mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
CORR - Pearson's Correlation Coefficient
This commit is contained in:
Miha Kralj
+356
-356
@@ -1,356 +1,356 @@
|
||||
## Ignore Visual Studio temporary files, build results, and
|
||||
## files generated by popular Visual Studio add-ons.
|
||||
##
|
||||
## Get latest from https://github.com/github/gitignore/blob/master/VisualStudio.gitignore
|
||||
|
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# User-specific files
|
||||
*.rsuser
|
||||
*.suo
|
||||
*.user
|
||||
*.userosscache
|
||||
*.sln.docstates
|
||||
.vscode/
|
||||
*.deps.json
|
||||
.Sandbox/
|
||||
.sonarlint/
|
||||
.DS_Store
|
||||
|
||||
# User-specific files (MonoDevelop/Xamarin Studio)
|
||||
*.userprefs
|
||||
|
||||
# Mono auto generated files
|
||||
mono_crash.*
|
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|
||||
# Build results
|
||||
[Dd]ebug/
|
||||
[Dd]ebugPublic/
|
||||
[Rr]elease/
|
||||
[Rr]eleases/
|
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x64/
|
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x86/
|
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[Aa][Rr][Mm]/
|
||||
[Aa][Rr][Mm]64/
|
||||
bld/
|
||||
[Bb]in/
|
||||
[Oo]bj/
|
||||
[Ll]og/
|
||||
[Ll]ogs/
|
||||
|
||||
# Visual Studio 2015/2017 cache/options directory
|
||||
.vs/
|
||||
# Uncomment if you have tasks that create the project's static files in wwwroot
|
||||
#wwwroot/
|
||||
|
||||
# Visual Studio 2017 auto generated files
|
||||
Generated\ Files/
|
||||
|
||||
# MSTest test Results
|
||||
[Tt]est[Rr]esult*/
|
||||
[Bb]uild[Ll]og.*
|
||||
|
||||
# NUnit
|
||||
*.VisualState.xml
|
||||
TestResult.xml
|
||||
nunit-*.xml
|
||||
|
||||
# Build Results of an ATL Project
|
||||
[Dd]ebugPS/
|
||||
[Rr]eleasePS/
|
||||
dlldata.c
|
||||
|
||||
# Benchmark Results
|
||||
BenchmarkDotNet.Artifacts/
|
||||
|
||||
# .NET Core
|
||||
project.lock.json
|
||||
project.fragment.lock.json
|
||||
artifacts/
|
||||
|
||||
# StyleCop
|
||||
StyleCopReport.xml
|
||||
|
||||
# Files built by Visual Studio
|
||||
*_i.c
|
||||
*_p.c
|
||||
*_h.h
|
||||
*.ilk
|
||||
*.meta
|
||||
*.obj
|
||||
*.iobj
|
||||
*.pch
|
||||
*.pdb
|
||||
*.ipdb
|
||||
*.pgc
|
||||
*.pgd
|
||||
*.rsp
|
||||
*.sbr
|
||||
*.tlb
|
||||
*.tli
|
||||
*.tlh
|
||||
*.tmp
|
||||
*.tmp_proj
|
||||
*_wpftmp.csproj
|
||||
*.log
|
||||
*.vspscc
|
||||
*.vssscc
|
||||
.builds
|
||||
*.pidb
|
||||
*.svclog
|
||||
*.scc
|
||||
|
||||
# Chutzpah Test files
|
||||
_Chutzpah*
|
||||
|
||||
# Visual C++ cache files
|
||||
ipch/
|
||||
*.aps
|
||||
*.ncb
|
||||
*.opendb
|
||||
*.opensdf
|
||||
*.sdf
|
||||
*.cachefile
|
||||
*.VC.db
|
||||
*.VC.VC.opendb
|
||||
|
||||
# Visual Studio profiler
|
||||
*.psess
|
||||
*.vsp
|
||||
*.vspx
|
||||
*.sap
|
||||
|
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# Visual Studio Trace Files
|
||||
*.e2e
|
||||
|
||||
# TFS 2012 Local Workspace
|
||||
$tf/
|
||||
|
||||
# Guidance Automation Toolkit
|
||||
*.gpState
|
||||
|
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# ReSharper is a .NET coding add-in
|
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_ReSharper*/
|
||||
*.[Rr]e[Ss]harper
|
||||
*.DotSettings.user
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|
||||
# TeamCity is a build add-in
|
||||
_TeamCity*
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||||
|
||||
# DotCover is a Code Coverage Tool
|
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*.dotCover
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|
||||
# AxoCover is a Code Coverage Tool
|
||||
.axoCover/*
|
||||
!.axoCover/settings.json
|
||||
|
||||
# Visual Studio code coverage results
|
||||
*.coverage
|
||||
*.coveragexml
|
||||
|
||||
# NCrunch
|
||||
_NCrunch_*
|
||||
.*crunch*.local.xml
|
||||
nCrunchTemp_*
|
||||
|
||||
# MightyMoose
|
||||
*.mm.*
|
||||
AutoTest.Net/
|
||||
|
||||
# Web workbench (sass)
|
||||
.sass-cache/
|
||||
|
||||
# Installshield output folder
|
||||
[Ee]xpress/
|
||||
|
||||
# DocProject is a documentation generator add-in
|
||||
DocProject/buildhelp/
|
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DocProject/Help/*.HxT
|
||||
DocProject/Help/*.HxC
|
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DocProject/Help/*.hhc
|
||||
DocProject/Help/*.hhk
|
||||
DocProject/Help/*.hhp
|
||||
DocProject/Help/Html2
|
||||
DocProject/Help/html
|
||||
|
||||
# Click-Once directory
|
||||
publish/
|
||||
|
||||
# Publish Web Output
|
||||
*.[Pp]ublish.xml
|
||||
*.azurePubxml
|
||||
# Note: Comment the next line if you want to checkin your web deploy settings,
|
||||
# but database connection strings (with potential passwords) will be unencrypted
|
||||
*.pubxml
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*.publishproj
|
||||
|
||||
# Microsoft Azure Web App publish settings. Comment the next line if you want to
|
||||
# checkin your Azure Web App publish settings, but sensitive information contained
|
||||
# in these scripts will be unencrypted
|
||||
PublishScripts/
|
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|
||||
# NuGet Packages
|
||||
*.nupkg
|
||||
# NuGet Symbol Packages
|
||||
*.snupkg
|
||||
# The packages folder can be ignored because of Package Restore
|
||||
**/[Pp]ackages/*
|
||||
# except build/, which is used as an MSBuild target.
|
||||
!**/[Pp]ackages/build/
|
||||
# Uncomment if necessary however generally it will be regenerated when needed
|
||||
#!**/[Pp]ackages/repositories.config
|
||||
# NuGet v3's project.json files produces more ignorable files
|
||||
*.nuget.props
|
||||
*.nuget.targets
|
||||
|
||||
# Microsoft Azure Build Output
|
||||
csx/
|
||||
*.build.csdef
|
||||
|
||||
# Microsoft Azure Emulator
|
||||
ecf/
|
||||
rcf/
|
||||
|
||||
# Windows Store app package directories and files
|
||||
AppPackages/
|
||||
BundleArtifacts/
|
||||
Package.StoreAssociation.xml
|
||||
_pkginfo.txt
|
||||
*.appx
|
||||
*.appxbundle
|
||||
*.appxupload
|
||||
|
||||
# Visual Studio cache files
|
||||
# files ending in .cache can be ignored
|
||||
*.[Cc]ache
|
||||
# but keep track of directories ending in .cache
|
||||
!?*.[Cc]ache/
|
||||
|
||||
# Others
|
||||
ClientBin/
|
||||
~$*
|
||||
*~
|
||||
*.dbmdl
|
||||
*.dbproj.schemaview
|
||||
*.jfm
|
||||
*.pfx
|
||||
*.publishsettings
|
||||
orleans.codegen.cs
|
||||
|
||||
# Including strong name files can present a security risk
|
||||
# (https://github.com/github/gitignore/pull/2483#issue-259490424)
|
||||
#*.snk
|
||||
|
||||
# Since there are multiple workflows, uncomment next line to ignore bower_components
|
||||
# (https://github.com/github/gitignore/pull/1529#issuecomment-104372622)
|
||||
#bower_components/
|
||||
|
||||
# RIA/Silverlight projects
|
||||
Generated_Code/
|
||||
|
||||
# Backup & report files from converting an old project file
|
||||
# to a newer Visual Studio version. Backup files are not needed,
|
||||
# because we have git ;-)
|
||||
_UpgradeReport_Files/
|
||||
Backup*/
|
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UpgradeLog*.XML
|
||||
UpgradeLog*.htm
|
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ServiceFabricBackup/
|
||||
*.rptproj.bak
|
||||
|
||||
# SQL Server files
|
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*.mdf
|
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*.ldf
|
||||
*.ndf
|
||||
|
||||
# Business Intelligence projects
|
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*.rdl.data
|
||||
*.bim.layout
|
||||
*.bim_*.settings
|
||||
*.rptproj.rsuser
|
||||
*- [Bb]ackup.rdl
|
||||
*- [Bb]ackup ([0-9]).rdl
|
||||
*- [Bb]ackup ([0-9][0-9]).rdl
|
||||
|
||||
# Microsoft Fakes
|
||||
FakesAssemblies/
|
||||
|
||||
# GhostDoc plugin setting file
|
||||
*.GhostDoc.xml
|
||||
|
||||
# Node.js Tools for Visual Studio
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.ntvs_analysis.dat
|
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node_modules/
|
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|
||||
# Visual Studio 6 build log
|
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*.plg
|
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|
||||
# Visual Studio 6 workspace options file
|
||||
*.opt
|
||||
|
||||
# Visual Studio 6 auto-generated workspace file (contains which files were open etc.)
|
||||
*.vbw
|
||||
|
||||
# Visual Studio LightSwitch build output
|
||||
**/*.HTMLClient/GeneratedArtifacts
|
||||
**/*.DesktopClient/GeneratedArtifacts
|
||||
**/*.DesktopClient/ModelManifest.xml
|
||||
**/*.Server/GeneratedArtifacts
|
||||
**/*.Server/ModelManifest.xml
|
||||
_Pvt_Extensions
|
||||
|
||||
# Paket dependency manager
|
||||
.paket/paket.exe
|
||||
paket-files/
|
||||
|
||||
# FAKE - F# Make
|
||||
.fake/
|
||||
|
||||
# CodeRush personal settings
|
||||
.cr/personal
|
||||
|
||||
# Python Tools for Visual Studio (PTVS)
|
||||
__pycache__/
|
||||
*.pyc
|
||||
|
||||
# Cake - Uncomment if you are using it
|
||||
# tools/**
|
||||
# !tools/packages.config
|
||||
|
||||
# Tabs Studio
|
||||
*.tss
|
||||
|
||||
# Telerik's JustMock configuration file
|
||||
*.jmconfig
|
||||
|
||||
# BizTalk build output
|
||||
*.btp.cs
|
||||
*.btm.cs
|
||||
*.odx.cs
|
||||
*.xsd.cs
|
||||
|
||||
# OpenCover UI analysis results
|
||||
OpenCover/
|
||||
|
||||
# Azure Stream Analytics local run output
|
||||
ASALocalRun/
|
||||
|
||||
# MSBuild Binary and Structured Log
|
||||
*.binlog
|
||||
|
||||
# NVidia Nsight GPU debugger configuration file
|
||||
*.nvuser
|
||||
|
||||
# MFractors (Xamarin productivity tool) working folder
|
||||
.mfractor/
|
||||
|
||||
# Local History for Visual Studio
|
||||
.localhistory/
|
||||
|
||||
# BeatPulse healthcheck temp database
|
||||
healthchecksdb
|
||||
|
||||
# Backup folder for Package Reference Convert tool in Visual Studio 2017
|
||||
MigrationBackup/
|
||||
|
||||
# Ionide (cross platform F# VS Code tools) working folder
|
||||
.ionide/
|
||||
dotCover.Output.dcvr
|
||||
## Ignore Visual Studio temporary files, build results, and
|
||||
## files generated by popular Visual Studio add-ons.
|
||||
##
|
||||
## Get latest from https://github.com/github/gitignore/blob/master/VisualStudio.gitignore
|
||||
|
||||
# User-specific files
|
||||
*.rsuser
|
||||
*.suo
|
||||
*.user
|
||||
*.userosscache
|
||||
*.sln.docstates
|
||||
.vscode/
|
||||
*.deps.json
|
||||
.Sandbox/
|
||||
.sonarlint/
|
||||
.DS_Store
|
||||
|
||||
# User-specific files (MonoDevelop/Xamarin Studio)
|
||||
*.userprefs
|
||||
|
||||
# Mono auto generated files
|
||||
mono_crash.*
|
||||
|
||||
# Build results
|
||||
[Dd]ebug/
|
||||
[Dd]ebugPublic/
|
||||
[Rr]elease/
|
||||
[Rr]eleases/
|
||||
x64/
|
||||
x86/
|
||||
[Aa][Rr][Mm]/
|
||||
[Aa][Rr][Mm]64/
|
||||
bld/
|
||||
[Bb]in/
|
||||
[Oo]bj/
|
||||
[Ll]og/
|
||||
[Ll]ogs/
|
||||
|
||||
# Visual Studio 2015/2017 cache/options directory
|
||||
.vs/
|
||||
# Uncomment if you have tasks that create the project's static files in wwwroot
|
||||
#wwwroot/
|
||||
|
||||
# Visual Studio 2017 auto generated files
|
||||
Generated\ Files/
|
||||
|
||||
# MSTest test Results
|
||||
[Tt]est[Rr]esult*/
|
||||
[Bb]uild[Ll]og.*
|
||||
|
||||
# NUnit
|
||||
*.VisualState.xml
|
||||
TestResult.xml
|
||||
nunit-*.xml
|
||||
|
||||
# Build Results of an ATL Project
|
||||
[Dd]ebugPS/
|
||||
[Rr]eleasePS/
|
||||
dlldata.c
|
||||
|
||||
# Benchmark Results
|
||||
BenchmarkDotNet.Artifacts/
|
||||
|
||||
# .NET Core
|
||||
project.lock.json
|
||||
project.fragment.lock.json
|
||||
artifacts/
|
||||
|
||||
# StyleCop
|
||||
StyleCopReport.xml
|
||||
|
||||
# Files built by Visual Studio
|
||||
*_i.c
|
||||
*_p.c
|
||||
*_h.h
|
||||
*.ilk
|
||||
*.meta
|
||||
*.obj
|
||||
*.iobj
|
||||
*.pch
|
||||
*.pdb
|
||||
*.ipdb
|
||||
*.pgc
|
||||
*.pgd
|
||||
*.rsp
|
||||
*.sbr
|
||||
*.tlb
|
||||
*.tli
|
||||
*.tlh
|
||||
*.tmp
|
||||
*.tmp_proj
|
||||
*_wpftmp.csproj
|
||||
*.log
|
||||
*.vspscc
|
||||
*.vssscc
|
||||
.builds
|
||||
*.pidb
|
||||
*.svclog
|
||||
*.scc
|
||||
|
||||
# Chutzpah Test files
|
||||
_Chutzpah*
|
||||
|
||||
# Visual C++ cache files
|
||||
ipch/
|
||||
*.aps
|
||||
*.ncb
|
||||
*.opendb
|
||||
*.opensdf
|
||||
*.sdf
|
||||
*.cachefile
|
||||
*.VC.db
|
||||
*.VC.VC.opendb
|
||||
|
||||
# Visual Studio profiler
|
||||
*.psess
|
||||
*.vsp
|
||||
*.vspx
|
||||
*.sap
|
||||
|
||||
# Visual Studio Trace Files
|
||||
*.e2e
|
||||
|
||||
# TFS 2012 Local Workspace
|
||||
$tf/
|
||||
|
||||
# Guidance Automation Toolkit
|
||||
*.gpState
|
||||
|
||||
# ReSharper is a .NET coding add-in
|
||||
_ReSharper*/
|
||||
*.[Rr]e[Ss]harper
|
||||
*.DotSettings.user
|
||||
|
||||
# TeamCity is a build add-in
|
||||
_TeamCity*
|
||||
|
||||
# DotCover is a Code Coverage Tool
|
||||
*.dotCover
|
||||
|
||||
# AxoCover is a Code Coverage Tool
|
||||
.axoCover/*
|
||||
!.axoCover/settings.json
|
||||
|
||||
# Visual Studio code coverage results
|
||||
*.coverage
|
||||
*.coveragexml
|
||||
|
||||
# NCrunch
|
||||
_NCrunch_*
|
||||
.*crunch*.local.xml
|
||||
nCrunchTemp_*
|
||||
|
||||
# MightyMoose
|
||||
*.mm.*
|
||||
AutoTest.Net/
|
||||
|
||||
# Web workbench (sass)
|
||||
.sass-cache/
|
||||
|
||||
# Installshield output folder
|
||||
[Ee]xpress/
|
||||
|
||||
# DocProject is a documentation generator add-in
|
||||
DocProject/buildhelp/
|
||||
DocProject/Help/*.HxT
|
||||
DocProject/Help/*.HxC
|
||||
DocProject/Help/*.hhc
|
||||
DocProject/Help/*.hhk
|
||||
DocProject/Help/*.hhp
|
||||
DocProject/Help/Html2
|
||||
DocProject/Help/html
|
||||
|
||||
# Click-Once directory
|
||||
publish/
|
||||
|
||||
# Publish Web Output
|
||||
*.[Pp]ublish.xml
|
||||
*.azurePubxml
|
||||
# Note: Comment the next line if you want to checkin your web deploy settings,
|
||||
# but database connection strings (with potential passwords) will be unencrypted
|
||||
*.pubxml
|
||||
*.publishproj
|
||||
|
||||
# Microsoft Azure Web App publish settings. Comment the next line if you want to
|
||||
# checkin your Azure Web App publish settings, but sensitive information contained
|
||||
# in these scripts will be unencrypted
|
||||
PublishScripts/
|
||||
|
||||
# NuGet Packages
|
||||
*.nupkg
|
||||
# NuGet Symbol Packages
|
||||
*.snupkg
|
||||
# The packages folder can be ignored because of Package Restore
|
||||
**/[Pp]ackages/*
|
||||
# except build/, which is used as an MSBuild target.
|
||||
!**/[Pp]ackages/build/
|
||||
# Uncomment if necessary however generally it will be regenerated when needed
|
||||
#!**/[Pp]ackages/repositories.config
|
||||
# NuGet v3's project.json files produces more ignorable files
|
||||
*.nuget.props
|
||||
*.nuget.targets
|
||||
|
||||
# Microsoft Azure Build Output
|
||||
csx/
|
||||
*.build.csdef
|
||||
|
||||
# Microsoft Azure Emulator
|
||||
ecf/
|
||||
rcf/
|
||||
|
||||
# Windows Store app package directories and files
|
||||
AppPackages/
|
||||
BundleArtifacts/
|
||||
Package.StoreAssociation.xml
|
||||
_pkginfo.txt
|
||||
*.appx
|
||||
*.appxbundle
|
||||
*.appxupload
|
||||
|
||||
# Visual Studio cache files
|
||||
# files ending in .cache can be ignored
|
||||
*.[Cc]ache
|
||||
# but keep track of directories ending in .cache
|
||||
!?*.[Cc]ache/
|
||||
|
||||
# Others
|
||||
ClientBin/
|
||||
~$*
|
||||
*~
|
||||
*.dbmdl
|
||||
*.dbproj.schemaview
|
||||
*.jfm
|
||||
*.pfx
|
||||
*.publishsettings
|
||||
orleans.codegen.cs
|
||||
|
||||
# Including strong name files can present a security risk
|
||||
# (https://github.com/github/gitignore/pull/2483#issue-259490424)
|
||||
#*.snk
|
||||
|
||||
# Since there are multiple workflows, uncomment next line to ignore bower_components
|
||||
# (https://github.com/github/gitignore/pull/1529#issuecomment-104372622)
|
||||
#bower_components/
|
||||
|
||||
# RIA/Silverlight projects
|
||||
Generated_Code/
|
||||
|
||||
# Backup & report files from converting an old project file
|
||||
# to a newer Visual Studio version. Backup files are not needed,
|
||||
# because we have git ;-)
|
||||
_UpgradeReport_Files/
|
||||
Backup*/
|
||||
UpgradeLog*.XML
|
||||
UpgradeLog*.htm
|
||||
ServiceFabricBackup/
|
||||
*.rptproj.bak
|
||||
|
||||
# SQL Server files
|
||||
*.mdf
|
||||
*.ldf
|
||||
*.ndf
|
||||
|
||||
# Business Intelligence projects
|
||||
*.rdl.data
|
||||
*.bim.layout
|
||||
*.bim_*.settings
|
||||
*.rptproj.rsuser
|
||||
*- [Bb]ackup.rdl
|
||||
*- [Bb]ackup ([0-9]).rdl
|
||||
*- [Bb]ackup ([0-9][0-9]).rdl
|
||||
|
||||
# Microsoft Fakes
|
||||
FakesAssemblies/
|
||||
|
||||
# GhostDoc plugin setting file
|
||||
*.GhostDoc.xml
|
||||
|
||||
# Node.js Tools for Visual Studio
|
||||
.ntvs_analysis.dat
|
||||
node_modules/
|
||||
|
||||
# Visual Studio 6 build log
|
||||
*.plg
|
||||
|
||||
# Visual Studio 6 workspace options file
|
||||
*.opt
|
||||
|
||||
# Visual Studio 6 auto-generated workspace file (contains which files were open etc.)
|
||||
*.vbw
|
||||
|
||||
# Visual Studio LightSwitch build output
|
||||
**/*.HTMLClient/GeneratedArtifacts
|
||||
**/*.DesktopClient/GeneratedArtifacts
|
||||
**/*.DesktopClient/ModelManifest.xml
|
||||
**/*.Server/GeneratedArtifacts
|
||||
**/*.Server/ModelManifest.xml
|
||||
_Pvt_Extensions
|
||||
|
||||
# Paket dependency manager
|
||||
.paket/paket.exe
|
||||
paket-files/
|
||||
|
||||
# FAKE - F# Make
|
||||
.fake/
|
||||
|
||||
# CodeRush personal settings
|
||||
.cr/personal
|
||||
|
||||
# Python Tools for Visual Studio (PTVS)
|
||||
__pycache__/
|
||||
*.pyc
|
||||
|
||||
# Cake - Uncomment if you are using it
|
||||
# tools/**
|
||||
# !tools/packages.config
|
||||
|
||||
# Tabs Studio
|
||||
*.tss
|
||||
|
||||
# Telerik's JustMock configuration file
|
||||
*.jmconfig
|
||||
|
||||
# BizTalk build output
|
||||
*.btp.cs
|
||||
*.btm.cs
|
||||
*.odx.cs
|
||||
*.xsd.cs
|
||||
|
||||
# OpenCover UI analysis results
|
||||
OpenCover/
|
||||
|
||||
# Azure Stream Analytics local run output
|
||||
ASALocalRun/
|
||||
|
||||
# MSBuild Binary and Structured Log
|
||||
*.binlog
|
||||
|
||||
# NVidia Nsight GPU debugger configuration file
|
||||
*.nvuser
|
||||
|
||||
# MFractors (Xamarin productivity tool) working folder
|
||||
.mfractor/
|
||||
|
||||
# Local History for Visual Studio
|
||||
.localhistory/
|
||||
|
||||
# BeatPulse healthcheck temp database
|
||||
healthchecksdb
|
||||
|
||||
# Backup folder for Package Reference Convert tool in Visual Studio 2017
|
||||
MigrationBackup/
|
||||
|
||||
# Ionide (cross platform F# VS Code tools) working folder
|
||||
.ionide/
|
||||
dotCover.Output.dcvr
|
||||
|
||||
@@ -2,13 +2,13 @@
|
||||
using System;
|
||||
/* <summary>
|
||||
Abstract classes with all scaffolding required to build indicators.
|
||||
All abstracts support period, NaN, and all permutations of Add() methods.
|
||||
All abstracts support period, NaN, and all permutations of Add() methods.
|
||||
Indicator classess need to implement:
|
||||
- Chaining constructor (Abstract's constructor executes first)
|
||||
- Default Add(value) class
|
||||
- optional Add(series) bulk insert class (for optimization of historical analysis)
|
||||
|
||||
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
|
||||
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
|
||||
Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
|
||||
Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
|
||||
|
||||
@@ -42,11 +42,24 @@ public abstract class Single_TSeries_Indicator : TSeries
|
||||
|
||||
public abstract class Pair_TSeries_Indicator : TSeries
|
||||
{
|
||||
protected readonly int _p;
|
||||
protected readonly bool _NaN;
|
||||
protected readonly TSeries _d1;
|
||||
protected readonly TSeries _d2;
|
||||
protected readonly double _dd1, _dd2;
|
||||
|
||||
// Chainable Constructors - add them at the end of primary constructors if needed
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2, int period, bool useNaN)
|
||||
{
|
||||
this._p = period;
|
||||
this._NaN = useNaN;
|
||||
this._d1 = source1;
|
||||
this._d2 = source2;
|
||||
this._dd1 = double.NaN;
|
||||
this._dd2 = double.NaN;
|
||||
this._d1.Pub += this.Sub;
|
||||
this._d2.Pub += this.Sub;
|
||||
}
|
||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
|
||||
{
|
||||
this._d1 = source1;
|
||||
|
||||
+46
-46
@@ -1,47 +1,47 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
using System.Text.Json;
|
||||
|
||||
/* <summary>
|
||||
Yahoo Finance - Free API feed to collect daily market quotes
|
||||
Parameters:
|
||||
Symbol: stock symbol (default: "IBM")
|
||||
Period: number of days of collected history (default: 252)
|
||||
Usage:
|
||||
Yahoo_Feed ticker = new("MSFT", 20)
|
||||
|
||||
</summary> */
|
||||
|
||||
public class Yahoo_Feed : TBars
|
||||
{
|
||||
public Yahoo_Feed(string Symbol = "IBM", int Period = 252) {
|
||||
string requestUrl = "https://query1.finance.yahoo.com/v8/finance/chart/"+
|
||||
Symbol+"?interval=1d&period1="+
|
||||
(int)new DateTimeOffset(DateTime.UtcNow.AddDays(-Period+1)).ToUnixTimeSeconds()+"&period2="+
|
||||
(int)new DateTimeOffset(DateTime.UtcNow).ToUnixTimeSeconds();
|
||||
System.Net.Http.HttpClient client = new();
|
||||
var msg = client.GetStringAsync(requestUrl).Result;
|
||||
var jresult = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
|
||||
|
||||
jresult.TryGetProperty("chart",out JsonElement json);
|
||||
json.TryGetProperty("result",out json);
|
||||
json[0].TryGetProperty("timestamp",out JsonElement datetime);
|
||||
json[0].TryGetProperty("indicators",out json);
|
||||
json.TryGetProperty("quote",out json);
|
||||
json[0].TryGetProperty("open",out JsonElement open);
|
||||
json[0].TryGetProperty("high",out JsonElement high);
|
||||
json[0].TryGetProperty("low",out JsonElement low);
|
||||
json[0].TryGetProperty("close",out JsonElement close);
|
||||
json[0].TryGetProperty("volume",out JsonElement volume);
|
||||
|
||||
for (int i=0; i<datetime.GetArrayLength(); i++) {
|
||||
DateTime d = DateTimeOffset.FromUnixTimeSeconds(long.Parse(datetime[i].GetRawText())).DateTime;
|
||||
double o = Math.Round(double.Parse(open[i].GetRawText()),3);
|
||||
double h = Math.Round(double.Parse(high[i].GetRawText()),3);
|
||||
double l = Math.Round(double.Parse(low[i].GetRawText()),3);
|
||||
double c = Math.Round(double.Parse(close[i].GetRawText()),3);
|
||||
double v = Math.Round(double.Parse(volume[i].GetRawText()),3);
|
||||
base.Add(d, o, h, l, c, v);
|
||||
}
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
using System.Text.Json;
|
||||
|
||||
/* <summary>
|
||||
Yahoo Finance - Free API feed to collect daily market quotes
|
||||
Parameters:
|
||||
Symbol: stock symbol (default: "IBM")
|
||||
Period: number of days of collected history (default: 252)
|
||||
Usage:
|
||||
Yahoo_Feed ticker = new("MSFT", 20)
|
||||
|
||||
</summary> */
|
||||
|
||||
public class Yahoo_Feed : TBars
|
||||
{
|
||||
public Yahoo_Feed(string Symbol = "IBM", int Period = 252) {
|
||||
string requestUrl = "https://query1.finance.yahoo.com/v8/finance/chart/"+
|
||||
Symbol+"?interval=1d&period1="+
|
||||
(int)new DateTimeOffset(DateTime.UtcNow.AddDays(-Period+1)).ToUnixTimeSeconds()+"&period2="+
|
||||
(int)new DateTimeOffset(DateTime.UtcNow).ToUnixTimeSeconds();
|
||||
System.Net.Http.HttpClient client = new();
|
||||
var msg = client.GetStringAsync(requestUrl).Result;
|
||||
var jresult = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
|
||||
|
||||
jresult.TryGetProperty("chart",out JsonElement json);
|
||||
json.TryGetProperty("result",out json);
|
||||
json[0].TryGetProperty("timestamp",out JsonElement datetime);
|
||||
json[0].TryGetProperty("indicators",out json);
|
||||
json.TryGetProperty("quote",out json);
|
||||
json[0].TryGetProperty("open",out JsonElement open);
|
||||
json[0].TryGetProperty("high",out JsonElement high);
|
||||
json[0].TryGetProperty("low",out JsonElement low);
|
||||
json[0].TryGetProperty("close",out JsonElement close);
|
||||
json[0].TryGetProperty("volume",out JsonElement volume);
|
||||
|
||||
for (int i=0; i<datetime.GetArrayLength(); i++) {
|
||||
DateTime d = DateTimeOffset.FromUnixTimeSeconds(long.Parse(datetime[i].GetRawText())).DateTime;
|
||||
double o = Math.Round(double.Parse(open[i].GetRawText()),3);
|
||||
double h = Math.Round(double.Parse(high[i].GetRawText()),3);
|
||||
double l = Math.Round(double.Parse(low[i].GetRawText()),3);
|
||||
double c = Math.Round(double.Parse(close[i].GetRawText()),3);
|
||||
double v = Math.Round(double.Parse(volume[i].GetRawText()),3);
|
||||
base.Add(d, o, h, l, c, v);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,70 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
CORR: Pearson's Correlation Coefficient
|
||||
PCC is a measure of linear correlation between two sets of data.
|
||||
It is the ratio between the covariance of two variables and the product of
|
||||
their standard deviations; it is essentially a normalized measurement of
|
||||
the covariance, such that the result always has a value between −1 and 1.
|
||||
|
||||
Sources:
|
||||
https://en.wikipedia.org/wiki/Pearson_correlation_coefficient
|
||||
|
||||
</summary> */
|
||||
|
||||
public class CORR_Series : Pair_TSeries_Indicator
|
||||
{
|
||||
public CORR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
|
||||
{
|
||||
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
|
||||
}
|
||||
|
||||
private readonly System.Collections.Generic.List<double> _x = new();
|
||||
private readonly System.Collections.Generic.List<double> _xx = new();
|
||||
private readonly System.Collections.Generic.List<double> _y = new();
|
||||
private readonly System.Collections.Generic.List<double> _yy = new();
|
||||
private readonly System.Collections.Generic.List<double> _xy = new();
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
|
||||
{
|
||||
if (update)
|
||||
{
|
||||
_x[_x.Count - 1] = TValue1.v;
|
||||
_xx[_xx.Count - 1] = TValue1.v * TValue1.v;
|
||||
_y[_y.Count - 1] = TValue2.v;
|
||||
_y[_yy.Count - 1] = TValue2.v * TValue2.v;
|
||||
_xy[_xy.Count - 1] = TValue1.v * TValue2.v;
|
||||
}
|
||||
else
|
||||
{
|
||||
_x.Add(TValue1.v);
|
||||
_xx.Add(TValue1.v * TValue1.v);
|
||||
_y.Add(TValue2.v);
|
||||
_yy.Add(TValue2.v * TValue2.v);
|
||||
_xy.Add(TValue1.v * TValue2.v);
|
||||
}
|
||||
if (_x.Count > this._p) { _x.RemoveAt(0); }
|
||||
if (_xx.Count > this._p) { _xx.RemoveAt(0); }
|
||||
if (_y.Count > this._p) { _y.RemoveAt(0); }
|
||||
if (_yy.Count > this._p) { _yy.RemoveAt(0); }
|
||||
if (_xy.Count > this._p) { _xy.RemoveAt(0); }
|
||||
|
||||
double _sumx = 0;
|
||||
for (int i = 0; i < _x.Count; i++) { _sumx += _x[i]; }
|
||||
double _sumxx = 0;
|
||||
for (int i = 0; i < _xx.Count; i++) { _sumxx += _xx[i]; }
|
||||
double _sumy = 0;
|
||||
for (int i = 0; i < _y.Count; i++) { _sumy += _y[i]; }
|
||||
double _sumyy = 0;
|
||||
for (int i = 0; i < _yy.Count; i++) { _sumyy += _yy[i]; }
|
||||
double _sumxy = 0;
|
||||
for (int i = 0; i < _xy.Count; i++) { _sumxy += _xy[i]; }
|
||||
|
||||
double _div = (_sumxx - _sumx * _sumx / _p) * (_sumyy - _sumy * _sumy / _p);
|
||||
double _cor = (_div != 0) ? (_sumxy - _sumx * _sumy / _p) / Math.Sqrt(_div) : 0.0;
|
||||
|
||||
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _cor);
|
||||
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
|
||||
}
|
||||
}
|
||||
@@ -1,93 +1,93 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
LINREG: Linear Regression (using Least Square Method)
|
||||
Linear Regression provides a slope of a straight line that is the best approximation of the given set of data.
|
||||
The method of least squares is a standard approach in linear regression analysis to approximate the solution
|
||||
by minimizing the sum of the squares of the residuals made in the results of each individual equation.
|
||||
|
||||
Additional outputs provided by LINREG:
|
||||
.Intercept - y-intercept point of the best fit line
|
||||
.RSquared - R-Squared (R²), Coefficient of Determination
|
||||
.StdDev - Standard Deviation of data over given periods
|
||||
|
||||
y = Slope * x + Intercept
|
||||
|
||||
Sources:
|
||||
https://en.wikipedia.org/wiki/Least_squares
|
||||
|
||||
</summary> */
|
||||
|
||||
public class LINREG_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public readonly TSeries Intercept = new();
|
||||
public readonly TSeries RSquared = new();
|
||||
public readonly TSeries StdDev = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
|
||||
public LINREG_Series(TSeries source, int period, bool useNaN = false)
|
||||
: base(source, period, useNaN)
|
||||
{
|
||||
if (this._data.Count > 0) { base.Add(this._data); }
|
||||
}
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
|
||||
|
||||
int _len = this._buffer.Count;
|
||||
|
||||
// get averages for period
|
||||
double sumX = 0;
|
||||
double sumY = 0;
|
||||
|
||||
for (int p = 0; p < _len; p++)
|
||||
{
|
||||
sumX += this.Count - _len + 2 + p;
|
||||
sumY += _buffer[p];
|
||||
}
|
||||
double avgX = sumX / _len;
|
||||
double avgY = sumY / _len;
|
||||
|
||||
// least squares method
|
||||
double sumSqX = 0;
|
||||
double sumSqY = 0;
|
||||
double sumSqXY = 0;
|
||||
|
||||
for (int p = 0; p < _len; p++)
|
||||
{
|
||||
double devX = this.Count - _len + 2 + p - avgX;
|
||||
double devY = _buffer[p] - avgY;
|
||||
|
||||
sumSqX += devX * devX;
|
||||
sumSqY += devY * devY;
|
||||
sumSqXY += devX * devY;
|
||||
}
|
||||
|
||||
double _slope = sumSqXY / sumSqX;
|
||||
double _intercept = avgY - (_slope * avgX);
|
||||
|
||||
// calculate Standard Deviation and R-Squared
|
||||
double stdDevX = Math.Sqrt(sumSqX / _len);
|
||||
double stdDevY = Math.Sqrt(sumSqY / _len);
|
||||
double _StdDev = stdDevY;
|
||||
|
||||
double arrr = (stdDevX * stdDevY != 0) ? sumSqXY / (stdDevX * stdDevY) / _len : 0;
|
||||
double _RSquared = arrr * arrr;
|
||||
|
||||
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _slope);
|
||||
base.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _intercept);
|
||||
Intercept.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _StdDev);
|
||||
StdDev.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _RSquared);
|
||||
RSquared.Add(ret, update);
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
LINREG: Linear Regression (using Least Square Method)
|
||||
Linear Regression provides a slope of a straight line that is the best approximation of the given set of data.
|
||||
The method of least squares is a standard approach in linear regression analysis to approximate the solution
|
||||
by minimizing the sum of the squares of the residuals made in the results of each individual equation.
|
||||
|
||||
Additional outputs provided by LINREG:
|
||||
.Intercept - y-intercept point of the best fit line
|
||||
.RSquared - R-Squared (R²), Coefficient of Determination
|
||||
.StdDev - Standard Deviation of data over given periods
|
||||
|
||||
y = Slope * x + Intercept
|
||||
|
||||
Sources:
|
||||
https://en.wikipedia.org/wiki/Least_squares
|
||||
|
||||
</summary> */
|
||||
|
||||
public class LINREG_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public readonly TSeries Intercept = new();
|
||||
public readonly TSeries RSquared = new();
|
||||
public readonly TSeries StdDev = new();
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
|
||||
public LINREG_Series(TSeries source, int period, bool useNaN = false)
|
||||
: base(source, period, useNaN)
|
||||
{
|
||||
if (this._data.Count > 0) { base.Add(this._data); }
|
||||
}
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||
else { this._buffer.Add(TValue.v); }
|
||||
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
|
||||
|
||||
int _len = this._buffer.Count;
|
||||
|
||||
// get averages for period
|
||||
double sumX = 0;
|
||||
double sumY = 0;
|
||||
|
||||
for (int p = 0; p < _len; p++)
|
||||
{
|
||||
sumX += this.Count - _len + 2 + p;
|
||||
sumY += _buffer[p];
|
||||
}
|
||||
double avgX = sumX / _len;
|
||||
double avgY = sumY / _len;
|
||||
|
||||
// least squares method
|
||||
double sumSqX = 0;
|
||||
double sumSqY = 0;
|
||||
double sumSqXY = 0;
|
||||
|
||||
for (int p = 0; p < _len; p++)
|
||||
{
|
||||
double devX = this.Count - _len + 2 + p - avgX;
|
||||
double devY = _buffer[p] - avgY;
|
||||
|
||||
sumSqX += devX * devX;
|
||||
sumSqY += devY * devY;
|
||||
sumSqXY += devX * devY;
|
||||
}
|
||||
|
||||
double _slope = sumSqXY / sumSqX;
|
||||
double _intercept = avgY - (_slope * avgX);
|
||||
|
||||
// calculate Standard Deviation and R-Squared
|
||||
double stdDevX = Math.Sqrt(sumSqX / _len);
|
||||
double stdDevY = Math.Sqrt(sumSqY / _len);
|
||||
double _StdDev = stdDevY;
|
||||
|
||||
double arrr = (stdDevX * stdDevY != 0) ? sumSqXY / (stdDevX * stdDevY) / _len : 0;
|
||||
double _RSquared = arrr * arrr;
|
||||
|
||||
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _slope);
|
||||
base.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _intercept);
|
||||
Intercept.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _StdDev);
|
||||
StdDev.Add(ret, update);
|
||||
|
||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _RSquared);
|
||||
RSquared.Add(ret, update);
|
||||
}
|
||||
}
|
||||
@@ -1,51 +1,51 @@
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
ZSCORE: number of standard deviations from SMA
|
||||
Z-score describes a value's relationship to the mean of a series, as measured in
|
||||
terms of standard deviations from the mean. If a Z-score is 0, it indicates that
|
||||
the data point's score is identical to the mean score. A Z-score of 1.0 would
|
||||
indicate a value that is one standard deviation from the mean. Z-scores may be
|
||||
positive or negative, with a positive value indicating the score is above the
|
||||
mean and a negative score indicating it is below the mean.
|
||||
|
||||
Sources:
|
||||
https://en.wikipedia.org/wiki/Z-score
|
||||
https://www.investopedia.com/terms/z/zscore.asp
|
||||
|
||||
Calculation:
|
||||
std = std * STDEV(close, length)
|
||||
mean = SMA(close, length)
|
||||
ZSCORE = (close - mean) / std
|
||||
|
||||
</summary> */
|
||||
|
||||
public class ZSCORE_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public ZSCORE_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
|
||||
{
|
||||
if (base._data.Count > 0) { base.Add(base._data); }
|
||||
}
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
|
||||
else { _buffer.Add(TValue.v); }
|
||||
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
|
||||
|
||||
double _sma = 0;
|
||||
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
|
||||
_sma /= this._buffer.Count;
|
||||
|
||||
double _pvar = 0;
|
||||
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
|
||||
_pvar /= this._buffer.Count;
|
||||
double _psdev = Math.Sqrt(_pvar);
|
||||
double _zscore = (_psdev == 0) ? double.NaN : (TValue.v - _sma) / _psdev;
|
||||
|
||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _zscore);
|
||||
base.Add(result, update);
|
||||
}
|
||||
namespace QuanTAlib;
|
||||
using System;
|
||||
|
||||
/* <summary>
|
||||
ZSCORE: number of standard deviations from SMA
|
||||
Z-score describes a value's relationship to the mean of a series, as measured in
|
||||
terms of standard deviations from the mean. If a Z-score is 0, it indicates that
|
||||
the data point's score is identical to the mean score. A Z-score of 1.0 would
|
||||
indicate a value that is one standard deviation from the mean. Z-scores may be
|
||||
positive or negative, with a positive value indicating the score is above the
|
||||
mean and a negative score indicating it is below the mean.
|
||||
|
||||
Sources:
|
||||
https://en.wikipedia.org/wiki/Z-score
|
||||
https://www.investopedia.com/terms/z/zscore.asp
|
||||
|
||||
Calculation:
|
||||
std = std * STDEV(close, length)
|
||||
mean = SMA(close, length)
|
||||
ZSCORE = (close - mean) / std
|
||||
|
||||
</summary> */
|
||||
|
||||
public class ZSCORE_Series : Single_TSeries_Indicator
|
||||
{
|
||||
public ZSCORE_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
|
||||
{
|
||||
if (base._data.Count > 0) { base.Add(base._data); }
|
||||
}
|
||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||
|
||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||
{
|
||||
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
|
||||
else { _buffer.Add(TValue.v); }
|
||||
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
|
||||
|
||||
double _sma = 0;
|
||||
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
|
||||
_sma /= this._buffer.Count;
|
||||
|
||||
double _pvar = 0;
|
||||
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
|
||||
_pvar /= this._buffer.Count;
|
||||
double _psdev = Math.Sqrt(_pvar);
|
||||
double _zscore = (_psdev == 0) ? double.NaN : (TValue.v - _sma) / _psdev;
|
||||
|
||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _zscore);
|
||||
base.Add(result, update);
|
||||
}
|
||||
}
|
||||
+301
-292
@@ -5,296 +5,305 @@ using Xunit;
|
||||
|
||||
namespace Validations;
|
||||
public class Skender_Stock
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
public Skender_Stock()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
||||
period = rnd.Next(28) + 3;
|
||||
quotes = bars.Select(
|
||||
q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetDema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period);
|
||||
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
||||
Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
var SK = quotes.GetAdl();
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LINREG()
|
||||
{
|
||||
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, useNaN: false);
|
||||
var SK = quotes.GetTr();
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
public Skender_Stock()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
||||
period = rnd.Next(28) + 3;
|
||||
quotes = bars.Select(
|
||||
q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetDema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period);
|
||||
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
||||
Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
var SK = quotes.GetAdl();
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LINREG()
|
||||
{
|
||||
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, useNaN: false);
|
||||
var SK = quotes.GetTr();
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
}
|
||||
|
||||
+310
-301
@@ -5,305 +5,314 @@ using QuanTAlib;
|
||||
|
||||
namespace Validations;
|
||||
public class TA_LIB
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly double[] TALIB;
|
||||
private readonly double[] inopen;
|
||||
private readonly double[] inhigh;
|
||||
private readonly double[] inlow;
|
||||
private readonly double[] inclose;
|
||||
private readonly double[] involume;
|
||||
|
||||
public TA_LIB()
|
||||
{
|
||||
bars = new(5000);
|
||||
period = rnd.Next(28) + 3;
|
||||
TALIB = new double[bars.Count];
|
||||
inopen = bars.Open.v.ToArray();
|
||||
inhigh = bars.High.v.ToArray();
|
||||
inlow = bars.Low.v.ToArray();
|
||||
inclose = bars.Close.v.ToArray();
|
||||
involume = bars.Volume.v.ToArray();
|
||||
}
|
||||
|
||||
/////////////////////////////////////////
|
||||
|
||||
[Fact]
|
||||
public void ADD()
|
||||
{
|
||||
ADD_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SUB()
|
||||
{
|
||||
SUB_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MUL()
|
||||
{
|
||||
MUL_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DIV()
|
||||
{
|
||||
DIV_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SUM()
|
||||
{
|
||||
SUM_Series QL = new(bars.Close, period, false);
|
||||
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIDPRICE()
|
||||
{
|
||||
MIDPRICE_Series QL = new(bars, period, false);
|
||||
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
|
||||
[Fact]
|
||||
public void VAR()
|
||||
{
|
||||
VAR_Series QL = new(bars.Close, period, false);
|
||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 5, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIDPOINT()
|
||||
{
|
||||
MIDPOINT_Series QL = new(bars.Close, period, false);
|
||||
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TRIMA()
|
||||
{
|
||||
TRIMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAX()
|
||||
{
|
||||
MAX_Series QL = new(bars.Close, period, false);
|
||||
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIN()
|
||||
{
|
||||
MIN_Series QL = new(bars.Close, period, false);
|
||||
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADOSC()
|
||||
{
|
||||
ADOSC_Series QL = new(bars, false);
|
||||
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, false);
|
||||
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, false);
|
||||
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
double[] macdSignal = new double[bars.Count];
|
||||
double[] macdHist = new double[bars.Count];
|
||||
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
||||
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Signal.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
double[] outMiddle = new double[bars.Count];
|
||||
double[] outUpper = new double[bars.Count];
|
||||
double[] outLower = new double[bars.Count];
|
||||
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
|
||||
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
||||
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Upper.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Mid.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLCC4()
|
||||
{
|
||||
TSeries QL = bars.HLCC4;
|
||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly double[] TALIB;
|
||||
private readonly double[] inopen;
|
||||
private readonly double[] inhigh;
|
||||
private readonly double[] inlow;
|
||||
private readonly double[] inclose;
|
||||
private readonly double[] involume;
|
||||
|
||||
public TA_LIB()
|
||||
{
|
||||
bars = new(5000);
|
||||
period = rnd.Next(28) + 3;
|
||||
TALIB = new double[bars.Count];
|
||||
inopen = bars.Open.v.ToArray();
|
||||
inhigh = bars.High.v.ToArray();
|
||||
inlow = bars.Low.v.ToArray();
|
||||
inclose = bars.Close.v.ToArray();
|
||||
involume = bars.Volume.v.ToArray();
|
||||
}
|
||||
|
||||
/////////////////////////////////////////
|
||||
|
||||
[Fact]
|
||||
public void ADD()
|
||||
{
|
||||
ADD_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SUB()
|
||||
{
|
||||
SUB_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MUL()
|
||||
{
|
||||
MUL_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DIV()
|
||||
{
|
||||
DIV_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.Open, bars.Close, period);
|
||||
Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SUM()
|
||||
{
|
||||
SUM_Series QL = new(bars.Close, period, false);
|
||||
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIDPRICE()
|
||||
{
|
||||
MIDPRICE_Series QL = new(bars, period, false);
|
||||
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
|
||||
[Fact]
|
||||
public void VAR()
|
||||
{
|
||||
VAR_Series QL = new(bars.Close, period, false);
|
||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 5, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIDPOINT()
|
||||
{
|
||||
MIDPOINT_Series QL = new(bars.Close, period, false);
|
||||
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TRIMA()
|
||||
{
|
||||
TRIMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAX()
|
||||
{
|
||||
MAX_Series QL = new(bars.Close, period, false);
|
||||
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MIN()
|
||||
{
|
||||
MIN_Series QL = new(bars.Close, period, false);
|
||||
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADOSC()
|
||||
{
|
||||
ADOSC_Series QL = new(bars, false);
|
||||
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, false);
|
||||
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, false);
|
||||
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
double[] macdSignal = new double[bars.Count];
|
||||
double[] macdHist = new double[bars.Count];
|
||||
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
||||
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Signal.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
double[] outMiddle = new double[bars.Count];
|
||||
double[] outUpper = new double[bars.Count];
|
||||
double[] outLower = new double[bars.Count];
|
||||
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
|
||||
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
||||
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Upper.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Mid.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLCC4()
|
||||
{
|
||||
TSeries QL = bars.HLCC4;
|
||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
}
|
||||
|
||||
+2
-2
@@ -55,7 +55,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
|
||||
|||||
|
||||
| **STATISTICS & NUMERICAL ANALYSIS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
||||
| ⭐ BIAS - Bias | `BIAS_Series` ||| bias |
|
||||
| ⛔ CORREL - Pearson's Correlation Coefficient || CORREL | GetCorrelation ||
|
||||
| ⭐ CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation ||
|
||||
| ⛔ COVAR - Covariance ||| GetCorrelation ||
|
||||
| ⭐ ENTP - Entropy | `ENTP_Series` ||| entropy |
|
||||
| ⭐ KURT - Kurtosis | `KURT_Series` ||| kurtosis |
|
||||
@@ -72,7 +72,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
|
||||
| ⭐ SVAR - Sample Variance | `SVAR_Series` ||| variance |
|
||||
| ⛔ QUANTILE - Quantile |||| quantile |
|
||||
| ✔️ WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` ||||
|
||||
| ⭐ ZSCORE - Number of standard deviations from mean | ZSCORE_Series || GetStdDev | zscore |
|
||||
| ⭐ ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore |
|
||||
||||||
|
||||
| **TREND INDICATORS & AVERAGES** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
||||
| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average |||||
|
||||
|
||||
Reference in New Issue
Block a user