public void GetMacdTest()
{
int fastPeriod = 12;
int slowPeriod = 26;
int signalPeriod = 9;
IEnumerable <MacdResult> results = Indicator.GetMacd(history, fastPeriod, slowPeriod, signalPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - slowPeriod + 1, results.Where(x => x.Macd != null).Count());
Assert.AreEqual(502 - slowPeriod - signalPeriod + 1, results.Where(x => x.Signal != null).Count());
Assert.AreEqual(502 - slowPeriod - signalPeriod + 1, results.Where(x => x.Histogram != null).Count());
Assert.AreEqual(502 - slowPeriod - signalPeriod, results.Where(x => x.IsBullish != null).Count());
Assert.AreEqual(502 - slowPeriod - signalPeriod, results.Where(x => x.IsDiverging != null).Count());
// sample value
MacdResult result = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual((decimal) - 6.2198, Math.Round((decimal)result.Macd, 4));
Assert.AreEqual((decimal) - 5.8569, Math.Round((decimal)result.Signal, 4));
Assert.AreEqual((decimal) - 0.3629, Math.Round((decimal)result.Histogram, 4));
Assert.AreEqual(false, result.IsBullish);
Assert.AreEqual(false, result.IsDiverging);
}
public void Convergence()
{
foreach (int qty in convergeQuantities)
{
IEnumerable <Quote> h = History.GetHistoryLong(130 + qty);
IEnumerable <MacdResult> r = Indicator.GetMacd(h);
MacdResult l = r.LastOrDefault();
Console.WriteLine("MACD on {0:d} with {1,4} periods: {2:N8}",
l.Date, h.Count(), l.Macd);
}
}
public void Macd()
{
foreach (int qty in QuotesQuantities)
{
IEnumerable <Quote> quotes = TestData.GetLongish(15 + qty);
IEnumerable <MacdResult> r = quotes.GetMacd();
MacdResult l = r.LastOrDefault();
Console.WriteLine(
"MACD on {0:d} with {1,4} periods: {2:N8}",
l.Date, quotes.Count(), l.Macd);
}
}
public void Standard()
{
int fastPeriods = 12;
int slowPeriods = 26;
int signalPeriods = 9;
List <MacdResult> results =
quotes.GetMacd(fastPeriods, slowPeriods, signalPeriods)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(477, results.Where(x => x.Macd != null).Count());
Assert.AreEqual(469, results.Where(x => x.Signal != null).Count());
Assert.AreEqual(469, results.Where(x => x.Histogram != null).Count());
// sample values
MacdResult r49 = results[49];
Assert.AreEqual(1.7203m, Math.Round((decimal)r49.Macd, 4));
Assert.AreEqual(1.9675m, Math.Round((decimal)r49.Signal, 4));
Assert.AreEqual(-0.2472m, Math.Round((decimal)r49.Histogram, 4));
Assert.AreEqual(224.1840m, Math.Round((decimal)r49.FastEma, 4));
Assert.AreEqual(222.4637m, Math.Round((decimal)r49.SlowEma, 4));
MacdResult r249 = results[249];
Assert.AreEqual(2.2353m, Math.Round((decimal)r249.Macd, 4));
Assert.AreEqual(2.3141m, Math.Round((decimal)r249.Signal, 4));
Assert.AreEqual(-0.0789m, Math.Round((decimal)r249.Histogram, 4));
Assert.AreEqual(256.6780m, Math.Round((decimal)r249.FastEma, 4));
Assert.AreEqual(254.4428m, Math.Round((decimal)r249.SlowEma, 4));
MacdResult r501 = results[501];
Assert.AreEqual(-6.2198m, Math.Round((decimal)r501.Macd, 4));
Assert.AreEqual(-5.8569m, Math.Round((decimal)r501.Signal, 4));
Assert.AreEqual(-0.3629m, Math.Round((decimal)r501.Histogram, 4));
Assert.AreEqual(245.4957m, Math.Round((decimal)r501.FastEma, 4));
Assert.AreEqual(251.7155m, Math.Round((decimal)r501.SlowEma, 4));
}
public void Removed()
{
int fastPeriods = 12;
int slowPeriods = 26;
int signalPeriods = 9;
List <MacdResult> results =
quotes.GetMacd(fastPeriods, slowPeriods, signalPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - (slowPeriods + signalPeriods + 250), results.Count);
MacdResult last = results.LastOrDefault();
Assert.AreEqual(-6.2198m, Math.Round((decimal)last.Macd, 4));
Assert.AreEqual(-5.8569m, Math.Round((decimal)last.Signal, 4));
Assert.AreEqual(-0.3629m, Math.Round((decimal)last.Histogram, 4));
}
public void Standard()
{
int fastPeriod = 12;
int slowPeriod = 26;
int signalPeriod = 9;
List <MacdResult> results =
Indicator.GetMacd(history, fastPeriod, slowPeriod, signalPeriod)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(477, results.Where(x => x.Macd != null).Count());
Assert.AreEqual(469, results.Where(x => x.Signal != null).Count());
Assert.AreEqual(469, results.Where(x => x.Histogram != null).Count());
// sample values
MacdResult r1 = results[49];
Assert.AreEqual(1.7203m, Math.Round((decimal)r1.Macd, 4));
Assert.AreEqual(1.9675m, Math.Round((decimal)r1.Signal, 4));
Assert.AreEqual(-0.2472m, Math.Round((decimal)r1.Histogram, 4));
MacdResult r2 = results[249];
Assert.AreEqual(2.2353m, Math.Round((decimal)r2.Macd, 4));
Assert.AreEqual(2.3141m, Math.Round((decimal)r2.Signal, 4));
Assert.AreEqual(-0.0789m, Math.Round((decimal)r2.Histogram, 4));
MacdResult r3 = results[501];
Assert.AreEqual(-6.2198m, Math.Round((decimal)r3.Macd, 4));
Assert.AreEqual(-5.8569m, Math.Round((decimal)r3.Signal, 4));
Assert.AreEqual(-0.3629m, Math.Round((decimal)r3.Histogram, 4));
}
} // Stochastic Indicator
public Metric()
{
BB = new BollingerBandsResult();
MACD = new MacdResult();
}
// MOVING AVERAGE CONVERGENCE/DIVERGENCE (MACD) OSCILLATOR
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MacdResult> GetMacd <TQuote>(
this IEnumerable <TQuote> quotes,
int fastPeriods = 12,
int slowPeriods = 26,
int signalPeriods = 9)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdList = quotes.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateMacd(fastPeriods, slowPeriods, signalPeriods);
// initialize
List <EmaResult> emaFast = CalcEma(bdList, fastPeriods);
List <EmaResult> emaSlow = CalcEma(bdList, slowPeriods);
int length = bdList.Count;
List <BasicD> emaDiff = new();
List <MacdResult> results = new(length);
// roll through quotes
for (int i = 0; i < length; i++)
{
BasicD h = bdList[i];
EmaResult df = emaFast[i];
EmaResult ds = emaSlow[i];
MacdResult result = new()
{
Date = h.Date,
FastEma = df.Ema,
SlowEma = ds.Ema
};
if (df?.Ema != null && ds?.Ema != null)
{
double macd = (double)(df.Ema - ds.Ema);
result.Macd = (decimal)macd;
// temp data for interim EMA of macd
BasicD diff = new()
{
Date = h.Date,
Value = macd
};
emaDiff.Add(diff);
}
results.Add(result);
}
// add signal and histogram to result
List <EmaResult> emaSignal = CalcEma(emaDiff, signalPeriods);
for (int d = slowPeriods - 1; d < length; d++)
{
MacdResult r = results[d];
EmaResult ds = emaSignal[d + 1 - slowPeriods];
r.Signal = ds.Ema;
r.Histogram = r.Macd - r.Signal;
}
return(results);
}
