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Bband, Ccv, Ce, Cv, Cvi, Ewma, Fcb, Gkv, Hlv

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This commit is contained in:
Miha Kralj
2024-11-03 15:52:25 -08:00
parent 94928714bf
commit 7b41d84c66
22 changed files with 1595 additions and 129 deletions
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Tests/test_updates_statistics.cs
+25
View File
@@ -17,6 +17,15 @@ public class StatisticsUpdateTests
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 Curvature_Update()
{
@@ -47,6 +56,22 @@ public class StatisticsUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Hurst_Update()
{
var indicator = new Hurst(period: 100, minLength: 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 Kurtosis_Update()
{
Tests/test_updates_volatility.cs
+144 -16
View File
@@ -90,6 +90,134 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Bband_Update()
{
var indicator = new Bband(period: 20, multiplier: 2.0);
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 Ccv_Update()
{
var indicator = new Ccv(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 Ce_Update()
{
var indicator = new Ce(period: 22, multiplier: 3.0);
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 Cv_Update()
{
var indicator = new Cv(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 Cvi_Update()
{
var indicator = new Cvi(period: 10, smoothPeriod: 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 Ewma_Update()
{
var indicator = new Ewma(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 Fcb_Update()
{
var indicator = new Fcb(period: 20, smoothing: 0.5);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Gkv_Update()
{
var indicator = new Gkv(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 Historical_Update()
{
@@ -105,6 +233,22 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Hlv_Update()
{
var indicator = new Hlv(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 Jvolty_Update()
{
@@ -150,22 +294,6 @@ public class VolatilityUpdateTests
Assert.Equal(initialValue, finalValue, precision);
}
[Fact]
public void Cvi_Update()
{
var indicator = new Cvi(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 Tr_Update()
{