public void Standard()
{
decimal acclerationStep = 0.02m;
decimal maxAccelerationFactor = 0.2m;
List <ParabolicSarResult> results =
Indicator.GetParabolicSar(history, acclerationStep, maxAccelerationFactor)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(488, results.Where(x => x.Sar != null).Count());
// sample values
ParabolicSarResult r1 = results[14];
Assert.AreEqual(212.83m, Math.Round((decimal)r1.Sar, 4));
Assert.AreEqual(true, r1.IsReversal);
ParabolicSarResult r2 = results[16];
Assert.AreEqual(212.9924m, Math.Round((decimal)r2.Sar, 4));
Assert.AreEqual(false, r2.IsReversal);
ParabolicSarResult r3 = results[501];
Assert.AreEqual(229.7662m, Math.Round((decimal)r3.Sar, 4));
Assert.AreEqual(false, r3.IsReversal);
}
public void GetParabolicSarTest()
{
decimal acclerationStep = (decimal)0.02;
decimal maxAccelerationFactor = (decimal)0.2;
IEnumerable <ParabolicSarResult> results = Indicator.GetParabolicSar(history, acclerationStep, maxAccelerationFactor);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(488, results.Where(x => x.Sar != null).Count());
// sample values
ParabolicSarResult r1 = results.Where(x => x.Index == 15).FirstOrDefault();
Assert.AreEqual(212.83m, Math.Round((decimal)r1.Sar, 4));
Assert.AreEqual(true, r1.IsReversal);
ParabolicSarResult r2 = results.Where(x => x.Index == 17).FirstOrDefault();
Assert.AreEqual(212.9924m, Math.Round((decimal)r2.Sar, 4));
Assert.AreEqual(false, r2.IsReversal);
ParabolicSarResult r3 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(229.7662m, Math.Round((decimal)r3.Sar, 4));
Assert.AreEqual(false, r3.IsReversal);
}
public void Removed()
{
decimal acclerationStep = 0.02m;
decimal maxAccelerationFactor = 0.2m;
List <ParabolicSarResult> results =
quotes.GetParabolicSar(acclerationStep, maxAccelerationFactor)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(488, results.Count);
ParabolicSarResult last = results.LastOrDefault();
Assert.AreEqual(229.7662m, Math.Round((decimal)last.Sar, 4));
Assert.AreEqual(false, last.IsReversal);
}
public void Extended()
{
decimal acclerationStep = 0.02m;
decimal maxAccelerationFactor = 0.2m;
decimal initialStep = 0.01m;
List <ParabolicSarResult> results =
quotes.GetParabolicSar(
acclerationStep, maxAccelerationFactor, initialStep)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(488, results.Where(x => x.Sar != null).Count());
// sample values
ParabolicSarResult r14 = results[14];
Assert.AreEqual(212.83m, r14.Sar);
Assert.AreEqual(true, r14.IsReversal);
ParabolicSarResult r16 = results[16];
Assert.AreEqual(212.9518m, Math.Round((decimal)r16.Sar, 4));
Assert.AreEqual(false, r16.IsReversal);
ParabolicSarResult r94 = results[94];
Assert.AreEqual(228.36m, r94.Sar);
Assert.AreEqual(false, r94.IsReversal);
ParabolicSarResult r486 = results[486];
Assert.AreEqual(273.4148m, r486.Sar);
Assert.AreEqual(false, r486.IsReversal);
ParabolicSarResult r501 = results[501];
Assert.AreEqual(246.73m, r501.Sar);
Assert.AreEqual(false, r501.IsReversal);
}
public void GetParabolicSarTest()
{
decimal acclerationStep = (decimal)0.02;
decimal maxAccelerationFactor = (decimal)0.2;
IEnumerable <ParabolicSarResult> results = Indicator.GetParabolicSar(history, acclerationStep, maxAccelerationFactor);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(501, results.Where(x => x.Sar != null).Count());
// sample value
ParabolicSarResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)229.7662, Math.Round((decimal)result.Sar, 4));
Assert.AreEqual(true, result.IsRising);
Assert.AreEqual(false, result.IsReversal);
}
/// <include file='./info.xml' path='indicator/type[@name="Extended"]/*' />
///
public static IEnumerable <ParabolicSarResult> GetParabolicSar <TQuote>(
this IEnumerable <TQuote> quotes,
decimal accelerationStep,
decimal maxAccelerationFactor,
decimal initialFactor)
where TQuote : IQuote
{
// sort quotes
List <TQuote> quotesList = quotes.SortToList();
// check parameter arguments
ValidateParabolicSar(
accelerationStep, maxAccelerationFactor, initialFactor);
// initialize
int length = quotesList.Count;
List <ParabolicSarResult> results = new(length);
TQuote q0;
if (length == 0)
{
return(results);
}
else
{
q0 = quotesList[0];
}
decimal accelerationFactor = initialFactor;
decimal extremePoint = q0.High;
decimal priorSar = q0.Low;
bool isRising = true; // initial guess
// roll through quotes
for (int i = 0; i < length; i++)
{
TQuote q = quotesList[i];
ParabolicSarResult r = new()
{
Date = q.Date
};
results.Add(r);
// skip first one
if (i == 0)
{
continue;
}
// was rising
if (isRising)
{
decimal sar =
priorSar + (accelerationFactor * (extremePoint - priorSar));
// SAR cannot be higher than last two lows
if (i >= 2)
{
decimal minLastTwo =
Math.Min(
quotesList[i - 1].Low,
quotesList[i - 2].Low);
sar = Math.Min(sar, minLastTwo);
}
// turn down
if (q.Low < sar)
{
r.IsReversal = true;
r.Sar = extremePoint;
isRising = false;
accelerationFactor = initialFactor;
extremePoint = q.Low;
}
// continue rising
else
{
r.IsReversal = false;
r.Sar = sar;
// new high extreme point
if (q.High > extremePoint)
{
extremePoint = q.High;
accelerationFactor =
Math.Min(
accelerationFactor += accelerationStep,
maxAccelerationFactor);
}
}
}
// was falling
else
{
decimal sar
= priorSar - (accelerationFactor * (priorSar - extremePoint));
// SAR cannot be lower than last two highs
if (i >= 2)
{
decimal maxLastTwo = Math.Max(
quotesList[i - 1].High,
quotesList[i - 2].High);
sar = Math.Max(sar, maxLastTwo);
}
// turn up
if (q.High > sar)
{
r.IsReversal = true;
r.Sar = extremePoint;
isRising = true;
accelerationFactor = initialFactor;
extremePoint = q.High;
}
// continue falling
else
{
r.IsReversal = false;
r.Sar = sar;
// new low extreme point
if (q.Low < extremePoint)
{
extremePoint = q.Low;
accelerationFactor =
Math.Min(
accelerationFactor += accelerationStep,
maxAccelerationFactor);
}
}
}
priorSar = (decimal)r.Sar;
}
// remove first trend to reversal, since it is an invalid guess
ParabolicSarResult firstReversal = results
.Where(x => x.IsReversal == true)
.OrderBy(x => x.Date)
.FirstOrDefault();
if (firstReversal != null)
{
int cutIndex = results.IndexOf(firstReversal);
for (int d = 0; d <= cutIndex; d++)
{
ParabolicSarResult r = results[d];
r.Sar = null;
r.IsReversal = null;
}
}
return(results);
}
