public void ATR()
{
ATR atr = new ATR();
atr.Load(Directory.GetCurrentDirectory() + "\\table.csv");
ATRSerie serie = atr.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.ATR.Count > 0);
Assert.IsTrue(serie.TrueHigh.Count > 0);
Assert.IsTrue(serie.TrueLow.Count > 0);
Assert.IsTrue(serie.TrueRange.Count > 0);
}
public void ATR()
{
ATR atr = new ATR();
atr.Load(OhlcList);
ATRSerie serie = atr.Calculate();
Assert.IsNotNull(serie);
Assert.IsTrue(serie.ATR.Count > 0);
Assert.IsTrue(serie.TrueHigh.Count > 0);
Assert.IsTrue(serie.TrueLow.Count > 0);
Assert.IsTrue(serie.TrueRange.Count > 0);
}
public double[] CalculateATR(IEnumerable <Quote> quotes, int period)
{
var listOhlc = quotes.Select(
x => new Ohlc
{
Date = x.Date,
Close = x.Close,
AdjClose = x.Close,
High = x.High,
Low = x.Low,
Open = x.Open,
Volume = x.Volume
}).ToList();
var atr = new ATR(period);
atr.Load(listOhlc);
var result = atr.Calculate();
return(result.ATR.Select(x => x.GetValueOrDefault()).ToArray());
}
public override ADXSerie Calculate()
{
ADXSerie adxSerie = new ADXSerie();
List <Ohlc> tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].High
};
tempOhlcList.Add(tempOhlc);
}
Momentum momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> highMomentums = momentum.Calculate().Values;
tempOhlcList = new List <Ohlc>();
for (int i = 0; i < OhlcList.Count; i++)
{
Ohlc tempOhlc = new Ohlc()
{
Close = OhlcList[i].Low
};
tempOhlcList.Add(tempOhlc);
}
momentum = new Momentum();
momentum.Load(tempOhlcList);
List <double?> lowMomentums = momentum.Calculate().Values;
for (int i = 0; i < lowMomentums.Count; i++)
{
if (lowMomentums[i].HasValue)
{
lowMomentums[i] *= -1;
}
}
//DMIp <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH >dL, dH, 0 ) )
List <double?> DMIPositives = new List <double?>()
{
null
};
// DMIn <- ifelse( dH==dL | (dH< 0 & dL< 0), 0, ifelse( dH <dL, dL, 0 ) )
List <double?> DMINegatives = new List <double?>()
{
null
};
for (int i = 1; i < OhlcList.Count; i++)
{
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMIPositives.Add(0);
}
else
{
if (highMomentums[i] > lowMomentums[i])
{
DMIPositives.Add(highMomentums[i]);
}
else
{
DMIPositives.Add(0);
}
}
if (highMomentums[i] == lowMomentums[i] || (highMomentums[i] < 0 & lowMomentums[i] < 0))
{
DMINegatives.Add(0);
}
else
{
if (highMomentums[i] < lowMomentums[i])
{
DMINegatives.Add(lowMomentums[i]);
}
else
{
DMINegatives.Add(0);
}
}
}
ATR atr = new ATR();
atr.Load(OhlcList);
List <double?> trueRanges = atr.Calculate().TrueRange;
adxSerie.TrueRange = trueRanges;
List <double?> trSum = wilderSum(trueRanges);
// DIp <- 100 * wilderSum(DMIp, n=n) / TRsum
List <double?> DIPositives = new List <double?>();
List <double?> wilderSumOfDMIp = wilderSum(DMIPositives);
for (int i = 0; i < wilderSumOfDMIp.Count; i++)
{
if (wilderSumOfDMIp[i].HasValue)
{
DIPositives.Add(wilderSumOfDMIp[i].Value * 100 / trSum[i].Value);
}
else
{
DIPositives.Add(null);
}
}
adxSerie.DIPositive = DIPositives;
// DIn <- 100 * wilderSum(DMIn, n=n) / TRsum
List <double?> DINegatives = new List <double?>();
List <double?> wilderSumOfDMIn = wilderSum(DMINegatives);
for (int i = 0; i < wilderSumOfDMIn.Count; i++)
{
if (wilderSumOfDMIn[i].HasValue)
{
DINegatives.Add(wilderSumOfDMIn[i].Value * 100 / trSum[i].Value);
}
else
{
DINegatives.Add(null);
}
}
adxSerie.DINegative = DINegatives;
// DX <- 100 * ( abs(DIp - DIn) / (DIp + DIn) )
List <double?> DX = new List <double?>();
for (int i = 0; i < OhlcList.Count; i++)
{
if (DIPositives[i].HasValue)
{
double?dx = 100 * (Math.Abs(DIPositives[i].Value - DINegatives[i].Value) / (DIPositives[i].Value + DINegatives[i].Value));
DX.Add(dx);
}
else
{
DX.Add(null);
}
}
adxSerie.DX = DX;
for (int i = 0; i < OhlcList.Count; i++)
{
if (DX[i].HasValue)
{
OhlcList[i].Close = DX[i].Value;
}
else
{
OhlcList[i].Close = 0.0;
}
}
EMA ema = new EMA(Period, true);
ema.Load(OhlcList.Skip(Period).ToList());
List <double?> emaValues = ema.Calculate().Values;
for (int i = 0; i < Period; i++)
{
emaValues.Insert(0, null);
}
adxSerie.ADX = emaValues;
return(adxSerie);
}
public void ATR()
{
ATR atr = new ATR();
List <Ohlc> ohlcList = new List <Ohlc>
{
new Ohlc {
High = 48.70, Low = 47.79, Close = 48.16
},
new Ohlc {
High = 48.72, Low = 48.14, Close = 48.61
},
new Ohlc {
High = 48.90, Low = 48.39, Close = 48.75
},
new Ohlc {
High = 48.87, Low = 48.37, Close = 48.63
},
new Ohlc {
High = 48.82, Low = 48.24, Close = 48.74
},
new Ohlc {
High = 49.05, Low = 48.64, Close = 49.03
},
new Ohlc {
High = 49.20, Low = 48.94, Close = 49.07
},
new Ohlc {
High = 49.35, Low = 48.86, Close = 49.32
},
new Ohlc {
High = 49.92, Low = 49.50, Close = 49.91
},
new Ohlc {
High = 50.19, Low = 49.87, Close = 50.13
},
new Ohlc {
High = 50.12, Low = 49.20, Close = 49.53
},
new Ohlc {
High = 49.66, Low = 48.90, Close = 49.50
},
new Ohlc {
High = 49.88, Low = 49.43, Close = 49.75
},
new Ohlc {
High = 50.19, Low = 49.73, Close = 50.03
},
new Ohlc {
High = 50.36, Low = 49.26, Close = 50.31
},
new Ohlc {
High = 50.57, Low = 50.09, Close = 50.52
},
new Ohlc {
High = 50.65, Low = 50.30, Close = 50.41
},
new Ohlc {
High = 50.43, Low = 49.21, Close = 49.34
},
new Ohlc {
High = 49.63, Low = 48.98, Close = 49.37
},
new Ohlc {
High = 50.33, Low = 49.61, Close = 50.23
}
};
atr.Load(ohlcList);
ATRSerie serie = atr.Calculate();
Assert.NotNull(serie);
Assert.True(serie.ATR.Count > 0);
Assert.True(serie.TrueRange.Count > 0);
Assert.True(Math.Round(serie.TrueRange[13].Value, 2) == 0.46);
Assert.True(Math.Round(serie.TrueRange[14].Value, 2) == 1.10);
Assert.True(Math.Round(serie.TrueRange[15].Value, 2) == 0.48);
Assert.True(Math.Round(serie.TrueRange[16].Value, 2) == 0.35);
Assert.True(Math.Round(serie.TrueRange[17].Value, 2) == 1.22);
Assert.True(Math.Round(serie.TrueRange[18].Value, 2) == 0.65);
Assert.True(Math.Round(serie.TrueRange[19].Value, 2) == 0.96);
Assert.True(Math.Round(serie.ATR[13].Value, 2) == 0.55);
Assert.True(Math.Round(serie.ATR[14].Value, 2) == 0.59);
Assert.True(Math.Round(serie.ATR[15].Value, 2) == 0.59);
Assert.True(Math.Round(serie.ATR[16].Value, 2) == 0.57);
Assert.True(Math.Round(serie.ATR[17].Value, 2) == 0.61);
Assert.True(Math.Round(serie.ATR[18].Value, 2) == 0.62);
Assert.True(Math.Round(serie.ATR[19].Value, 2) == 0.64);
}
