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new indicators

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This commit is contained in:
Miha Kralj
2024-11-03 18:16:42 -08:00
parent 4f2772f130
commit 5d086a1473
23 changed files with 2100 additions and 201 deletions
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Tests/test_updates_oscillators.cs
+130 -12
View File
@@ -17,6 +17,15 @@ public class OscillatorsUpdateTests
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 Rsi_Update()
{
@@ -66,12 +75,12 @@ public class OscillatorsUpdateTests
public void Ao_Update()
{
var indicator = new Ao();
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -82,12 +91,12 @@ public class OscillatorsUpdateTests
public void Ac_Update()
{
var indicator = new Ac();
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -98,12 +107,12 @@ public class OscillatorsUpdateTests
public void Aroon_Update()
{
var indicator = new Aroon(period: 25);
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -114,12 +123,12 @@ public class OscillatorsUpdateTests
public void Bop_Update()
{
var indicator = new Bop();
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -130,12 +139,12 @@ public class OscillatorsUpdateTests
public void Cci_Update()
{
var indicator = new Cci(period: 20);
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -161,12 +170,12 @@ public class OscillatorsUpdateTests
public void Chop_Update()
{
var indicator = new Chop(period: 14);
TBar r = new(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TBar(DateTime.Now, GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), GetRandomDouble(), 1000, IsNew: false));
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));
@@ -187,4 +196,113 @@ public class OscillatorsUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Smi_Update()
{
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
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 Srsi_Update()
{
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
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 Stc_Update()
{
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
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 Stoch_Update()
{
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
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 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(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Uo_Update()
{
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
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 Willr_Update()
{
var indicator = new Willr(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);
}
}
Tests/test_updates_volatility.cs
+112
View File
@@ -170,6 +170,22 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Dchn_Update()
{
var indicator = new Dchn(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);
}
[Fact]
public void Ewma_Update()
{
@@ -264,6 +280,54 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Natr_Update()
{
var indicator = new Natr(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 Pch_Update()
{
var indicator = new Pch(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);
}
[Fact]
public void Pv_Update()
{
var indicator = new Pv(period: 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 Realized_Update()
{
@@ -279,6 +343,22 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Rsv_Update()
{
var indicator = new Rsv(period: 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 Rvi_Update()
{
@@ -294,6 +374,22 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Sv_Update()
{
var indicator = new Sv(period: 20, lambda: 0.94);
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 Tr_Update()
{
@@ -389,4 +485,20 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Yzv_Update()
{
var indicator = new Yzv(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);
}
}