// SIMPLE MOVING AVERAGE (EXTENDED VERSION)
/// <include file='./info.xml' path='indicator/type[@name="Extended"]/*' />
///
public static IEnumerable <SmaExtendedResult> GetSmaExtended <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods)
where TQuote : IQuote
{
// convert quotes
List <BasicD> quotesList = quotes.ConvertToBasic(CandlePart.Close);
// initialize
List <SmaExtendedResult> results = GetSma(quotes, lookbackPeriods)
.Select(x => new SmaExtendedResult {
Date = x.Date, Sma = x.Sma
})
.ToList();
// roll through quotes
for (int i = lookbackPeriods - 1; i < results.Count; i++)
{
int index = i + 1;
SmaExtendedResult r = results[i];
double sma = (double)r.Sma;
double sumMad = 0;
double sumMse = 0;
double?sumMape = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
BasicD d = quotesList[p];
double close = d.Value;
sumMad += Math.Abs(close - sma);
sumMse += (close - sma) * (close - sma);
sumMape += (close == 0) ? null
: Math.Abs(close - sma) / close;
}
// mean absolute deviation
r.Mad = sumMad / lookbackPeriods;
// mean squared error
r.Mse = sumMse / lookbackPeriods;
// mean absolute percent error
r.Mape = sumMape / lookbackPeriods;
}
return(results);
}
public void Extended()
{
List <SmaExtendedResult> results = history.GetSmaExtended(20).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Sma != null).Count());
// sample value
SmaExtendedResult r = results[501];
Assert.AreEqual(251.86m, r.Sma);
Assert.AreEqual(9.45m, r.Mad);
Assert.AreEqual(119.2510m, Math.Round((decimal)r.Mse, 4));
Assert.AreEqual(0.037637m, Math.Round((decimal)r.Mape, 6));
}
