public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = HistoryTestData.GetLong(110 + qty);
IEnumerable <ChaikinOscResult> r = Indicator.GetChaikinOsc(h);
ChaikinOscResult l = r.LastOrDefault();
Console.WriteLine("CHAIKIN OSC on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.Oscillator);
}
}
public void ChaikinOsc()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(qty);
IEnumerable <ChaikinOscResult> r = quotes.GetChaikinOsc();
ChaikinOscResult l = r.LastOrDefault();
Console.WriteLine(
"CHAIKIN OSC on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Oscillator);
}
}
public void Removed()
{
int fastPeriods = 3;
int slowPeriods = 10;
List <ChaikinOscResult> results = quotes.GetChaikinOsc(fastPeriods, slowPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (slowPeriods + 100), results.Count);
ChaikinOscResult last = results.LastOrDefault();
Assert.AreEqual(3439986548.42, Math.Round(last.Adl, 2));
Assert.AreEqual(0.8052, Math.Round(last.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25, Math.Round(last.MoneyFlowVolume, 2));
Assert.AreEqual(-19135200.72, Math.Round((double)last.Oscillator, 2));
}
// CHAIKIN OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <ChaikinOscResult> GetChaikinOsc <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 3,
int slowPeriods = 10)
where TQuote : IQuote
{
// check parameter arguments
ValidateChaikinOsc(fastPeriods, slowPeriods);
// money flow
List <ChaikinOscResult> results = GetAdl(quotes)
.Select(r => new ChaikinOscResult
{
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume,
Adl = r.Adl
})
.ToList();
// EMA of ADL
List <BasicD> bdAdl = results
.Select(x => new BasicD {
Date = x.Date, Value = x.Adl
})
.ToList();
List <EmaResult> adlEmaSlow = CalcEma(bdAdl, slowPeriods);
List <EmaResult> adlEmaFast = CalcEma(bdAdl, fastPeriods);
// add Oscillator
for (int i = slowPeriods - 1; i < results.Count; i++)
{
ChaikinOscResult r = results[i];
EmaResult f = adlEmaFast[i];
EmaResult s = adlEmaSlow[i];
r.Oscillator = (double)(f.Ema - s.Ema);
}
return(results);
}
public void GetChaikinOsc()
{
int fastPeriod = 3;
int slowPeriod = 10;
List <ChaikinOscResult> results = Indicator.GetChaikinOsc(history, fastPeriod, slowPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502 - slowPeriod + 1, results.Where(x => x.Oscillator != null).Count());
// sample value
ChaikinOscResult r = results[501];
Assert.AreEqual(3439986548.42m, Math.Round(r.Adl, 2));
Assert.AreEqual(0.8052m, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25m, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual(-19135200.72m, Math.Round((decimal)r.Oscillator, 2));
}
public void GetChaikinOscTest()
{
int fastPeriod = 3;
int slowPeriod = 10;
IEnumerable <ChaikinOscResult> results = Indicator.GetChaikinOsc(history, fastPeriod, slowPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - slowPeriod + 1, results.Where(x => x.Oscillator != null).Count());
// sample value
ChaikinOscResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)3439986548.42, Math.Round(r.Adl, 2));
Assert.AreEqual((decimal)0.8052, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual((decimal)118396116.25, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual((decimal) - 19135200.72, Math.Round((decimal)r.Oscillator, 2));
}
public void Standard()
{
int fastPeriods = 3;
int slowPeriods = 10;
List <ChaikinOscResult> results = quotes.GetChaikinOsc(fastPeriods, slowPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502 - slowPeriods + 1, results.Where(x => x.Oscillator != null).Count());
// sample value
ChaikinOscResult r = results[501];
Assert.AreEqual(3439986548.42, Math.Round(r.Adl, 2));
Assert.AreEqual(0.8052, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual(-19135200.72, Math.Round((double)r.Oscillator, 2));
}
