.GetValue(4), 4.2761423749153966992011258161M);
Assert.AreEqual(bbuSMA.GetValue(5), 4.6094757082487300325344591495M);
Assert.AreEqual(bbuSMA.GetValue(6), 5.6329931618554520654648560498M);
Assert.AreEqual(bbuSMA.GetValue(7), 5.2761423749153966992011258161M);
Assert.AreEqual(bbuSMA.GetValue(8), 5.6329931618554520654648560498M);
Assert.AreEqual(bbuSMA.GetValue(9), 4.2761423749153966992011258161M);
BollingerBandsUpperIndicator bbuSMAwithK = new BollingerBandsUpperIndicator(bbmSMA, standardDeviation, 1.5M);
Assert.AreEqual(bbuSMAwithK.getK(), 1.5M);
Assert.AreEqual(bbuSMAwithK.GetValue(0), 1);
Assert.AreEqual(bbuSMAwithK.GetValue(1), 2.25M);
Assert.AreEqual(bbuSMAwithK.GetValue(2), 3.2247448713915890490986420374M);
Assert.AreEqual(bbuSMAwithK.GetValue(3), 4.2247448713915890490986420374M);
Assert.AreEqual(bbuSMAwithK.GetValue(4), 4.0404401145198808577341776954M);
Assert.AreEqual(bbuSMAwithK.GetValue(5), 4.3737734478532141910675110288M);
Assert.AreEqual(bbuSMAwithK.GetValue(6), 5.2247448713915890490986420374M);
Assert.AreEqual(bbuSMAwithK.GetValue(7), 5.0404401145198808577341776954M);
Assert.AreEqual(bbuSMAwithK.GetValue(8), 5.2247448713915890490986420374M);
Assert.AreEqual(bbuSMAwithK.GetValue(9), 4.0404401145198808577341776954M);
}
public void BollingerBandsLowerUsingSmaAndStandardDeviation()
{
var bbmSma = new BollingerBandsMiddleIndicator(_sma);
var standardDeviation = new StandardDeviationIndicator(_closePrice, _timeFrame);
var bblSma = new BollingerBandsLowerIndicator(bbmSma, standardDeviation);
TaTestsUtils.AssertDecimalEquals(bblSma.K, 2);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(1), 0.5);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(2), 0.367);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(3), 1.367);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(4), 2.3905);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(5), 2.7239);
TaTestsUtils.AssertDecimalEquals(bblSma.GetValue(6), 2.367);
var bblSmAwithK = new BollingerBandsLowerIndicator(bbmSma, standardDeviation, Decimal.ValueOf("1.5"));
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.K, 1.5);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(1), 0.75);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(2), 0.7752);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(3), 1.7752);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(4), 2.6262);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(5), 2.9595);
TaTestsUtils.AssertDecimalEquals(bblSmAwithK.GetValue(6), 2.7752);
}
public void BollingerBandWidthUsingSMAAndStandardDeviation()
{
SMAIndicator sma = new SMAIndicator(closePrice, 5);
StandardDeviationIndicator standardDeviation = new StandardDeviationIndicator(closePrice, 5);
BollingerBandsMiddleIndicator bbmSMA = new BollingerBandsMiddleIndicator(sma);
BollingerBandsUpperIndicator bbuSMA = new BollingerBandsUpperIndicator(bbmSMA, standardDeviation);
BollingerBandsLowerIndicator bblSMA = new BollingerBandsLowerIndicator(bbmSMA, standardDeviation);
BollingerBandWidthIndicator bandwidth = new BollingerBandWidthIndicator(bbuSMA, bbmSMA, bblSMA);
Assert.AreEqual(bandwidth.GetValue(0), 0.0M);
Assert.AreEqual(bandwidth.GetValue(1), 36.363636363636363636363636360M);
Assert.AreEqual(bandwidth.GetValue(2), 66.642313545610556218920998730M);
Assert.AreEqual(bandwidth.GetValue(3), 60.244280375440064123683819780M);
Assert.AreEqual(bandwidth.GetValue(4), 71.076741021144541578134348630M);
Assert.AreEqual(bandwidth.GetValue(5), 69.939393317876184065428705400M);
Assert.AreEqual(bandwidth.GetValue(6), 62.704283664302785713832632430M);
Assert.AreEqual(bandwidth.GetValue(7), 56.017820550978806498453596730M);
Assert.AreEqual(bandwidth.GetValue(8), 27.682979522960278118630842150M);
Assert.AreEqual(bandwidth.GetValue(9), 12.649110640673517327995574180M);
Assert.AreEqual(bandwidth.GetValue(10), 12.649110640673517327995574180M);
Assert.AreEqual(bandwidth.GetValue(11), 24.295632895188751961975636990M);
Assert.AreEqual(bandwidth.GetValue(12), 68.333165356240492140358775280M);
Assert.AreEqual(bandwidth.GetValue(13), 85.14693182963200583066660912M);
Assert.AreEqual(bandwidth.GetValue(14), 112.84810090360856581393406310M);
Assert.AreEqual(bandwidth.GetValue(15), 108.16818718178015127023901017M);
Assert.AreEqual(bandwidth.GetValue(16), 66.932802122726043838253762060M);
Assert.AreEqual(bandwidth.GetValue(17), 56.519416526043901158871302720M);
Assert.AreEqual(bandwidth.GetValue(18), 28.109134757052260728879053730M);
Assert.AreEqual(bandwidth.GetValue(19), 32.536151189338620744206510720M);
}
public void BollingerBandWidthUsingSmaAndStandardDeviation()
{
var sma = new SmaIndicator(_closePrice, 5);
var standardDeviation = new StandardDeviationIndicator(_closePrice, 5);
var bbmSma = new BollingerBandsMiddleIndicator(sma);
var bbuSma = new BollingerBandsUpperIndicator(bbmSma, standardDeviation);
var bblSma = new BollingerBandsLowerIndicator(bbmSma, standardDeviation);
var bandwidth = new BollingerBandWidthIndicator(bbuSma, bbmSma, bblSma);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(0), 0.0);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(1), 36.3636);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(2), 66.6423);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(3), 60.2443);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(4), 71.0767);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(5), 69.9394);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(6), 62.7043);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(7), 56.0178);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(8), 27.683);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(9), 12.6491);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(10), 12.6491);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(11), 24.2956);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(12), 68.3332);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(13), 85.1469);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(14), 112.8481);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(15), 108.1682);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(16), 66.9328);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(17), 56.5194);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(18), 28.1091);
TaTestsUtils.AssertDecimalEquals(bandwidth.GetValue(19), 32.5362);
}
/// <summary>
/// Constructor. </summary>
/// <param name="indicator"> an indicator (usually close price) </param>
/// <param name="timeFrame"> the time frame </param>
/// <param name="k"> the K multiplier (usually 2.0) </param>
public PercentBIndicator(IIndicator <Decimal> indicator, int timeFrame, Decimal k) : base(indicator)
{
_indicator = indicator;
_bbm = new BollingerBandsMiddleIndicator(new SmaIndicator(indicator, timeFrame));
var sd = new StandardDeviationIndicator(indicator, timeFrame);
_bbu = new BollingerBandsUpperIndicator(_bbm, sd, k);
_bbl = new BollingerBandsLowerIndicator(_bbm, sd, k);
}
public void StandardDeviationUsingTimeFrame4UsingClosePrice()
{
var sdv = new StandardDeviationIndicator(new ClosePriceIndicator(_data), 4);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(1), Math.Sqrt(0.25));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(2), Math.Sqrt(2.0 / 3));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(3), Math.Sqrt(1.25));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(4), Math.Sqrt(0.5));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(5), Math.Sqrt(0.25));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(6), Math.Sqrt(0.5));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(7), Math.Sqrt(0.5));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(8), Math.Sqrt(0.5));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(9), Math.Sqrt(3.5));
TaTestsUtils.AssertDecimalEquals(sdv.GetValue(10), Math.Sqrt(10.5));
}
public void standardDeviationUsingTimeFrame4UsingClosePrice()
{
StandardDeviationIndicator sdv = new StandardDeviationIndicator(new ClosePriceIndicator(data), 4);
Assert.AreEqual(sdv.GetValue(0), 0M);
Assert.AreEqual(sdv.GetValue(1), 0.5M); // Math.Sqrt(0.25));
Assert.AreEqual(sdv.GetValue(2), 0.8164965809277260327324280249M); // Math.Sqrt(2.0 / 3));
Assert.AreEqual(sdv.GetValue(3), 1.1180339887498948482045868344M); // Math.Sqrt(1.25));
Assert.AreEqual(sdv.GetValue(4), 0.7071067811865475244008443621M); // Math.Sqrt(0.5));
Assert.AreEqual(sdv.GetValue(5), 0.5M); // Math.Sqrt(0.25));
Assert.AreEqual(sdv.GetValue(6), 0.7071067811865475244008443621M); // Math.Sqrt(0.5));
Assert.AreEqual(sdv.GetValue(7), 0.7071067811865475244008443621M); // Math.Sqrt(0.5));
Assert.AreEqual(sdv.GetValue(8), 0.7071067811865475244008443621M); // Math.Sqrt(0.5));
Assert.AreEqual(sdv.GetValue(9), 1.8708286933869706927918743662M); // Math.Sqrt(3.5));
Assert.AreEqual(sdv.GetValue(10), 3.2403703492039301154829837180M); // Math.Sqrt(10.5));
}
public static void Main(string[] args)
{
/// <summary>
/// Getting time series
/// </summary>
TimeSeries series = CsvTradesLoader.loadBitstampSeries();
/// <summary>
/// Creating indicators
/// </summary>
// Close price
ClosePriceIndicator closePrice = new ClosePriceIndicator(series);
// Typical price
TypicalPriceIndicator typicalPrice = new TypicalPriceIndicator(series);
// Price variation
PriceVariationIndicator priceVariation = new PriceVariationIndicator(series);
// Simple moving averages
SMAIndicator shortSma = new SMAIndicator(closePrice, 8);
SMAIndicator longSma = new SMAIndicator(closePrice, 20);
// Exponential moving averages
EMAIndicator shortEma = new EMAIndicator(closePrice, 8);
EMAIndicator longEma = new EMAIndicator(closePrice, 20);
// Percentage price oscillator
PPOIndicator ppo = new PPOIndicator(closePrice, 12, 26);
// Rate of change
ROCIndicator roc = new ROCIndicator(closePrice, 100);
// Relative strength index
RSIIndicator rsi = new RSIIndicator(closePrice, 14);
// Williams %R
WilliamsRIndicator williamsR = new WilliamsRIndicator(series, 20);
// Average true range
AverageTrueRangeIndicator atr = new AverageTrueRangeIndicator(series, 20);
// Standard deviation
StandardDeviationIndicator sd = new StandardDeviationIndicator(closePrice, 14);
/// <summary>
/// Building header
/// </summary>
StringBuilder sb = new StringBuilder("timestamp,close,typical,variation,sma8,sma20,ema8,ema20,ppo,roc,rsi,williamsr,atr,sd\n");
/// <summary>
/// Adding indicators values
/// </summary>
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nbTicks = series.getTickCount();
int nbTicks = series.TickCount;
for (int i = 0; i < nbTicks; i++)
{
sb.Append(series.getTick(i).EndTime.Millis / 1000d).Append(',').Append(closePrice.getValue(i)).Append(',').Append(typicalPrice.getValue(i)).Append(',').Append(priceVariation.getValue(i)).Append(',').Append(shortSma.getValue(i)).Append(',').Append(longSma.getValue(i)).Append(',').Append(shortEma.getValue(i)).Append(',').Append(longEma.getValue(i)).Append(',').Append(ppo.getValue(i)).Append(',').Append(roc.getValue(i)).Append(',').Append(rsi.getValue(i)).Append(',').Append(williamsR.getValue(i)).Append(',').Append(atr.getValue(i)).Append(',').Append(sd.getValue(i)).Append('\n');
}
/// <summary>
/// Writing CSV file
/// </summary>
System.IO.StreamWriter writer = null;
try
{
writer = new System.IO.StreamWriter("indicators.csv");
writer.Write(sb.ToString());
} catch (IOException ioe)
{
//JAVA TO C# CONVERTER WARNING: The .NET Type.FullName property will not always yield results identical to the Java Class.getName method:
Logger.getLogger(typeof(IndicatorsToCsv).FullName).log(Level.SEVERE, "Unable to write CSV file", ioe);
} finally
{
try
{
if (writer != null)
{
writer.Close();
}
} catch (IOException)
{
}
}
}
