public void SetUp()
{
IList <Tick> ticks = new List <Tick>
{
// open, close, high, low
GenerateTick.From(44.98, 45.05, 45.17, 44.96),
GenerateTick.From(45.05, 45.10, 45.15, 44.99),
GenerateTick.From(45.11, 45.19, 45.32, 45.11),
GenerateTick.From(45.19, 45.14, 45.25, 45.04),
GenerateTick.From(45.12, 45.15, 45.20, 45.10),
GenerateTick.From(45.15, 45.14, 45.20, 45.10),
GenerateTick.From(45.13, 45.10, 45.16, 45.07),
GenerateTick.From(45.12, 45.15, 45.22, 45.10),
GenerateTick.From(45.15, 45.22, 45.27, 45.14),
GenerateTick.From(45.24, 45.43, 45.45, 45.20),
GenerateTick.From(45.43, 45.44, 45.50, 45.39),
GenerateTick.From(45.43, 45.55, 45.60, 45.35),
GenerateTick.From(45.58, 45.55, 45.61, 45.39),
GenerateTick.From(45.45, 45.01, 45.55, 44.80),
GenerateTick.From(45.03, 44.23, 45.04, 44.17),
GenerateTick.From(44.23, 43.95, 44.29, 43.81),
GenerateTick.From(43.91, 43.08, 43.99, 43.08),
GenerateTick.From(43.07, 43.55, 43.65, 43.06),
GenerateTick.From(43.56, 43.95, 43.99, 43.53),
GenerateTick.From(43.93, 44.47, 44.58, 43.93)
};
_data = new TimeSeries(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// close, volume
ticks.Add(GenerateTick.From(6, 100));
ticks.Add(GenerateTick.From(7, 105));
ticks.Add(GenerateTick.From(9, 130));
ticks.Add(GenerateTick.From(12, 160));
ticks.Add(GenerateTick.From(11, 150));
ticks.Add(GenerateTick.From(10, 130));
ticks.Add(GenerateTick.From(11, 95));
ticks.Add(GenerateTick.From(13, 120));
ticks.Add(GenerateTick.From(15, 180));
ticks.Add(GenerateTick.From(12, 160));
ticks.Add(GenerateTick.From(8, 150));
ticks.Add(GenerateTick.From(4, 200));
ticks.Add(GenerateTick.From(3, 150));
ticks.Add(GenerateTick.From(4, 85));
ticks.Add(GenerateTick.From(3, 70));
ticks.Add(GenerateTick.From(5, 90));
ticks.Add(GenerateTick.From(8, 100));
ticks.Add(GenerateTick.From(9, 95));
ticks.Add(GenerateTick.From(11, 110));
ticks.Add(GenerateTick.From(10, 95));
_data = new TimeSeries(ticks);
_close = new ClosePriceIndicator(_data);
_volume = new VolumeIndicator(_data, 2);
}
public void AverageDirectionalMovement()
{
var tick1 = GenerateTick.From(0, 0, 13, 7);
var tick2 = GenerateTick.From(0, 0, 11, 5);
var tick3 = GenerateTick.From(0, 0, 15, 3);
var tick4 = GenerateTick.From(0, 0, 14, 2);
var tick5 = GenerateTick.From(0, 0, 13, 0.2);
IList <Tick> ticks = new List <Tick>();
ticks.Add(tick1);
ticks.Add(tick2);
ticks.Add(tick3);
ticks.Add(tick4);
ticks.Add(tick5);
var series = GenerateTimeSeries.From(ticks);
var admdown = new AverageDirectionalMovementDownIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(1), 4d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(2), 4d / 3 * 2d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(3), (4d / 3 * 2d / 3) * 2d / 3 + 1d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(4), ((4d / 3 * 2d / 3) * 2d / 3 + 1d / 3) * 2d / 3 + 1.8 * 1d / 3);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(1355.69, 2739.55));
ticks.Add(GenerateTick.From(1325.51, 3119.46));
ticks.Add(GenerateTick.From(1335.02, 3466.88));
ticks.Add(GenerateTick.From(1313.72, 2577.12));
ticks.Add(GenerateTick.From(1319.99, 2480.45));
ticks.Add(GenerateTick.From(1331.85, 2329.79));
ticks.Add(GenerateTick.From(1329.04, 2793.07));
ticks.Add(GenerateTick.From(1362.16, 3378.78));
ticks.Add(GenerateTick.From(1365.51, 2417.59));
ticks.Add(GenerateTick.From(1374.02, 1442.81));
TimeSeries series = GenerateTimeSeries.From(ticks);
var nvi = new NviIndicator(series);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(0), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(1), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(2), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(3), 984.0452);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(4), 988.7417);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(5), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(6), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(7), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(8), 1000.079);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(9), 1006.3116);
}
public void AddTick()
{
_defaultSeries = new TimeSeries();
Tick firstTick = GenerateTick.From(_date.WithDate(2014, 6, 13), 1d);
Tick secondTick = GenerateTick.From(_date.WithDate(2014, 6, 14), 2d);
Assert.Multiple(() =>
{
Assert.AreEqual(0, _defaultSeries.TickCount);
Assert.AreEqual(-1, _defaultSeries.Begin);
Assert.AreEqual(-1, _defaultSeries.End);
});
_defaultSeries.AddTick(firstTick);
Assert.Multiple(() =>
{
Assert.AreEqual(1, _defaultSeries.TickCount);
Assert.AreEqual(0, _defaultSeries.Begin);
Assert.AreEqual(0, _defaultSeries.End);
});
_defaultSeries.AddTick(secondTick);
Assert.Multiple(() =>
{
Assert.AreEqual(2, _defaultSeries.TickCount);
Assert.AreEqual(0, _defaultSeries.Begin);
Assert.AreEqual(1, _defaultSeries.End);
});
}
public void SetUp()
{
// @TODO add volumes
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(44.98, 45.05, 45.17, 44.96));
ticks.Add(GenerateTick.From(45.05, 45.10, 45.15, 44.99));
ticks.Add(GenerateTick.From(45.11, 45.19, 45.32, 45.11));
ticks.Add(GenerateTick.From(45.19, 45.14, 45.25, 45.04));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.14, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.13, 45.10, 45.16, 45.07));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.22, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.22, 45.27, 45.14));
ticks.Add(GenerateTick.From(45.24, 45.43, 45.45, 45.20));
ticks.Add(GenerateTick.From(45.43, 45.44, 45.50, 45.39));
ticks.Add(GenerateTick.From(45.43, 45.55, 45.60, 45.35));
ticks.Add(GenerateTick.From(45.58, 45.55, 45.61, 45.39));
ticks.Add(GenerateTick.From(45.45, 45.01, 45.55, 44.80));
ticks.Add(GenerateTick.From(45.03, 44.23, 45.04, 44.17));
ticks.Add(GenerateTick.From(44.23, 43.95, 44.29, 43.81));
ticks.Add(GenerateTick.From(43.91, 43.08, 43.99, 43.08));
ticks.Add(GenerateTick.From(43.07, 43.55, 43.65, 43.06));
ticks.Add(GenerateTick.From(43.56, 43.95, 43.99, 43.53));
ticks.Add(GenerateTick.From(43.93, 44.47, 44.58, 43.93));
_data = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(44.98, 45.05, 45.17, 44.96, 1));
ticks.Add(GenerateTick.From(45.05, 45.10, 45.15, 44.99, 2));
ticks.Add(GenerateTick.From(45.11, 45.19, 45.32, 45.11, 1));
ticks.Add(GenerateTick.From(45.19, 45.14, 45.25, 45.04, 3));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.20, 45.10, 1));
ticks.Add(GenerateTick.From(45.15, 45.14, 45.20, 45.10, 2));
ticks.Add(GenerateTick.From(45.13, 45.10, 45.16, 45.07, 1));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.22, 45.10, 5));
ticks.Add(GenerateTick.From(45.15, 45.22, 45.27, 45.14, 1));
ticks.Add(GenerateTick.From(45.24, 45.43, 45.45, 45.20, 1));
ticks.Add(GenerateTick.From(45.43, 45.44, 45.50, 45.39, 1));
ticks.Add(GenerateTick.From(45.43, 45.55, 45.60, 45.35, 5));
ticks.Add(GenerateTick.From(45.58, 45.55, 45.61, 45.39, 7));
ticks.Add(GenerateTick.From(45.45, 45.01, 45.55, 44.80, 6));
ticks.Add(GenerateTick.From(45.03, 44.23, 45.04, 44.17, 1));
ticks.Add(GenerateTick.From(44.23, 43.95, 44.29, 43.81, 2));
ticks.Add(GenerateTick.From(43.91, 43.08, 43.99, 43.08, 1));
ticks.Add(GenerateTick.From(43.07, 43.55, 43.65, 43.06, 7));
ticks.Add(GenerateTick.From(43.56, 43.95, 43.99, 43.53, 6));
ticks.Add(GenerateTick.From(43.93, 44.47, 44.58, 43.93, 1));
_data = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
var ticks = new List <Tick>();
foreach (var price in _typicalPrices)
{
ticks.Add(GenerateTick.From(price, price, price, price));
}
_series = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(10, 18, 20, 10));
ticks.Add(GenerateTick.From(15, 18, 19, 14));
ticks.Add(GenerateTick.From(17, 16, 19, 15));
ticks.Add(GenerateTick.From(15, 11, 15, 8));
ticks.Add(GenerateTick.From(11, 12, 12, 10));
_series = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 16, 8));
ticks.Add(GenerateTick.From(0, 0, 12, 6));
ticks.Add(GenerateTick.From(0, 0, 18, 14));
ticks.Add(GenerateTick.From(0, 0, 10, 6));
ticks.Add(GenerateTick.From(0, 0, 8, 4));
_series = GenerateTimeSeries.From(ticks);
}
public void PositiveDirectionalMovement()
{
var yesterdayTick = GenerateTick.From(0, 0, 6, 6);
var todayTick = GenerateTick.From(0, 0, 12, 4);
IList <Tick> ticks = new List <Tick>();
ticks.Add(yesterdayTick);
ticks.Add(todayTick);
var series = GenerateTimeSeries.From(ticks);
var dup = new DirectionalMovementUpIndicator(series);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(1), 6);
}
public void ZeroDirectionalMovement3()
{
var yesterdayTick = GenerateTick.From(0, 0, 6, 6);
var todayTick = GenerateTick.From(0, 0, 12, 4);
IList <Tick> ticks = new List <Tick>();
ticks.Add(yesterdayTick);
ticks.Add(todayTick);
var series = GenerateTimeSeries.From(ticks);
var down = new DirectionalMovementDownIndicator(series);
TaTestsUtils.AssertDecimalEquals(down.GetValue(1), 0);
}
public void DynamicAddTrade()
{
var data = new double[] { 2, 1, 3, 5, 6, 3, 20, 20, 3 };
// We will rely on this being correct as it duplicates tests above...
TimeSeries confirmedSeries = GenerateTimeSeries.From(data);
var confirmedTradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(4), Order.BuyAt(5), Order.SellAt(6), Order.BuyAt(7), Order.SellAt(8));
// use these results to check against the dynamically added Trades
var confirmedCashFlow = new CashFlow(confirmedSeries, confirmedTradingRecord);
TimeSeries sampleTimeSeries = new TimeSeries();
var tradingRecord = new TradingRecord();
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
for (var i = 0; i < data.Length; i++)
{
sampleTimeSeries.AddTick(GenerateTick.From((new LocalDateTime()).WithMillisOfSecond(i), data[i]));
switch (i)
{
case 0: // buy
case 3: // buy
case 5: // buy
case 7: // buy
tradingRecord.Enter(i);
break;
case 2: // sell
case 4: // sell
case 6: // sell
case 8: // sell
tradingRecord.Exit(i);
cashFlow.AddTrade(tradingRecord.LastTrade);
break;
default:
// don't do anything
break;
}
}
// Check all the data off...
Assert.Multiple(() =>
{
for (var i = 0; i < data.Length; i++)
{
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(i), confirmedCashFlow.GetValue(i).ToDouble());
}
});
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(19, 19, 22, 15));
ticks.Add(GenerateTick.From(10, 18, 20, 8));
ticks.Add(GenerateTick.From(17, 16, 21, 15));
ticks.Add(GenerateTick.From(15.6, 18, 18.1, 14));
ticks.Add(GenerateTick.From(16, 19.9, 20, 15));
ticks.Add(GenerateTick.From(16.8, 23, 23, 16.7));
ticks.Add(GenerateTick.From(17, 25, 25, 17));
ticks.Add(GenerateTick.From(23, 16.8, 24, 15));
_series = GenerateTimeSeries.From(ticks);
}
public void StackOverflowError()
{
IList <Tick> bigListOfTicks = new List <Tick>();
for (var i = 0; i < 10000; i++)
{
bigListOfTicks.Add(GenerateTick.From(i));
}
var bigSeries = GenerateTimeSeries.From(bigListOfTicks);
var obv = new OnBalanceVolumeIndicator(bigSeries);
// If a StackOverflowError is thrown here, then the RecursiveCachedIndicator
// does not work as intended.
TaTestsUtils.AssertDecimalEquals(obv.GetValue(9999), 0);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
// open, close, high, low
ticks.Add(GenerateTick.From(19, 19, 22, 15));
ticks.Add(GenerateTick.From(10, 18, 20, 8));
ticks.Add(GenerateTick.From(17, 20, 21, 17));
ticks.Add(GenerateTick.From(19, 17, 20, 16.9));
ticks.Add(GenerateTick.From(17.5, 14, 18, 13.9));
ticks.Add(GenerateTick.From(15, 11, 15, 11));
ticks.Add(GenerateTick.From(12, 14, 15, 8));
ticks.Add(GenerateTick.From(13, 16, 16, 11));
_series = GenerateTimeSeries.From(ticks);
}
public void StackOverflowError()
{
IList <Tick> bigListOfTicks = new List <Tick>();
for (var i = 0; i < 10000; i++)
{
bigListOfTicks.Add(GenerateTick.From(i));
}
var bigSeries = GenerateTimeSeries.From(bigListOfTicks);
var closePrice = new ClosePriceIndicator(bigSeries);
var ema = new EmaIndicator(closePrice, 10);
// If a StackOverflowError is thrown here, then the RecursiveCachedIndicator
// does not work as intended.
TaTestsUtils.AssertDecimalEquals(ema.GetValue(9999), 9994.5);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 12, 15, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 0, 0, 2));
var tr = new TrueRangeIndicator(GenerateTimeSeries.From(ticks));
TaTestsUtils.AssertDecimalEquals(tr.GetValue(0), 7);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(1), 6);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(2), 9);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(3), 3);
TaTestsUtils.AssertDecimalEquals(tr.GetValue(4), 15);
}
public void TrendSwitchTest()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 6, 9, 4));
ticks.Add(GenerateTick.From(0, 11, 15, 9));
ticks.Add(GenerateTick.From(0, 13, 15, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 8);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 11);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 4);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 4);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 12, 15, 8));
ticks.Add(GenerateTick.From(0, 8, 11, 6));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 15, 17, 14));
ticks.Add(GenerateTick.From(0, 0, 0, 2));
var atr = new AverageTrueRangeIndicator(GenerateTimeSeries.From(ticks), 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(1), 8d / 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(2), 8d / 3 * 2d / 3 + 3);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(3), (8d / 3 * 2d / 3 + 3) * 2d / 3 + 1);
TaTestsUtils.AssertDecimalEquals(atr.GetValue(4), ((8d / 3 * 2d / 3 + 3) * 2d / 3 + 1) * 2d / 3 + 15d / 3);
}
public void TrendSwitchTest2()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 11));
ticks.Add(GenerateTick.From(0, 10, 15, 13));
ticks.Add(GenerateTick.From(0, 12, 18, 11));
ticks.Add(GenerateTick.From(0, 10, 15, 9));
ticks.Add(GenerateTick.From(0, 9, 15, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 0.04 * (18 - 10) + 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 18);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 18);
}
public void UpTrendTest()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 10, 13, 11));
ticks.Add(GenerateTick.From(0, 17, 15, 11.38));
ticks.Add(GenerateTick.From(0, 18, 16, 14));
ticks.Add(GenerateTick.From(0, 19, 17, 12));
ticks.Add(GenerateTick.From(0, 20, 18, 9));
var sar = new ParabolicSarIndicator(GenerateTimeSeries.From(ticks), 1);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(0), 10);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(1), 17);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(2), 11.38);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(3), 11.38);
TaTestsUtils.AssertDecimalEquals(sar.GetValue(4), 18);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 16, 8));
ticks.Add(GenerateTick.From(0, 0, 12, 6));
ticks.Add(GenerateTick.From(0, 0, 18, 14));
ticks.Add(GenerateTick.From(0, 0, 10, 6));
ticks.Add(GenerateTick.From(0, 0, 32, 6));
ticks.Add(GenerateTick.From(0, 0, 2, 2));
ticks.Add(GenerateTick.From(0, 0, 0, 0));
ticks.Add(GenerateTick.From(0, 0, 8, 1));
ticks.Add(GenerateTick.From(0, 0, 83, 32));
ticks.Add(GenerateTick.From(0, 0, 9, 3));
_timeSeries = GenerateTimeSeries.From(ticks);
_average = new MedianPriceIndicator(_timeSeries);
}
public void AverageDirectionalMovement()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 10, 2));
ticks.Add(GenerateTick.From(0, 0, 12, 2));
ticks.Add(GenerateTick.From(0, 0, 15, 2));
ticks.Add(GenerateTick.From(0, 0, 11, 2));
ticks.Add(GenerateTick.From(0, 0, 13, 7));
var series = GenerateTimeSeries.From(ticks);
var admup = new AverageDirectionalMovementUpIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(admup.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(admup.GetValue(1), 4d / 3);
TaTestsUtils.AssertDecimalEquals(admup.GetValue(2), 4d / 3 * 2d / 3 + 1);
TaTestsUtils.AssertDecimalEquals(admup.GetValue(3), (4d / 3 * 2d / 3 + 1) * 2d / 3);
TaTestsUtils.AssertDecimalEquals(admup.GetValue(4), (4d / 3 * 2d / 3 + 1) * 2d / 3 * 2d / 3 + 2d / 3);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 10, 2));
ticks.Add(GenerateTick.From(0, 0, 12, 2));
ticks.Add(GenerateTick.From(0, 0, 15, 2));
ticks.Add(GenerateTick.From(0, 0, 11, 2));
ticks.Add(GenerateTick.From(0, 0, 13, 7));
var series = GenerateTimeSeries.From(ticks);
var dup = new DirectionalUpIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(dup.GetValue(1), (4d / 3) / (14d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(2), (4d / 3 * 2d / 3 + 1) / (14d / 3 * 2d / 3 + 15d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(3), ((4d / 3 * 2d / 3 + 1) * 2d / 3) / (((14d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 11d / 3));
TaTestsUtils.AssertDecimalEquals(dup.GetValue(4), ((4d / 3 * 2d / 3 + 1) * 2d / 3 * 2d / 3 + 2d / 3) / (((((14d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 11d / 3) * 2d / 3) + 13d / 3));
}
public void AverageDirectionalMovement()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 13, 7));
ticks.Add(GenerateTick.From(0, 0, 11, 5));
ticks.Add(GenerateTick.From(0, 0, 15, 3));
ticks.Add(GenerateTick.From(0, 0, 14, 2));
ticks.Add(GenerateTick.From(0, 0, 13, 0.2));
var series = GenerateTimeSeries.From(ticks);
var ddown = new DirectionalDownIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(ddown.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(ddown.GetValue(1), (4d / 3) / (13d / 3));
TaTestsUtils.AssertDecimalEquals(ddown.GetValue(2), (4d / 3 * 2d / 3) / (13d / 3 * 2d / 3 + 15d / 3));
TaTestsUtils.AssertDecimalEquals(ddown.GetValue(3), ((4d / 3 * 2d / 3) * 2d / 3 + 1d / 3) / (((13d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 14d / 3));
TaTestsUtils.AssertDecimalEquals(ddown.GetValue(4), (((4d / 3 * 2d / 3) * 2d / 3 + 1d / 3) * 2d / 3 + 1.8 * 1d / 3) / (((((13d / 3 * 2d / 3 + 15d / 3) * 2d / 3) + 14d / 3) * 2d / 3) + 13d / 3));
}
public void SetUp()
{
_ticks = new List <Tick>
{
GenerateTick.From(new LocalDateTime(2014, 6, 13, 0, 0), 1d),
GenerateTick.From(new LocalDateTime(2014, 6, 14, 0, 0, 0), 2d),
GenerateTick.From(new LocalDateTime(2014, 6, 15, 0, 0, 0), 3d),
GenerateTick.From(new LocalDateTime(2014, 6, 20, 0, 0, 0), 4d),
GenerateTick.From(new LocalDateTime(2014, 6, 25, 0, 0, 0), 5d),
GenerateTick.From(new LocalDateTime(2014, 6, 30, 0, 0, 0), 6d)
};
_date = new LocalDateTime();
_defaultName = "Series Name";
_defaultSeries = new TimeSeries(_defaultName, _ticks);
_subSeries = _defaultSeries.Subseries(2, 4);
_emptySeries = new TimeSeries();
_seriesForRun = GenerateTimeSeries.From(new[]
{
1d, 2d, 3d, 4d, 5d, 6d, 7d, 8d, 9d
}, new[]
{
_date.WithDate(2013, 01, 01),
_date.WithDate(2013, 08, 01),
_date.WithDate(2013, 10, 01),
_date.WithDate(2013, 12, 01),
_date.WithDate(2014, 02, 01),
_date.WithDate(2015, 01, 01),
_date.WithDate(2015, 08, 01),
_date.WithDate(2015, 10, 01),
_date.WithDate(2015, 12, 01)
});
// Strategy would need a real test class
_strategy = new Strategy(
new FixedRule(0, 2, 3, 6),
new FixedRule(1, 4, 7, 8))
{
UnstablePeriod = 2
};
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(44.98, 45.05, 45.17, 44.96));
ticks.Add(GenerateTick.From(45.05, 45.10, 45.15, 44.99));
ticks.Add(GenerateTick.From(45.11, 45.19, 45.32, 45.11));
ticks.Add(GenerateTick.From(45.19, 45.14, 45.25, 45.04));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.14, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.13, 45.10, 45.16, 45.07));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.22, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.22, 45.27, 45.14));
ticks.Add(GenerateTick.From(45.24, 45.43, 45.45, 45.20));
ticks.Add(GenerateTick.From(45.43, 45.44, 45.50, 45.39));
ticks.Add(GenerateTick.From(45.43, 45.55, 45.60, 45.35));
ticks.Add(GenerateTick.From(45.58, 45.55, 45.61, 45.39));
_data = new TimeSeries(ticks);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(0, 0, 10, 2));
ticks.Add(GenerateTick.From(0, 0, 12, 2));
ticks.Add(GenerateTick.From(0, 0, 15, 2));
var series = GenerateTimeSeries.From(ticks);
var dm = new DirectionalMovementIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(dm.GetValue(0), 0);
var dup = (2d / 3 + 2d / 3) / (2d / 3 + 12d / 3);
var ddown = (2d / 3) / (2d / 3 + 12d / 3);
TaTestsUtils.AssertDecimalEquals(dm.GetValue(1), (dup - ddown) / (dup + ddown) * 100d);
dup = ((2d / 3 + 2d / 3) * 2d / 3 + 1) / ((2d / 3 + 12d / 3) * 2d / 3 + 15d / 3);
ddown = (4d / 9) / ((2d / 3 + 12d / 3) * 2d / 3 + 15d / 3);
TaTestsUtils.AssertDecimalEquals(dm.GetValue(2), (dup - ddown) / (dup + ddown) * 100d);
}
public void AccumulationDistribution()
{
var now = new LocalDateTime();
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(now, 0d, 10d, 12d, 8d, 0d, 200d, 0)); //2-2 * 200 / 4
ticks.Add(GenerateTick.From(now, 0d, 8d, 10d, 7d, 0d, 100d, 0)); //1-2 *100 / 3
ticks.Add(GenerateTick.From(now, 0d, 9d, 15d, 6d, 0d, 300d, 0)); //3-6 *300 /9
ticks.Add(GenerateTick.From(now, 0d, 20d, 40d, 5d, 0d, 50d, 0)); //15-20 *50 / 35
ticks.Add(GenerateTick.From(now, 0d, 30d, 30d, 3d, 0d, 600d, 0)); //27-0 *600 /27
TimeSeries series = GenerateTimeSeries.From(ticks);
var ac = new AccumulationDistributionIndicator(series);
TaTestsUtils.AssertDecimalEquals(ac.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(ac.GetValue(1), -100d / 3);
TaTestsUtils.AssertDecimalEquals(ac.GetValue(2), -100d - (100d / 3));
TaTestsUtils.AssertDecimalEquals(ac.GetValue(3), (-250d / 35) + (-100d - (100d / 3)));
TaTestsUtils.AssertDecimalEquals(ac.GetValue(4), 600d + ((-250d / 35) + (-100d - (100d / 3))));
}