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DEMA and tests

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This commit is contained in:
Miha Kralj
2022-12-24 19:09:09 -08:00
parent ddcb49995b
commit 3227cc1c55
7 changed files with 420 additions and 117 deletions
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Source/Trends/DEMA_Series.cs
+3 -15
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@@ -30,6 +30,7 @@ public class DEMA_Series : Single_TSeries_Indicator
{
_k = 2.0 / (_p + 1);
_useSMA = useSMA;
_lastema1 = _lastema2 =0;
if (_data.Count > 0) { base.Add(_data); }
}
@@ -48,22 +49,9 @@ public class DEMA_Series : Single_TSeries_Indicator
_ema1 = 0;
for (int i=0; i<_buffer1.Count; i++) { _ema1 += _buffer1[i]; }
_ema1 /= _buffer1.Count;
Add_Replace_Trim(_buffer2, _ema1, _p, update);
_ema2 = 0;
for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
_ema2 /= _buffer2.Count;
_ema2 = _ema1;
}
else if(this.Count < (2*_p - 1) && _useSMA) // second _p
{
_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
Add_Replace_Trim(_buffer2, _ema1, _p, update);
_ema2 = 0;
for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; }
_ema2 /= _buffer2.Count;
}
else // all others
else
{
_ema1 = (TValue.v - _lastema1) * _k + _lastema1;
_ema2 = (_ema1 - _lastema2) * _k + _lastema2;
Tests/Tests.csproj
+3 -1
View File
@@ -9,6 +9,8 @@
<Platforms>AnyCPU;x64</Platforms>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="Python.Included" Version="3.11.1" />
<PackageReference Include="pythonnet" Version="3.0.1" />
<PackageReference Include="xunit" Version="2.4.2" />
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.5">
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
@@ -16,7 +18,7 @@
</PackageReference>
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.5.0-preview-20221221-03" />
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
<PackageReference Include="Skender.Stock.Indicators" Version="2.4.5" />
<PackageReference Include="Skender.Stock.Indicators" Version="2.4.6" />
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
<PackageReference Include="System.Text.Json" Version="7.0.1" />
</ItemGroup>
Tests/Validations/Trends/Pandas_TA.cs
+16 -4
View File
@@ -1,4 +1,4 @@
/*
using Xunit;
using System;
using QuanTAlib;
@@ -20,7 +20,7 @@ public class PandasTA : IDisposable
public PandasTA() {
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
period = rnd.Next(maxValue: 28) + 3;
sample = 200;
sample = period+1;
digits = 10;
// Checking the host OS and setting PythonDLL accordingly
@@ -186,7 +186,20 @@ public class PandasTA : IDisposable
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
}
[Fact]
void MACD() {
MACD_Series QL = new(bars.Close, 26,fast: 12,signal:9);
var pta = df.ta.macd(close: df.close).to_numpy();
for (int i = QL.Length; i > QL.Length - sample; i--) {
double QL_item = QL[i - 1].v;
double PanTA_item = (double)pta[i - 1][0];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Signal[i - 1].v;
PanTA_item = (double)pta[i - 1][2];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact] void MAD()
{
MAD_Series QL = new(bars.Close, period, useNaN: false);
@@ -380,4 +393,3 @@ public class PandasTA : IDisposable
}
}
*/
Tests/Validations/Trends/Skender.cs
+27 -22
View File
@@ -17,7 +17,7 @@ public class Skender
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
period = rnd.Next(30) + 5;
digits = 5; //minimizing rounding errors in type conversions
skip = 300;
skip = period+2;
quotes = bars.Select(q => new Quote
{
@@ -156,7 +156,7 @@ public class Skender
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
DEMA_Series QL = new(bars.Close, period, false, useSMA: true);
var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
@@ -213,20 +213,19 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
/*
[Fact]
public void KAMA()
{
// TODO: check precision of KAMA()
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
for (int i = QL.Length; i > 250; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
} */
}
[Fact]
public void LINREG()
{
@@ -253,14 +252,14 @@ public class Skender
{
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
var SK = quotes.GetMacd(12, 26, 9);
for (int i = QL.Length; i > skip; i--)
for (int i = QL.Length; i > 27; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1).Macd.Null2NaN()!, digits: digits);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
QL_item = Math.Round(QL.Signal[i - 1].v, digits: digits);
SK_item = Math.Round(SK.ElementAt(i - 1).Signal.Null2NaN()!, digits: digits);
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Macd.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
//QL_item = QL.Signal[i - 1].v;
//SK_item = SK.ElementAt(i - 1).Signal.Null2NaN()!;
//Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
[Fact]
@@ -319,11 +318,10 @@ public class Skender
{
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period).Select(i => i.Obv!);
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
for (int i = QL.Length; i > skip; i--)
{
for (int i = QL.Length; i > skip; i--) {
double QL_item = Math.Round(QL.Last().v, digits: digits);
double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits);
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -411,8 +409,7 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
/*
[Fact]
[Fact]
public void T3()
{
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false);
@@ -423,8 +420,18 @@ public class Skender
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}*/
[Fact]
}
[Fact]
public void TRIX() {
TRIX_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
for (int i = QL.Length; i > skip; i--) {
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
@@ -448,7 +455,6 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
/*
[Fact]
public void WMA()
{
@@ -461,8 +467,7 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
*/
[Fact]
[Fact]
public void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
Tests/Validations/Trends/TA_LIB.cs
+33 -29
View File
@@ -21,7 +21,7 @@ public class Ta_Lib
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = 500;
skip = period+2;
digits = 10;
TALIB = new double[bars.Count];
@@ -81,32 +81,27 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void BBANDS()
{
double[] outMiddle = new double[bars.Count];
double[] outUpper = new double[bars.Count];
double[] outLower = new double[bars.Count];
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
BBANDS_Series QL = new(bars.Close, period: period, multiplier: 2.0, false);
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: period, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL.Upper[i].v, digits: digits);
double TA_item = Math.Round(outUpper[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item);
QL_item = Math.Round(QL.Mid[i].v, digits: digits);
TA_item = Math.Round(outMiddle[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item);
QL_item = Math.Round(QL.Lower[i].v, digits: digits);
TA_item = Math.Round(outLower[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item);
double QL_item = QL.Upper[i].v;
double TA_item = outUpper[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
QL_item = QL.Mid[i].v;
TA_item = outMiddle[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
QL_item = QL.Lower[i].v;
TA_item = outLower[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
}
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Upper.Last().v, digits: digits));
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Mid.Last().v, digits: digits));
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Lower.Last().v, digits: digits));
}
*/
[Fact]
public void CCI()
{
@@ -119,7 +114,6 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void CMO() {
CMO_Series QL = new(bars.Close, period, false);
@@ -130,7 +124,6 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[Fact]
public void CORR()
{
@@ -146,9 +139,9 @@ public class Ta_Lib
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
DEMA_Series QL = new(bars.Close, period, false, useSMA: false);
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--)
for (int i = QL.Length - 1; i > skip*2; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
@@ -215,20 +208,31 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
[Fact]
public void KAMA() {
KAMA_Series QL = new(bars.Close, period, fast: 2, slow: 30);
Core.Kama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period);
for (int i = QL.Length - 1; i > skip * 15; i--) {
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MACD()
{
double[] macdSignal = new double[bars.Count];
double[] macdHist = new double[bars.Count];
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip * 10; i--)
// TA-LIB runs EMA without SMA, leaving first 100 values for convergence
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _, optInFastPeriod: 12, optInSlowPeriod: 26, optInSignalPeriod: 9);
for (int i = QL.Length - 1; i > 100; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item);
QL_item = Math.Round(QL.Signal[i].v, digits: digits);
TA_item = Math.Round(macdSignal[i - outBegIdx], digits: digits);
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Signal[i].v;
TA_item = macdSignal[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
Tests/Validations/Trends/Tulip.cs
+331 -39
View File
@@ -20,7 +20,7 @@ public class Tulip_Test
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = 200;
skip = period+1;
digits = 10;
outdata = new double[bars.Count];
@@ -40,8 +40,8 @@ public class Tulip_Test
Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
@@ -54,8 +54,8 @@ public class Tulip_Test
Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
@@ -69,8 +69,8 @@ public class Tulip_Test
Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i-period+1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
@@ -84,8 +84,8 @@ public class Tulip_Test
Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i - period + 1], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
@@ -101,47 +101,220 @@ public class Tulip_Test
Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
double TU_item = Math.Round(outlower[i - period + 1], digits);
double QL_item = QL.Lower[i].v;
double TU_item = outlower[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Mid[i].v, digits: digits);
TU_item = Math.Round(outmid[i - period + 1], digits);
QL_item = QL.Mid[i].v;
TU_item = outmid[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Upper[i].v, digits: digits);
TU_item = Math.Round(outupper[i - period + 1], digits);
QL_item = QL.Upper[i].v;
TU_item = outupper[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CCI() {
double[][] arrin = { inopen, inhigh, inlow, inclose, involume };
double[][] arrout = { outdata };
CCI_Series QL = new(bars, period, useNaN: false);
Tulip.Indicators.cci.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period-1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CMO() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
CMO_Series QL = new(bars.Close, period, useNaN: false);
Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void DEMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false);
Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip*2; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i-(period+period-2)];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void DIV() {
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
DIV_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.div.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[Fact]
public void EMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
EMA_Series QL = new(bars.Close, period, false);
// Tulip EMA doesn't use SMA to warm-up
EMA_Series QL = new(bars.Close, period, false, useSMA: false);
Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void AVGPRICE()
public void HL2() {
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
TSeries QL = bars.HL2;
Tulip.Indicators.medprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLC3() {
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.HLC3;
Tulip.Indicators.typprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLCC4() {
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.HLCC4;
Tulip.Indicators.wcprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
HMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period - 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void KAMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
KAMA_Series QL = new(bars.Close, period);
Tulip.Indicators.kama.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > 250; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void LINREG() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
LINREG_Series QL = new(bars.Close, period);
Tulip.Indicators.linregslope.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period+1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MACD() {
double[] outsignal = new double[bars.Count];
double[] outhist = new double[bars.Count];
double[][] arrin = { inclose };
double[][] arrout = { outdata, outsignal, outhist };
MACD_Series QL = new(bars.Close, slow: 26,fast: 10, signal: 9);
Tulip.Indicators.macd.Run(inputs: arrin, options: new double[] { 10,26,9 }, outputs: arrout);
for (int i = QL.Length - 1; i > 150; i--) {
double QL_item = QL[i].v;
double TU_item =outdata[i - 26+1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MAX() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
MAX_Series QL = new(bars.Close, period, false);
Tulip.Indicators.max.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i-period+1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MIN() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
MIN_Series QL = new(bars.Close, period, false);
Tulip.Indicators.min.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MUL() {
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
MUL_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.mul.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OBV() {
double[][] arrin = { inclose, involume };
double[][] arrout = { outdata };
OBV_Series QL = new(bars, period, false);
Tulip.Indicators.obv.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OHLC4()
{
double[][] arrin = { inopen, inhigh, inlow, inclose };
double[][] arrout = { outdata };
@@ -150,8 +323,32 @@ public class Tulip_Test
Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void RMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
RMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.wilders.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void RSI() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
RSI_Series QL = new(bars.Close, period, false);
Tulip.Indicators.rsi.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
@@ -164,33 +361,128 @@ public class Tulip_Test
Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i-period+1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void HMA() {
public void SDEV() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
HMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
SDEV_Series QL = new(bars.Close, period, false);
Tulip.Indicators.stddev.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period-1], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}*/
}
[Fact]
public void CMO() {
public void SUB() {
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
SUB_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.sub.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SUM() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
CMO_Series QL = new(bars.Close, period, useNaN: false);
Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
SUM_Series QL = new(bars.Close, period, false);
Tulip.Indicators.sum.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period], digits);
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TR() {
double[][] arrin = { inhigh,inlow,inclose };
double[][] arrout = { outdata };
TR_Series QL = new(bars, false);
Tulip.Indicators.tr.Run(inputs: arrin, options: new double[] {}, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TEMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TEMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.tema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TRIMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TRIMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.trima.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TRIX() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TRIX_Series QL = new(bars.Close, period, false);
Tulip.Indicators.trix.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period +1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void VAR() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
VAR_Series QL = new(bars.Close, period, false);
Tulip.Indicators.var.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void WMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
WMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.wma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ZLEMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
ZLEMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.zlema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
docs/indicators.md
+7 -7
View File
@@ -16,9 +16,9 @@
|HLCC4 - Weighted Price|`.HLCC4`|✔️WCLPRICE|||✔️wcprice|
|MIDPOINT - Midpoint value|`MIDPOINT_Series`|✔️MIDPOINT||midpoint|
|MIDPRICE - Midpoint price|`MIDPRICE_Series`|✔️MIDPRICE||midprice|
|MAX - Max value|`MAX_Series`|✔️MAX|||❌max|
|MIN - Min value|`MIN_Series`|✔️MIN|||❌min|
|SUM - Summation|`SUM_Series`|✔️SUM|||❌sum|
|MAX - Max value|`MAX_Series`|✔️MAX|||✔️max|
|MIN - Min value|`MIN_Series`|✔️MIN|||✔️min|
|SUM - Summation|`SUM_Series`|✔️SUM|||✔️sum|
|ADD - Addition|`ADD_Series`|✔️ADD|||✔️add|
|SUB - Subtraction|`SUB_Series`|✔️SUB|||✔️sub|
|MUL - Multiplication|`MUL_Series`|✔️MUL|||✔️mul|
@@ -33,7 +33,7 @@
|EDECAY - Exponential Decay|||||edecay|
|ENTROPY - Entropy|`ENTROPY_Series`|||✔️entropy|
|KURTOSIS - Kurtosis|`KURT_Series`|||✔️kurtosis|
|LINREG - Linear Regression|`LINREG_Series`||✔️GetSlope||❌linreg|
|LINREG - Linear Regression|`LINREG_Series`||✔️GetSlope||✔️linregslope|
|MAD - Mean Absolute Deviation|`MAD_Series`||✔️GetSmaAnalysis|✔️mad|
|MAPE - Mean Absolute Percent Error|`MAPE_Series`||✔️GetSmaAnalysis||
|MEDIAN - Median value|`MEDIAN_Series`|||✔️median|
@@ -52,7 +52,7 @@
||||||
|AFIRMA - Autoregressive Finite Impulse Response Moving Average|||||
|ALMA - Arnaud Legoux Moving Average|`ALMA_Series`||✔️GetAlma|alma|
|DEMA - Double EMA Average|`DEMA_Series`|❌DEMA|❌GetDema|✔️dema|❌dema|
|DEMA - Double EMA Average|`DEMA_Series`|❌DEMA|✔️GetDema|✔️dema|❌dema|
|DWMA - Double WMA Average|`DWMA_Series`|||||
|⭐EMA - Exponential Moving Average|`EMA_Series`|✔️EMA|✔️GetEma|✔️ema|✔️ema|
|EPMA - Endpoint Moving Average|||GetEpma||
@@ -64,10 +64,10 @@
|⭐HMA - Hull Moving Average|`HMA_Series`||✔️GetHma|✔️hma|✔️hma|
|HWMA - Holt-Winter Moving Average||||hwma|
|JMA - Jurik Moving Average|`JMA_Series`|||jma||
|KAMA - Kaufman's Adaptive Moving Average|`KAMA_Series`|KAMA|❌GetKama|✔️kama|❌kama|
|KAMA - Kaufman's Adaptive Moving Average|`KAMA_Series`|✔️KAMA|✔️GetKama|✔️kama|✔️kama|
|KDJ - KDJ Indicator (trend reversal)||||kdj|
|LSMA - Least Squares Moving Average|||GetEpma||
|MACD - Moving Average Convergence/Divergence|`MACD_Series`|❌MACD|❌GetMacd|macd|❌macd|
|⭐MACD - Moving Average Convergence/Divergence|`MACD_Series`|✔️MACD|✔️GetMacd|✔️macd|✔️macd|
|MAMA - MESA Adaptive Moving Average|`MAMA_Series`|✔️MAMA|✔️GetMama||
|MCGD - McGinley Dynamic||||mcgd|
|MMA - Modified Moving Average|||||