public void Standard()
{
List <AdlResult> results = quotes.GetAdl().ToList();
// assertions
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502, results.Where(x => x.AdlSma == null).Count());
// sample values
AdlResult r1 = results[249];
Assert.AreEqual(0.7778, Math.Round(r1.MoneyFlowMultiplier, 4));
Assert.AreEqual(36433792.89, Math.Round(r1.MoneyFlowVolume, 2));
Assert.AreEqual(3266400865.74, Math.Round(r1.Adl, 2));
Assert.AreEqual(null, r1.AdlSma);
AdlResult r2 = results[501];
Assert.AreEqual(0.8052, Math.Round(r2.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25, Math.Round(r2.MoneyFlowVolume, 2));
Assert.AreEqual(3439986548.42, Math.Round(r2.Adl, 2));
Assert.AreEqual(null, r2.AdlSma);
}
public void GetAdlTest()
{
IEnumerable <AdlResult> results = Indicator.GetAdl(history);
// assertions
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502, results.Where(x => x.Sma == null).Count());
// sample values
AdlResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(0.8052m, Math.Round(r1.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25m, Math.Round(r1.MoneyFlowVolume, 2));
Assert.AreEqual(3439986548.42m, Math.Round(r1.Adl, 2));
Assert.AreEqual(null, r1.Sma);
AdlResult r2 = results.Where(x => x.Index == 250).FirstOrDefault();
Assert.AreEqual(0.7778m, Math.Round(r2.MoneyFlowMultiplier, 4));
Assert.AreEqual(36433792.89m, Math.Round(r2.MoneyFlowVolume, 2));
Assert.AreEqual(3266400865.74m, Math.Round(r2.Adl, 2));
Assert.AreEqual(null, r2.Sma);
}
// CHAIKIN MONEY FLOW
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <CmfResult> GetCmf <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods = 20)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Volume);
// check parameter arguments
ValidateCmf(lookbackPeriods);
// initialize
List <CmfResult> results = new(bdList.Count);
List <AdlResult> adlResults = GetAdl(quotes).ToList();
// roll through quotes
for (int i = 0; i < adlResults.Count; i++)
{
AdlResult r = adlResults[i];
int index = i + 1;
CmfResult result = new()
{
Date = r.Date,
MoneyFlowMultiplier = r.MoneyFlowMultiplier,
MoneyFlowVolume = r.MoneyFlowVolume
};
if (index >= lookbackPeriods)
{
double sumMfv = 0;
double sumVol = 0;
for (int p = index - lookbackPeriods; p < index; p++)
{
BasicD q = bdList[p];
sumVol += q.Value;
AdlResult d = adlResults[p];
sumMfv += (double)d.MoneyFlowVolume;
}
double avgMfv = sumMfv / lookbackPeriods;
double avgVol = sumVol / lookbackPeriods;
if (avgVol != 0)
{
result.Cmf = avgMfv / avgVol;
}
}
results.Add(result);
}
return(results);
}
public void GetAdlTest()
{
IEnumerable <AdlResult> results = Indicator.GetAdl(history);
// assertions
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
// sample value
AdlResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)0.8052, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual((decimal)118396116.25, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual((decimal)3439986548.42, Math.Round(r.Adl, 2));
}
public void GetAdlTest()
{
IEnumerable <AdlResult> results = Indicator.GetAdl(history);
// assertions
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
// sample value
AdlResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(0.8052m, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25m, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual(3439986548.42m, Math.Round(r.Adl, 2));
}
public void WithSma()
{
List <AdlResult> results = Indicator.GetAdl(quotes, 20).ToList();
// assertions
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.AdlSma != null).Count());
// sample value
AdlResult r = results[501];
Assert.AreEqual(0.8052, Math.Round(r.MoneyFlowMultiplier, 4));
Assert.AreEqual(118396116.25, Math.Round(r.MoneyFlowVolume, 2));
Assert.AreEqual(3439986548.42, Math.Round(r.Adl, 2));
Assert.AreEqual(3595352721.16, Math.Round((double)r.AdlSma, 2));
}
