public void GetValueWhenTimeFrameIs20()
{
var cci = new CciIndicator(_series, 20);
// Incomplete time frame
TaTestsUtils.AssertDecimalEquals(cci.GetValue(0), 0);
TaTestsUtils.AssertDecimalEquals(cci.GetValue(1), -66.6667);
TaTestsUtils.AssertDecimalEquals(cci.GetValue(2), -100d);
TaTestsUtils.AssertDecimalEquals(cci.GetValue(10), 14.365);
TaTestsUtils.AssertDecimalEquals(cci.GetValue(11), 54.2544);
// Complete time frame
var results20To30 = new[] { 101.9185, 31.1946, 6.5578, 33.6078, 34.9686, 13.6027, -10.6789, -11.471, -29.2567, -128.6, -72.7273 };
for (var i = 0; i < results20To30.Length; i++)
{
TaTestsUtils.AssertDecimalEquals(cci.GetValue(i + 19), results20To30[i]);
}
}
/// <param name="series"> a time series </param>
/// <returns> a CCI correction strategy </returns>
public static Strategy BuildStrategy(TimeSeries series)
{
if (series == null)
{
throw new ArgumentException("Series cannot be null");
}
var longCci = new CciIndicator(series, 200);
var shortCci = new CciIndicator(series, 5);
var plus100 = Decimal.Hundred;
var minus100 = Decimal.ValueOf(-100);
var entryRule = (new OverIndicatorRule(longCci, plus100)).And(new UnderIndicatorRule(shortCci, minus100)); // Signal - Bull trend
var exitRule = (new UnderIndicatorRule(longCci, minus100)).And(new OverIndicatorRule(shortCci, plus100)); // Signal - Bear trend
var strategy = new Strategy(entryRule, exitRule)
{
UnstablePeriod = 5
};
return(strategy);
}