public void naNValuesInIntervall()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10; i++)
{ // (0, NaN, 2, NaN, 3, NaN, 4, NaN, 5, ...)
decimal closePrice = i % 2 == 0 ? i : Decimals.NaN;
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, closePrice, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(series), 2);
// index is the biggest of (index, index-1)
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
if (i % 2 != 0) // current is NaN take the previous as highest
{
Assert.AreEqual(series.GetBar(i - 1).ClosePrice.ToString(), highestValue.GetValue(i).ToString());
}
else // current is not NaN but previous, take the current
{
Assert.AreEqual(series.GetBar(i).ClosePrice.ToString(), highestValue.GetValue(i).ToString());
}
}
}
protected override decimal Calculate(int index)
{
decimal MinRsiValue = _minRsi.GetValue(index);
return(_rsi.GetValue(index).Minus(MinRsiValue)
.DividedBy(_maxRsi.GetValue(index).Minus(MinRsiValue)));
}
public void highestValueUsingTimeFrame5UsingClosePrice()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(highestValue.GetValue(4), 4M);
Assert.AreEqual(highestValue.GetValue(5), 4M);
Assert.AreEqual(highestValue.GetValue(6), 5M);
Assert.AreEqual(highestValue.GetValue(7), 6M);
Assert.AreEqual(highestValue.GetValue(8), 6M);
Assert.AreEqual(highestValue.GetValue(9), 6M);
Assert.AreEqual(highestValue.GetValue(10), 6M);
Assert.AreEqual(highestValue.GetValue(11), 6M);
Assert.AreEqual(highestValue.GetValue(12), 4M);
}
public void HighestValueUsingTimeFrame5UsingClosePrice()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(4), "4");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(5), "4");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(6), "5");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(7), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(8), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(9), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(10), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(11), "6");
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(12), "4");
}
public override bool IsSatisfied(int index, ITradingRecord tradingRecord)
{
HighestValueIndicator highest = new HighestValueIndicator(_indicator, _timeFrame);
decimal highestVal = highest.GetValue(index);
decimal refVal = _indicator.GetValue(index);
bool satisfied = !refVal.IsNaN() && !highestVal.IsNaN() && refVal.Equals(highestVal);
traceIsSatisfied(index, satisfied);
return(satisfied);
}
protected override decimal Calculate(int index)
{
HighestValueIndicator highestHigh = new HighestValueIndicator(_maxPriceIndicator, _timeFrame);
LowestValueIndicator lowestMin = new LowestValueIndicator(_minPriceIndicator, _timeFrame);
decimal highestHighPrice = highestHigh.GetValue(index);
decimal lowestLowPrice = lowestMin.GetValue(index);
return(_indicator.GetValue(index).Minus(lowestLowPrice)
.DividedBy(highestHighPrice.Minus(lowestLowPrice))
.MultipliedBy(Decimals.HUNDRED));
}
protected override decimal Calculate(int index)
{
int startIndex = Math.Max(0, index - _timeFrame + 1);
int numberOfObservations = index - startIndex + 1;
decimal squaredAverage = Decimals.Zero;
for (int i = startIndex; i <= index; i++)
{
decimal currentValue = _indicator.GetValue(i);
decimal highestValue = _highestValueInd.GetValue(i);
decimal percentageDrawdown = currentValue.Minus(highestValue).DividedBy(highestValue).MultipliedBy(Decimals.HUNDRED);
squaredAverage = squaredAverage.Plus(percentageDrawdown.Pow(2));
}
squaredAverage = squaredAverage.DividedBy(numberOfObservations);
return(squaredAverage.Sqrt());
}
protected override Decimal Calculate(int index)
{
var startIndex = Math.Max(0, index - _timeFrame + 1);
var numberOfObservations = index - startIndex + 1;
var squaredAverage = Decimal.Zero;
for (var i = startIndex; i <= index; i++)
{
var currentValue = _indicator.GetValue(i);
var highestValue = _highestValueInd.GetValue(i);
var percentageDrawdown = currentValue.Minus(highestValue).DividedBy(highestValue).MultipliedBy(Decimal.Hundred);
squaredAverage = squaredAverage.Plus(percentageDrawdown.Pow(2));
}
squaredAverage = squaredAverage.DividedBy(Decimal.ValueOf(numberOfObservations));
return(squaredAverage.Sqrt());
}
public void onlyNaNValues()
{
List <IBar> bars = new List <IBar>();
for (long i = 0; i <= 10000; i++)
{
IBar bar = new BaseBar(DateTime.Now.AddDays(i), Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN, Decimals.NaN);
bars.Add(bar);
}
BaseTimeSeries series = new BaseTimeSeries("NaN test", bars);
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(series), 5);
for (int i = series.GetBeginIndex(); i <= series.GetEndIndex(); i++)
{
Assert.AreEqual(Decimals.NaN.ToString(), highestValue.GetValue(i).ToString());
}
}
protected override Decimal Calculate(int index)
{
var realTimeFrame = Math.Min(_timeFrame, index + 1);
// Getting the number of ticks since the highest close price
var endIndex = index - realTimeFrame;
var nbTicks = 0;
for (var i = index; i > endIndex; i--)
{
if (_closePriceIndicator.GetValue(i).IsEqual(_highestClosePriceIndicator.GetValue(index)))
{
break;
}
nbTicks++;
}
return(Decimal.ValueOf(realTimeFrame - nbTicks).DividedBy(Decimal.ValueOf(realTimeFrame)).MultipliedBy(Decimal.Hundred));
}
protected override decimal Calculate(int index)
{
if (TimeSeries.GetBar(index).MaxPrice.IsNaN())
{
return(Decimals.NaN);
}
// Getting the number of bars since the highest close price
int endIndex = Math.Max(0, index - _timeFrame);
int nbBars = 0;
for (int i = index; i > endIndex; i--)
{
if (_maxValueIndicator.GetValue(i).Equals(_highestMaxPriceIndicator.GetValue(index)))
{
break;
}
nbBars++;
}
return(((decimal)(_timeFrame - nbBars)).DividedBy(_timeFrame).MultipliedBy(Decimals.HUNDRED));
}
protected override decimal Calculate(int index)
{
return(_high.GetValue(index).Minus(_atr.GetValue(index).MultipliedBy(_k)));
}
public void highestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 500);
Assert.AreEqual(highestValue.GetValue(12), 6M);
}
public void firstHighestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
HighestValueIndicator highestValue = new HighestValueIndicator(new ClosePriceIndicator(data), 5);
Assert.AreEqual(highestValue.GetValue(0), 1M);
}
public void HighestValueIndicatorWhenTimeFrameIsGreaterThanIndex()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 500);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(12), "6");
}
public void FirstHighestValueIndicatorValueShouldBeEqualsToFirstDataValue()
{
var highestValue = new HighestValueIndicator(new ClosePriceIndicator(_data), 5);
TaTestsUtils.AssertDecimalEquals(highestValue.GetValue(0), "1");
}
