public void ResetsProperly()
{
var fisher = new FisherTransform(10);
//fisher.Update(DateTime.Today, 1m);
//fisher.Update(DateTime.Today.AddSeconds(1), 2m);
Assert.IsFalse(fisher.IsReady);
fisher.Reset();
TestHelper.AssertIndicatorIsInDefaultState(fisher);
//TestHelper.AssertIndicatorIsInDefaultState(fisher.AverageGain);
//TestHelper.AssertIndicatorIsInDefaultState(fisher.AverageLoss);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
// mylog.Debug(",CurrentBar,Time,Price,smooth,low,i1,cycle0,cycle1,cycle2,fish,medianDelta,DC,instaperiod, v2,DCPeriod,realpart,imagpart,dcphase");
mylog.Debug(ondataheader);
//mylog.Debug(",Time,CurrentBar,Direction,TradeProfit,,Price,Profit,HoldingCost,FillQty,Fees,TransAmt");
//mylog.Debug(transheader);
//Initialize
SetStartDate(2015, 05, 12);
SetEndDate(2015, 05, 12);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
_indicators = new AlgoIndicators
{
//BB = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily),
RSI = RSI(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//ATR = ATR(_symbol, 14, MovingAverageType.Simple, Resolution.Daily),
//EMA = EMA(_symbol, 14, Resolution.Daily),
//SMA = SMA(_symbol, 14, Resolution.Daily),
MACD = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Minute)
//AROON = AROON(_symbol, 20, Resolution.Daily),
//MOM = MOM(_symbol, 20, Resolution.Daily),
//MOMP = MOMP(_symbol, 20, Resolution.Daily),
//STD = STD(_symbol, 20, Resolution.Daily),
//MIN = MIN(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the min of the low property
//MAX = MAX(_symbol, 14, Resolution.Daily), // by default if the symbol is a tradebar type then it will be the max of the high property
//open = new WindowIndicator<IndicatorDataPoint>(4)
//Ft = FT(_symbol, samplesize, Resolution.Minute),
//Rvi = RVI(_symbol, samplesize, Resolution.Minute)
};
//open = new RollingWindow<IndicatorDataPoint>(samplesize);
//close = new RollingWindow<IndicatorDataPoint>(samplesize);
//high = new RollingWindow<IndicatorDataPoint>(samplesize);
//low = new RollingWindow<IndicatorDataPoint>(samplesize);
//i1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//instperiod = new RollingWindow<IndicatorDataPoint>(samplesize);
//v2 = new RollingWindow<IndicatorDataPoint>(samplesize);
//v1 = new RollingWindow<IndicatorDataPoint>(samplesize);
//Rvi = new RollingWindow<IndicatorDataPoint>(samplesize);
unrealized = new RollingWindow<IndicatorDataPoint>(samplesize);
iFishes = new RollingWindow<IndicatorDataPoint>(samplesize);
RsiHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
//Signal = new RollingWindow<IndicatorDataPoint>(samplesize);
//maxRvi = new Maximum("RVI_Max", samplesize);
//minRvi = new Minimum("RVi_Min", samplesize);
//maxSignal = new Maximum("Sig_Max", samplesize);
//minSignal = new Minimum("Sig_Min", samplesize);
fish = new FisherTransform(samplesize);
ifish = new InverseFisherTransform(samplesize);
//Crossing = new RollingWindow<IndicatorDataPoint>(samplesize);
//FisherHistory = new RollingWindow<IndicatorDataPoint>(samplesize);
Rvi = new RelativeVigorIndex(_symbol, samplesize);
for (int x = 0; x < samplesize; x++)
{
//open.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//close.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//high.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//low.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//i1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//instperiod.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v1.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//v2.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Rvi.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
unrealized.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
iFishes.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Signal.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//Crossing.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
}
public void ComparesAgainstExternalData()
{
var fisher = new FisherTransform("fisher", 10);
TestHelper.TestIndicator(fisher, "spy_with_fisher.txt", "Fisher Transform 10",
(ind, expected) => Assert.AreEqual(expected, (double)((FisherTransform)ind).Current.Value, 1e-3));
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
public override void Initialize()
{
//mylog.Debug(transheader);
mylog.Debug(ondataheader);
//Initialize dates
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 07);
SetCash(25000);
//Add as many securities as you like. All the data will be passed into the event handler:
AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
maxHigh = new Maximum("MaxHigh", _period);
minLow = new Minimum("MinLow", _period);
value1 = new RollingWindow<IndicatorDataPoint>(_period);
fish = new RollingWindow<IndicatorDataPoint>(_period);
//wma = new LinearWeightedMovingAverage(5); // induces 2 bar lag
//wwma = new RollingWindow<IndicatorDataPoint>(_period);
//fishHigh = new Maximum("FishHigh", 400);
//fishLow = new Minimum("FishLow", 400);
fx = new FisherTransform(_symbol,_period);
//fx = FT(_symbol, _period, Resolution.Minute);
// Add a bars to initialize the RollingWindow
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
value1.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
fish.Add(new IndicatorDataPoint(DateTime.MinValue, 0m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
//wwma.Add(new IndicatorDataPoint(DateTime.MinValue, .0001m));
}
