public void GetPrsTest()
{
int lookbackPeriod = 30;
int smaPeriod = 10;
IEnumerable <PrsResult> results = Indicator.GetPrs(history, historyOther, lookbackPeriod, smaPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502, results.Count(x => x.Prs != null));
Assert.AreEqual(493, results.Where(x => x.Sma != null).Count());
// sample values
PrsResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(1.356817m, Math.Round((decimal)r1.Prs, 6));
Assert.AreEqual(1.343445m, Math.Round((decimal)r1.Sma, 6));
Assert.AreEqual(0.037082m, Math.Round((decimal)r1.PrsPercent, 6));
PrsResult r2 = results.Where(x => x.Index == 250).FirstOrDefault();
Assert.AreEqual(1.222373m, Math.Round((decimal)r2.Prs, 6));
Assert.AreEqual(1.275808m, Math.Round((decimal)r2.Sma, 6));
Assert.AreEqual(-0.023089m, Math.Round((decimal)r2.PrsPercent, 6));
PrsResult r3 = results.Where(x => x.Index == 9).FirstOrDefault();
Assert.AreEqual(1.108340m, Math.Round((decimal)r3.Prs, 6));
Assert.AreEqual(null, r3.Sma);
Assert.AreEqual(null, r3.PrsPercent);
}
public void GetPrsTest()
{
int smaPeriod = 14;
IEnumerable <PrsResult> results = Indicator.GetPrs(history, historyOther, smaPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(false, results.Any(x => x.Prs == null));
Assert.AreEqual(489, results.Where(x => x.Sma != null).Count());
// sample values
PrsResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(1.356817m, Math.Round((decimal)r1.Prs, 6));
Assert.AreEqual(1.369077m, Math.Round((decimal)r1.Sma, 6));
PrsResult r2 = results.Where(x => x.Index == 250).FirstOrDefault();
Assert.AreEqual(1.222373m, Math.Round((decimal)r2.Prs, 6));
Assert.AreEqual(1.281854m, Math.Round((decimal)r2.Sma, 6));
PrsResult r3 = results.Where(x => x.Index == 10).FirstOrDefault();
Assert.AreEqual(1.102129m, Math.Round((decimal)r3.Prs, 6));
Assert.AreEqual(null, r3.Sma);
}
public void Standard()
{
int lookbackPeriods = 30;
int smaPeriods = 10;
List <PrsResult> results =
quotes.GetPrs(otherQuotes, lookbackPeriods, smaPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502, results.Count(x => x.Prs != null));
Assert.AreEqual(493, results.Where(x => x.PrsSma != null).Count());
// sample values
PrsResult r1 = results[8];
Assert.AreEqual(1.108340, Math.Round((double)r1.Prs, 6));
Assert.AreEqual(null, r1.PrsSma);
Assert.AreEqual(null, r1.PrsPercent);
PrsResult r2 = results[249];
Assert.AreEqual(1.222373, Math.Round((double)r2.Prs, 6));
Assert.AreEqual(1.275808, Math.Round((double)r2.PrsSma, 6));
Assert.AreEqual(-0.023089, Math.Round((double)r2.PrsPercent, 6));
PrsResult r3 = results[501];
Assert.AreEqual(1.356817, Math.Round((double)r3.Prs, 6));
Assert.AreEqual(1.343445, Math.Round((double)r3.PrsSma, 6));
Assert.AreEqual(0.037082, Math.Round((double)r3.PrsPercent, 6));
}
public void Standard()
{
int lookbackPeriod = 30;
int smaPeriod = 10;
List <PrsResult> results =
Indicator.GetPrs(history, historyOther, lookbackPeriod, smaPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502, results.Count(x => x.Prs != null));
Assert.AreEqual(493, results.Where(x => x.PrsSma != null).Count());
// sample values
PrsResult r1 = results[8];
Assert.AreEqual(1.108340m, Math.Round((decimal)r1.Prs, 6));
Assert.AreEqual(null, r1.PrsSma);
Assert.AreEqual(null, r1.PrsPercent);
PrsResult r2 = results[249];
Assert.AreEqual(1.222373m, Math.Round((decimal)r2.Prs, 6));
Assert.AreEqual(1.275808m, Math.Round((decimal)r2.PrsSma, 6));
Assert.AreEqual(-0.023089m, Math.Round((decimal)r2.PrsPercent, 6));
PrsResult r3 = results[501];
Assert.AreEqual(1.356817m, Math.Round((decimal)r3.Prs, 6));
Assert.AreEqual(1.343445m, Math.Round((decimal)r3.PrsSma, 6));
Assert.AreEqual(0.037082m, Math.Round((decimal)r3.PrsPercent, 6));
}
// PRICE RELATIVE STRENGTH
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <PrsResult> GetPrs <TQuote>(
this IEnumerable <TQuote> historyBase,
IEnumerable <TQuote> historyEval,
int?lookbackPeriods = null,
int?smaPeriods = null)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdBaseList = historyBase.ConvertToBasic(CandlePart.Close);
List <BasicD> bdEvalList = historyEval.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidatePriceRelative(historyBase, historyEval, lookbackPeriods, smaPeriods);
// initialize
List <PrsResult> results = new(bdEvalList.Count);
// roll through quotes
for (int i = 0; i < bdEvalList.Count; i++)
{
BasicD bi = bdBaseList[i];
BasicD ei = bdEvalList[i];
int index = i + 1;
if (ei.Date != bi.Date)
{
throw new InvalidQuotesException(nameof(historyEval), ei.Date,
"Date sequence does not match. Price Relative requires matching dates in provided histories.");
}
PrsResult r = new()
{
Date = ei.Date,
Prs = (bi.Value == 0) ? null : (ei.Value / bi.Value) // relative strength ratio
};
results.Add(r);
if (lookbackPeriods != null && index > lookbackPeriods)
{
BasicD bo = bdBaseList[i - (int)lookbackPeriods];
BasicD eo = bdEvalList[i - (int)lookbackPeriods];
if (bo.Value != 0 && eo.Value != 0)
{
double pctB = (bi.Value - bo.Value) / bo.Value;
double pctE = (ei.Value - eo.Value) / eo.Value;
r.PrsPercent = pctE - pctB;
}
}
// optional moving average of PRS
if (smaPeriods != null && index >= smaPeriods)
{
double?sumRs = 0;
for (int p = index - (int)smaPeriods; p < index; p++)
{
PrsResult d = results[p];
sumRs += d.Prs;
}
r.PrsSma = sumRs / smaPeriods;
}
}
return(results);
}
