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first iteration
This commit is contained in:
Miha Kralj
+215
-79
@@ -1,74 +1,91 @@
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# QuanTAlib AI Coding Agent Instructions
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## Project Overview
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QuanTAlib is a high-performance C# library for quantitative technical analysis, targeting .NET 8.0 with real-time streaming data processing. The library provides 50+ technical indicators optimized for sub-millisecond calculations using circular buffers, SIMD operations, and event-driven architecture.
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QuanTAlib is a high-performance C# library for quantitative technical analysis targeting .NET 8.0. Provides 50+ technical indicators optimized for sub-millisecond real-time streaming calculations using circular buffers, SIMD operations, and event-driven architecture. Used in production live trading environments.
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## Critical Architecture Patterns
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### Core Data Flow
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All indicators inherit from `AbstractBase` (in `lib/core/abstractBase.cs`) which implements `ITValue`:
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All indicators inherit from `AbstractBase` (`lib/core/abstractBase.cs`) implementing `ITValue`:
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```csharp
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// Standard indicator lifecycle:
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Input → Calc() → ManageState(isNew) → Calculation() → Process() → Pub event
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TValue/TBar Input → Calc() → ManageState(isNew) → Calculation() → Process() → Pub event
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```
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**Key insight**: The `isNew` parameter distinguishes between new bars and updates to the last bar. Indicators must support both modes - this is tested extensively in `Tests/test_updates_*.cs`.
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**Critical concept**: The `isNew` parameter differentiates:
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- `isNew=true`: New bar/candle arrives → increment `_index`, backup all state variables
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- `isNew=false`: Update to current bar → restore backed-up state, recalculate with new value
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This dual-mode processing is **essential** for real-time trading where the current bar updates continuously before the next bar starts. Every indicator must handle both modes correctly - validated extensively in `Tests/test_updates_*.cs`.
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### Circular Buffer Pattern
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`CircularBuffer` (in `lib/core/circularbuffer.cs`) is the foundation for memory-efficient fixed-capacity storage:
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- Never grows beyond initial capacity
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- O(1) add/access operations
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- SIMD-optimized aggregations (Sum, Min, Max, Average)
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- **Critical**: Always use `Add(item, isNew)` - the `isNew` flag controls whether to append or update
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`CircularBuffer` (`lib/core/circularbuffer.cs`) provides memory-efficient fixed-capacity storage:
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- Never grows beyond initial capacity (fixed memory footprint regardless of data volume)
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- O(1) add/access operations with wraparound
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- SIMD-optimized aggregations (Sum, Min, Max, Average) using `System.Numerics.Vector`
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- **Critical**: Always use `Add(item, isNew)` - the `isNew` flag controls append vs update behavior
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### State Management in Indicators
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Every indicator must implement:
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Every indicator **must** implement this pattern to support bar updates:
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```csharp
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protected override void ManageState(bool isNew)
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{
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if (isNew) {
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_index++;
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_p_prevValue = _prevValue; // Backup state
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_p_prevValue = _prevValue; // Backup state
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_p_lastEma = _lastEma; // Backup all stateful variables
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} else {
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_prevValue = _p_prevValue; // Restore state
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_prevValue = _p_prevValue; // Restore state
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_lastEma = _p_lastEma; // Restore all stateful variables
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}
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}
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```
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This allows bar updates without corrupting historical calculations.
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**Pattern**: Use `_p_` prefix for backup variables (e.g., `_p_lastEma`, `_p_isInit`, `_p_e`). When `isNew=false`, restore ALL stateful variables before recalculating. See `lib/averages/Ema.cs` for reference implementation.
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## Development Workflow
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### MCP-Orchestrated Process
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**Research Gate**: Before implementing non-trivial indicators, use Context7 to retrieve authoritative formulas/references. Embed citation tags in PR descriptions.
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**Research Gate**: Before implementing non-trivial indicators, use Context7 MCP to retrieve authoritative formulas/references. Embed citation tags in PR descriptions.
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**Decomposition**: Use Sequential-Thinking for complex multi-stage work (SIMD refactors, multi-timeframe logic).
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**Decomposition**: Use Sequential-Thinking MCP for complex multi-stage work (SIMD refactors, multi-timeframe logic, performance optimization epics).
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**Task Tracking**: Taskmaster holds the canonical task graph. Feature branches follow pattern: `feature/{taskId}-{slug}`.
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**Task Tracking**: Taskmaster MCP holds the canonical task graph. Feature branches follow pattern: `feature/{taskId}-{slug}`. Tasks include: feature, performance, documentation with status transitions (not-started → in-progress → done).
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**Quality Gates**:
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1. Formula citation required for non-trivial indicators (Context7 tag)
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1. Formula citation required for non-trivial indicators (Context7 tag in PR description)
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2. Benchmark data required for performance-related changes
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3. Taskmaster task IDs must be referenced in PRs
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4. Update `memory-bank/progress.md` after merge when threshold met
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3. Taskmaster task IDs must be referenced in PR body with closing keywords
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4. Update `memory-bank/progress.md` after merge when threshold met (≥5 feature tasks or perf epic completes)
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### Build & Test Commands
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```powershell
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# Build solution
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# Build solution (or use VS Code Task: "build")
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dotnet build QuanTAlib.sln
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# Run all tests
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dotnet test --no-build
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# Run all tests (or use VS Code Task: "test")
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dotnet test --no-build --verbosity:normal
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# Run with coverage
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dotnet test /p:CollectCoverage=true /p:CoverletOutputFormat=lcov
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dotnet test /p:CollectCoverage=true /p:CoverletOutputFormat=lcov /p:CoverletOutput=./lcov.info --no-build
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# Build using tasks.json
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# Use Run Task: "build" or "test"
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# Clean build artifacts
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dotnet clean QuanTAlib.sln
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```
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**VS Code Tasks**: Use Run Task menu for `build`, `test`, `test with coverage`, `clean` - configured in `.vscode/tasks.json`.
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### Adding a New Indicator
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1. **Research**: Get formula/specification (Context7 if needed)
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2. **Location**: Place in appropriate `lib/` subdirectory (averages, oscillators, momentum, volatility, volume, statistics)
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1. **Research**: Get formula/specification. For non-trivial indicators, use Context7 to retrieve authoritative references.
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2. **Location**: Place in appropriate `lib/` subdirectory:
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- `averages/` - Moving averages (SMA, EMA, JMA, etc.)
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- `oscillators/` - RSI, Stochastic, CCI, etc.
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- `momentum/` - MACD, ADX, ROC, etc.
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- `volatility/` - ATR, Bollinger Bands, volatility measures
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- `volume/` - Volume-based indicators
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- `statistics/` - Statistical measures, correlations
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3. **Template structure**:
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```csharp
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using System.Runtime.CompilerServices;
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@@ -77,16 +94,27 @@ namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class MyIndicator : AbstractBase
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{
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private readonly int _period;
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private CircularBuffer _buffer;
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private double _prevValue, _p_prevValue; // State + backup
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private double _prevValue, _p_prevValue; // State + backup with _p_ prefix
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public MyIndicator(int period)
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{
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ArgumentOutOfRangeException.ThrowIfLessThan(period, 1);
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_period = period;
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_buffer = new(period);
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WarmupPeriod = period; // Set when indicator stabilizes
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WarmupPeriod = period; // Set when indicator stabilizes (95% accuracy)
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Name = $"MyIndicator({period})";
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Init();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Init()
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{
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base.Init();
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_prevValue = 0;
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_buffer = new(_period);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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@@ -105,118 +133,226 @@ public sealed class MyIndicator : AbstractBase
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{
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ManageState(Input.IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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// Implement calculation logic
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double result = _buffer.Average(); // Example using SIMD-optimized operation
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_prevValue = result;
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IsHot = _index >= WarmupPeriod; // Mark when indicator reaches accuracy threshold
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return result;
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}
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}
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```
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4. **Testing**: Create update test in `Tests/test_updates_*.cs`:
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4. **Testing**: Create update test in appropriate `Tests/test_updates_*.cs` file:
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```csharp
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[Fact]
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public void MyIndicator_Update()
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{
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var indicator = new MyIndicator(period: 14);
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TestTValueUpdate(indicator, indicator.Calc);
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double initialValue = indicator.Calc(new TValue(DateTime.Now, 100.0, IsNew: true));
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// Apply 100 random updates with isNew=false
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for (int i = 0; i < 100; i++)
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{
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indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
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}
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// Final value with same input should equal initial value
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double finalValue = indicator.Calc(new TValue(DateTime.Now, 100.0, IsNew: false));
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Assert.Equal(initialValue, finalValue, precision: 8);
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}
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```
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5. **Validation**: Compare against reference implementations (TALib, Trady, Skender) in appropriate test file.
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### Quantower Integration
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For platform indicators in `quantower/`, create wrapper classes inheriting from Quantower's `Indicator`:
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```csharp
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public class MyIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
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public int Period { get; set; } = 14;
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private QuanTAlib.MyIndicator? ma;
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protected LineSeries? Series;
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protected override void OnInit()
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{
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ma = new QuanTAlib.MyIndicator(period: Period);
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base.OnInit();
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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TValue input = this.GetInputValue(args, Source);
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TValue result = ma!.Calc(input);
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Series!.SetValue(result.Value);
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}
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}
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```
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- Use private `lib/` indicator instances
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- Map `OnUpdate()` to indicator's `Calc()` method
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- Extract output fields (e.g., `ma`, `jmaUp`, `jmaLo`) from indicator state
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- Map `OnUpdate()` to indicator's `Calc()` method
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- Extract output from indicator state/properties
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- Apply `IndicatorExtensions` for styling and painting
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## Code Style Requirements
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### Performance First
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- Use `[MethodImpl(MethodImplOptions.AggressiveInlining)]` for hot paths
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- Use `[MethodImpl(MethodImplOptions.AggressiveOptimization)]` for calculation methods
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- Apply `[SkipLocalsInit]` to indicator classes
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- Prefer SIMD operations in `CircularBuffer` for aggregations
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- Minimize allocations in `Calculation()` methods
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- Use `[MethodImpl(MethodImplOptions.AggressiveInlining)]` for all public methods and hot paths
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- Use `[MethodImpl(MethodImplOptions.AggressiveOptimization)]` for `Calculation()` methods
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- Apply `[SkipLocalsInit]` to indicator classes to skip zero-initialization
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- Prefer SIMD operations in `CircularBuffer` for aggregations (Sum, Min, Max, Average)
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- Minimize allocations in `Calculation()` methods - reuse buffers and avoid LINQ
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- Use `sealed` classes when possible for devirtualization
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### C# Conventions
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- **No inline comments** within methods - code should be self-documenting
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- Use XML doc comments for public APIs only
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- PascalCase for public members, _camelCase for private fields
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- **No inline comments** within methods - code should be self-documenting through clear naming
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- Use XML doc comments for public classes/methods only - include purpose, formula description, and source citations
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- PascalCase for public members, `_camelCase` for private fields
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- `_p_` prefix for backup state variables used in `ManageState()`
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- Compact code - minimal whitespace between logical blocks
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- Latest C# features: `ArgumentOutOfRangeException.ThrowIfLessThan`, pattern matching, etc.
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- Latest C# features: `ArgumentOutOfRangeException.ThrowIfLessThan`, pattern matching, collection expressions, etc.
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- No namespace imports in individual files - `Directory.Build.props` enables implicit usings
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### Project Settings
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### Project Settings (Directory.Build.props)
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- `LangVersion: preview` - use cutting-edge C# features
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- `AllowUnsafeBlocks: true` - SIMD and unsafe operations permitted
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- `Nullable: enable` - strict nullability checking
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- `Nullable: enable` - strict nullability checking enforced
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- Target: `net8.0`
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- `DisableImplicitNamespaceImports: true` - explicit namespace control
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- Release optimizations: AOT, ReadyToRun, TieredCompilation, trimming enabled
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## Key Files & Directories
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### Core Library Structure
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```
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lib/
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├── core/ # AbstractBase, CircularBuffer, TSeries, TBar, TValue
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├── averages/ # Moving averages (SMA, EMA, DEMA, TEMA, JMA, etc.)
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├── oscillators/ # RSI, Stochastic, Williams %R, CCI, Fisher
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├── momentum/ # MACD, ADX, ROC, Vortex
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├── volatility/ # ATR, Bollinger Bands, volatility measures
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├── volume/ # Volume-based indicators
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└── statistics/ # Statistical measures, correlations
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├── core/ # AbstractBase, CircularBuffer, TSeries, TBar, TValue, ITValue
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├── averages/ # Moving averages: SMA, EMA, DEMA, TEMA, JMA, KAMA, etc. (25+ indicators)
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├── oscillators/ # RSI, Stochastic, Williams %R, CCI, Fisher, CTI, etc.
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├── momentum/ # MACD, ADX, DMI, ROC, TRIX, Vortex, PMO, etc.
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├── volatility/ # ATR, Bollinger Bands, Keltner Channels, volatility measures
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├── volume/ # Volume-based indicators (OBV, MFI, etc.)
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├── statistics/ # Statistical measures, correlations
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└── errors/ # Error metrics: MAE, MSE, RMSE, MAPE, R-squared, etc.
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```
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### Critical Reference Files
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- `lib/core/abstractBase.cs` - Base class for all indicators
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- `lib/core/circularbuffer.cs` - Memory-efficient storage with SIMD
|
||||
- `Directory.Build.props` - Solution-wide MSBuild properties
|
||||
- `memory-bank/systemPatterns.md` - Architecture patterns
|
||||
- `memory-bank/activeContext.md` - Current work focus and MCP policies
|
||||
- `memory-bank/progress.md` - Completed features and roadmap
|
||||
- `lib/core/abstractBase.cs` - Base class for all indicators with lifecycle management
|
||||
- `lib/core/circularbuffer.cs` - Memory-efficient storage with SIMD operations
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||||
- `lib/core/TValue.cs` - Immutable record struct for time-value pairs with IsNew/IsHot flags
|
||||
- `lib/core/TBar.cs` - OHLCV bar data structure
|
||||
- `Directory.Build.props` - Solution-wide MSBuild properties and optimizations
|
||||
- `memory-bank/systemPatterns.md` - Architecture patterns and design decisions
|
||||
- `memory-bank/activeContext.md` - Current work focus, MCP policies, and operational rules
|
||||
- `memory-bank/progress.md` - Completed features, roadmap, and version history
|
||||
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||||
### Testing Reference
|
||||
- `Tests/test_updates_*.cs` - Update behavior validation (IsNew handling)
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- `Tests/test_updates_*.cs` - Update behavior validation (IsNew handling) - **CRITICAL TESTS**
|
||||
- `Tests/test_quantower.cs` - Quantower integration validation
|
||||
- `Tests/test_talib.cs`, `test_Trady.cs` - Cross-validation against reference libraries
|
||||
- `Tests/test_talib.cs` - Cross-validation against TA-Lib reference library
|
||||
- `Tests/test_Trady.cs` - Cross-validation against Trady reference library
|
||||
- `Tests/test_skender.stock.cs` - Cross-validation against Skender.Stock.Indicators
|
||||
|
||||
## Common Patterns
|
||||
|
||||
### Multi-Stage Smoothing
|
||||
Many indicators (DEMA, TEMA, MACD) use cascaded smoothing:
|
||||
Many indicators (DEMA, TEMA, MACD) use cascaded smoothing with child indicator instances:
|
||||
```csharp
|
||||
private readonly Ema _ema1;
|
||||
private readonly Ema _ema2;
|
||||
|
||||
_ema1.Calc(Input.Value, Input.IsNew);
|
||||
_ema2.Calc(_ema1.Value, Input.IsNew);
|
||||
public MyIndicator(int period)
|
||||
{
|
||||
_ema1 = new Ema(period);
|
||||
_ema2 = new Ema(period);
|
||||
}
|
||||
|
||||
protected override double Calculation()
|
||||
{
|
||||
_ema1.Calc(Input.Value, Input.IsNew);
|
||||
_ema2.Calc(_ema1.Value, Input.IsNew); // Feed output of first into second
|
||||
return _ema2.Value;
|
||||
}
|
||||
```
|
||||
|
||||
### Bar-Based vs Value-Based
|
||||
- **Value-based**: Accept `TValue`, process single values (most indicators)
|
||||
### Bar-Based vs Value-Based Indicators
|
||||
- **Value-based**: Accept `TValue`, process single values (most indicators like SMA, EMA, RSI)
|
||||
- **Bar-based**: Accept `TBar` (OHLCV), process bar data (ATR, Stochastic, volume indicators)
|
||||
|
||||
Override appropriate `Calc()` method:
|
||||
```csharp
|
||||
public override TValue Calc(TBar barInput) { /* ... */ }
|
||||
// For bar-based indicators
|
||||
public override TValue Calc(TBar barInput)
|
||||
{
|
||||
BarInput = barInput;
|
||||
return Process(barInput.Close, barInput.Time, barInput.IsNew);
|
||||
}
|
||||
```
|
||||
|
||||
### WarmupPeriod Calculation
|
||||
Set `WarmupPeriod` to indicate when the indicator reaches 95% accuracy:
|
||||
Set `WarmupPeriod` to indicate when the indicator reaches 95% accuracy (used for IsHot flag):
|
||||
```csharp
|
||||
WarmupPeriod = (int)Math.Ceiling(Math.Log(0.05) / Math.Log(1 - alpha));
|
||||
// For exponential smoothing with constant alpha/k
|
||||
WarmupPeriod = (int)Math.Ceiling(Math.Log(0.05) / Math.Log(1 - k));
|
||||
|
||||
// For simple period-based indicators
|
||||
WarmupPeriod = period;
|
||||
|
||||
// For multi-stage indicators
|
||||
WarmupPeriod = stage1.WarmupPeriod + stage2.WarmupPeriod;
|
||||
```
|
||||
|
||||
### Event-Driven Updates
|
||||
Indicators support pub-sub pattern through `Pub` event:
|
||||
```csharp
|
||||
// Publishing side (automatic in AbstractBase.Process())
|
||||
Pub?.Invoke(this, new ValueEventArgs(value));
|
||||
|
||||
// Subscribing side
|
||||
var ema = new Ema(20);
|
||||
ema.Pub += (sender, args) => Console.WriteLine($"New EMA value: {args.Tick.Value}");
|
||||
|
||||
// Or subscribe one indicator to another
|
||||
var sma = new Sma(10);
|
||||
var ema = new Ema(sma, period: 20); // EMA automatically subscribes to SMA's Pub event
|
||||
```
|
||||
|
||||
## Validation Strategy
|
||||
1. **Update tests**: Verify `isNew=false` behavior converges to `isNew=true` with same final value
|
||||
2. **Reference comparison**: Validate against TALib, Trady, or Skender implementations
|
||||
3. **Edge cases**: Test with insufficient data (< period), NaN/Infinity, extreme values
|
||||
4. **Performance**: Benchmark calculation time - target < 0.5ms per update
|
||||
|
||||
1. **Update tests** (CRITICAL): Verify `isNew=false` behavior converges to `isNew=true` with same final value after 100 random updates. This validates state management correctness. See `Tests/test_updates_*.cs`.
|
||||
|
||||
2. **Reference comparison**: Validate against TALib, Trady, or Skender implementations. Expect high precision match (typically 8+ decimal places).
|
||||
|
||||
3. **Edge cases**: Test with:
|
||||
- Insufficient data (count < period)
|
||||
- NaN and Infinity inputs (should propagate last valid value)
|
||||
- Extreme values (very large/small numbers)
|
||||
- Zero and negative values where applicable
|
||||
|
||||
4. **Performance**: Benchmark calculation time - target < 0.5ms per update. Use `BenchmarkDotNet` for precise measurements.
|
||||
|
||||
## Documentation Requirements
|
||||
- XML docs on public classes/methods describing purpose, formula, and sources
|
||||
- Mathematical formulas in doc comments with source citations
|
||||
- No internal comments - let code structure communicate intent
|
||||
- Update `memory-bank/progress.md` after significant feature completion
|
||||
|
||||
- XML doc comments on public classes/methods describing:
|
||||
- Purpose and use case
|
||||
- Formula/algorithm description
|
||||
- Source citations (URLs to papers, documentation, books)
|
||||
- Parameter constraints and validation
|
||||
- Mathematical formulas in doc comments with proper notation
|
||||
- No internal code comments - let code structure communicate intent through clear naming
|
||||
- Update `memory-bank/progress.md` after significant feature completion (threshold: ≥5 feature tasks merged)
|
||||
|
||||
## GitVersion & Releases
|
||||
- Semantic versioning via GitVersion.yml
|
||||
- Version properties auto-injected: `$(GitVersion_MajorMinorPatch)`
|
||||
- Commit messages influence version bumps (conventional commits)
|
||||
- Build creates NuGet package with embedded version metadata
|
||||
|
||||
- Semantic versioning via `GitVersion.yml`
|
||||
- Version properties auto-injected: `$(GitVersion_MajorMinorPatch)`, `$(GitVersion_AssemblySemVer)`
|
||||
- Commit messages influence version bumps using conventional commits:
|
||||
- `+semver: major` or `+semver: breaking` → major bump
|
||||
- `+semver: minor` or `+semver: feature` → minor bump
|
||||
- `+semver: patch` or `+semver: fix` → patch bump
|
||||
- `+semver: none` or `+semver: skip` → no bump
|
||||
- `main` branch: ContinuousDeployment mode, patch increment
|
||||
- `dev` branch: ContinuousDelivery mode, pre-release weight 30000
|
||||
- Build creates NuGet package with embedded version metadata and source link
|
||||
|
||||
@@ -0,0 +1,222 @@
|
||||
# QuanTAlib AI Coding Agent Instructions
|
||||
|
||||
## Project Overview
|
||||
QuanTAlib is a high-performance C# library for quantitative technical analysis, targeting .NET 8.0 with real-time streaming data processing. The library provides 50+ technical indicators optimized for sub-millisecond calculations using circular buffers, SIMD operations, and event-driven architecture.
|
||||
|
||||
## Critical Architecture Patterns
|
||||
|
||||
### Core Data Flow
|
||||
All indicators inherit from `AbstractBase` (in `lib/core/abstractBase.cs`) which implements `ITValue`:
|
||||
```csharp
|
||||
// Standard indicator lifecycle:
|
||||
Input → Calc() → ManageState(isNew) → Calculation() → Process() → Pub event
|
||||
```
|
||||
|
||||
**Key insight**: The `isNew` parameter distinguishes between new bars and updates to the last bar. Indicators must support both modes - this is tested extensively in `Tests/test_updates_*.cs`.
|
||||
|
||||
### Circular Buffer Pattern
|
||||
`CircularBuffer` (in `lib/core/circularbuffer.cs`) is the foundation for memory-efficient fixed-capacity storage:
|
||||
- Never grows beyond initial capacity
|
||||
- O(1) add/access operations
|
||||
- SIMD-optimized aggregations (Sum, Min, Max, Average)
|
||||
- **Critical**: Always use `Add(item, isNew)` - the `isNew` flag controls whether to append or update
|
||||
|
||||
### State Management in Indicators
|
||||
Every indicator must implement:
|
||||
```csharp
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew) {
|
||||
_index++;
|
||||
_p_prevValue = _prevValue; // Backup state
|
||||
} else {
|
||||
_prevValue = _p_prevValue; // Restore state
|
||||
}
|
||||
}
|
||||
```
|
||||
This allows bar updates without corrupting historical calculations.
|
||||
|
||||
## Development Workflow
|
||||
|
||||
### MCP-Orchestrated Process
|
||||
**Research Gate**: Before implementing non-trivial indicators, use Context7 to retrieve authoritative formulas/references. Embed citation tags in PR descriptions.
|
||||
|
||||
**Decomposition**: Use Sequential-Thinking for complex multi-stage work (SIMD refactors, multi-timeframe logic).
|
||||
|
||||
**Task Tracking**: Taskmaster holds the canonical task graph. Feature branches follow pattern: `feature/{taskId}-{slug}`.
|
||||
|
||||
**Quality Gates**:
|
||||
1. Formula citation required for non-trivial indicators (Context7 tag)
|
||||
2. Benchmark data required for performance-related changes
|
||||
3. Taskmaster task IDs must be referenced in PRs
|
||||
4. Update `memory-bank/progress.md` after merge when threshold met
|
||||
|
||||
### Build & Test Commands
|
||||
```powershell
|
||||
# Build solution
|
||||
dotnet build QuanTAlib.sln
|
||||
|
||||
# Run all tests
|
||||
dotnet test --no-build
|
||||
|
||||
# Run with coverage
|
||||
dotnet test /p:CollectCoverage=true /p:CoverletOutputFormat=lcov
|
||||
|
||||
# Build using tasks.json
|
||||
# Use Run Task: "build" or "test"
|
||||
```
|
||||
|
||||
### Adding a New Indicator
|
||||
1. **Research**: Get formula/specification (Context7 if needed)
|
||||
2. **Location**: Place in appropriate `lib/` subdirectory (averages, oscillators, momentum, volatility, volume, statistics)
|
||||
3. **Template structure**:
|
||||
```csharp
|
||||
using System.Runtime.CompilerServices;
|
||||
namespace QuanTAlib;
|
||||
|
||||
[SkipLocalsInit]
|
||||
public sealed class MyIndicator : AbstractBase
|
||||
{
|
||||
private CircularBuffer _buffer;
|
||||
private double _prevValue, _p_prevValue; // State + backup
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public MyIndicator(int period)
|
||||
{
|
||||
ArgumentOutOfRangeException.ThrowIfLessThan(period, 1);
|
||||
_buffer = new(period);
|
||||
WarmupPeriod = period; // Set when indicator stabilizes
|
||||
Name = $"MyIndicator({period})";
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew) {
|
||||
_index++;
|
||||
_p_prevValue = _prevValue;
|
||||
} else {
|
||||
_prevValue = _p_prevValue;
|
||||
}
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(Input.IsNew);
|
||||
_buffer.Add(Input.Value, Input.IsNew);
|
||||
// Implement calculation logic
|
||||
return result;
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
4. **Testing**: Create update test in `Tests/test_updates_*.cs`:
|
||||
```csharp
|
||||
[Fact]
|
||||
public void MyIndicator_Update()
|
||||
{
|
||||
var indicator = new MyIndicator(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
```
|
||||
|
||||
### Quantower Integration
|
||||
For platform indicators in `quantower/`, create wrapper classes inheriting from Quantower's `Indicator`:
|
||||
- Use private `lib/` indicator instances
|
||||
- Map `OnUpdate()` to indicator's `Calc()` method
|
||||
- Extract output fields (e.g., `ma`, `jmaUp`, `jmaLo`) from indicator state
|
||||
|
||||
## Code Style Requirements
|
||||
|
||||
### Performance First
|
||||
- Use `[MethodImpl(MethodImplOptions.AggressiveInlining)]` for hot paths
|
||||
- Use `[MethodImpl(MethodImplOptions.AggressiveOptimization)]` for calculation methods
|
||||
- Apply `[SkipLocalsInit]` to indicator classes
|
||||
- Prefer SIMD operations in `CircularBuffer` for aggregations
|
||||
- Minimize allocations in `Calculation()` methods
|
||||
|
||||
### C# Conventions
|
||||
- **No inline comments** within methods - code should be self-documenting
|
||||
- Use XML doc comments for public APIs only
|
||||
- PascalCase for public members, _camelCase for private fields
|
||||
- Compact code - minimal whitespace between logical blocks
|
||||
- Latest C# features: `ArgumentOutOfRangeException.ThrowIfLessThan`, pattern matching, etc.
|
||||
|
||||
### Project Settings
|
||||
- `LangVersion: preview` - use cutting-edge C# features
|
||||
- `AllowUnsafeBlocks: true` - SIMD and unsafe operations permitted
|
||||
- `Nullable: enable` - strict nullability checking
|
||||
- Target: `net8.0`
|
||||
|
||||
## Key Files & Directories
|
||||
|
||||
### Core Library Structure
|
||||
```
|
||||
lib/
|
||||
├── core/ # AbstractBase, CircularBuffer, TSeries, TBar, TValue
|
||||
├── averages/ # Moving averages (SMA, EMA, DEMA, TEMA, JMA, etc.)
|
||||
├── oscillators/ # RSI, Stochastic, Williams %R, CCI, Fisher
|
||||
├── momentum/ # MACD, ADX, ROC, Vortex
|
||||
├── volatility/ # ATR, Bollinger Bands, volatility measures
|
||||
├── volume/ # Volume-based indicators
|
||||
└── statistics/ # Statistical measures, correlations
|
||||
```
|
||||
|
||||
### Critical Reference Files
|
||||
- `lib/core/abstractBase.cs` - Base class for all indicators
|
||||
- `lib/core/circularbuffer.cs` - Memory-efficient storage with SIMD
|
||||
- `Directory.Build.props` - Solution-wide MSBuild properties
|
||||
- `memory-bank/systemPatterns.md` - Architecture patterns
|
||||
- `memory-bank/activeContext.md` - Current work focus and MCP policies
|
||||
- `memory-bank/progress.md` - Completed features and roadmap
|
||||
|
||||
### Testing Reference
|
||||
- `Tests/test_updates_*.cs` - Update behavior validation (IsNew handling)
|
||||
- `Tests/test_quantower.cs` - Quantower integration validation
|
||||
- `Tests/test_talib.cs`, `test_Trady.cs` - Cross-validation against reference libraries
|
||||
|
||||
## Common Patterns
|
||||
|
||||
### Multi-Stage Smoothing
|
||||
Many indicators (DEMA, TEMA, MACD) use cascaded smoothing:
|
||||
```csharp
|
||||
private readonly Ema _ema1;
|
||||
private readonly Ema _ema2;
|
||||
|
||||
_ema1.Calc(Input.Value, Input.IsNew);
|
||||
_ema2.Calc(_ema1.Value, Input.IsNew);
|
||||
```
|
||||
|
||||
### Bar-Based vs Value-Based
|
||||
- **Value-based**: Accept `TValue`, process single values (most indicators)
|
||||
- **Bar-based**: Accept `TBar` (OHLCV), process bar data (ATR, Stochastic, volume indicators)
|
||||
|
||||
Override appropriate `Calc()` method:
|
||||
```csharp
|
||||
public override TValue Calc(TBar barInput) { /* ... */ }
|
||||
```
|
||||
|
||||
### WarmupPeriod Calculation
|
||||
Set `WarmupPeriod` to indicate when the indicator reaches 95% accuracy:
|
||||
```csharp
|
||||
WarmupPeriod = (int)Math.Ceiling(Math.Log(0.05) / Math.Log(1 - alpha));
|
||||
```
|
||||
|
||||
## Validation Strategy
|
||||
1. **Update tests**: Verify `isNew=false` behavior converges to `isNew=true` with same final value
|
||||
2. **Reference comparison**: Validate against TALib, Trady, or Skender implementations
|
||||
3. **Edge cases**: Test with insufficient data (< period), NaN/Infinity, extreme values
|
||||
4. **Performance**: Benchmark calculation time - target < 0.5ms per update
|
||||
|
||||
## Documentation Requirements
|
||||
- XML docs on public classes/methods describing purpose, formula, and sources
|
||||
- Mathematical formulas in doc comments with source citations
|
||||
- No internal comments - let code structure communicate intent
|
||||
- Update `memory-bank/progress.md` after significant feature completion
|
||||
|
||||
## GitVersion & Releases
|
||||
- Semantic versioning via GitVersion.yml
|
||||
- Version properties auto-injected: `$(GitVersion_MajorMinorPatch)`
|
||||
- Commit messages influence version bumps (conventional commits)
|
||||
- Build creates NuGet package with embedded version metadata
|
||||
Vendored
+3
-1
@@ -1,5 +1,7 @@
|
||||
{
|
||||
"recommendations": [
|
||||
"ms-dotnettools.csdevkit",
|
||||
"ms-dotnettools.csharp",
|
||||
"bierner.markdown-mermaid"
|
||||
]
|
||||
}
|
||||
}
|
||||
|
||||
Vendored
+181
-1
@@ -1,4 +1,121 @@
|
||||
{
|
||||
// ???????????????????????????????????????????????????????????????????
|
||||
// GitHub Copilot Settings for QuanTAlib Workspace
|
||||
// Optimized for high-performance financial library development
|
||||
// ???????????????????????????????????????????????????????????????????
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Copilot Core Settings
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
// Enable Copilot completions (suggestions appear automatically)
|
||||
"github.copilot.editor.enableAutoCompletions": true,
|
||||
|
||||
// Enable Copilot for all file types
|
||||
"github.copilot.enable": {
|
||||
"*": true,
|
||||
"plaintext": false,
|
||||
"markdown": true,
|
||||
"scminput": false
|
||||
},
|
||||
|
||||
// Show inline suggestions
|
||||
"editor.inlineSuggest.enabled": true,
|
||||
|
||||
// Always show the inline suggestion toolbar
|
||||
"editor.inlineSuggest.showToolbar": "always",
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Copilot Chat Settings (Manual Review Required)
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
// DO NOT auto-apply chat edits - require manual review for quality control
|
||||
"chat.editing.autoApply": "off",
|
||||
|
||||
// Confirm before removing edit requests
|
||||
"chat.editing.confirmEditRequestRemoval": true,
|
||||
|
||||
// Show chat panel on the side
|
||||
"chat.editor.wordWrap": "on",
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Editor Settings for Productivity
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
// Enable quick suggestions in all contexts
|
||||
"editor.quickSuggestions": {
|
||||
"other": true,
|
||||
"comments": true,
|
||||
"strings": true
|
||||
},
|
||||
|
||||
// Show suggestions on trigger characters
|
||||
"editor.suggestOnTriggerCharacters": true,
|
||||
|
||||
// Accept suggestion on commit character (like dot, parenthesis)
|
||||
"editor.acceptSuggestionOnCommitCharacter": true,
|
||||
|
||||
// Faster suggestion appearance
|
||||
"editor.quickSuggestionsDelay": 0,
|
||||
|
||||
// Show snippet suggestions with other suggestions
|
||||
"editor.snippetSuggestions": "inline",
|
||||
|
||||
// Tab key behavior
|
||||
"editor.tabCompletion": "on",
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// C# Specific Settings
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
"[csharp]": {
|
||||
"editor.formatOnSave": true,
|
||||
"editor.formatOnPaste": true,
|
||||
"editor.codeActionsOnSave": {
|
||||
"source.organizeImports": "explicit"
|
||||
},
|
||||
"editor.quickSuggestions": {
|
||||
"other": true,
|
||||
"comments": true,
|
||||
"strings": true
|
||||
}
|
||||
},
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Performance & Quality Control
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
// Save automatically (helps with Copilot context)
|
||||
"files.autoSave": "afterDelay",
|
||||
"files.autoSaveDelay": 1000,
|
||||
|
||||
// Show whitespace (important for performance-critical code)
|
||||
"editor.renderWhitespace": "boundary",
|
||||
|
||||
// Show inline parameter hints
|
||||
"editor.inlayHints.enabled": "on",
|
||||
|
||||
// Highlight matching brackets
|
||||
"editor.bracketPairColorization.enabled": true,
|
||||
"editor.guides.bracketPairs": true,
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Git Integration
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
// Auto-fetch git changes
|
||||
"git.autofetch": true,
|
||||
|
||||
// Confirm before synchronizing
|
||||
"git.confirmSync": false,
|
||||
|
||||
// Show inline blame
|
||||
"git.decorations.enabled": true,
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Terminal Settings (Preserved from original)
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
"terminal.integrated.defaultProfile.windows": "PowerShell",
|
||||
"terminal.integrated.profiles.windows": {
|
||||
"PowerShell": {
|
||||
@@ -6,5 +123,68 @@
|
||||
"icon": "terminal-powershell"
|
||||
}
|
||||
},
|
||||
"terminal.integrated.shellIntegration.enabled": true
|
||||
"terminal.integrated.shellIntegration.enabled": true,
|
||||
"terminal.integrated.suggest.enabled": true,
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// File Exclusions (Reduce Noise)
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
"files.exclude": {
|
||||
"**/bin": true,
|
||||
"**/obj": true,
|
||||
"**/.vs": true,
|
||||
"**/node_modules": true,
|
||||
"**/.git": false
|
||||
},
|
||||
|
||||
"search.exclude": {
|
||||
"**/bin": true,
|
||||
"**/obj": true,
|
||||
"**/node_modules": true,
|
||||
"**/.vs": true,
|
||||
"**/coverage": true
|
||||
},
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// .NET Specific Settings
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
"omnisharp.enableEditorConfigSupport": true,
|
||||
"omnisharp.enableRoslynAnalyzers": true,
|
||||
"dotnet.backgroundAnalysis.enabled": true,
|
||||
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
// Testing Integration
|
||||
// ?????????????????????????????????????????????????????????????????
|
||||
|
||||
"dotnet.defaultSolution": "QuanTAlib.sln",
|
||||
"dotnet.testController.enabled": true,
|
||||
"dotnet.testExplorer.enabled": true,
|
||||
"dotnet-test-explorer.autoExpandTree": true,
|
||||
"dotnet-test-explorer.autoWatch": false,
|
||||
"dotnet-test-explorer.runAfterBuild": false,
|
||||
"dotnet.completion.showCompletionItemsFromUnimportedNamespaces": true,
|
||||
"dotnet.server.useOmnisharp": false,
|
||||
|
||||
"testing.automaticallyOpenPeekView": "never",
|
||||
"testing.openTesting": "neverOpen",
|
||||
"testing.automaticallyOpenTestResults": "neverOpen"
|
||||
|
||||
// ???????????????????????????????????????????????????????????????????
|
||||
// Keyboard Shortcuts Reference
|
||||
// ???????????????????????????????????????????????????????????????????
|
||||
// Tab - Accept inline suggestion
|
||||
// Ctrl+? - Accept next word
|
||||
// Ctrl+Enter - Accept line
|
||||
// Esc - Dismiss suggestion
|
||||
// Alt+] - Next suggestion
|
||||
// Alt+[ - Previous suggestion
|
||||
// Ctrl+I - Open Copilot Chat
|
||||
//
|
||||
// Quality Control Reminders:
|
||||
// ? Review all Copilot suggestions for optimization patterns
|
||||
// ? Run tests after accepting: dotnet test
|
||||
// ? Check performance impact with benchmarks
|
||||
// ? Validate against reference implementations
|
||||
}
|
||||
|
||||
Vendored
+53
-61
@@ -1,62 +1,54 @@
|
||||
{
|
||||
"version": "2.0.0",
|
||||
"tasks": [
|
||||
{
|
||||
"label": "build",
|
||||
"command": "dotnet",
|
||||
"type": "process",
|
||||
"args": [
|
||||
"build",
|
||||
"${workspaceFolder}/QuanTAlib.sln",
|
||||
"/property:GenerateFullPaths=true",
|
||||
"/consoleloggerparameters:NoSummary"
|
||||
],
|
||||
"problemMatcher": "$msCompile",
|
||||
"group": {
|
||||
"kind": "build",
|
||||
"isDefault": true
|
||||
}
|
||||
},
|
||||
{
|
||||
"label": "test",
|
||||
"command": "dotnet",
|
||||
"type": "process",
|
||||
"args": [
|
||||
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|
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||||
"test",
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||||
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|
||||
"/p:CollectCoverage=true",
|
||||
"/p:CoverletOutputFormat=lcov",
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||||
"/p:CoverletOutput=./lcov.info",
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|
||||
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||||
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|
||||
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|
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
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|
||||
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|
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||||
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|
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||||
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||||
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|
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+61
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@@ -1,85 +1,91 @@
|
||||
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Microsoft Visual Studio Solution File, Format Version 12.00
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|
||||
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|
||||
EndProject
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|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "examples", "examples", "{B36A84DF-456D-A817-6EDD-3EC3E7F6E11F}"
|
||||
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|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "CoreTypes", "examples\CoreTypes\CoreTypes.csproj", "{8AB1BE0C-06AE-4EE2-B45A-4F8CE6381782}"
|
||||
EndProject
|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "_Experiments", "quantower\Experiments\_Experiments.csproj", "{87051F5D-8006-0241-4339-A1B2D29EA094}"
|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "lib", "lib", "{3A8DF596-E814-FECC-DD4B-D8EF8AAC1A0D}"
|
||||
EndProject
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|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "tests", "tests", "{0AB3BF05-4346-4AA6-1389-037BE0695223}"
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|
||||
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuanTAlib.Tests", "tests\QuanTAlib.Tests\QuanTAlib.Tests.csproj", "{43CA2584-D4AD-4082-AFF4-68B3D1239221}"
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|
||||
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "feeds", "feeds", "{2B942E44-74DA-CD21-D337-7A5E9D347C1B}"
|
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "_Volatility", "quantower\Volatility\_Volatility.csproj", "{4FAD1FB1-4696-ABF4-50D9-162F81114A20}"
|
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "_Volume", "quantower\Volume\_Volume.csproj", "{03C2D1D7-AB94-445B-2127-285A367DC6A6}"
|
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "GbmExample", "examples\feeds\GbmExample.csproj", "{B27145AF-B255-4D6E-827B-3512952FB29C}"
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||||
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||||
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@@ -1,56 +0,0 @@
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||||
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||||
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||||
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|
||||
<PackageReference Include="System.Text.Encodings.Web" Version="10.0.0-rc.1.25451.107" />
|
||||
<PackageReference Include="xunit" Version="2.9.2" />
|
||||
<PackageReference Include="coverlet.collector" Version="6.0.2" />
|
||||
<PackageReference Include="xunit.runner.visualstudio" Version="3.0.0-pre.42">
|
||||
<PrivateAssets>all</PrivateAssets>
|
||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
||||
</PackageReference>
|
||||
<PackageReference Include="xunit.runner.console" Version="2.9.2">
|
||||
<PrivateAssets>all</PrivateAssets>
|
||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
||||
</PackageReference>
|
||||
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.11.1" />
|
||||
|
||||
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
|
||||
<PackageReference Include="System.Net.Http" Version="4.3.4" />
|
||||
<PackageReference Include="Newtonsoft.Json" Version="13.0.3" />
|
||||
<PackageReference Include="Microsoft.Extensions.Logging.Abstractions" Version="9.0.0" />
|
||||
|
||||
<PackageReference Include="Skender.Stock.Indicators" Version="2.5.1" />
|
||||
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
|
||||
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
|
||||
<PackageReference Include="Trady.Analysis" Version="3.2.8" />
|
||||
</ItemGroup>
|
||||
|
||||
<ItemGroup>
|
||||
<Reference Include="TradingPlatform.BusinessLayer">
|
||||
<HintPath>..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
|
||||
</Reference>
|
||||
<None Include="..\.github\TradingPlatform.BusinessLayer.xml">
|
||||
<Link>TradingPlatform.BusinessLayer.xml</Link>
|
||||
</None>
|
||||
</ItemGroup>
|
||||
|
||||
<ItemGroup>
|
||||
<ProjectReference Include="..\lib\*.csproj" />
|
||||
<ProjectReference Include="..\quantower\Volatility\_Volatility.csproj" Aliases="volatility" />
|
||||
<ProjectReference Include="..\quantower\Averages\_Averages.csproj" Aliases="averages" />
|
||||
<ProjectReference Include="..\quantower\Statistics\_Statistics.csproj" Aliases="statistics" />
|
||||
<ProjectReference Include="..\quantower\Momentum\_Momentum.csproj" Aliases="momentum" />
|
||||
<ProjectReference Include="..\quantower\Oscillators\_Oscillators.csproj" Aliases="oscillators" />
|
||||
<ProjectReference Include="..\quantower\Volume\_Volume.csproj" Aliases="volume" />
|
||||
<ProjectReference Include="..\quantower\Experiments\_Experiments.csproj" Aliases="experiments" />
|
||||
</ItemGroup>
|
||||
|
||||
</Project>
|
||||
@@ -1,91 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public abstract class UpdateTestBase
|
||||
{
|
||||
protected readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
protected const int RandomUpdates = 100;
|
||||
protected const double ReferenceValue = 100.0;
|
||||
protected const int precision = 8;
|
||||
|
||||
protected double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
protected TBar GetRandomBar(bool IsNew)
|
||||
{
|
||||
double open = GetRandomDouble();
|
||||
double high = open + Math.Abs(GetRandomDouble());
|
||||
double low = open - Math.Abs(GetRandomDouble());
|
||||
double close = low + ((high - low) * GetRandomDouble());
|
||||
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
|
||||
}
|
||||
|
||||
protected void TestTValueUpdate<T>(T indicator, Func<TValue, TValue> calc) where T : class
|
||||
{
|
||||
var initialValue = calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
var finalValue = calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue.Value, finalValue.Value, precision);
|
||||
}
|
||||
|
||||
protected void TestTBarUpdate<T>(T indicator, Func<TBar, TValue> calc) where T : class
|
||||
{
|
||||
TBar r = GetRandomBar(true);
|
||||
var initialValue = calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
var finalValue = calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue.Value, finalValue.Value, precision);
|
||||
}
|
||||
|
||||
protected void TestDualTValueUpdate<T>(T indicator, Func<TValue, TValue, TValue> calc) where T : class
|
||||
{
|
||||
var initialValue = calc(
|
||||
new TValue(DateTime.Now, ReferenceValue, IsNew: true),
|
||||
new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
calc(
|
||||
new TValue(DateTime.Now, GetRandomDouble(), IsNew: false),
|
||||
new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
var finalValue = calc(
|
||||
new TValue(DateTime.Now, ReferenceValue, IsNew: false),
|
||||
new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue.Value, finalValue.Value, precision);
|
||||
}
|
||||
|
||||
protected void TestDualTBarUpdate<T>(T indicator, Func<TBar, TBar, TValue> calc) where T : class
|
||||
{
|
||||
TBar bar1 = GetRandomBar(true);
|
||||
TBar bar2 = GetRandomBar(true);
|
||||
var initialValue = calc(bar1, bar2);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
calc(GetRandomBar(false), GetRandomBar(false));
|
||||
}
|
||||
var finalValue = calc(
|
||||
new TBar(bar1.Time, bar1.Open, bar1.High, bar1.Low, bar1.Close, bar1.Volume, false),
|
||||
new TBar(bar2.Time, bar2.Open, bar2.High, bar2.Low, bar2.Close, bar2.Volume, false));
|
||||
|
||||
Assert.Equal(initialValue.Value, finalValue.Value, precision);
|
||||
}
|
||||
}
|
||||
@@ -1,108 +0,0 @@
|
||||
using Xunit;
|
||||
using Trady.Analysis.Indicator;
|
||||
using Trady.Core;
|
||||
using Trady.Core.Infrastructure;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class TradyTests
|
||||
{
|
||||
private readonly TBarSeries bars;
|
||||
private readonly GbmFeed feed;
|
||||
private readonly RandomNumberGenerator rng;
|
||||
private readonly double range;
|
||||
private readonly int iterations;
|
||||
private readonly int skip;
|
||||
private readonly IEnumerable<IOhlcv> Candles;
|
||||
|
||||
public TradyTests()
|
||||
{
|
||||
rng = RandomNumberGenerator.Create();
|
||||
feed = new(sigma: 0.5, mu: 0.0);
|
||||
bars = new(feed);
|
||||
range = 1e-9;
|
||||
feed.Add(10000);
|
||||
iterations = 3;
|
||||
skip = 500;
|
||||
Candles = bars.Select(bar => new Candle(
|
||||
bar.Time,
|
||||
(decimal)bar.Open,
|
||||
(decimal)bar.High,
|
||||
(decimal)bar.Low,
|
||||
(decimal)bar.Close,
|
||||
(decimal)bar.Volume
|
||||
)).ToList();
|
||||
}
|
||||
|
||||
private int GetRandomNumber(int minValue, int maxValue)
|
||||
{
|
||||
byte[] randomBytes = new byte[4];
|
||||
rng.GetBytes(randomBytes);
|
||||
int randomInt = BitConverter.ToInt32(randomBytes, 0);
|
||||
return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Sma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
|
||||
var Trady = new SimpleMovingAverage(Candles, period)
|
||||
.Compute()
|
||||
.Select(result => new
|
||||
{
|
||||
Date = result.DateTime,
|
||||
Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
|
||||
})
|
||||
.ToList();
|
||||
|
||||
Assert.Equal(QL.Length, Trady.Count);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].Value;
|
||||
double Tr_item = Trady[i].Value;
|
||||
Assert.InRange(Tr_item - QL_item, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Ema ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
|
||||
var Trady = new ExponentialMovingAverage(Candles, period)
|
||||
.Compute()
|
||||
.Select(result => new
|
||||
{
|
||||
Date = result.DateTime,
|
||||
Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
|
||||
})
|
||||
.ToList();
|
||||
|
||||
Assert.Equal(QL.Length, Trady.Count);
|
||||
for (int i = QL.Length - 1; i > skip * 2; i--)
|
||||
{
|
||||
double QL_item = QL[i].Value;
|
||||
double Tr_item = Trady[i].Value;
|
||||
Assert.InRange(Tr_item - QL_item, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,88 +0,0 @@
|
||||
using Xunit;
|
||||
using Tulip;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class TulipTests
|
||||
{
|
||||
private readonly GbmFeed feed;
|
||||
private readonly RandomNumberGenerator rng;
|
||||
private readonly double range;
|
||||
private readonly int iterations;
|
||||
private readonly double[] data;
|
||||
private readonly double[] outdata;
|
||||
private readonly int skip;
|
||||
|
||||
public TulipTests()
|
||||
{
|
||||
rng = RandomNumberGenerator.Create();
|
||||
feed = new(sigma: 0.5, mu: 0.0);
|
||||
range = 1e-9;
|
||||
feed.Add(10000);
|
||||
iterations = 3;
|
||||
skip = 500;
|
||||
data = feed.Close.v.ToArray();
|
||||
outdata = new double[data.Count()];
|
||||
}
|
||||
|
||||
private int GetRandomNumber(int minValue, int maxValue)
|
||||
{
|
||||
byte[] randomBytes = new byte[4];
|
||||
rng.GetBytes(randomBytes);
|
||||
int randomInt = BitConverter.ToInt32(randomBytes, 0);
|
||||
return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Sma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
|
||||
double[][] arrin = [data];
|
||||
double[][] arrout = [outdata];
|
||||
Tulip.Indicators.sma.Run(inputs: arrin, options: [period], outputs: arrout);
|
||||
Assert.Equal(QL.Length, arrout[0].Length);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].Value;
|
||||
double TU = i < period - 1 ? double.NaN : arrout[0][i - period + 1];
|
||||
Assert.InRange(TU - QL_item, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 35);
|
||||
Ema ma = new(period, useSma: false);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
|
||||
double[][] arrin = [data];
|
||||
double[][] arrout = [outdata];
|
||||
Tulip.Indicators.ema.Run(inputs: arrin, options: [period], outputs: arrout);
|
||||
|
||||
Assert.Equal(QL.Length, arrout[0].Length);
|
||||
for (int i = QL.Length - 1; i > skip * 2; i--) //Initial Tulip Ema value is (wrongly) set to the first input value - therefore large skip
|
||||
{
|
||||
double QL_item = QL[i].Value;
|
||||
double TU = arrout[0][i];
|
||||
Assert.True(Math.Abs(TU - QL_item) <= range, $"Assertion failed at index {i} for period {period}: TU = {TU}, QL_item = {QL_item}, delta = {TU - QL_item}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,251 +0,0 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class CoreTests
|
||||
{
|
||||
#region CircularBuffer Tests
|
||||
|
||||
[Fact]
|
||||
public void CircularBuffer_BasicOperations()
|
||||
{
|
||||
var buffer = new CircularBuffer(5);
|
||||
|
||||
// Test initial state
|
||||
Assert.Equal(5, buffer.Capacity);
|
||||
Assert.Equal(0, buffer.Count);
|
||||
|
||||
// Test adding items
|
||||
buffer.Add(1.0);
|
||||
buffer.Add(2.0);
|
||||
Assert.Equal(2, buffer.Count);
|
||||
Assert.Equal(1.0, buffer[0]);
|
||||
Assert.Equal(2.0, buffer[^1]);
|
||||
|
||||
// Test overflow behavior
|
||||
buffer.Add(3.0);
|
||||
buffer.Add(4.0);
|
||||
buffer.Add(5.0);
|
||||
buffer.Add(6.0); // Should remove oldest item (1.0)
|
||||
Assert.Equal(5, buffer.Count);
|
||||
Assert.Equal(2.0, buffer[0]);
|
||||
Assert.Equal(6.0, buffer[^1]);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CircularBuffer_UpdateBehavior()
|
||||
{
|
||||
var buffer = new CircularBuffer(3);
|
||||
|
||||
// Add new values
|
||||
buffer.Add(1.0, isNew: true);
|
||||
buffer.Add(2.0, isNew: true);
|
||||
Assert.Equal(2, buffer.Count);
|
||||
|
||||
// Update last value
|
||||
buffer.Add(2.5, isNew: false);
|
||||
Assert.Equal(2, buffer.Count);
|
||||
Assert.Equal(2.5, buffer[^1]);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CircularBuffer_MinMaxSumAverage()
|
||||
{
|
||||
var buffer = new CircularBuffer(5);
|
||||
|
||||
buffer.Add(1.0);
|
||||
buffer.Add(2.0);
|
||||
buffer.Add(3.0);
|
||||
buffer.Add(4.0);
|
||||
buffer.Add(5.0);
|
||||
|
||||
Assert.Equal(1.0, buffer.Min());
|
||||
Assert.Equal(5.0, buffer.Max());
|
||||
Assert.Equal(15.0, buffer.Sum());
|
||||
Assert.Equal(3.0, buffer.Average());
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CircularBuffer_Enumeration()
|
||||
{
|
||||
var buffer = new CircularBuffer(3);
|
||||
|
||||
buffer.Add(1.0);
|
||||
buffer.Add(2.0);
|
||||
buffer.Add(3.0);
|
||||
|
||||
var list = buffer.ToList();
|
||||
Assert.Equal(3, list.Count);
|
||||
Assert.Equal(1.0, list[0]);
|
||||
Assert.Equal(3.0, list[2]);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region TBar Tests
|
||||
|
||||
[Fact]
|
||||
public void TBar_Construction()
|
||||
{
|
||||
// Default constructor
|
||||
var bar1 = new TBar();
|
||||
Assert.Equal(0, bar1.Open);
|
||||
Assert.True(bar1.IsNew);
|
||||
|
||||
// Value constructor
|
||||
var bar2 = new TBar(10.0);
|
||||
Assert.Equal(10.0, bar2.Open);
|
||||
Assert.Equal(10.0, bar2.High);
|
||||
Assert.Equal(10.0, bar2.Low);
|
||||
Assert.Equal(10.0, bar2.Close);
|
||||
|
||||
// Full constructor
|
||||
var time = DateTime.Now;
|
||||
var bar3 = new TBar(time, 10.0, 12.0, 9.0, 11.0, 1000.0, false);
|
||||
Assert.Equal(time, bar3.Time);
|
||||
Assert.Equal(10.0, bar3.Open);
|
||||
Assert.Equal(12.0, bar3.High);
|
||||
Assert.Equal(9.0, bar3.Low);
|
||||
Assert.Equal(11.0, bar3.Close);
|
||||
Assert.Equal(1000.0, bar3.Volume);
|
||||
Assert.False(bar3.IsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TBar_DerivedValues()
|
||||
{
|
||||
var bar = new TBar(DateTime.Now, 10.0, 20.0, 5.0, 15.0, 1000.0);
|
||||
|
||||
Assert.Equal(12.5, bar.HL2); // (20 + 5) / 2
|
||||
Assert.Equal(12.5, bar.OC2); // (10 + 15) / 2
|
||||
Assert.Equal(11.67, bar.OHL3, 2); // (10 + 20 + 5) / 3
|
||||
Assert.Equal(13.33, bar.HLC3, 2); // (20 + 5 + 15) / 3
|
||||
Assert.Equal(12.5, bar.OHLC4); // (10 + 20 + 5 + 15) / 4
|
||||
Assert.Equal(13.75, bar.HLCC4); // (20 + 5 + 15 + 15) / 4
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TBarSeries_Operations()
|
||||
{
|
||||
var series = new TBarSeries();
|
||||
var time = DateTime.Now;
|
||||
var bar1 = new TBar(time, 10.0, 12.0, 9.0, 11.0, 1000.0);
|
||||
var bar2 = new TBar(time.AddMinutes(1), 11.0, 13.0, 10.0, 12.0, 1100.0);
|
||||
|
||||
// Test adding bars
|
||||
series.Add(bar1);
|
||||
series.Add(bar2);
|
||||
Assert.Equal(2, series.Count);
|
||||
|
||||
// Test updating last bar
|
||||
var bar2Update = new TBar(bar2.Time, 11.0, 13.5, 9.5, 12.5, 1200.0, false);
|
||||
series.Add(bar2Update);
|
||||
Assert.Equal(2, series.Count);
|
||||
Assert.Equal(12.5, series.Last.Close);
|
||||
|
||||
// Test derived series
|
||||
Assert.Equal(11.0, series.Open.Last.Value);
|
||||
Assert.Equal(13.5, series.High.Last.Value);
|
||||
Assert.Equal(9.5, series.Low.Last.Value);
|
||||
Assert.Equal(12.5, series.Close.Last.Value);
|
||||
Assert.Equal(1200.0, series.Volume.Last.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region TValue Tests
|
||||
|
||||
[Fact]
|
||||
public void TValue_Construction()
|
||||
{
|
||||
// Default constructor
|
||||
var value1 = new TValue();
|
||||
Assert.Equal(0, value1.Value);
|
||||
Assert.True(value1.IsNew);
|
||||
Assert.True(value1.IsHot);
|
||||
|
||||
// Value constructor
|
||||
var value2 = new TValue(10.0);
|
||||
Assert.Equal(10.0, value2.Value);
|
||||
|
||||
// Full constructor
|
||||
var time = DateTime.Now;
|
||||
var value3 = new TValue(time, 10.0, false, false);
|
||||
Assert.Equal(time, value3.Time);
|
||||
Assert.Equal(10.0, value3.Value);
|
||||
Assert.False(value3.IsNew);
|
||||
Assert.False(value3.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TValue_Conversions()
|
||||
{
|
||||
var value = new TValue(10.0);
|
||||
|
||||
// Test implicit conversions
|
||||
double d = value;
|
||||
Assert.Equal(10.0, d);
|
||||
|
||||
DateTime time = value;
|
||||
Assert.Equal(value.Time, time);
|
||||
|
||||
// Test implicit conversion from double
|
||||
TValue newValue = 20.0;
|
||||
Assert.Equal(20.0, newValue.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TSeries_Operations()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var time = DateTime.Now;
|
||||
|
||||
// Test adding values
|
||||
series.Add(time, 10.0);
|
||||
series.Add(time.AddMinutes(1), 20.0);
|
||||
Assert.Equal(2, series.Count);
|
||||
|
||||
// Test updating last value
|
||||
series.Add(new TValue(time.AddMinutes(1), 25.0, false));
|
||||
Assert.Equal(2, series.Count);
|
||||
Assert.Equal(25.0, series.Last.Value);
|
||||
|
||||
// Test adding range of values
|
||||
var values = new[] { 30.0, 40.0, 50.0 };
|
||||
foreach (var value in values)
|
||||
{
|
||||
series.Add(time.AddMinutes(series.Count + 1), value);
|
||||
}
|
||||
Assert.Equal(5, series.Count);
|
||||
|
||||
// Test conversions
|
||||
var doubleList = (List<double>)series;
|
||||
Assert.Equal(5, doubleList.Count);
|
||||
Assert.Equal(50.0, doubleList[^1]);
|
||||
|
||||
var doubleArray = (double[])series;
|
||||
Assert.Equal(5, doubleArray.Length);
|
||||
Assert.Equal(50.0, doubleArray[^1]);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TSeries_EventHandling()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var receivedValues = new List<double>();
|
||||
var time = DateTime.Now;
|
||||
|
||||
series.Pub += (object sender, in ValueEventArgs args) => receivedValues.Add(args.Tick.Value);
|
||||
|
||||
series.Add(time, 10.0);
|
||||
series.Add(time.AddMinutes(1), 20.0);
|
||||
series.Add(time.AddMinutes(2), 30.0);
|
||||
|
||||
Assert.Equal(3, receivedValues.Count);
|
||||
Assert.Equal(10.0, receivedValues[0]);
|
||||
Assert.Equal(20.0, receivedValues[1]);
|
||||
Assert.Equal(30.0, receivedValues[2]);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -1,160 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
using System.Reflection;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class EventingTests
|
||||
{
|
||||
private const int TestDataPoints = 200;
|
||||
private const int DefaultPeriod = 10;
|
||||
private const double Tolerance = 1e-9;
|
||||
|
||||
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] ValueIndicators =
|
||||
{
|
||||
("Afirma", new object[] { DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }, new object[] { new TSeries(), DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }),
|
||||
("Alma", new object[] { DefaultPeriod, 0.85, 6.0 }, new object[] { new TSeries(), DefaultPeriod, 0.85, 6.0 }),
|
||||
("Beta", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Convolution", new object[] { new double[] {1,2,3,2,1} }, new object[] { new TSeries(), new double[] {1,2,3,2,1} }),
|
||||
("Corr", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Covar", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Curvature", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Dema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Dsma", new object[] { DefaultPeriod, 0.9 }, new object[] { new TSeries(), DefaultPeriod, 0.9 }),
|
||||
("Dwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Ema", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
|
||||
("Entropy", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Epma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Fisher", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Frama", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Fwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Gma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Granger", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Hma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Htit", Array.Empty<object>(), new object[] { new TSeries() }),
|
||||
("Hwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Jma", new object[] { DefaultPeriod, 0, 0.45, 10 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.45, 10 }),
|
||||
("Kama", new object[] { DefaultPeriod, 2, 30 }, new object[] { new TSeries(), DefaultPeriod, 2, 30 }),
|
||||
("Kendall", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Kurtosis", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Ltma", new object[] { 0.2 }, new object[] { new TSeries(), 0.2 }),
|
||||
("Maaf", new object[] { 39, 0.002 }, new object[] { new TSeries(), 39, 0.002 }),
|
||||
("Mama", new object[] { 0.5, 0.05 }, new object[] { new TSeries(), 0.5, 0.05 }),
|
||||
("Max", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
|
||||
("Median", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Mgdi", new object[] { DefaultPeriod, 0.6 }, new object[] { new TSeries(), DefaultPeriod, 0.6 }),
|
||||
("Min", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
|
||||
("Mma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Mode", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Percentile", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
|
||||
("Pwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Qema", new object[] { 0.2, 0.2, 0.2, 0.2 }, new object[] { new TSeries(), 0.2, 0.2, 0.2, 0.2 }),
|
||||
("Rema", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
|
||||
("Rma", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
|
||||
("Skew", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Slope", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Sma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Smma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Spearman", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Stddev", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
|
||||
("T3", new object[] { DefaultPeriod, 0.7, true }, new object[] { new TSeries(), DefaultPeriod, 0.7, true }),
|
||||
("Tema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Trima", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Variance", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
|
||||
("Vidya", new object[] { DefaultPeriod, 0, 0.2 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.2 }),
|
||||
("Wma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Zlema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
|
||||
("Zscore", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod })
|
||||
};
|
||||
|
||||
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] BarIndicators =
|
||||
{
|
||||
("Adl", Array.Empty<object>(), new object[] { new TBarSeries() }),
|
||||
("Adosc", new object[] { 3, 10 }, new object[] { new TBarSeries(), 3, 10 }),
|
||||
("Aobv", Array.Empty<object>(), new object[] { new TBarSeries() }),
|
||||
("Cmf", new object[] { 20 }, new object[] { new TBarSeries(), 20 }),
|
||||
("Eom", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
|
||||
("Kvo", new object[] { 34, 55 }, new object[] { new TBarSeries(), 34, 55 }),
|
||||
("Atr", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
|
||||
("Chop", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
|
||||
("Dosc", Array.Empty<object>(), new object[] { new TBarSeries() })
|
||||
};
|
||||
|
||||
public static IEnumerable<object[]> GetValueIndicatorData()
|
||||
=> ValueIndicators.Select(x => new object[] { x.Name, x.DirectParams, x.EventParams });
|
||||
|
||||
public static IEnumerable<object[]> GetBarIndicatorData()
|
||||
=> BarIndicators.Select(x => new object[] { x.Name, x.DirectParams, x.EventParams });
|
||||
|
||||
private static double GetRandomDouble(RandomNumberGenerator rng)
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
|
||||
}
|
||||
|
||||
private static TBar GenerateRandomBar(RandomNumberGenerator rng, double baseValue)
|
||||
{
|
||||
return new TBar(
|
||||
DateTime.Now,
|
||||
baseValue,
|
||||
baseValue + Math.Abs(GetRandomDouble(rng) * 10),
|
||||
baseValue - Math.Abs(GetRandomDouble(rng) * 10),
|
||||
baseValue + (GetRandomDouble(rng) * 5),
|
||||
Math.Abs(GetRandomDouble(rng) * 1000),
|
||||
true
|
||||
);
|
||||
}
|
||||
|
||||
[Theory]
|
||||
[MemberData(nameof(GetValueIndicatorData))]
|
||||
public void ValueIndicatorEventTest(string indicatorName, object[] directParams, object[] eventParams)
|
||||
{
|
||||
using var rng = RandomNumberGenerator.Create();
|
||||
var input = (TSeries)eventParams[0];
|
||||
|
||||
// Create indicator instances using reflection
|
||||
var indicatorType = Type.GetType($"QuanTAlib.{indicatorName}, QuanTAlib")!;
|
||||
var directIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, directParams)!;
|
||||
var eventIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, eventParams)!;
|
||||
|
||||
// Generate test data and calculate
|
||||
for (int i = 0; i < TestDataPoints; i++)
|
||||
{
|
||||
double randomValue = GetRandomDouble(rng) * 100;
|
||||
input.Add(randomValue);
|
||||
directIndicator.Calc(randomValue);
|
||||
}
|
||||
|
||||
bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
|
||||
Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
|
||||
|
||||
Assert.True(areEqual, $"Value indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
|
||||
}
|
||||
|
||||
[Theory]
|
||||
[MemberData(nameof(GetBarIndicatorData))]
|
||||
public void BarIndicatorEventTest(string indicatorName, object[] directParams, object[] eventParams)
|
||||
{
|
||||
using var rng = RandomNumberGenerator.Create();
|
||||
var barInput = (TBarSeries)eventParams[0];
|
||||
|
||||
// Create indicator instances using reflection
|
||||
var indicatorType = Type.GetType($"QuanTAlib.{indicatorName}, QuanTAlib")!;
|
||||
var directIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, directParams)!;
|
||||
var eventIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, eventParams)!;
|
||||
|
||||
// Generate test data and calculate
|
||||
for (int i = 0; i < TestDataPoints; i++)
|
||||
{
|
||||
var bar = GenerateRandomBar(rng, GetRandomDouble(rng) * 100);
|
||||
barInput.Add(bar);
|
||||
directIndicator.Calc(bar);
|
||||
}
|
||||
|
||||
bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
|
||||
Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
|
||||
|
||||
Assert.True(areEqual, $"Bar indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
|
||||
}
|
||||
}
|
||||
@@ -1,172 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Reflection;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// Contains unit tests for bar-based indicators in QuanTAlib.
|
||||
/// </summary>
|
||||
public class BarIndicatorTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng;
|
||||
private const int SeriesLen = 1000;
|
||||
private const int Corrections = 100;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the BarIndicatorTests class.
|
||||
/// </summary>
|
||||
public BarIndicatorTests()
|
||||
{
|
||||
rng = RandomNumberGenerator.Create();
|
||||
}
|
||||
|
||||
private static readonly ITValue[] indicators = new ITValue[]
|
||||
{
|
||||
new Atr(period: 14),
|
||||
|
||||
// Add other TBar-based indicators here
|
||||
};
|
||||
|
||||
/// <summary>
|
||||
/// Tests if the indicator produces consistent results when processing new and updated bars.
|
||||
/// </summary>
|
||||
/// <param name="indicator">The indicator to test.</param>
|
||||
[Theory]
|
||||
[MemberData(nameof(GetIndicators))]
|
||||
public void IndicatorIsNew(ITValue indicator)
|
||||
{
|
||||
var indicator1 = indicator;
|
||||
var indicator2 = indicator;
|
||||
|
||||
MethodInfo calcMethod = FindCalcMethod(indicator.GetType());
|
||||
if (calcMethod == null)
|
||||
{
|
||||
throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
|
||||
}
|
||||
|
||||
for (int i = 0; i < SeriesLen; i++)
|
||||
{
|
||||
TBar item1 = GenerateRandomBar(isNew: true);
|
||||
InvokeCalc(indicator1, calcMethod, item1);
|
||||
|
||||
for (int j = 0; j < Corrections; j++)
|
||||
{
|
||||
item1 = GenerateRandomBar(isNew: false);
|
||||
InvokeCalc(indicator1, calcMethod, item1);
|
||||
}
|
||||
|
||||
var item2 = new TBar(item1.Time, item1.Open, item1.High, item1.Low, item1.Close, item1.Volume, IsNew: true);
|
||||
InvokeCalc(indicator2, calcMethod, item2);
|
||||
|
||||
Assert.Equal(indicator1.Value, indicator2.Value);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Finds the appropriate Calc method for the given indicator type.
|
||||
/// </summary>
|
||||
/// <param name="type">The type of the indicator.</param>
|
||||
/// <returns>The MethodInfo for the Calc method.</returns>
|
||||
[UnconditionalSuppressMessage("Trimming", "IL2072:Target parameter argument does not satisfy 'DynamicallyAccessedMembersAttribute' in call to target method. The return value of the source method does not have matching annotations.",
|
||||
Justification = "BaseType will have the same dynamic access requirements as the derived type in this reflection scenario.")]
|
||||
private static MethodInfo FindCalcMethod([DynamicallyAccessedMembers(DynamicallyAccessedMemberTypes.PublicMethods | DynamicallyAccessedMemberTypes.NonPublicMethods)] Type type)
|
||||
{
|
||||
while (type != null && type != typeof(object))
|
||||
{
|
||||
var methods = type.GetMethods(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.DeclaredOnly)
|
||||
.Where(m => m.Name == "Calc")
|
||||
.ToList();
|
||||
|
||||
if (methods.Count > 0)
|
||||
{
|
||||
// Prefer the method with TBar parameter
|
||||
var method = methods.Find(m =>
|
||||
{
|
||||
var parameters = m.GetParameters();
|
||||
return parameters.Length == 1 && parameters[0].ParameterType == typeof(TBar);
|
||||
});
|
||||
|
||||
// If not found, return the first method
|
||||
return method ?? methods[0];
|
||||
}
|
||||
|
||||
type = type.BaseType!;
|
||||
}
|
||||
return null!;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Invokes the Calc method on the given indicator with the provided input.
|
||||
/// </summary>
|
||||
/// <param name="indicator">The indicator instance.</param>
|
||||
/// <param name="calcMethod">The Calc method to invoke.</param>
|
||||
/// <param name="input">The input TBar.</param>
|
||||
private static void InvokeCalc(ITValue indicator, MethodInfo calcMethod, TBar input)
|
||||
{
|
||||
var parameters = calcMethod.GetParameters();
|
||||
if (parameters.Length == 1)
|
||||
{
|
||||
calcMethod.Invoke(indicator, new object[] { input });
|
||||
}
|
||||
else if (parameters.Length == 2)
|
||||
{
|
||||
calcMethod.Invoke(indicator, new object[] { input, double.NaN });
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new InvalidOperationException($"Invalid number of parameters for Calc method in indicator type: {indicator.GetType().Name}");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Generates a random TBar for testing purposes.
|
||||
/// </summary>
|
||||
/// <param name="isNew">Indicates whether the generated bar should be marked as new.</param>
|
||||
/// <returns>A randomly generated TBar.</returns>
|
||||
private TBar GenerateRandomBar(bool isNew)
|
||||
{
|
||||
double open = (GetRandomDouble() * 200) - 100;
|
||||
double close = (GetRandomDouble() * 200) - 100;
|
||||
double high = Math.Max(open, close) + (GetRandomDouble() * 10);
|
||||
double low = Math.Min(open, close) - (GetRandomDouble() * 10);
|
||||
long volume = GetRandomNumber(0, 10000);
|
||||
|
||||
return new TBar(Time: DateTime.Now, Open: open, High: high, Low: low, Close: close, Volume: volume, IsNew: isNew);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Generates a random double between 0 and 1.
|
||||
/// </summary>
|
||||
/// <returns>A random double between 0 and 1.</returns>
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Generates a random integer between minValue (inclusive) and maxValue (exclusive).
|
||||
/// </summary>
|
||||
/// <param name="minValue">The minimum value (inclusive).</param>
|
||||
/// <param name="maxValue">The maximum value (exclusive).</param>
|
||||
/// <returns>A random integer between minValue and maxValue.</returns>
|
||||
private int GetRandomNumber(int minValue, int maxValue)
|
||||
{
|
||||
byte[] randomBytes = new byte[4];
|
||||
rng.GetBytes(randomBytes);
|
||||
int randomInt = BitConverter.ToInt32(randomBytes, 0);
|
||||
return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Provides the list of indicators for parameterized tests.
|
||||
/// </summary>
|
||||
/// <returns>An enumerable of object arrays, each containing an indicator instance.</returns>
|
||||
public static IEnumerable<object[]> GetIndicators()
|
||||
{
|
||||
return indicators.Select(indicator => new object[] { indicator });
|
||||
}
|
||||
}
|
||||
@@ -1,168 +0,0 @@
|
||||
extern alias volatility;
|
||||
extern alias averages;
|
||||
extern alias statistics;
|
||||
extern alias momentum;
|
||||
extern alias oscillators;
|
||||
extern alias volume;
|
||||
extern alias experiments;
|
||||
|
||||
using Xunit;
|
||||
using System.Reflection;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
using statistics::QuanTAlib;
|
||||
using averages::QuanTAlib;
|
||||
using volatility::QuanTAlib;
|
||||
using momentum::QuanTAlib;
|
||||
using oscillators::QuanTAlib;
|
||||
using volume::QuanTAlib;
|
||||
using experiments::QuanTAlib;
|
||||
|
||||
namespace QuanTAlib
|
||||
{
|
||||
public class QuantowerTests
|
||||
{
|
||||
private static void TestIndicator<[DynamicallyAccessedMembers(DynamicallyAccessedMemberTypes.NonPublicMethods | DynamicallyAccessedMemberTypes.NonPublicFields)] T>(string fieldName = "ma") where T : Indicator, new()
|
||||
{
|
||||
var indicator = new T();
|
||||
try
|
||||
{
|
||||
var onInitMethod = typeof(T).GetMethod("OnInit", BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(onInitMethod);
|
||||
onInitMethod.Invoke(indicator, null);
|
||||
var onUpdateMethod = typeof(T).GetMethod("OnUpdate", BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(onUpdateMethod);
|
||||
|
||||
var field = typeof(T).GetField(fieldName, BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(field);
|
||||
var fieldValue = field.GetValue(indicator);
|
||||
Assert.NotNull(fieldValue);
|
||||
|
||||
Assert.NotNull(indicator.ShortName);
|
||||
Assert.NotEmpty(indicator.ShortName);
|
||||
Assert.NotNull(indicator.Name);
|
||||
Assert.NotEmpty(indicator.Name);
|
||||
Assert.NotNull(indicator.Description);
|
||||
Assert.NotEmpty(indicator.Description);
|
||||
Assert.IsAssignableFrom<Indicator>(indicator);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
throw new Xunit.Sdk.XunitException($"Test failed for {typeof(T).Name}: {ex.Message}");
|
||||
}
|
||||
}
|
||||
|
||||
private static void TestIndicatorMultipleFields<[DynamicallyAccessedMembers(DynamicallyAccessedMemberTypes.NonPublicMethods | DynamicallyAccessedMemberTypes.NonPublicFields)] T>(string[] fieldNames) where T : Indicator, new()
|
||||
{
|
||||
var indicator = new T();
|
||||
try
|
||||
{
|
||||
var onInitMethod = typeof(T).GetMethod("OnInit", BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(onInitMethod);
|
||||
onInitMethod.Invoke(indicator, null);
|
||||
var onUpdateMethod = typeof(T).GetMethod("OnUpdate", BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(onUpdateMethod);
|
||||
|
||||
foreach (var fieldName in fieldNames)
|
||||
{
|
||||
var field = typeof(T).GetField(fieldName, BindingFlags.NonPublic | BindingFlags.Instance);
|
||||
Assert.NotNull(field);
|
||||
var fieldValue = field.GetValue(indicator);
|
||||
Assert.NotNull(fieldValue);
|
||||
}
|
||||
|
||||
Assert.NotNull(indicator.ShortName);
|
||||
Assert.NotEmpty(indicator.ShortName);
|
||||
Assert.NotNull(indicator.Name);
|
||||
Assert.NotEmpty(indicator.Name);
|
||||
Assert.NotNull(indicator.Description);
|
||||
Assert.NotEmpty(indicator.Description);
|
||||
Assert.IsAssignableFrom<Indicator>(indicator);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
throw new Xunit.Sdk.XunitException($"Test failed for {typeof(T).Name}: {ex.Message}");
|
||||
}
|
||||
}
|
||||
|
||||
// Averages Indicators
|
||||
[Fact] public void Afirma() => TestIndicator<AfirmaIndicator>();
|
||||
[Fact] public void Alma() => TestIndicator<AlmaIndicator>();
|
||||
[Fact] public void Dema() => TestIndicator<DemaIndicator>();
|
||||
[Fact] public void Dsma() => TestIndicator<DsmaIndicator>();
|
||||
[Fact] public void Dwma() => TestIndicator<DwmaIndicator>();
|
||||
[Fact] public void Ema() => TestIndicator<EmaIndicator>();
|
||||
[Fact] public void Epma() => TestIndicator<EpmaIndicator>();
|
||||
[Fact] public void Frama() => TestIndicator<FramaIndicator>();
|
||||
[Fact] public void Fwma() => TestIndicator<FwmaIndicator>();
|
||||
[Fact] public void Gma() => TestIndicator<GmaIndicator>();
|
||||
[Fact] public void Hma() => TestIndicator<HmaIndicator>();
|
||||
[Fact] public void Htit() => TestIndicator<HtitIndicator>();
|
||||
[Fact] public void Hwma() => TestIndicator<HwmaIndicator>();
|
||||
[Fact] public void Jma() => TestIndicator<JmaIndicator>();
|
||||
[Fact] public void Kama() => TestIndicator<KamaIndicator>();
|
||||
[Fact] public void Ltma() => TestIndicator<LtmaIndicator>();
|
||||
[Fact] public void Maaf() => TestIndicator<MaafIndicator>();
|
||||
[Fact] public void Mama() => TestIndicator<MamaIndicator>();
|
||||
[Fact] public void Mgdi() => TestIndicator<MgdiIndicator>();
|
||||
[Fact] public void Mma() => TestIndicator<MmaIndicator>();
|
||||
[Fact] public void Pwma() => TestIndicator<PwmaIndicator>();
|
||||
[Fact] public void Qema() => TestIndicator<QemaIndicator>();
|
||||
[Fact] public void Rema() => TestIndicator<RemaIndicator>();
|
||||
[Fact] public void Rma() => TestIndicator<RmaIndicator>();
|
||||
[Fact] public void Sinema() => TestIndicator<SinemaIndicator>();
|
||||
[Fact] public void Sma() => TestIndicator<SmaIndicator>();
|
||||
[Fact] public void Smma() => TestIndicator<SmmaIndicator>();
|
||||
[Fact] public void T3() => TestIndicator<T3Indicator>();
|
||||
[Fact] public void Tema() => TestIndicator<TemaIndicator>();
|
||||
[Fact] public void Trima() => TestIndicator<TrimaIndicator>();
|
||||
[Fact] public void Vidya() => TestIndicator<VidyaIndicator>();
|
||||
[Fact] public void Wma() => TestIndicator<WmaIndicator>();
|
||||
[Fact] public void Zlema() => TestIndicator<ZlemaIndicator>();
|
||||
|
||||
// Statistics Indicators
|
||||
[Fact] public void Curvature() => TestIndicator<CurvatureIndicator>("curvature");
|
||||
[Fact] public void Entropy() => TestIndicator<EntropyIndicator>("entropy");
|
||||
[Fact] public void Kurtosis() => TestIndicator<KurtosisIndicator>("kurtosis");
|
||||
[Fact] public void Max() => TestIndicator<MaxIndicator>("ma");
|
||||
[Fact] public void Median() => TestIndicator<MedianIndicator>("med");
|
||||
[Fact] public void Min() => TestIndicator<MinIndicator>("mi");
|
||||
[Fact] public void Mode() => TestIndicator<ModeIndicator>("mode");
|
||||
[Fact] public void Percentile() => TestIndicator<PercentileIndicator>("percentile");
|
||||
[Fact] public void Skew() => TestIndicator<SkewIndicator>("skew");
|
||||
[Fact] public void Slope() => TestIndicator<SlopeIndicator>("slope");
|
||||
[Fact] public void Stddev() => TestIndicator<StddevIndicator>("stddev");
|
||||
[Fact] public void Variance() => TestIndicator<VarianceIndicator>("variance");
|
||||
[Fact] public void Zscore() => TestIndicator<ZscoreIndicator>("zScore");
|
||||
|
||||
// Volatility Indicators
|
||||
[Fact] public void Atr() => TestIndicator<AtrIndicator>("atr");
|
||||
[Fact] public void Cmo() => TestIndicator<CmoIndicator>("cmo");
|
||||
[Fact] public void Cvi() => TestIndicator<CviIndicator>("cvi");
|
||||
[Fact] public void Historical() => TestIndicator<HistoricalIndicator>("historical");
|
||||
[Fact] public void Jbands() => TestIndicatorMultipleFields<JbandsIndicator>(new[] { "jmaUp", "jmaLo" });
|
||||
[Fact] public void Jvolty() => TestIndicator<JvoltyIndicator>("jma");
|
||||
[Fact] public void Realized() => TestIndicator<RealizedIndicator>("realized");
|
||||
[Fact] public void Rvi() => TestIndicator<RviIndicator>("rvi");
|
||||
|
||||
// Momentum Indicators
|
||||
[Fact] public void Adx() => TestIndicator<momentum::QuanTAlib.AdxIndicator>("adx");
|
||||
[Fact] public void Adxr() => TestIndicator<momentum::QuanTAlib.AdxrIndicator>("adxr");
|
||||
[Fact] public void Apo() => TestIndicator<momentum::QuanTAlib.ApoIndicator>("apo");
|
||||
[Fact] public void Dmi() => TestIndicator<momentum::QuanTAlib.DmiIndicator>("dmi");
|
||||
[Fact] public void Dmx() => TestIndicator<momentum::QuanTAlib.DmxIndicator>("dmx");
|
||||
[Fact] public void Dpo() => TestIndicator<momentum::QuanTAlib.DpoIndicator>("dpo");
|
||||
[Fact] public void Macd() => TestIndicator<momentum::QuanTAlib.MacdIndicator>("macd");
|
||||
[Fact] public void Mom() => TestIndicator<momentum::QuanTAlib.MomIndicator>("Series");
|
||||
[Fact] public void Pmo() => TestIndicator<momentum::QuanTAlib.PmoIndicator>("Series");
|
||||
[Fact] public void Po() => TestIndicator<momentum::QuanTAlib.PoIndicator>("Series");
|
||||
[Fact] public void Ppo() => TestIndicator<momentum::QuanTAlib.PpoIndicator>("Series");
|
||||
[Fact] public void Roc() => TestIndicator<momentum::QuanTAlib.RocIndicator>("Series");
|
||||
[Fact] public void Trix() => TestIndicator<momentum::QuanTAlib.TrixIndicator>("Series");
|
||||
[Fact] public void Vel() => TestIndicator<momentum::QuanTAlib.VelIndicator>("Series");
|
||||
[Fact] public void Vortex() => TestIndicatorMultipleFields<momentum::QuanTAlib.VortexIndicator>(new[] { "PlusLine", "MinusLine" });
|
||||
|
||||
// Oscillators Indicators
|
||||
[Fact] public void Cti() => TestIndicator<oscillators::QuanTAlib.CtiIndicator>("Series");
|
||||
}
|
||||
}
|
||||
@@ -1,354 +0,0 @@
|
||||
using Xunit;
|
||||
using Skender.Stock.Indicators;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class SkenderTests
|
||||
{
|
||||
private readonly TBarSeries bars;
|
||||
private readonly GbmFeed feed;
|
||||
private readonly RandomNumberGenerator rng;
|
||||
private readonly double range;
|
||||
private int period;
|
||||
private readonly int iterations = 3; // Initialized directly at declaration
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
public SkenderTests()
|
||||
{
|
||||
rng = RandomNumberGenerator.Create();
|
||||
feed = new(sigma: 0.5, mu: 0.0);
|
||||
bars = new(feed);
|
||||
range = 1e-9;
|
||||
feed.Add(10000);
|
||||
quotes = bars.Select(q => new Quote
|
||||
{
|
||||
Date = q.Time,
|
||||
Open = (decimal)q.Open,
|
||||
High = (decimal)q.High,
|
||||
Low = (decimal)q.Low,
|
||||
Close = (decimal)q.Close,
|
||||
Volume = (decimal)q.Volume
|
||||
});
|
||||
}
|
||||
|
||||
private int GetRandomNumber(int minValue, int maxValue)
|
||||
{
|
||||
byte[] randomBytes = new byte[4];
|
||||
rng.GetBytes(randomBytes);
|
||||
int randomInt = BitConverter.ToInt32(randomBytes, 0);
|
||||
return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Sma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetSma(lookbackPeriods: period).Select(i => i.Sma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMAEMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Ema ma = new(period, useSma: true);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Ema ma = new(period, useSma: false);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > QL.Length - 500; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Dema ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetDema(lookbackPeriods: period).Select(i => i.Dema.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > QL.Length - 500; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Tema ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetTema(lookbackPeriods: period).Select(i => i.Tema.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > QL.Length - 500; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMAConvolution()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
double[] kernel = Enumerable.Repeat(1.0, period).ToArray();
|
||||
Convolution ma = new(kernel);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetSma(lookbackPeriods: period).Select(i => i.Sma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Wma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetWma(lookbackPeriods: period).Select(i => i.Wma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period + 2; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Hma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetHma(lookbackPeriods: period).Select(i => i.Hma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period + 5; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EPMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Epma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetEpma(lookbackPeriods: period).Select(i => i.Epma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period + 5; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Alma ma = new(period, offset: 0.85, sigma: 6);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetAlma(lookbackPeriods: period).Select(i => i.Alma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
T3 ma = new(period, vfactor: 0.7, useSma: false);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Smma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetSmma(lookbackPeriods: period).Select(i => i.Smma.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Kama ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.GetKama(erPeriods: period).Select(i => i.Kama.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
Mama ma = new(fastLimit: 0.5, slowLimit: 0.05);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.Select(q => (q.Date, (double)q.Close))
|
||||
.GetMama(fastLimit: 0.5, slowLimit: 0.05)
|
||||
.Select(i => i.Mama.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > 500; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MGDI()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Mgdi ma = new(period: period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
var SK = quotes.Select(q => (q.Date, (double)q.Close))
|
||||
.GetDynamic(lookbackPeriods: period)
|
||||
.Select(i => i.Dynamic.Null2NaN()!);
|
||||
Assert.Equal(QL.Length, SK.Count());
|
||||
for (int i = QL.Length - 1; i > period + 5; i--)
|
||||
{
|
||||
Assert.InRange(SK.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
period = GetRandomNumber(5, 55);
|
||||
Atr ma = new(period: period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in bars) { QL.Add(ma.Calc(item)); }
|
||||
|
||||
var atrValues = quotes.GetAtr(lookbackPeriods: period).Select(i => i.Atr.Null2NaN()!);
|
||||
const int AdditionalPeriods = 500;
|
||||
|
||||
for (int i = QL.Length - 1; i > 1000 + AdditionalPeriods; i--)
|
||||
{
|
||||
Assert.InRange(atrValues.ElementAt(i) - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,130 +0,0 @@
|
||||
using Xunit;
|
||||
using TALib;
|
||||
using System.Diagnostics.CodeAnalysis;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class TAlibTests
|
||||
{
|
||||
private readonly GbmFeed feed;
|
||||
private readonly RandomNumberGenerator rng;
|
||||
private readonly double range;
|
||||
private readonly int iterations;
|
||||
private readonly double[] data;
|
||||
private readonly double[] TALIB;
|
||||
|
||||
public TAlibTests()
|
||||
{
|
||||
rng = RandomNumberGenerator.Create();
|
||||
feed = new(sigma: 0.5, mu: 0.0);
|
||||
range = 1e-9;
|
||||
feed.Add(10000);
|
||||
iterations = 3;
|
||||
data = feed.Close.v.ToArray();
|
||||
TALIB = new double[data.Count()];
|
||||
}
|
||||
|
||||
private int GetRandomNumber(int minValue, int maxValue)
|
||||
{
|
||||
byte[] randomBytes = new byte[4];
|
||||
rng.GetBytes(randomBytes);
|
||||
int randomInt = BitConverter.ToInt32(randomBytes, 0);
|
||||
return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Sma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.Sma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
|
||||
Assert.Equal(QL.Length, TALIB.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Ema ma = new(period, useSma: true);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.Ema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
|
||||
Assert.Equal(QL.Length, TALIB.Count());
|
||||
for (int i = QL.Length - 1; i > period; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Dema ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.Dema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
|
||||
Assert.Equal(QL.Length, TALIB.Length);
|
||||
for (int i = QL.Length - 1; i > period * 20; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Tema ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.Tema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
|
||||
Assert.Equal(QL.Length, TALIB.Length);
|
||||
for (int i = QL.Length - 1; i > period * 20; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
T3 ma = new(period, vfactor: 0.7, useSma: false);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.T3(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period, optInVFactor: 0.7);
|
||||
Assert.Equal(QL.Length, TALIB.Length);
|
||||
for (int i = QL.Length - 1; i > period * 20; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,529 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class AveragesUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Afirma_Update()
|
||||
{
|
||||
var indicator = new Afirma(periods: 14, taps: 4, window: Afirma.WindowType.Blackman);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Alma_Update()
|
||||
{
|
||||
var indicator = new Alma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Convolution_Update()
|
||||
{
|
||||
var indicator = new Convolution(new double[] { 1, 2, 3, 2, 1 });
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dema_Update()
|
||||
{
|
||||
var indicator = new Dema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dsma_Update()
|
||||
{
|
||||
var indicator = new Dsma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dwma_Update()
|
||||
{
|
||||
var indicator = new Dwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ema_Update()
|
||||
{
|
||||
var indicator = new Ema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Epma_Update()
|
||||
{
|
||||
var indicator = new Epma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Frama_Update()
|
||||
{
|
||||
var indicator = new Frama(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Fwma_Update()
|
||||
{
|
||||
var indicator = new Fwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Gma_Update()
|
||||
{
|
||||
var indicator = new Gma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hma_Update()
|
||||
{
|
||||
var indicator = new Hma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Htit_Update()
|
||||
{
|
||||
var indicator = new Htit();
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hwma_Update()
|
||||
{
|
||||
var indicator = new Hwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Jma_Update()
|
||||
{
|
||||
var indicator = new Jma(period: 14, phase: 0);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kama_Update()
|
||||
{
|
||||
var indicator = new Kama(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ltma_Update()
|
||||
{
|
||||
var indicator = new Ltma(gamma: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maaf_Update()
|
||||
{
|
||||
var indicator = new Maaf(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mama_Update()
|
||||
{
|
||||
var indicator = new Mama(fastLimit: 0.5, slowLimit: 0.05);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mgdi_Update()
|
||||
{
|
||||
var indicator = new Mgdi(period: 14, kFactor: 0.6);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mma_Update()
|
||||
{
|
||||
var indicator = new Mma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pwma_Update()
|
||||
{
|
||||
var indicator = new Pwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Qema_Update()
|
||||
{
|
||||
var indicator = new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rema_Update()
|
||||
{
|
||||
var indicator = new Rema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rma_Update()
|
||||
{
|
||||
var indicator = new Rma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Sinema_Update()
|
||||
{
|
||||
var indicator = new Sinema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Sma_Update()
|
||||
{
|
||||
var indicator = new Sma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smma_Update()
|
||||
{
|
||||
var indicator = new Smma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void T3_Update()
|
||||
{
|
||||
var indicator = new T3(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tema_Update()
|
||||
{
|
||||
var indicator = new Tema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Trima_Update()
|
||||
{
|
||||
var indicator = new Trima(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vidya_Update()
|
||||
{
|
||||
var indicator = new Vidya(shortPeriod: 14, longPeriod: 30, alpha: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Wma_Update()
|
||||
{
|
||||
var indicator = new Wma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Zlema_Update()
|
||||
{
|
||||
var indicator = new Zlema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -1,259 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class UpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Huberloss_Update()
|
||||
{
|
||||
var indicator = new Huber(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mae_Update()
|
||||
{
|
||||
var indicator = new Mae(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mapd_Update()
|
||||
{
|
||||
var indicator = new Mapd(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mape_Update()
|
||||
{
|
||||
var indicator = new Mape(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mase_Update()
|
||||
{
|
||||
var indicator = new Mase(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mda_Update()
|
||||
{
|
||||
var indicator = new Mda(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Me_Update()
|
||||
{
|
||||
var indicator = new Me(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mpe_Update()
|
||||
{
|
||||
var indicator = new Mpe(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mse_Update()
|
||||
{
|
||||
var indicator = new Mse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Msle_Update()
|
||||
{
|
||||
var indicator = new Msle(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rae_Update()
|
||||
{
|
||||
var indicator = new Rae(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rmse_Update()
|
||||
{
|
||||
var indicator = new Rmse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rmsle_Update()
|
||||
{
|
||||
var indicator = new Rmsle(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rse_Update()
|
||||
{
|
||||
var indicator = new Rse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smape_Update()
|
||||
{
|
||||
var indicator = new Smape(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsquared_Update()
|
||||
{
|
||||
var indicator = new Rsquared(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -1,292 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class MomentumUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
private TBar GetRandomBar(bool IsNew)
|
||||
{
|
||||
double open = GetRandomDouble();
|
||||
double high = open + Math.Abs(GetRandomDouble());
|
||||
double low = open - Math.Abs(GetRandomDouble());
|
||||
double close = low + ((high - low) * GetRandomDouble());
|
||||
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Adx_Update()
|
||||
{
|
||||
var indicator = new Adx(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Adxr_Update()
|
||||
{
|
||||
var indicator = new Adxr(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Apo_Update()
|
||||
{
|
||||
var indicator = new Apo(fastPeriod: 12, slowPeriod: 26);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dmi_Update()
|
||||
{
|
||||
var indicator = new Dmi(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dmx_Update()
|
||||
{
|
||||
var indicator = new Dmx(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dpo_Update()
|
||||
{
|
||||
var indicator = new Dpo(period: 20);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Macd_Update()
|
||||
{
|
||||
var indicator = new Macd(fastPeriod: 12, slowPeriod: 26, signalPeriod: 9);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble() + 100, IsNew: false)); // Ensure positive prices
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pmo_Update()
|
||||
{
|
||||
var indicator = new Pmo(period1: 35, period2: 20);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Po_Update()
|
||||
{
|
||||
var indicator = new Po(fastPeriod: 10, slowPeriod: 21);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ppo_Update()
|
||||
{
|
||||
var indicator = new Ppo(fastPeriod: 12, slowPeriod: 26);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Prs_Update()
|
||||
{
|
||||
var indicator = new Prs();
|
||||
indicator.SetBenchmark(ReferenceValue);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.SetBenchmark(GetRandomDouble() + 100); // Ensure positive benchmark
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
|
||||
indicator.SetBenchmark(ReferenceValue);
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Roc_Update()
|
||||
{
|
||||
var indicator = new Roc(period: 12);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble() + 100, IsNew: false)); // Ensure positive prices
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mom_Update()
|
||||
{
|
||||
var indicator = new Mom(period: 10);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Trix_Update()
|
||||
{
|
||||
var indicator = new Trix(period: 18);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble() + 100, IsNew: false)); // Ensure positive prices
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tsi_Update()
|
||||
{
|
||||
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble() + 100, IsNew: false)); // Ensure positive prices
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vel_Update()
|
||||
{
|
||||
var indicator = new Vel(period: 10);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vortex_Update()
|
||||
{
|
||||
var indicator = new Vortex(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -1,182 +0,0 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class OscillatorsUpdateTests : UpdateTestBase
|
||||
{
|
||||
[Fact]
|
||||
public void Rsi_Update()
|
||||
{
|
||||
var indicator = new Rsi(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsx_Update()
|
||||
{
|
||||
var indicator = new Rsx(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmo_Update()
|
||||
{
|
||||
var indicator = new Cmo(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ao_Update()
|
||||
{
|
||||
var indicator = new Ao();
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ac_Update()
|
||||
{
|
||||
var indicator = new Ac();
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Aroon_Update()
|
||||
{
|
||||
var indicator = new Aroon(period: 25);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Bop_Update()
|
||||
{
|
||||
var indicator = new Bop();
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cci_Update()
|
||||
{
|
||||
var indicator = new Cci(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cfo_Update()
|
||||
{
|
||||
var indicator = new Cfo(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chop_Update()
|
||||
{
|
||||
var indicator = new Chop(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cog_Update()
|
||||
{
|
||||
var indicator = new Cog(period: 10);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Coppock_Update()
|
||||
{
|
||||
var indicator = new Coppock(roc1Period: 14, roc2Period: 11, wmaPeriod: 10);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Crsi_Update()
|
||||
{
|
||||
var indicator = new Crsi(period1: 10, period2: 14, period3: 30);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smi_Update()
|
||||
{
|
||||
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Srsi_Update()
|
||||
{
|
||||
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stc_Update()
|
||||
{
|
||||
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stoch_Update()
|
||||
{
|
||||
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tsi_Update()
|
||||
{
|
||||
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Uo_Update()
|
||||
{
|
||||
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Willr_Update()
|
||||
{
|
||||
var indicator = new Willr(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dosc_Update()
|
||||
{
|
||||
var indicator = new Dosc();
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Efi_Update()
|
||||
{
|
||||
var indicator = new Efi(period: 13);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Fisher_Update()
|
||||
{
|
||||
var indicator = new Fisher(period: 10);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cti_Update()
|
||||
{
|
||||
var indicator = new Cti(period: 20);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
}
|
||||
@@ -1,160 +0,0 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class StatisticsUpdateTests : UpdateTestBase
|
||||
{
|
||||
[Fact]
|
||||
public void Beta_Update()
|
||||
{
|
||||
var indicator = new Beta(period: 14);
|
||||
TestDualTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Corr_Update()
|
||||
{
|
||||
var indicator = new Corr(period: 14);
|
||||
TestDualTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Covar_Update()
|
||||
{
|
||||
var indicator = new Covar(period: 14);
|
||||
TestDualTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Curvature_Update()
|
||||
{
|
||||
var indicator = new Curvature(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Entropy_Update()
|
||||
{
|
||||
var indicator = new Entropy(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Granger_Update()
|
||||
{
|
||||
var indicator = new Granger(lags: 5);
|
||||
TestDualTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hurst_Update()
|
||||
{
|
||||
var indicator = new Hurst(period: 100, minLength: 10);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kendall_Update()
|
||||
{
|
||||
var indicator = new Kendall(period: 14);
|
||||
TestDualTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kurtosis_Update()
|
||||
{
|
||||
var indicator = new Kurtosis(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Max_Update()
|
||||
{
|
||||
var indicator = new Max(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Median_Update()
|
||||
{
|
||||
var indicator = new Median(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Min_Update()
|
||||
{
|
||||
var indicator = new Min(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mode_Update()
|
||||
{
|
||||
var indicator = new Mode(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Percentile_Update()
|
||||
{
|
||||
var indicator = new Percentile(period: 14, percent: 50);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Skew_Update()
|
||||
{
|
||||
var indicator = new Skew(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Slope_Update()
|
||||
{
|
||||
var indicator = new Slope(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Spearman_Update()
|
||||
{
|
||||
var indicator = new Spearman(period: 14);
|
||||
TestDualTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stddev_Update()
|
||||
{
|
||||
var indicator = new Stddev(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Theil_Update()
|
||||
{
|
||||
var indicator = new Theil(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tsf_Update()
|
||||
{
|
||||
var indicator = new Tsf(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Variance_Update()
|
||||
{
|
||||
var indicator = new Variance(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Zscore_Update()
|
||||
{
|
||||
var indicator = new Zscore(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
}
|
||||
@@ -1,223 +0,0 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class VolatilityUpdateTests : UpdateTestBase
|
||||
{
|
||||
[Fact]
|
||||
public void Adr_Update()
|
||||
{
|
||||
var indicator = new Adr(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Atr_Update()
|
||||
{
|
||||
var indicator = new Atr(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Atrs_Update()
|
||||
{
|
||||
var indicator = new Atrs(period: 14, factor: 2.0);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ap_Update()
|
||||
{
|
||||
var indicator = new Ap(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Atrp_Update()
|
||||
{
|
||||
var indicator = new Atrp(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Bband_Update()
|
||||
{
|
||||
var indicator = new Bband(period: 20, multiplier: 2.0);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ccv_Update()
|
||||
{
|
||||
var indicator = new Ccv(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ce_Update()
|
||||
{
|
||||
var indicator = new Ce(period: 22, multiplier: 3.0);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cv_Update()
|
||||
{
|
||||
var indicator = new Cv(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cvi_Update()
|
||||
{
|
||||
var indicator = new Cvi(period: 10, smoothPeriod: 10);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dchn_Update()
|
||||
{
|
||||
var indicator = new Dchn(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ewma_Update()
|
||||
{
|
||||
var indicator = new Ewma(period: 20, lambda: 0.94);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Fcb_Update()
|
||||
{
|
||||
var indicator = new Fcb(period: 20, smoothing: 0.5);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Gkv_Update()
|
||||
{
|
||||
var indicator = new Gkv(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Historical_Update()
|
||||
{
|
||||
var indicator = new Hv(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hlv_Update()
|
||||
{
|
||||
var indicator = new Hlv(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Jvolty_Update()
|
||||
{
|
||||
var indicator = new Jvolty(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Natr_Update()
|
||||
{
|
||||
var indicator = new Natr(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pch_Update()
|
||||
{
|
||||
var indicator = new Pch(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pv_Update()
|
||||
{
|
||||
var indicator = new Pv(period: 10);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Realized_Update()
|
||||
{
|
||||
var indicator = new Rv(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsv_Update()
|
||||
{
|
||||
var indicator = new Rsv(period: 10);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rvi_Update()
|
||||
{
|
||||
var indicator = new Rvi(period: 14);
|
||||
TestTValueUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Sv_Update()
|
||||
{
|
||||
var indicator = new Sv(period: 20, lambda: 0.94);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tr_Update()
|
||||
{
|
||||
var indicator = new Tr();
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ui_Update()
|
||||
{
|
||||
var indicator = new Ui(period: 14);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vc_Update()
|
||||
{
|
||||
var indicator = new Vc(period: 20, deviations: 2.0);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vov_Update()
|
||||
{
|
||||
var indicator = new Vov(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vr_Update()
|
||||
{
|
||||
var indicator = new Vr(shortPeriod: 10, longPeriod: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vs_Update()
|
||||
{
|
||||
var indicator = new Vs(period: 14, multiplier: 2.0);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Yzv_Update()
|
||||
{
|
||||
var indicator = new Yzv(period: 20);
|
||||
TestTBarUpdate(indicator, indicator.Calc);
|
||||
}
|
||||
}
|
||||
@@ -1,386 +0,0 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class VolumeUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
private TBar GetRandomBar(bool IsNew)
|
||||
{
|
||||
double open = GetRandomDouble();
|
||||
double high = open + Math.Abs(GetRandomDouble());
|
||||
double low = open - Math.Abs(GetRandomDouble());
|
||||
double close = low + ((high - low) * GetRandomDouble());
|
||||
double volume = Math.Abs(GetRandomDouble()) * 1000; // Random positive volume
|
||||
return new TBar(DateTime.Now, open, high, low, close, volume, IsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Adl_Update()
|
||||
{
|
||||
var indicator = new Adl();
|
||||
TBar r = GetRandomBar(true);
|
||||
|
||||
// First calculation with IsNew: true
|
||||
double value1 = indicator.Calc(r);
|
||||
|
||||
// Multiple recalculations with IsNew: false should not change the value
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
}
|
||||
|
||||
// Final calculation with IsNew: false should match initial value
|
||||
double value2 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
Assert.Equal(value1, value2, precision);
|
||||
|
||||
// New calculation with IsNew: true should update the value
|
||||
double value3 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: true));
|
||||
Assert.NotEqual(value1, value3, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Adosc_Update()
|
||||
{
|
||||
var indicator = new Adosc(shortPeriod: 3, longPeriod: 10);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Aobv_Update()
|
||||
{
|
||||
var indicator = new Aobv();
|
||||
TBar r = GetRandomBar(true);
|
||||
|
||||
// First calculation with IsNew: true
|
||||
double value1 = indicator.Calc(r);
|
||||
|
||||
// Multiple recalculations with IsNew: false should not change the value
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
}
|
||||
|
||||
// Final calculation with IsNew: false should match initial value
|
||||
double value2 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
Assert.Equal(value1, value2, precision);
|
||||
|
||||
// New calculation with IsNew: true should update the value
|
||||
double value3 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: true));
|
||||
Assert.NotEqual(value1, value3, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Update()
|
||||
{
|
||||
var indicator = new Cmf(period: 20);
|
||||
TBar r = GetRandomBar(true);
|
||||
|
||||
// Generate a sequence of bars for warmup
|
||||
var warmupBars = new List<TBar>();
|
||||
for (int i = 0; i < indicator.WarmupPeriod; i++)
|
||||
{
|
||||
var bar = GetRandomBar(IsNew: true);
|
||||
warmupBars.Add(bar);
|
||||
indicator.Calc(bar);
|
||||
}
|
||||
|
||||
// Calculate initial value after warmup
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
// Apply random updates
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
|
||||
// Reset and replay the same sequence
|
||||
indicator.Init();
|
||||
foreach (var bar in warmupBars)
|
||||
{
|
||||
indicator.Calc(bar);
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Eom_Update()
|
||||
{
|
||||
var indicator = new Eom(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kvo_Update()
|
||||
{
|
||||
var indicator = new Kvo(shortPeriod: 34, longPeriod: 55);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mfi_Update()
|
||||
{
|
||||
var indicator = new Mfi(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
|
||||
// Generate a sequence of bars for warmup
|
||||
var warmupBars = new List<TBar>();
|
||||
for (int i = 0; i < indicator.WarmupPeriod; i++)
|
||||
{
|
||||
var bar = GetRandomBar(IsNew: true);
|
||||
warmupBars.Add(bar);
|
||||
indicator.Calc(bar);
|
||||
}
|
||||
|
||||
// Calculate initial value after warmup
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
// Apply random updates
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
|
||||
// Reset and replay the same sequence
|
||||
indicator.Init();
|
||||
foreach (var bar in warmupBars)
|
||||
{
|
||||
indicator.Calc(bar);
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Nvi_Update()
|
||||
{
|
||||
var indicator = new Nvi();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Obv_Update()
|
||||
{
|
||||
var indicator = new Obv();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvi_Update()
|
||||
{
|
||||
var indicator = new Pvi();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvol_Update()
|
||||
{
|
||||
var indicator = new Pvol();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvo_Update()
|
||||
{
|
||||
var indicator = new Pvo(shortPeriod: 12, longPeriod: 26);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvr_Update()
|
||||
{
|
||||
var indicator = new Pvr();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvt_Update()
|
||||
{
|
||||
var indicator = new Pvt();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tvi_Update()
|
||||
{
|
||||
var indicator = new Tvi(minTick: 0.5);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vf_Update()
|
||||
{
|
||||
var indicator = new Vf(period: 13);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vp_Update()
|
||||
{
|
||||
var indicator = new Vp(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vwap_Update()
|
||||
{
|
||||
var indicator = new Vwap();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vwma_Update()
|
||||
{
|
||||
var indicator = new Vwma(period: 20);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -1,3 +0,0 @@
|
||||
#!/bin/bash
|
||||
dotnet gitversion . /output buildserver
|
||||
dotnet build
|
||||
@@ -1 +0,0 @@
|
||||
|
||||
@@ -1,21 +0,0 @@
|
||||
```mermaid
|
||||
flowchart LR
|
||||
subgraph m[Mermaid.js]
|
||||
direction TB
|
||||
S[ ]-.-
|
||||
C[build<br>diagrams<br>with markdown] -->
|
||||
D[on-line<br>live editor]
|
||||
end
|
||||
A[Why are diagrams<br>useful?] --> m
|
||||
m --> N[3 x methods<br>for creating<br>diagrams]
|
||||
N --> T[Examples]
|
||||
T --> X[Styling<br>and<br>captions]
|
||||
X --> V[Tips]
|
||||
|
||||
|
||||
classDef box fill:#fff,stroke:#000,stroke-width:1px,color:#000;
|
||||
classDef spacewhite fill:#ffffff,stroke:#fff,stroke-width:0px,color:#000
|
||||
class A,C,D,N,X,m,T,V box
|
||||
class S spacewhite
|
||||
```
|
||||
|
||||
@@ -1,313 +0,0 @@
|
||||
| AD | Chaikin A/D Line |
|
||||
| AROON | Aroon Indicator |
|
||||
| ADX | Average Directional Movement Index |
|
||||
| ADXR | Average Directional Movement Index Rating |
|
||||
| DX | Directional Movement Index |
|
||||
| SAR | Parabolic SAR |
|
||||
| SAREXT | Parabolic SAR - Extended |
|
||||
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
|
||||
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
|
||||
| ZZ | ZigZag Indicator |
|
||||
| DMI | Directional Movement Index |
|
||||
| Alligator | Alligator Indicator |
|
||||
| Regression | Regression Line Indicator |
|
||||
| SI | Swing Index |
|
||||
| ATS | ATR Trailing Stop |
|
||||
| ERI | Elder-ray Index |
|
||||
| GO | Gator Oscillator |
|
||||
| HE | Hurst Exponent |
|
||||
| IC | Ichimoku Cloud |
|
||||
| ST | SuperTrend |
|
||||
| VI | Vortex Indicator |
|
||||
| WA | Williams Alligator |
|
||||
| RSI | Relative Strength Index |
|
||||
| CCI | Commodity Channel Index |
|
||||
| MOM | Momentum |
|
||||
| ROC | Rate of Change |
|
||||
| PPO | Percentage Price Oscillator |
|
||||
| AO | Awesome Oscillator |
|
||||
| CMO | Chande Momentum Oscillator |
|
||||
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
|
||||
| ULTOSC | Ultimate Oscillator |
|
||||
| AROONOSC | Aroon Oscillator |
|
||||
| ADOSC | Chaikin A/D Oscillator |
|
||||
| APO | Absolute Price Oscillator |
|
||||
| STOCH | Stochastic |
|
||||
| STOCHF | Stochastic Fast |
|
||||
| STOCHRSI | Stochastic Relative Strength Index |
|
||||
| Qstick | Qstick Indicator |
|
||||
| RLW | %R Larry Williams |
|
||||
| AC | Acceleration Oscillator |
|
||||
| TSI | True Strength Index |
|
||||
| CRSI | ConnorsRSI |
|
||||
| DPO | Detrended Price Oscillator |
|
||||
| KDJ | KDJ Index |
|
||||
| STC | Schaff Trend Cycle |
|
||||
| SMI | Stochastic Momentum Index |
|
||||
| BB | Bollinger Bands |
|
||||
| Keltner | Keltner Channel |
|
||||
| BBF | Bollinger Bands Flat |
|
||||
| Channel | Price Channel |
|
||||
| MAE | Moving Average Envelope |
|
||||
| PAZ | Price Action Zones |
|
||||
| DC | Donchian Channels |
|
||||
| FCB | Fractal Chaos Bands |
|
||||
| PP | Pivot Points |
|
||||
| RPP | Rolling Pivot Points |
|
||||
| STARC | STARC Bands |
|
||||
| SDC | Standard Deviation Channels |
|
||||
| OBV | On Balance Volume |
|
||||
| PVI | Positive Volume Index |
|
||||
| Volume | Volume Indicator |
|
||||
| MFI | Money Flow Index |
|
||||
| ADL | Accumulation / Distribution Line |
|
||||
| CMF | Chaikin Money Flow |
|
||||
| FI | Force Index |
|
||||
| KVO | Klinger Volume Oscillator |
|
||||
| PVO | Percentage Volume Oscillator |
|
||||
| ATS | ATR Trailing Stop |
|
||||
| CE | Chandelier Exit |
|
||||
| SAR | Parabolic SAR |
|
||||
| ST | SuperTrend |
|
||||
| VS | Volatility Stop |
|
||||
| Pivots | Pivots |
|
||||
| WF | Williams Fractal |
|
||||
| EMA | Exponential Moving Average |
|
||||
| SMA | Simple Moving Average |
|
||||
| LWMA | Linearly Weighted Moving Average |
|
||||
| SMMA | Smoothed Moving Average |
|
||||
| MMA | Modified Moving Average |
|
||||
| KAMA | Kaufman Adaptive Moving Average |
|
||||
| DEMA | Double Exponential Moving Average |
|
||||
| TEMA | Triple Exponential Moving Average |
|
||||
| MAMA | MESA Adaptive Moving Average |
|
||||
| TRIMA | Triangular Moving Average |
|
||||
| T3 | Triple Exponential Moving Average (T3) |
|
||||
| PPMA | Pivot Point Moving Average |
|
||||
| WMA | Weighted Moving Average |
|
||||
| ALMA | Arnaud Legoux Moving Average |
|
||||
| EPMA | Endpoint Moving Average |
|
||||
| HMA | Hull Moving Average |
|
||||
| LSMA | Least Squares Moving Average |
|
||||
| MD | McGinley Dynamic |
|
||||
| RMA | Running Moving Average |
|
||||
| VWAP | Volume Weighted Average Price |
|
||||
| VWMA | Volume Weighted Moving Average |
|
||||
| ATR | Average True Range |
|
||||
| NATR | Normalized Average True Range |
|
||||
| TRANGE | True Range |
|
||||
| STDDEV | Standard Deviation |
|
||||
| HV | Historical Volatility |
|
||||
| BOP | Balance of Power |
|
||||
| BBP | Bull and Bear Power |
|
||||
| CI | Choppiness Index |
|
||||
| DCP | Dominant Cycle Periods |
|
||||
| PMO | Price Momentum Oscillator |
|
||||
| PRS | Price Relative Strength |
|
||||
| ROCB | ROC with Bands |
|
||||
| RRA | Rescaled Range Analysis |
|
||||
| UI | Ulcer Index |
|
||||
| CORREL | Pearson's Correlation Coefficient |
|
||||
| BETA | Beta |
|
||||
| VAR | Variance |
|
||||
| AVGPRICE | Average Price |
|
||||
| MEDPRICE | Median Price |
|
||||
| TYPPRICE | Typical Price |
|
||||
| WCLPRICE | Weighted Close Price |
|
||||
| SUM | Summation |
|
||||
| MAX | Highest value over a specified period |
|
||||
| MIN | Lowest value over a specified period |
|
||||
| MAXINDEX | Index of highest value over a specified period |
|
||||
| MININDEX | Index of lowest value over a specified period |
|
||||
| MINMAX | Lowest and highest values over a specified period |
|
||||
| MINMAXINDEX | Indexes of lowest and highest values over a period |
|
||||
| BC | Beta Coefficient |
|
||||
| MAD | Mean absolute deviation |
|
||||
| MAPE | Mean absolute percentage error |
|
||||
| MSE | Mean square error |
|
||||
| R2 | R-Squared (Coefficient of Determination) |
|
||||
| SLR | Slope and Linear Regression |
|
||||
| ZS | Z-Score |
|
||||
| AD | Chaikin A/D Line |
|
||||
| AROON | Aroon Indicator |
|
||||
| ADX | Average Directional Movement Index |
|
||||
| ADXR | Average Directional Movement Index Rating |
|
||||
| DX | Directional Movement Index |
|
||||
| SAR | Parabolic SAR |
|
||||
| SAREXT | Parabolic SAR - Extended |
|
||||
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
|
||||
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
|
||||
| ZZ | ZigZag Indicator |
|
||||
| DMI | Directional Movement Index |
|
||||
| Alligator | Alligator Indicator |
|
||||
| Regression | Regression Line Indicator |
|
||||
| SI | Swing Index |
|
||||
| ATS | ATR Trailing Stop |
|
||||
| ERI | Elder-ray Index |
|
||||
| GO | Gator Oscillator |
|
||||
| HE | Hurst Exponent |
|
||||
| IC | Ichimoku Cloud |
|
||||
| ST | SuperTrend |
|
||||
| VI | Vortex Indicator |
|
||||
| WA | Williams Alligator |
|
||||
| RSI | Relative Strength Index |
|
||||
| CCI | Commodity Channel Index |
|
||||
| MOM | Momentum |
|
||||
| ROC | Rate of Change |
|
||||
| PPO | Percentage Price Oscillator |
|
||||
| AO | Awesome Oscillator |
|
||||
| CMO | Chande Momentum Oscillator |
|
||||
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
|
||||
| ULTOSC | Ultimate Oscillator |
|
||||
| AROONOSC | Aroon Oscillator |
|
||||
| ADOSC | Chaikin A/D Oscillator |
|
||||
| APO | Absolute Price Oscillator |
|
||||
| STOCH | Stochastic |
|
||||
| STOCHF | Stochastic Fast |
|
||||
| STOCHRSI | Stochastic Relative Strength Index |
|
||||
| Qstick | Qstick Indicator |
|
||||
| RLW | %R Larry Williams |
|
||||
| AC | Acceleration Oscillator |
|
||||
| TSI | True Strength Index |
|
||||
| CRSI | ConnorsRSI |
|
||||
| DPO | Detrended Price Oscillator |
|
||||
| KDJ | KDJ Index |
|
||||
| STC | Schaff Trend Cycle |
|
||||
| SMI | Stochastic Momentum Index |
|
||||
| BB | Bollinger Bands |
|
||||
| Keltner | Keltner Channel |
|
||||
| BBF | Bollinger Bands Flat |
|
||||
| Channel | Price Channel |
|
||||
| MAE | Moving Average Envelope |
|
||||
| PAZ | Price Action Zones |
|
||||
| DC | Donchian Channels |
|
||||
| FCB | Fractal Chaos Bands |
|
||||
| PP | Pivot Points |
|
||||
| RPP | Rolling Pivot Points |
|
||||
| STARC | STARC Bands |
|
||||
| SDC | Standard Deviation Channels |
|
||||
| OBV | On Balance Volume |
|
||||
| PVI | Positive Volume Index |
|
||||
| Volume | Volume Indicator |
|
||||
| MFI | Money Flow Index |
|
||||
| ADL | Accumulation / Distribution Line |
|
||||
| CMF | Chaikin Money Flow |
|
||||
| FI | Force Index |
|
||||
| KVO | Klinger Volume Oscillator |
|
||||
| PVO | Percentage Volume Oscillator |
|
||||
| ATS | ATR Trailing Stop |
|
||||
| CE | Chandelier Exit |
|
||||
| SAR | Parabolic SAR |
|
||||
| ST | SuperTrend |
|
||||
| VS | Volatility Stop |
|
||||
| Pivots | Pivots |
|
||||
| WF | Williams Fractal |
|
||||
| ALMA | Arnaud Legoux Moving Average |
|
||||
| EPMA | Endpoint Moving Average |
|
||||
| HMA | Hull Moving Average |
|
||||
| LSMA | Least Squares Moving Average |
|
||||
| MD | McGinley Dynamic |
|
||||
| RMA | Running Moving Average |
|
||||
| T3 | Tillson T3 Moving Average |
|
||||
| VWAP | Volume Weighted Average Price |
|
||||
| VWMA | Volume Weighted Moving Average |
|
||||
| BOP | Balance of Power |
|
||||
| BBP | Bull and Bear Power |
|
||||
| CI | Choppiness Index |
|
||||
| DCP | Dominant Cycle Periods |
|
||||
| PMO | Price Momentum Oscillator |
|
||||
| PRS | Price Relative Strength |
|
||||
| ROCB | ROC with Bands |
|
||||
| RRA | Rescaled Range Analysis |
|
||||
| UI | Ulcer Index |
|
||||
| BC | Beta Coefficient |
|
||||
| MAD | Mean absolute deviation |
|
||||
| MAPE | Mean absolute percentage error |
|
||||
| MSE | Mean square error |
|
||||
| R2 | R-Squared (Coefficient of Determination) |
|
||||
| SLR | Slope and Linear Regression |
|
||||
| ZS | Z-Score |
|
||||
| EMA | Exponential Moving Average |
|
||||
| SMA | Simple Moving Average |
|
||||
| LWMA | Linearly Weighted Moving Average |
|
||||
| SMMA | Smoothed Moving Average |
|
||||
| MMA | Modified Moving Average |
|
||||
| KAMA | Kaufman Adaptive Moving Average |
|
||||
| DEMA | Double Exponential Moving Average |
|
||||
| TEMA | Triple Exponential Moving Average |
|
||||
| MAMA | MESA Adaptive Moving Average |
|
||||
| TRIMA | Triangular Moving Average |
|
||||
| T3 | Triple Exponential Moving Average (T3) |
|
||||
| PPMA | Pivot Point Moving Average |
|
||||
| MAE | Moving Average Envelope |
|
||||
| MACD | Moving Average Convergence Divergence |
|
||||
| MACDEXT | MACD with controllable MA type |
|
||||
| MACDFIX | Moving Average Convergence Divergence Fix 12/26 |
|
||||
| OsMA | Moving Average of Oscillator |
|
||||
| Regression | Regression Indicator |
|
||||
| LINEARREG | Linear Regression |
|
||||
| LINEARREG_ANGLE | Linear Regression Angle |
|
||||
| LINEARREG_INTERCEPT | Linear Regression Intercept |
|
||||
| LINEARREG_SLOPE | Linear Regression Slope |
|
||||
| RSI | Relative Strength Index |
|
||||
| CCI | Commodity Channel Index |
|
||||
| MOM | Momentum |
|
||||
| ROC | Rate of Change |
|
||||
| PPO | Percentage Price Oscillator |
|
||||
| AO | Awesome Oscillator |
|
||||
| CMO | Chande Momentum Oscillator |
|
||||
| TRIX | 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA |
|
||||
| ULTOSC | Ultimate Oscillator |
|
||||
| AROONOSC | Aroon Oscillator |
|
||||
| ADOSC | Chaikin A/D Oscillator |
|
||||
| APO | Absolute Price Oscillator |
|
||||
| STOCH | Stochastic |
|
||||
| STOCHF | Stochastic Fast |
|
||||
| STOCHRSI | Stochastic Relative Strength Index |
|
||||
| Qstick | Qstick Indicator |
|
||||
| RLW | %R Larry Williams |
|
||||
| AC | Acceleration Oscillator |
|
||||
| TSI | True Strength Index |
|
||||
| AD | Chaikin A/D Line |
|
||||
| AROON | Aroon Indicator |
|
||||
| ADX | Average Directional Movement Index |
|
||||
| ADXR | Average Directional Movement Index Rating |
|
||||
| DX | Directional Movement Index |
|
||||
| SAR | Parabolic SAR |
|
||||
| SAREXT | Parabolic SAR - Extended |
|
||||
| HT_TRENDLINE | Hilbert Transform - Instantaneous Trendline |
|
||||
| HT_TRENDMODE | Hilbert Transform - Trend vs Cycle Mode |
|
||||
| ZZ | ZigZag Indicator |
|
||||
| DMI | Directional Movement Index |
|
||||
| Alligator | Alligator Indicator |
|
||||
| Regression | Regression Line Indicator |
|
||||
| SI | Swing Index |
|
||||
| ATR | Average True Range |
|
||||
| NATR | Normalized Average True Range |
|
||||
| TRANGE | True Range |
|
||||
| STDDEV | Standard Deviation |
|
||||
| HV | Historical Volatility |
|
||||
| BB | Bollinger Bands |
|
||||
| Keltner | Keltner Channel |
|
||||
| BBF | Bollinger Bands Flat |
|
||||
| Channel | Price Channel |
|
||||
| MAE | Moving Average Envelope |
|
||||
| PAZ | Price Action Zones |
|
||||
| OBV | On Balance Volume |
|
||||
| PVI | Positive Volume Index |
|
||||
| Volume | Volume Indicator |
|
||||
| MFI | Money Flow Index |
|
||||
| CORREL | Pearson's Correlation Coefficient |
|
||||
| BETA | Beta |
|
||||
| VAR | Variance |
|
||||
| AVGPRICE | Average Price |
|
||||
| MEDPRICE | Median Price |
|
||||
| TYPPRICE | Typical Price |
|
||||
| WCLPRICE | Weighted Close Price |
|
||||
| SUM | Summation |
|
||||
| MAX | Highest value over a specified period |
|
||||
| MIN | Lowest value over a specified period |
|
||||
| MAXINDEX | Index of highest value over a specified period |
|
||||
| MININDEX | Index of lowest value over a specified period |
|
||||
| MINMAX | Lowest and highest values over a specified period |
|
||||
| MINMAXINDEX | Indexes of lowest and highest values over a period |
|
||||
@@ -1,113 +0,0 @@
|
||||
* [Home](/)
|
||||
|
||||
* [List of Indicators](indicators/indicators.md)
|
||||
|
||||
* 🚧 Introduction
|
||||
* [Overview]()
|
||||
* [Features]()
|
||||
* [Historical vs Real-time analysis](essays/realtime.md)
|
||||
|
||||
* 🚧 Core Concepts
|
||||
* [Time Series Data Handling]()
|
||||
* [Calculation classes]()
|
||||
* [Presentation Classes]()
|
||||
|
||||
* 🚧 QuanTAlib C# Library
|
||||
* [Installation]()
|
||||
* [Quick Start Guide]()
|
||||
* [Usage Examples]()
|
||||
* [Tests and Validation]()
|
||||
|
||||
* 🚧 Quantower Charts
|
||||
* [Installation]()
|
||||
* [Quick Start Guide]()
|
||||
* [Using VS Code for QuanTower coding](setup/vscode.md)
|
||||
* [Using DotPeek](setup/dotpeek.md)
|
||||
* [Creating Custom Indicators]()
|
||||
* [Inspecting Quantower Internals]()
|
||||
|
||||
* [🚧 Available Indicators](indicators/indicators.md)
|
||||
* Momentum
|
||||
* [ADX - Average Directional Index](indicators/momentum/adx/description.md)
|
||||
* [ADXR - Average Directional Index Rating](indicators/momentum/adxr/description.md)
|
||||
* [APO - Absolute Price Oscillator](indicators/momentum/apo/description.md)
|
||||
* [DMI - Directional Movement Index](indicators/momentum/dmi/description.md)
|
||||
* [DMX - Directional Movement Extended](indicators/momentum/dmx/description.md)
|
||||
* [DPO - Detrended Price Oscillator](indicators/momentum/dpo/description.md)
|
||||
* [MOM - Momentum](indicators/momentum/mom/description.md)
|
||||
* [PMO - Price Momentum Oscillator](indicators/momentum/pmo/description.md)
|
||||
* [PO - Price Oscillator](indicators/momentum/po/description.md)
|
||||
* [PPO - Percentage Price Oscillator](indicators/momentum/ppo/description.md)
|
||||
* [PRS - Price Relative Strength](indicators/momentum/prs/description.md)
|
||||
* [ROC - Rate of Change](indicators/momentum/roc/description.md)
|
||||
* [TRIX - Triple Exponential](indicators/momentum/trix/description.md)
|
||||
* [TSI - True Strength Index](indicators/momentum/tsi/description.md)
|
||||
* [VEL - Velocity](indicators/momentum/vel/description.md)
|
||||
* [VORTEX - Vortex Indicator](indicators/momentum/vortex/description.md)
|
||||
* Basic Transforms
|
||||
* Numerical Analysis
|
||||
* Errors
|
||||
* Moving Averages
|
||||
* [AFIRMA - Adaptive Filtering Integrated Recursive Moving Average](indicators/averages/afirma/afirma.md)
|
||||
* [Calculation](indicators/averages/afirma/calc.md)
|
||||
* [Analysis](indicators/averages/afirma/analysis.md)
|
||||
* [Charts](indicators/averages/afirma/charts.md)
|
||||
* [ALMA - Arnaud Legoux Moving Average](indicators/averages/alma/alma.md)
|
||||
* [Calculation](indicators/averages/alma/calc.md)
|
||||
* [Analysis](indicators/averages/alma/analysis.md)
|
||||
* [Charts](indicators/averages/alma/charts.md)
|
||||
* [AMA - Adaptive Moving Average](indicators/averages/ama/ama.md)
|
||||
* [Calculation](indicators/averages/ama/calc.md)
|
||||
* [Analysis](indicators/averages/ama/analysis.md)
|
||||
* [Charts](indicators/averages/ama/charts.md)
|
||||
* [DEMA - Double Exponential Moving Average](indicators/averages/dema/dema.md)
|
||||
* [Calculation](indicators/averages/dema/calc.md)
|
||||
* [Analysis](indicators/averages/dema/analysis.md)
|
||||
* [Charts](indicators/averages/dema/charts.md)
|
||||
* [DSMA - Deviation Scaled Moving Average](indicators/averages/dsma/dsma.md)
|
||||
* [Calculation](indicators/averages/dsma/calculation.md)
|
||||
* [Quality](indicators/averages/dsma/quality.md)
|
||||
* [Charts](indicators/averages/dsma/charts.md)
|
||||
* [DWMA - Double Weighted Moving Average](indicators/averages/dwma/calculation.md)
|
||||
* [Calculation](indicators/averages/dwma/calculation.md)
|
||||
* [Quality](indicators/averages/dwma/quality.md)
|
||||
* [Charts](indicators/averages/dwma/charts.md)
|
||||
* [EMA - Exponential Moving Average](indicators/averages/ema/ema.md)
|
||||
* [Calculation](indicators/averages/ema/calculation.md)
|
||||
* [Quality](indicators/averages/ema/quality.md)
|
||||
* [Charts](indicators/averages/ema/charts.md)
|
||||
* EPMA - Endpoint Moving Average
|
||||
* FRAMA - Fractal Adaptive Moving Average
|
||||
* FWMA - Fibonacci-Weighted Moving Average
|
||||
* GMA - Gaussian-Weighted Moving Average
|
||||
* HMA - Hull Moving Average
|
||||
* HTIT - Hilbert Transform Instantaneous Trendline
|
||||
* HWMA - Holt-Winter Moving Average
|
||||
* JMA - Jurik Moving Average
|
||||
* KAMA - Kaufman's Adaptive Moving Average
|
||||
* LTMA - Laguerre Transform Moving Average
|
||||
* MAAF - Median-Average Adaptive Filter
|
||||
* MAMA - MESA Adaptive Moving Average
|
||||
* MGDI - McGinley Dynamic Index
|
||||
* MMA - Modified Moving Average
|
||||
* QEMA - Quad Exponential Moving Average
|
||||
* REMA - Regularized Exponential Moving Average
|
||||
* RMA - wildeR Moving Average
|
||||
* SINEMA - Sine-Weighted Moving Average
|
||||
* [SMA - Simple Moving Average](indicators/averages/sma/sma.md)
|
||||
* [Charts](indicators/averages/sma/charts.md)
|
||||
* SMMA - Smoothed Moving Average
|
||||
* T3 - Tillson T3 Moving Average
|
||||
* [TEMA - Triple Exponential Moving Average](indicators/averages/tema/tema.md)
|
||||
* [Calculation](indicators/averages/tema/calc.md)
|
||||
* [Analysis](indicators/averages/tema/analysis.md)
|
||||
* [Charts](indicators/averages/tema/charts.md)
|
||||
* TRIMA - Triangular Moving Average
|
||||
* VIDYA - Variable Index Dynamic Average
|
||||
* WMA - Weighted Moving Average
|
||||
* ZLEMA - Weighted Moving Average
|
||||
* Trends
|
||||
* Momentum
|
||||
* Oscillators
|
||||
* Volatility
|
||||
* Volume
|
||||
@@ -1,43 +0,0 @@
|
||||
# Historical vs. Real-time Indicators: A Tale of Two Approaches
|
||||
|
||||
**Indicators for historical analysis** are like long automation trains. They zoom through a complete set of provided historical data, crunching numbers faster in the series than you can say "bullish pattern." These indicators have the luxury of seeing the big picture all at once, from the oldest to the most current data point. That is allowing them to make end-to-end calculations with a bird's-eye view of market trends.
|
||||
|
||||
On the flip side, **real-time indicators** are more like surfers riding the wave of not-yet-known incoming data. They process information as it arrives, often dealing with updates and corrections to the most recent data point.
|
||||
|
||||
"*Currently the Close value of the bar is at \$3.10. Actually, it is at \$3.20. No, scrape that, it is at \$3.25, which also makes a new High of the current bar.*"
|
||||
|
||||
It's a bit like trying to predict the ocean's next move while you're already on the wave – exciting, but challenging! Unknown upcoming data trends alongside with the constant possiblity of corrections of the last provided value - that makes historical analysis indicators practically useless; they are fine-tuned to calculate an output on a well-known array of all known and valid historical inputs.
|
||||
|
||||
|
||||
### The High-Frequency Data Dilemma
|
||||
|
||||
Imagine you attach your system to an active forex or crypto ticker, and you're receiving up to 200 updates per second to form a single one-second bar. 200 updates per second is not uncommon during an active trading rally of the day, sometimes exceeding 500 updates/second. That's a lot of data to process in real-time, right? Let's break it down:
|
||||
|
||||
- In one second: Up to 200 updates
|
||||
- In one minute: 12,000 updates
|
||||
- In one hour: 720,000 updates
|
||||
- In 24 hours: 17,280,000 updates
|
||||
|
||||
Now, if we're talking about gathering 24 hours of one-second bars, we're looking at `86,400` data points (60 seconds * 60 minutes * 24 hours). And every single time we receive a new update (or a signal that a new bar started so the last bar is now sealed), we need to crunch through nearly 100,000 datapoints. And do that 200 times per second. That's the calculation demand that will make even the most hard-core historical analysis indicator choke and give up.
|
||||
|
||||
### The Great Calculation Showdown
|
||||
|
||||
Let's compare how our historical and real-time approaches would handle this data tsunami:
|
||||
|
||||
**Historical Analysis Approach:**
|
||||
|
||||
- Imagine recalculating the entire history with each new or updated data point. It's like rewriting the entire encyclopedia every time you learn a new fact. With 17,280,000 updates in a day , you'd be needing:
|
||||
- `17,280,000 * 86,400 = 1,492,992,000,000` calculations.
|
||||
- That's nearly 1.5 trillion calculations! Your poor computer might just decide to pack its bags and go on vacation.
|
||||
|
||||
**Real-time Analysis Approach:**
|
||||
|
||||
- Our real-time indicator doesn't need to recalculate the entire history. It just processes each new (or updated) data point as it arrives, and spits out the result. So, we're looking at a mere 17,280,000 calculations per day, one single calculation per each update.
|
||||
|
||||
### Why This Matters
|
||||
|
||||
This enormous difference in calculation requirements isn't just about saving your computer from a meltdown. It's about providing traders with insights when they use tens of indicators with many parameter variations across hundreds of tracked symbols. Real-time indicators allow for quicker decision-making, more responsive trading strategies, and the ability to catch market movements as they happen.
|
||||
|
||||
So, the next time someone tells you that fine-tuned historical indicators are basically faster than performance of real-time indicators, you can wow them with your newfound knowledge. Just remember, in the world of technical analysis, being real-time isn't just a feature – it's a superpower!
|
||||
|
||||
**Real-time analysis is like having a super-efficient personal assistant who only tells you what's new, while historical analysis is like that friend who insists on retelling you their entire life story every time you meet up for coffee.**
|
||||
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graph TD
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A[QuanTAlib] --> B[lib]
|
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B --> C[core]
|
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B --> D[averages]
|
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B --> E[momentum]
|
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B --> F[oscillators]
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B --> G[errors]
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B --> H[feeds]
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B --> I[patterns]
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B --> J[statistics]
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B --> K[volatility]
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B --> L[volume]
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C --> C2[TBarSeries]
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D --> D2[SMA]
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D --> D3[WMA]
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E --> E1[MACD]
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E --> E2[ROC]
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F --> F1[RSI]
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F --> F3[CCI]
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-142
@@ -1,142 +0,0 @@
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||||
# AFIRMA: Autoregressive Finite Impulse Response Moving Average
|
||||
|
||||
## Concept
|
||||
|
||||
AFIRMA indicator is a hybrid moving average that combines the benefits of digital filtering and cubic spline fitting to provide a smooth and accurate representation of price movement without significant time lag.
|
||||
|
||||
## Origin
|
||||
|
||||
The AFIRMA indicator is based on the principles of digital signal processing and curve fitting. It was developed to address the limitations of traditional moving averages, which often suffer from time lag or fail to accurately track price movements.
|
||||
|
||||
## Key Features
|
||||
|
||||
- **Digital Filter**: The AFIRMA indicator uses a digital filter to smooth out price movements.
|
||||
- **Cubic Spline Fitting**: The latest candlesticks are smoothed using cubic spline fitting with the least square method to ensure a seamless transition.
|
||||
- **Combined Moving Average**: The indicator combines the digital filter and cubic spline fitting to create a smooth moving average that accurately tracks prices without time lag.
|
||||
- **Customizable Parameters**: The AFIRMA indicator allows users to adjust the Periods, Taps, and Window parameters to fine-tune the indicator's performance.
|
||||
|
||||
## Advantages
|
||||
|
||||
- **Accurate Price Tracking**: The AFIRMA indicator provides a smooth and accurate representation of price movement without time lag.
|
||||
- **Hybrid Approach**: The combination of digital filtering and cubic spline fitting provides a unique and effective approach to moving average calculation.
|
||||
|
||||
## Considerations
|
||||
|
||||
**Complexity**: The AFIRMA indicator is a complex filter that requires some understanding of digital signal processing and curve fitting to use it right.
|
||||
- **Parameter Optimization**: Finding the optimal parameters for the AFIRMA indicator may require some experimentation and testing.
|
||||
- **Computational Resources**: The AFIRMA indicator is computationally more intensive than traditional moving averages due to the use of cubic spline fitting.
|
||||
@@ -1,60 +0,0 @@
|
||||
# AFIRMA: Benchmark Analysis
|
||||
|
||||
This analysis evaluates the Autoregressive Finite Impulse Response Moving Average (AFIRMA) across four core benchmarks: accuracy, timeliness, overshooting, and smoothness. These benchmarks provide a comprehensive view of AFIRMA's performance characteristics and serve as a basis for comparison with other moving averages.
|
||||
|
||||
## Accuracy (closeness to the original data)
|
||||
|
||||
AFIRMA generally exhibits high accuracy in representing the original price data due to its sophisticated approach combining digital filtering and cubic spline fitting.
|
||||
|
||||
- **Strengths**:
|
||||
- The digital filter component helps to reduce noise while preserving important price trends.
|
||||
- Cubic spline fitting for recent candlesticks ensures that the most current price movements are accurately represented.
|
||||
|
||||
- **Considerations**:
|
||||
- Accuracy can vary based on parameter settings. Incorrect parameter selection might lead to over-smoothing or under-smoothing, potentially reducing accuracy.
|
||||
- In highly volatile markets, AFIRMA may sacrifice some accuracy for smoothness, especially if the parameters are set to prioritize noise reduction.
|
||||
|
||||
## Timeliness (amount of lag)
|
||||
|
||||
AFIRMA is designed to minimize lag, which is one of its key advantages over traditional moving averages.
|
||||
|
||||
- **Strengths**:
|
||||
- The combination of ARMA modeling and FIR filtering allows AFIRMA to respond quickly to price changes.
|
||||
- Cubic spline fitting of recent data points further reduces lag for the most current price movements.
|
||||
|
||||
- **Considerations**:
|
||||
- While AFIRMA generally has less lag than traditional MAs, it's not entirely lag-free. Some minimal lag may still be present, especially with longer period settings.
|
||||
- The amount of lag can be influenced by parameter settings. Optimizing for minimal lag might come at the cost of increased noise sensitivity.
|
||||
|
||||
## Overshooting (overcompensation during reversals)
|
||||
|
||||
AFIRMA's design helps to mitigate overshooting during price reversals, but the extent can vary based on settings and market conditions.
|
||||
|
||||
- **Strengths**:
|
||||
- The digital filtering component helps to dampen extreme price movements, reducing the likelihood of significant overshooting.
|
||||
- Cubic spline fitting allows for smoother transitions during reversals, potentially minimizing overshoot.
|
||||
|
||||
- **Considerations**:
|
||||
- Overshooting can still occur, especially in markets with sudden, sharp reversals.
|
||||
- The degree of overshooting can be influenced by parameter settings. More aggressive settings might increase responsiveness but also the risk of overshooting.
|
||||
|
||||
## Smoothness (continuous 2nd derivative, less jagged flow)
|
||||
|
||||
AFIRMA generally produces a smoother line than many traditional moving averages, which is one of its defining characteristics.
|
||||
|
||||
- **Strengths**:
|
||||
- The digital filtering component effectively smooths out minor price fluctuations and noise.
|
||||
- Cubic spline fitting ensures a smooth transition between historical and current data points.
|
||||
- The combination of these techniques results in a visually smooth line that can make trend identification easier.
|
||||
|
||||
- **Considerations**:
|
||||
- The degree of smoothness can be adjusted through parameter settings. Excessive smoothing might lead to a loss of responsiveness to genuine price changes.
|
||||
- In some cases, the smooth line might mask short-term volatility that could be relevant for certain trading strategies.
|
||||
|
||||
## Conclusion
|
||||
|
||||
AFIRMA demonstrates strong performance across all four benchmarks, particularly excelling in accuracy, timeliness, and smoothness. Its complex approach allows it to balance these often competing characteristics more effectively than many traditional moving averages.
|
||||
|
||||
However, it's important to note that AFIRMA's performance can be significantly influenced by its parameter settings. Optimal use of AFIRMA requires careful tuning of these parameters to balance accuracy, timeliness, overshooting resistance, and smoothness for the specific asset and timeframe being analyzed.
|
||||
|
||||
When compared to other moving averages, AFIRMA generally offers superior or comparable performance across these benchmarks. However, this comes at the cost of increased complexity and computational requirements. Traders and analysts should weigh these factors when deciding whether to incorporate AFIRMA into their technical analysis toolkit.
|
||||
@@ -1,67 +0,0 @@
|
||||
# The Math Behind AFIRMA
|
||||
|
||||
## Components of AFIRMA
|
||||
|
||||
AFIRMA is a hybrid beast, combining two main components:
|
||||
|
||||
- Autoregressive Moving Average (ARMA)
|
||||
- Finite Impulse Response (FIR) filter
|
||||
|
||||
### ARMA Component
|
||||
|
||||
$ X_t = c + \epsilon_t + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{j=1}^q \theta_j \epsilon_{t-j} $
|
||||
|
||||
Where:
|
||||
- $X_t$ is the time series value at time $t$<br>
|
||||
- $c$ is a constant<br>
|
||||
- $\phi_i$ are the parameters of the autoregressive term<br>
|
||||
- $\theta_j$ are the parameters of the moving average term<br>
|
||||
- $\epsilon_t$ is white noise<br>
|
||||
|
||||
### FIR Component
|
||||
|
||||
$ y[n] = \sum_{i=0}^{N-1} b_i \cdot x[n-i] $
|
||||
|
||||
Where:
|
||||
- $y[n]$ is the output signal
|
||||
- $x[n]$ is the input signal
|
||||
- $b_i$ are the filter coefficients
|
||||
- $N$ is the filter order
|
||||
|
||||
### AFIRMA: Putting It All Together
|
||||
|
||||
AFIRMA combines these components and adds cubic spline fitting to the mix. The general form can be expressed as:
|
||||
|
||||
$ AFIRMA_t = ARMA_t + FIR_t + CS_t $
|
||||
|
||||
Where:
|
||||
- $ARMA_t$ is the ARMA component at time $t$
|
||||
- $FIR_t$ is the FIR component at time $t$
|
||||
- $CS_t$ is the cubic spline fitting component at time $t$
|
||||
|
||||
### Digital Filtering Process
|
||||
|
||||
- The price data is passed through the digital filter to smooth out fluctuations.
|
||||
- The filter coefficients are optimized based on the specified parameters (Periods, Taps, Window).
|
||||
|
||||
### Cubic Spline Fitting
|
||||
|
||||
For the most recent bars:
|
||||
|
||||
- A cubic spline is fitted to the data points using the least squares method.
|
||||
- This ensures a smooth transition between the filtered data and the most recent price movements.
|
||||
|
||||
### Parameter Definitions
|
||||
|
||||
The AFIRMA indicator allows for the adjustment of three main parameters:
|
||||
|
||||
- **Periods**: Affects the overall smoothness of the indicator.
|
||||
- *Taps*: Influences the complexity of the digital filter.
|
||||
- *Window*: Determines the number of recent bars to which the cubic spline fitting is applied.
|
||||
|
||||
### Computational Process
|
||||
|
||||
- Apply the ARMA model to the price data.
|
||||
- Pass the result through the FIR filter.
|
||||
- Apply cubic spline fitting to the most recent data points.
|
||||
- Combine the results to produce the final AFIRMA value.
|
||||
@@ -1,63 +0,0 @@
|
||||
#!meta
|
||||
|
||||
{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"name":"csharp"}]}}
|
||||
|
||||
#!csharp
|
||||
|
||||
#r "..\..\..\..\lib\obj\Debug\QuanTAlib.dll"
|
||||
|
||||
#r "nuget: ScottPlot"
|
||||
|
||||
using QuanTAlib;
|
||||
using ScottPlot;
|
||||
using Microsoft.DotNet.Interactive.Formatting;
|
||||
|
||||
QuanTAlib.Formatters.Initialize();
|
||||
Formatter.Register(typeof(ScottPlot.Plot), (p, w) =>
|
||||
w.Write(((ScottPlot.Plot)p).GetSvgXml(600, 300)), HtmlFormatter.MimeType);
|
||||
|
||||
#!csharp
|
||||
|
||||
Dictionary<string, double[]> Data = new Dictionary<string, double[]>
|
||||
{
|
||||
{ "Spike", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Impulse", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1 } },
|
||||
{ "Triangle", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2 } },
|
||||
{ "Sawtooth", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Sine", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.39,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74 } },
|
||||
{ "Chirp", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97 } },
|
||||
{ "White", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09 } },
|
||||
{ "Gauss", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61 } },
|
||||
{ "B", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06 } },
|
||||
{ "HF", new double[] { -0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86 } },
|
||||
{ "ImpulseHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71 } },
|
||||
{ "SawtoothHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3} },
|
||||
{ "SineG", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35} },
|
||||
{ "ChirpG", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58} },
|
||||
{ "Complex", new double[] { 175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83} },
|
||||
{ "Market", new double[] { 68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,67.75,67.75,72.75,74.75,72.25,71.25,71.75,72.75,77.75,76,76,76,74.75,75.5,74.75,73.75,74,74.75,72.25,72.5,72.25,74.5,74.75,75.75,75.75,75.75,74.25,73.75,74.75,72,71.75,72.5,72.25,71,72,71.75,71.75,73.25,72.5,73.75,74,76.75,75.75,75,75.75,74.5,74.25,73.5,71.75,70.5,69,70.5,70,68.75,67.25,68.5,70.75,70,70.5,68.25,68.25,68.25,63.75,64.25} }
|
||||
|
||||
};
|
||||
|
||||
#!csharp
|
||||
|
||||
String Name = "AFIRMA";
|
||||
int taps = 6;
|
||||
int periods = 6;
|
||||
Afirma.WindowType window = Afirma.WindowType.BlackmanHarris;
|
||||
|
||||
Func<int, int, Afirma.WindowType, AbstractBase> Indicator = (taps, periods, windows) => new Afirma(taps: taps, periods: periods, window: window);
|
||||
|
||||
foreach (var item in Data) {
|
||||
string Signal = item.Key;
|
||||
double[] Input = item.Value;
|
||||
TSeries Output = new();
|
||||
var ma = Indicator(taps, periods, window);
|
||||
foreach (var value in Input) { Output.Add(ma.Calc(value)); }
|
||||
Plot plt = new();
|
||||
var p1a = plt.Add.Signal(Input[24..]); p1a.Color = ScottPlot.Colors.Red; p1a.LineWidth = 2;
|
||||
var p1b = plt.Add.Signal(Output.v.ToArray()[24..]); p1b.Color = ScottPlot.Colors.Blue; p1b.LineWidth = 4;
|
||||
plt.Title($"{Signal} - {Name}({taps}, {periods}, {window.ToString()})");
|
||||
plt.Display();
|
||||
plt.SaveSvg($"img/{Name}{taps}_{Signal}.svg", 450, 300);
|
||||
}
|
||||
@@ -1,3 +0,0 @@
|
||||
# AFIRMA: Charts
|
||||
|
||||
               
|
||||
@@ -1,330 +0,0 @@
|
||||
<?xml version="1.0" encoding="utf-8" ?>
|
||||
<svg xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink" width="450" height="300">
|
||||
<rect fill="white" width="450" height="300"/>
|
||||
<path fill="none" stroke="#010101" stroke-width="1" stroke-miterlimit="4" stroke-opacity="0.098039217" d="M58.2771 270.039L58.2771 46.2813M83.5435 270.039L83.5435 46.2813M108.81 270.039L108.81 46.2813M134.076 270.039L134.076 46.2813M159.343 270.039L159.343 46.2813M184.609 270.039L184.609 46.2813M209.876 270.039L209.876 46.2813M235.142 270.039L235.142 46.2813M260.409 270.039L260.409 46.2813M285.675 270.039L285.675 46.2813M310.942 270.039L310.942 46.2813M336.208 270.039L336.208 46.2813M361.475 270.039L361.475 46.2813M386.741 270.039L386.741 46.2813M412.008 270.039L412.008 46.2813"/>
|
||||
<path fill="none" stroke="#010101" stroke-width="1" stroke-miterlimit="4" stroke-opacity="0.098039217" d="M40.3379 255.446L435 255.446M40.3379 206.803L435 206.803M40.3379 158.16L435 158.16M40.3379 109.517L435 109.517M40.3379 60.8741L435 60.8741"/>
|
||||
<clipPath id="cl_97">
|
||||
<rect x="40.337891" y="46.28125" width="394.66211" height="223.75781"/>
|
||||
</clipPath>
|
||||
<g clip-path="url(#cl_97)">
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 161.232L38.3379 161.232"/>
|
||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 144.847L38.3379 144.847"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 136.655L38.3379 136.655"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 128.462L38.3379 128.462"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 120.27L38.3379 120.27"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 103.885L38.3379 103.885"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 95.6923L38.3379 95.6923"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 87.4998L38.3379 87.4998"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 79.3073L38.3379 79.3073"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 62.9223L38.3379 62.9223"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 54.7298L38.3379 54.7298"/>
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||||
<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 46.5373L38.3379 46.5373"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 270.039L40.3379 46.2813"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M435 270.039L435 46.2813"/>
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||||
<text transform="translate(237.669 31.2813)" font-size="16" font-weight="600" font-family="Segoe UI" x="-143.98828, -127.91016, -118.27734, -113.73047, -107.50391, -98.847656, -94.433594, -87.964844, -83.550781, -72.300781, -63.980469, -58.910156, -48.464844, -33.152344, -21.902344, -15.996094, -6.7929688, -2.4570313, 1.9570313, 11.160156, 15.496094, 19.910156, 30.167969, 34.714844, 43.324219, 51.003906, 59.949219, 74.605469, 83.214844, 92.894531, 105.15234, 113.76172, 120.12891, 126.49609, 131.04297, 138.08203, " y="-6.890625, ">
|
||||
White - AFIRMA(6, 6, BlackmanHarris)
|
||||
</text>
|
||||
</svg>
|
||||
|
Before Width: | Height: | Size: 31 KiB |
@@ -1,53 +0,0 @@
|
||||
## ALMA: Arnaud Legoux Moving Average
|
||||
|
||||
### Concept
|
||||
|
||||
ALMA is a moving average designed to reduce the lag of traditional moving averages while maintaining smoothness. It uses a Gaussian distribution to weight the price data, allowing for greater flexibility in balancing smoothness and responsiveness.
|
||||
|
||||
### Origin
|
||||
|
||||
ALMA was developed by *Arnaud Legoux and Dimitrios Kouzis-Loukas*, introduced in 2009. It was created to address the limitations of traditional moving averages, particularly the lag issue in trend identification and signal generation.
|
||||
|
||||
### Key Features
|
||||
|
||||
1. **Gaussian Distribution**: Uses a Gaussian (normal) distribution to weight price data, concentrating the most weight around a specific point.
|
||||
2. **Offset Parameter**: Allows shifting the Gaussian distribution to the left or right, affecting the lag and responsiveness.
|
||||
3. **Sigma Parameter**: Controls the width of the Gaussian distribution, affecting the smoothness of the average.
|
||||
4. **Lag Reduction**: Designed to minimize lag while maintaining a smooth output.
|
||||
|
||||
### Usage
|
||||
|
||||
1. **Trend Identification**: ALMA can identify trends more quickly than traditional moving averages due to its reduced lag.
|
||||
2. **Signal Generation**: Crossovers between ALMA and price, or between different ALMA settings, can generate trading signals.
|
||||
3. **Support and Resistance**: ALMA can act as dynamic support and resistance levels.
|
||||
4. **Smoothing Price Action**: Useful for smoothing noisy price data while preserving important trend information.
|
||||
|
||||
### Advantages
|
||||
|
||||
- Reduces lag compared to simple and exponential moving averages.
|
||||
- Highly customizable through its offset and sigma parameters.
|
||||
- Can be tuned to be more responsive or more smooth based on trading preferences.
|
||||
- Potentially more effective in capturing short-term price movements.
|
||||
|
||||
### Considerations
|
||||
|
||||
- **Offset Parameter**: Ranges from 0 to 1, determining the distribution's center of weight.
|
||||
- 0 results in a simple moving average (more lag, very smooth).
|
||||
- 1 creates a weighted average focused on the most recent prices (less lag, less smooth).
|
||||
- 0.85 is often used as a default, balancing lag reduction and smoothness.
|
||||
|
||||
- **Sigma Parameter**: Controls the Gaussian distribution's width.
|
||||
- Lower values create a narrower distribution, focusing on fewer price bars.
|
||||
- Higher values create a wider distribution, incorporating more price bars.
|
||||
- 6 is often used as a default value.
|
||||
|
||||
- **Period**: As with other moving averages, determines how many price bars are included in the calculation.
|
||||
|
||||
- **Balancing Responsiveness and Stability**:
|
||||
- Adjusting offset and sigma allows fine-tuning between quick response to price changes and stability in noisy markets.
|
||||
- Higher offset and lower sigma increase responsiveness but may lead to more false signals in volatile markets.
|
||||
- Lower offset and higher sigma increase smoothness but may introduce more lag.
|
||||
|
||||
- **Computational Complexity**: More complex to calculate than simple moving averages, which may be a consideration in high-frequency trading systems.
|
||||
|
||||
- **Interpretation**: Due to its unique weighting system, ALMA may behave differently from traditional moving averages in certain market conditions, requiring careful interpretation.
|
||||
@@ -1,51 +0,0 @@
|
||||
# ALMA: Benchmark Analysis
|
||||
|
||||
This analysis evaluates the Arnaud Legoux Moving Average (ALMA) across four core benchmarks: accuracy, timeliness, overshooting, and smoothness. These benchmarks provide a comprehensive view of ALMA's performance characteristics and serve as a basis for comparison with other moving averages.
|
||||
|
||||
## Accuracy (closeness to the original data)
|
||||
|
||||
ALMA generally exhibits good accuracy in representing the original price data due to its Gaussian distribution-based weighting system.
|
||||
|
||||
- **Strengths**:
|
||||
- The Gaussian distribution weighting helps to reduce noise while preserving important price trends.
|
||||
- The offset parameter allows for fine-tuning of the balance between recent and historical data representation.
|
||||
|
||||
- **Considerations**:
|
||||
- Accuracy can vary based on parameter settings. Incorrect parameter selection might lead to over-smoothing or under-smoothing, potentially reducing accuracy.
|
||||
- In highly volatile markets, ALMA may sacrifice some accuracy for smoothness, especially if the sigma parameter is set to prioritize noise reduction.
|
||||
|
||||
## Timeliness (amount of lag)
|
||||
|
||||
ALMA is designed to minimize lag, which is one of its key advantages over traditional moving averages.
|
||||
|
||||
- **Strengths**:
|
||||
- The offset parameter allows ALMA to be more responsive to recent price changes, potentially reducing lag.
|
||||
- The ability to adjust the window size provides flexibility in balancing timeliness and stability.
|
||||
|
||||
- **Considerations**:
|
||||
- While ALMA generally has less lag than traditional MAs, it's not entirely lag-free. Some minimal lag may still be present, especially with larger window sizes.
|
||||
- The amount of lag can be influenced by parameter settings. Optimizing for minimal lag might come at the cost of increased noise sensitivity.
|
||||
|
||||
## Overshooting (overcompensation during reversals)
|
||||
|
||||
ALMA's design helps to mitigate overshooting during price reversals, but the extent can vary based on settings and market conditions.
|
||||
|
||||
- **Strengths**:
|
||||
- The Gaussian distribution weighting helps to dampen extreme price movements, reducing the likelihood of significant overshooting.
|
||||
- The sigma parameter allows for control over the smoothness of transitions, potentially minimizing overshoot.
|
||||
|
||||
- **Considerations**:
|
||||
- Overshooting can still occur, especially in markets with sudden, sharp reversals.
|
||||
- The degree of overshooting can be influenced by parameter settings. More aggressive settings (lower sigma, higher offset) might increase responsiveness but also the risk of overshooting.
|
||||
|
||||
## Smoothness (continuous 2nd derivative, less jagged flow)
|
||||
|
||||
ALMA generally produces a smoother line than many traditional moving averages, which is one of its defining characteristics.
|
||||
|
||||
- **Strengths**:
|
||||
- The Gaussian distribution weighting effectively smooths out minor price fluctuations and noise.
|
||||
- The sigma parameter provides direct control over the smoothness of the line.
|
||||
- The resulting smooth line can make trend identification easier.
|
||||
|
||||
- **Considerations**:
|
||||
- The degree of smoothness can be adjusted through parameter settings.
|
||||
@@ -1,45 +0,0 @@
|
||||
# The Math Behind ALMA
|
||||
|
||||
## Components of ALMA
|
||||
|
||||
ALMA is a single-formula moving average that incorporates elements of several advanced techniques:
|
||||
|
||||
- Gaussian distribution
|
||||
- Weighted moving average
|
||||
- Offset parameter
|
||||
|
||||
### ALMA Formula
|
||||
|
||||
$ ALMA_t = \sum_{i=0}^{n-1} w_i \cdot P_{t-i} $
|
||||
|
||||
Where:
|
||||
- $ALMA_t$ is the ALMA value at time $t$
|
||||
- $n$ is the window size (number of periods)
|
||||
- $P_{t-i}$ is the price at time $t-i$
|
||||
- $w_i$ are the weights
|
||||
|
||||
### Weight Calculation
|
||||
|
||||
The weights $w_i$ are calculated using a Gaussian distribution function with an offset:
|
||||
|
||||
$ w_i = \exp\left(-\frac{(i - m)^2}{2s^2}\right) $
|
||||
|
||||
Where:
|
||||
- $i$ is the position of the price in the window (0 to $n-1$)
|
||||
- $m$ is the offset of the Gaussian distribution, calculated as $m = \text{floor}(offset \cdot (n - 1))$
|
||||
- $s$ is the standard deviation of the Gaussian distribution, calculated as $s = \frac{n}{sigma}$
|
||||
|
||||
### Parameter Definitions
|
||||
|
||||
ALMA uses three main parameters:
|
||||
|
||||
- **Window size** ($n$): Affects the overall reactivity of the indicator.
|
||||
- **Offset**: Influences the lag of the moving average. Lower values reduce lag but may increase noise.
|
||||
- **Sigma**: Controls the smoothness of the indicator. Higher values increase smoothness but may increase lag.
|
||||
|
||||
### Computational Process
|
||||
|
||||
For each new data point:
|
||||
- Calculate the weights for the entire window.
|
||||
- Apply these weights to the most recent $n$ prices.
|
||||
- Sum the weighted prices to produce the final ALMA value.
|
||||
@@ -1,62 +0,0 @@
|
||||
#!meta
|
||||
|
||||
{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"name":"csharp"}]}}
|
||||
|
||||
#!csharp
|
||||
|
||||
#r "..\..\..\..\lib\obj\Debug\QuanTAlib.dll"
|
||||
|
||||
#r "nuget: ScottPlot"
|
||||
|
||||
using QuanTAlib;
|
||||
using ScottPlot;
|
||||
using Microsoft.DotNet.Interactive.Formatting;
|
||||
|
||||
QuanTAlib.Formatters.Initialize();
|
||||
Formatter.Register(typeof(ScottPlot.Plot), (p, w) =>
|
||||
w.Write(((ScottPlot.Plot)p).GetSvgXml(600, 300)), HtmlFormatter.MimeType);
|
||||
|
||||
#!csharp
|
||||
|
||||
Dictionary<string, double[]> Data = new Dictionary<string, double[]>
|
||||
{
|
||||
{ "Spike", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Impulse", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1 } },
|
||||
{ "Triangle", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2 } },
|
||||
{ "Sawtooth", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Sine", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.39,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74 } },
|
||||
{ "Chirp", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97 } },
|
||||
{ "White", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09 } },
|
||||
{ "Gauss", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61 } },
|
||||
{ "B", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06 } },
|
||||
{ "HF", new double[] { -0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86 } },
|
||||
{ "ImpulseHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71 } },
|
||||
{ "SawtoothHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3} },
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{ "SineG", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35} },
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{ "ChirpG", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58} },
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{ "Complex", new double[] { 175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83} },
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||||
{ "Market", new double[] { 68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,67.75,67.75,72.75,74.75,72.25,71.25,71.75,72.75,77.75,76,76,76,74.75,75.5,74.75,73.75,74,74.75,72.25,72.5,72.25,74.5,74.75,75.75,75.75,75.75,74.25,73.75,74.75,72,71.75,72.5,72.25,71,72,71.75,71.75,73.25,72.5,73.75,74,76.75,75.75,75,75.75,74.5,74.25,73.5,71.75,70.5,69,70.5,70,68.75,67.25,68.5,70.75,70,70.5,68.25,68.25,68.25,63.75,64.25} }
|
||||
|
||||
};
|
||||
|
||||
#!csharp
|
||||
|
||||
String Name = "ALMA";
|
||||
int p = 10;
|
||||
double offset = 0.85;
|
||||
double sigma = 6.0;
|
||||
Func<int, AbstractBase> Indicator = period => new Alma(period, offset: offset, sigma: sigma);
|
||||
|
||||
foreach (var item in Data) {
|
||||
string Signal = item.Key;
|
||||
double[] Input = item.Value;
|
||||
TSeries Output = new();
|
||||
var ma = Indicator(p);
|
||||
foreach (var value in Input) { Output.Add(ma.Calc(value)); }
|
||||
Plot plt = new();
|
||||
var p1a = plt.Add.Signal(Input[24..]); p1a.Color = ScottPlot.Colors.Red; p1a.LineWidth = 2;
|
||||
var p1b = plt.Add.Signal(Output.v.ToArray()[24..]); p1b.Color = ScottPlot.Colors.Blue; p1b.LineWidth = 4;
|
||||
plt.Title($"{Signal} - {Name}({p}, {offset:F2}, {sigma:F2})");
|
||||
plt.Display();
|
||||
plt.SaveSvg($"img/{Name}{p}_{Signal}.svg", 450, 300);
|
||||
}
|
||||
@@ -1,3 +0,0 @@
|
||||
# ALMA Charts
|
||||
|
||||
               
|
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@@ -1,330 +0,0 @@
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-0.2
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</text>
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<text transform="translate(31.3379 153.04)" font-size="12" font-family="Segoe UI" x="-6.46875, " y="3.046875, ">
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0
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</text>
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<text transform="translate(31.3379 112.077)" font-size="12" font-family="Segoe UI" x="-15.539063, -9.0703125, -6.46875, " y="3.046875, ">
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0.2
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</text>
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0.4
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 103.885L38.3379 103.885"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 95.6923L38.3379 95.6923"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 87.4998L38.3379 87.4998"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 54.7298L38.3379 54.7298"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 46.5373L38.3379 46.5373"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M40.3379 270.039L40.3379 46.2813"/>
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<path fill="none" stroke="black" stroke-width="1" stroke-miterlimit="4" d="M435 270.039L435 46.2813"/>
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<text transform="translate(237.669 31.2813)" font-size="16" font-weight="600" font-family="Segoe UI" x="-109.01953, -92.941406, -83.308594, -78.761719, -72.535156, -63.878906, -59.464844, -52.996094, -48.582031, -37.332031, -29.152344, -13.839844, -2.5898438, 3.3164063, 12.519531, 21.722656, 26.058594, 30.472656, 39.675781, 44.011719, 53.214844, 62.417969, 66.753906, 71.167969, 80.371094, 84.707031, 93.910156, 103.11328, " y="-6.890625, ">
|
||||
White - ALMA(10, 0.85, 6.00)
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</text>
|
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</svg>
|
||||
|
Before Width: | Height: | Size: 31 KiB |
@@ -1,65 +0,0 @@
|
||||
# DEMA: Benchmark Analysis
|
||||
|
||||
This analysis evaluates the Double Exponential Moving Average (DEMA) across four core benchmarks: accuracy, timeliness, overshooting, and smoothness.
|
||||
|
||||
## Accuracy (closeness to the original data)
|
||||
|
||||
DEMA generally provides a good balance between accuracy and smoothing.
|
||||
|
||||
- **Strengths**:
|
||||
- The double smoothing process helps to reduce noise while preserving important price trends.
|
||||
- More accurate than a simple EMA, especially during trend changes.
|
||||
|
||||
- **Considerations**:
|
||||
- In highly volatile markets, DEMA may sacrifice some accuracy for smoothness.
|
||||
- Accuracy can vary based on the period setting. Shorter periods increase accuracy but may introduce more noise.
|
||||
|
||||
## Timeliness (amount of lag)
|
||||
|
||||
DEMA is designed to reduce lag compared to traditional moving averages, which is one of its key advantages.
|
||||
|
||||
- **Strengths**:
|
||||
- The double smoothing formula effectively reduces lag compared to standard EMAs.
|
||||
- Responds more quickly to price changes than simple or exponential moving averages.
|
||||
|
||||
- **Considerations**:
|
||||
- While DEMA has less lag than traditional MAs, it's not entirely lag-free.
|
||||
- Shorter periods reduce lag but may increase sensitivity to noise.
|
||||
|
||||
## Overshooting (overcompensation during reversals)
|
||||
|
||||
DEMA is known for significant overshooting during price reversals, which is one of its main drawbacks.
|
||||
|
||||
- **Weaknesses**:
|
||||
- Prone to substantial overshooting, especially during sharp price reversals.
|
||||
- The double exponential smoothing, while reducing lag, can exaggerate price movements during trend changes.
|
||||
|
||||
- **Considerations**:
|
||||
- Overshooting is particularly pronounced in volatile markets or during sudden trend reversals.
|
||||
- Shorter periods may further increase the risk and magnitude of overshooting.
|
||||
- This characteristic can lead to false signals or exaggerated price projections, potentially misleading traders.
|
||||
|
||||
## Smoothness (continuous 2nd derivative, less jagged flow)
|
||||
|
||||
DEMA produces a relatively smooth line, balancing smoothness with responsiveness.
|
||||
|
||||
- **Strengths**:
|
||||
- Smoother than a standard EMA, making trend identification easier.
|
||||
- The double smoothing process effectively reduces minor fluctuations.
|
||||
|
||||
- **Considerations**:
|
||||
- Less smooth than higher-order moving averages or those with explicit smoothing parameters.
|
||||
- The degree of smoothness is primarily controlled by the period setting, offering less flexibility than some advanced moving averages.
|
||||
|
||||
## Conclusion
|
||||
|
||||
DEMA demonstrates mixed performance across the four benchmarks. It excels in reducing lag and maintains a good degree of smoothness, but its tendency to overshoot significantly during price reversals is a major drawback.
|
||||
|
||||
DEMA's performance is influenced by its single parameter (the period). While this simplicity is an advantage for ease of use, it also means there's less flexibility to mitigate its overshooting tendency.
|
||||
|
||||
Compared to more complex moving averages like AFIRMA or ALMA, DEMA offers simplicity and excellent lag reduction. However, its proneness to overshooting can make it less reliable during volatile market conditions or during trend reversals.
|
||||
|
||||
Traders and analysts should carefully consider DEMA's strengths and weaknesses. While it offers improved lag reduction over simple moving averages, its overshooting characteristic can lead to false signals. This makes it potentially risky to use on its own, especially in volatile markets.
|
||||
DEMA might be most effectively used in conjunction with other indicators that can help confirm signals and mitigate the risk of false readings due to overshooting. It may be particularly useful in strongly trending markets where its lag reduction is beneficial and the risk of reversal (and thus overshooting) is lower.
|
||||
|
||||
In summary, DEMA's simplicity and lag reduction make it an interesting tool, but its tendency to overshoot means it should be used with caution and preferably as part of a broader analytical approach rather than as a standalone indicator.
|
||||
@@ -1,48 +0,0 @@
|
||||
# The Math Behind DEMA
|
||||
|
||||
## Components of DEMA
|
||||
|
||||
DEMA is composed of two main components:
|
||||
|
||||
1. Exponential Moving Average (EMA)
|
||||
2. A "double smoothing" factor
|
||||
|
||||
Let's break these down:
|
||||
|
||||
### EMA Calculation
|
||||
|
||||
The Exponential Moving Average (EMA) is calculated as:
|
||||
|
||||
$ EMA_t = \alpha \cdot P_t + (1 - \alpha) \cdot EMA_{t-1} $
|
||||
|
||||
Where:
|
||||
- $EMA_t$ is the EMA value at time $t$
|
||||
- $P_t$ is the price at time $t$
|
||||
- $\alpha$ is the smoothing factor, calculated as $\frac{2}{n+1}$
|
||||
- $n$ is the number of periods
|
||||
|
||||
### DEMA Formula
|
||||
|
||||
The DEMA is then calculated using the following formula:
|
||||
|
||||
$ DEMA_t = 2 \cdot EMA_t - EMA(EMA_t) $
|
||||
|
||||
Where:
|
||||
- $DEMA_t$ is the DEMA value at time $t$
|
||||
- $EMA_t$ is the EMA of the price
|
||||
- $EMA(EMA_t)$ is the EMA of the EMA
|
||||
|
||||
## Calculation Process
|
||||
|
||||
1. Calculate the EMA of the price series.
|
||||
2. Calculate another EMA on the result of step 1.
|
||||
3. Multiply the first EMA by 2.
|
||||
4. Subtract the second EMA from the result of step 3.
|
||||
|
||||
This process effectively reduces lag while maintaining smoothness.
|
||||
|
||||
## Parameter
|
||||
|
||||
DEMA uses a single parameter:
|
||||
|
||||
- **Period** ($n$): Determines the number of periods used in the EMA calculations. This affects the overall reactivity and smoothness of the indicator.
|
||||
@@ -1,60 +0,0 @@
|
||||
#!meta
|
||||
|
||||
{"kernelInfo":{"defaultKernelName":"csharp","items":[{"aliases":[],"name":"csharp"}]}}
|
||||
|
||||
#!csharp
|
||||
|
||||
#r "..\..\..\..\lib\obj\Debug\QuanTAlib.dll"
|
||||
|
||||
#r "nuget: ScottPlot"
|
||||
|
||||
using QuanTAlib;
|
||||
using ScottPlot;
|
||||
using Microsoft.DotNet.Interactive.Formatting;
|
||||
|
||||
QuanTAlib.Formatters.Initialize();
|
||||
Formatter.Register(typeof(ScottPlot.Plot), (p, w) =>
|
||||
w.Write(((ScottPlot.Plot)p).GetSvgXml(600, 300)), HtmlFormatter.MimeType);
|
||||
|
||||
#!csharp
|
||||
|
||||
Dictionary<string, double[]> Data = new Dictionary<string, double[]>
|
||||
{
|
||||
{ "Spike", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Impulse", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1 } },
|
||||
{ "Triangle", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2 } },
|
||||
{ "Sawtooth", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0 } },
|
||||
{ "Sine", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.39,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74 } },
|
||||
{ "Chirp", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97 } },
|
||||
{ "White", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09 } },
|
||||
{ "Gauss", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61 } },
|
||||
{ "B", new double[] { -0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06 } },
|
||||
{ "HF", new double[] { -0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86 } },
|
||||
{ "ImpulseHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71 } },
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||||
{ "SawtoothHF", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3} },
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{ "SineG", new double[] { -0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35} },
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{ "ChirpG", new double[] { 0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58} },
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{ "Complex", new double[] { 175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83} },
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{ "Market", new double[] { 68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,68.75,68.25,67.75,67.75,72.75,74.75,72.25,71.25,71.75,72.75,77.75,76,76,76,74.75,75.5,74.75,73.75,74,74.75,72.25,72.5,72.25,74.5,74.75,75.75,75.75,75.75,74.25,73.75,74.75,72,71.75,72.5,72.25,71,72,71.75,71.75,73.25,72.5,73.75,74,76.75,75.75,75,75.75,74.5,74.25,73.5,71.75,70.5,69,70.5,70,68.75,67.25,68.5,70.75,70,70.5,68.25,68.25,68.25,63.75,64.25} }
|
||||
|
||||
};
|
||||
|
||||
#!csharp
|
||||
|
||||
String Name = "DEMA";
|
||||
int p = 10;
|
||||
Func<int, AbstractBase> Indicator = period => new Dema(period);
|
||||
|
||||
foreach (var item in Data) {
|
||||
string Signal = item.Key;
|
||||
double[] Input = item.Value;
|
||||
TSeries Output = new();
|
||||
var ma = Indicator(p);
|
||||
foreach (var value in Input) { Output.Add(ma.Calc(value)); }
|
||||
Plot plt = new();
|
||||
var p1a = plt.Add.Signal(Input[24..]); p1a.Color = ScottPlot.Colors.Red; p1a.LineWidth = 2;
|
||||
var p1b = plt.Add.Signal(Output.v.ToArray()[24..]); p1b.Color = ScottPlot.Colors.Blue; p1b.LineWidth = 4;
|
||||
plt.Title($"{Signal} - {Name}({p})");
|
||||
plt.Display();
|
||||
plt.SaveSvg($"img/{Name}{p}_{Signal}.svg", 450, 300);
|
||||
}
|
||||
@@ -1,3 +0,0 @@
|
||||
# DEMA Charts
|
||||
|
||||
               
|
||||
@@ -1,59 +0,0 @@
|
||||
## DEMA: Double Exponential Moving Average
|
||||
|
||||
### Concept
|
||||
|
||||
DEMA is an enhanced version of the Exponential Moving Average (EMA) designed to reduce lag while maintaining smoothness. It achieves this by calculating an EMA of an EMA and then using a formula to reduce the inherent lag - at the expense of overshooting the signal line.
|
||||
|
||||
### Origin
|
||||
|
||||
DEMA was developed by Patrick Mulloy and first introduced in the February 1994 issue of *Technical Analysis of Stocks & Commodities magazine*. It was created to address the lag issue in traditional moving averages, particularly in trend identification and signal generation.
|
||||
|
||||
### Key Features
|
||||
|
||||
1. **Double Smoothing**: Uses two EMAs in its calculation, providing a smoother output than a single EMA.
|
||||
2. **Lag Reduction**: Employs a formula to reduce the lag typically associated with moving averages.
|
||||
3. **Responsiveness**: More responsive to price changes than a standard EMA of the same period, at the expense of overshooting.
|
||||
4. **Trend Sensitivity**: Better at capturing trends and reacting to reversals than traditional moving averages.
|
||||
|
||||
### Usage
|
||||
|
||||
1. **Trend Identification**: DEMA can identify trends more quickly than traditional moving averages due to its reduced lag.
|
||||
2. **Signal Generation**: Crossovers between DEMA and price, or between different DEMA settings, can generate trading signals.
|
||||
3. **Support and Resistance**: DEMA can act as dynamic support and resistance levels.
|
||||
4. **Smoothing Price Action**: Useful for smoothing noisy price data while preserving important trend information.
|
||||
|
||||
### Advantages
|
||||
|
||||
- Reduces lag compared to simple and exponential moving averages.
|
||||
- More responsive to price changes than traditional EMAs.
|
||||
- Maintains smoothness despite increased responsiveness.
|
||||
- Can be more effective in capturing short to medium-term price movements.
|
||||
- Simple to understand conceptually, building on the familiar EMA.
|
||||
|
||||
### Considerations
|
||||
|
||||
- **Period**: As with other moving averages, determines how many price bars are included in the calculation. The period affects both EMAs used in the DEMA calculation.
|
||||
|
||||
- **Calculation**: The formula for DEMA is:
|
||||
DEMA = 2 * EMA(price) - EMA(EMA(price))<br>
|
||||
This formula effectively doubles the percentage of EMA weight applied to the most recent price.
|
||||
|
||||
- **Sensitivity**:
|
||||
- DEMA is more sensitive to price changes than a standard EMA of the same period.
|
||||
- This increased sensitivity can lead to earlier signals but may also result in more false signals in choppy markets.
|
||||
|
||||
- **Balancing Responsiveness and Stability**:
|
||||
- Shorter periods increase responsiveness but may lead to more false signals in volatile markets.
|
||||
- Longer periods increase smoothness but may introduce more lag.
|
||||
|
||||
- **Comparison to Other MAs**:
|
||||
- DEMA typically responds faster than EMA, SMA, or triangular MA of the same period.
|
||||
- It may be less smooth than a triple exponential moving average (TEMA) but with less lag.
|
||||
|
||||
- **Whipsaws**: Due to its responsiveness, DEMA may be prone to whipsaws in ranging or choppy markets.
|
||||
|
||||
- **Multiple Time Frame Analysis**: Using DEMAs on different time frames can provide a more comprehensive view of trends and potential reversals.
|
||||
|
||||
- **Computational Complexity**: Slightly more complex to calculate than simple or exponential moving averages, which may be a minor consideration in high-frequency trading systems.
|
||||
|
||||
- **Interpretation**: While more responsive than traditional EMAs, traders should still be aware that DEMA is a lagging indicator by nature, and should be used in conjunction with other technical analysis tools for confirmation.
|
||||
@@ -1,330 +0,0 @@
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||||
<?xml version="1.0" encoding="utf-8" ?>
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Before Width: | Height: | Size: 31 KiB |
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Reference in New Issue
Block a user