public void GetStdDev()
{
int lookbackPeriod = 10;
List <StdDevResult> results = Indicator.GetStdDev(history, lookbackPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(493, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(493, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(false, results.Any(x => x.Sma != null));
// sample values
StdDevResult r1 = results[501];
Assert.AreEqual(5.4738m, Math.Round((decimal)r1.StdDev, 4));
Assert.AreEqual(0.524312m, Math.Round((decimal)r1.ZScore, 6));
Assert.AreEqual(null, r1.Sma);
StdDevResult r2 = results[249];
Assert.AreEqual(0.9827m, Math.Round((decimal)r2.StdDev, 4));
Assert.AreEqual(0.783563m, Math.Round((decimal)r2.ZScore, 6));
Assert.AreEqual(null, r2.Sma);
}
public void GetStdDevWithSma()
{
int lookbackPeriod = 10;
int smaPeriod = 5;
List <StdDevResult> results = Indicator.GetStdDev(history, 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(493, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(493, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(489, results.Where(x => x.Sma != null).Count());
// sample values
StdDevResult r1 = results[501];
Assert.AreEqual(5.4738m, Math.Round((decimal)r1.StdDev, 4));
Assert.AreEqual(0.524312m, Math.Round((decimal)r1.ZScore, 6));
Assert.AreEqual(7.6886m, Math.Round((decimal)r1.Sma, 4));
StdDevResult r2 = results[19];
Assert.AreEqual(1.1642m, Math.Round((decimal)r2.StdDev, 4));
Assert.AreEqual(-0.065282m, Math.Round((decimal)r2.ZScore, 6));
Assert.AreEqual(1.1422m, Math.Round((decimal)r2.Sma, 4));
}
public void Removed()
{
List <StdDevResult> results = quotes.GetStdDev(10)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 9, results.Count);
StdDevResult last = results.LastOrDefault();
Assert.AreEqual(5.4738, Math.Round((double)last.StdDev, 4));
Assert.AreEqual(242.4100, Math.Round((double)last.Mean, 4));
Assert.AreEqual(0.524312, Math.Round((double)last.ZScore, 6));
Assert.AreEqual(null, last.StdDevSma);
}
public void GetStdDevTest()
{
int lookbackPeriod = 10;
IEnumerable <StdDevResult> results = Indicator.GetStdDev(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.StdDev != null).Count());
// sample value
StdDevResult sd = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal)5.4738, Math.Round((decimal)sd.StdDev, 4));
}
public void Standard()
{
int lookbackPeriod = 10;
List <StdDevResult> results = Indicator.GetStdDev(history, lookbackPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(493, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(493, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(false, results.Any(x => x.StdDevSma != null));
// sample values
StdDevResult r1 = results[8];
Assert.AreEqual(null, r1.StdDev);
Assert.AreEqual(null, r1.Mean);
Assert.AreEqual(null, r1.ZScore);
Assert.AreEqual(null, r1.StdDevSma);
StdDevResult r2 = results[9];
Assert.AreEqual(0.5020m, Math.Round((decimal)r2.StdDev, 4));
Assert.AreEqual(214.0140m, Math.Round((decimal)r2.Mean, 4));
Assert.AreEqual(-0.525917m, Math.Round((decimal)r2.ZScore, 6));
Assert.AreEqual(null, r2.StdDevSma);
StdDevResult r3 = results[249];
Assert.AreEqual(0.9827m, Math.Round((decimal)r3.StdDev, 4));
Assert.AreEqual(257.2200m, Math.Round((decimal)r3.Mean, 4));
Assert.AreEqual(0.783563m, Math.Round((decimal)r3.ZScore, 6));
Assert.AreEqual(null, r3.StdDevSma);
StdDevResult r4 = results[501];
Assert.AreEqual(5.4738m, Math.Round((decimal)r4.StdDev, 4));
Assert.AreEqual(242.4100m, Math.Round((decimal)r4.Mean, 4));
Assert.AreEqual(0.524312m, Math.Round((decimal)r4.ZScore, 6));
Assert.AreEqual(null, r4.StdDevSma);
}
public void GetStdDevTest()
{
int lookbackPeriod = 10;
IEnumerable <StdDevResult> results = Indicator.GetStdDev(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.StdDev != null).Count());
// sample value
StdDevResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(5.4738m, Math.Round((decimal)r.StdDev, 4));
Assert.AreEqual(0.524312m, Math.Round((decimal)r.ZScore, 6));
}
public void Standard()
{
List <StdDevResult> results = quotes.GetStdDev(10).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(493, results.Where(x => x.StdDev != null).Count());
Assert.AreEqual(493, results.Where(x => x.ZScore != null).Count());
Assert.AreEqual(false, results.Any(x => x.StdDevSma != null));
// sample values
StdDevResult r1 = results[8];
Assert.AreEqual(null, r1.StdDev);
Assert.AreEqual(null, r1.Mean);
Assert.AreEqual(null, r1.ZScore);
Assert.AreEqual(null, r1.StdDevSma);
StdDevResult r2 = results[9];
Assert.AreEqual(0.5020, Math.Round((double)r2.StdDev, 4));
Assert.AreEqual(214.0140, Math.Round((double)r2.Mean, 4));
Assert.AreEqual(-0.525917, Math.Round((double)r2.ZScore, 6));
Assert.AreEqual(null, r2.StdDevSma);
StdDevResult r3 = results[249];
Assert.AreEqual(0.9827, Math.Round((double)r3.StdDev, 4));
Assert.AreEqual(257.2200, Math.Round((double)r3.Mean, 4));
Assert.AreEqual(0.783563, Math.Round((double)r3.ZScore, 6));
Assert.AreEqual(null, r3.StdDevSma);
StdDevResult r4 = results[501];
Assert.AreEqual(5.4738, Math.Round((double)r4.StdDev, 4));
Assert.AreEqual(242.4100, Math.Round((double)r4.Mean, 4));
Assert.AreEqual(0.524312, Math.Round((double)r4.ZScore, 6));
Assert.AreEqual(null, r4.StdDevSma);
}
