public void setUp()
{
Random r = new Random();
List <IBar> bars = new List <IBar>();
for (int i = 0; i < 1000; i++)
{
double open = r.NextDouble();
double close = r.NextDouble();
double max = Math.Max(close + r.NextDouble(), open + r.NextDouble());
double min = Math.Min(0, Math.Min(close - r.NextDouble(), open - r.NextDouble()));
DateTime dateTime = DateTime.Now;
IBar bar = new BaseBar(dateTime, (decimal)open, (decimal)close, (decimal)max, (decimal)min, i);
bars.Add(bar);
}
this.series = new BaseTimeSeries("test", bars);
this.openPriceIndicator = new OpenPriceIndicator(this.series);
this.minPriceIndicator = new MinPriceIndicator(this.series);
this.maxPriceIndicator = new MaxPriceIndicator(this.series);
this.volumeIndicator = new VolumeIndicator(this.series);
ClosePriceIndicator closePriceIndicator = new ClosePriceIndicator(this.series);
this.emaIndicator = new EMAIndicator(closePriceIndicator, 20);
}
/// <param name="series">a time series </param>
/// <returns> a moving momentum strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new System.ArgumentException("Series cannot be null");
}
var closePrice = new ClosePriceIndicator(series);
// The bias is bullish when the shorter-moving average moves above the longer moving average.
// The bias is bearish when the shorter-moving average moves below the longer moving average.
var shortEma = new EMAIndicator(closePrice, 9);
var longEma = new EMAIndicator(closePrice, 26);
var stochasticOscillK = new StochasticOscillatorKIndicator(series, 14);
var macd = new MACDIndicator(closePrice, 9, 26);
var emaMacd = new EMAIndicator(macd, 18);
// Entry rule
var entryRule = (new OverIndicatorRule(shortEma, longEma)).And(new CrossedDownIndicatorRule(stochasticOscillK, Decimal.ValueOf(20))).And(new OverIndicatorRule(macd, emaMacd)); // Signal 2 - Signal 1 - Trend
// Exit rule
var exitRule = (new UnderIndicatorRule(shortEma, longEma)).And(new CrossedUpIndicatorRule(stochasticOscillK, Decimal.ValueOf(80))).And(new UnderIndicatorRule(macd, emaMacd)); // Signal 2 - Signal 1 - Trend
return(new Strategy(entryRule, exitRule));
}
public Analyzer(IMarket market)
{
_market = market;
var periods = new[] { 5, 10, 20, 30, 50, 80, 100 };
emas = new EMAIndicator[periods.Length];
for (int i = 0; i < emas.Length; i++)
{
emas[i] = new EMAIndicator((uint)periods[i]);
}
}
public void TestEmaData()
{
var data = GetEmaData1().Split(new[] { Environment.NewLine }, StringSplitOptions.RemoveEmptyEntries);
var ema = new EMAIndicator(10);
int i = 0;
for (; i < 9; i++)
{
var value = decimal.Parse(data[i].Trim());
ema.Add(value);
Assert.AreEqual(0M, ema.PeekLast());
Assert.False(ema.IsInitialized);
}
for (; i < data.Length; i++)
{
var datas = data[i].Split(new[] { '\t' });
var value = decimal.Parse(datas[0]);
var expectedEma = decimal.Parse(datas[3]);
ema.Add(value);
Assert.IsTrue(ema.IsInitialized);
Assert.AreEqual(expectedEma.ToString("C2"), ema.PeekLast().ToString("C2"));
}
}
/**
* Constructor.
*
* @param series the {@link TimeSeries}
* @param shortTimeFrame (usually 3)
* @param longTimeFrame (usually 10)
*/
public ChaikinOscillatorIndicator(ITimeSeries series, int shortTimeFrame, int longTimeFrame)
: base(series)
{
_ema3 = new EMAIndicator(new AccumulationDistributionIndicator(series), shortTimeFrame);
_ema10 = new EMAIndicator(new AccumulationDistributionIndicator(series), longTimeFrame);
}
public KeltnerChannelMiddleIndicator(IIndicator <decimal> indicator, int timeFrameEMA)
: base(indicator)
{
_emaIndicator = new EMAIndicator(indicator, timeFrameEMA);
}
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)
{
}
}
}
