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T3

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This commit is contained in:
Miha Kralj
2022-11-18 22:02:48 -08:00
parent 6b52bd2b4e f393ec336d
commit 8b3f07d6bf
13 changed files with 1278 additions and 999 deletions
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Source/Basics/TR_Series.cs
+4 -2
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@@ -19,14 +19,16 @@ Sources:
public class TR_Series : Single_TBars_Indicator public class TR_Series : Single_TBars_Indicator
{ {
private double _cm1 = double.NaN; private double _cm1, _cm1_o;
public TR_Series(TBars source, bool useNaN = false) : base(source, period:0, useNaN:useNaN) { public TR_Series(TBars source, bool useNaN = false) : base(source, period:0, useNaN:useNaN) {
_cm1 =_cm1_o = double.NaN;
if (this._bars.Count > 0) { base.Add(this._bars); } if (this._bars.Count > 0) { base.Add(this._bars); }
} }
public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update)
{ {
if (_cm1 is double.NaN) { _cm1 = TBar.c; } if (update) {_cm1 = _cm1_o; } else { _cm1_o = _cm1; }
if (_cm1 is double.NaN) { _cm1 = TBar.c; } //first bar
double d1 = Math.Abs(TBar.h - TBar.l); double d1 = Math.Abs(TBar.h - TBar.l);
double d2 = Math.Abs(_cm1 - TBar.h); double d2 = Math.Abs(_cm1 - TBar.h);
Source/Feeds/RND_Feed.cs
+7 -7
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@@ -11,18 +11,18 @@ Random Bars generator - used for testing, validation and fun
public class RND_Feed : TBars public class RND_Feed : TBars
{ {
public RND_Feed(int bars, double volatility = 0.05, double startvalue = 100.0) public RND_Feed(int Bars, double Volatility = 0.05, double Startvalue = 100.0)
{ {
Random rnd = new(); Random rnd = new();
double c = startvalue; double c = Startvalue;
for (int i = 0; i < bars; i++) for (int i = 0; i < Bars; i++)
{ {
double o = Math.Round(c + (c * (((volatility * 0.1) * rnd.NextDouble()) - 0.005)), 2); double o = Math.Round(c + (c * (((Volatility * 0.1) * rnd.NextDouble()) - 0.005)), 2);
double h = Math.Round(o + (c * volatility * rnd.NextDouble()), 2); double h = Math.Round(o + (c * Volatility * rnd.NextDouble()), 2);
double l = Math.Round(o - (c * volatility * rnd.NextDouble()), 2); double l = Math.Round(o - (c * Volatility * rnd.NextDouble()), 2);
c = Math.Round(l + ((h - l) * rnd.NextDouble()), 2); c = Math.Round(l + ((h - l) * rnd.NextDouble()), 2);
double v = Math.Round(1000 * rnd.NextDouble(), 2); double v = Math.Round(1000 * rnd.NextDouble(), 2);
this.Add(DateTime.Today.AddDays(i - bars), o, h, l, c, v); this.Add(DateTime.Today.AddDays(i - Bars), o, h, l, c, v);
} }
} }
} }
Source/QuanTAlib.csproj
+3 -2
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@@ -2,7 +2,7 @@
<Project Sdk="Microsoft.NET.Sdk"> <Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup> <PropertyGroup>
<Title>QuanTAlib</Title> <Title>QuanTAlib</Title>
<Version>0.1.21</Version> <Version>0.1.22</Version>
<Product>Library of Technical Indicators for .NET</Product> <Product>Library of Technical Indicators for .NET</Product>
<Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description> <Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description>
<RepositoryType>git</RepositoryType> <RepositoryType>git</RepositoryType>
@@ -11,7 +11,7 @@
<Authors>Miha Kralj</Authors> <Authors>Miha Kralj</Authors>
<Copyright>Miha Kralj</Copyright> <Copyright>Miha Kralj</Copyright>
<PackageReadmeFile>readme.md</PackageReadmeFile> <PackageReadmeFile>readme.md</PackageReadmeFile>
<TargetFrameworks>net7.0;</TargetFrameworks> <TargetFrameworks>net7.0;net6.0;netstandard2.1</TargetFrameworks>
<ImplicitUsings>disable</ImplicitUsings> <ImplicitUsings>disable</ImplicitUsings>
<LangVersion>preview</LangVersion> <LangVersion>preview</LangVersion>
<Nullable>disable</Nullable> <Nullable>disable</Nullable>
@@ -66,6 +66,7 @@
<Visible>False</Visible> <Visible>False</Visible>
<PackagePath></PackagePath> <PackagePath></PackagePath>
</None> </None>
<PackageReference Include="System.Collections" Version="4.3.0" />
<PackageReference Include="System.Text.Json" Version="7.0.0" /> <PackageReference Include="System.Text.Json" Version="7.0.0" />
</ItemGroup> </ItemGroup>
</Project> </Project>
Source/Trends/MAMA_Series.cs
+21 -31
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@@ -22,6 +22,7 @@ public class MAMA_Series : Single_TSeries_Indicator
fastl = fastlimit; fastl = fastlimit;
slowl = slowlimit; slowl = slowlimit;
i = 0; i = 0;
Fama = new();
if (base._data.Count > 0) { base.Add(base._data); } if (base._data.Count > 0) { base.Add(base._data); }
} }
@@ -29,24 +30,26 @@ public class MAMA_Series : Single_TSeries_Indicator
private double sumPr, jI, jQ, fastl, slowl; private double sumPr, jI, jQ, fastl, slowl;
private (double i, double i1, double i2, double i3, double i4, double i5, double i6, double io) pr, i1, q1, sm, dt; private (double i, double i1, double i2, double i3, double i4, double i5, double i6, double io) pr, i1, q1, sm, dt;
private (double i, double i1, double io) i2, q2, re, im, pd, ph, mama, fama; private (double i, double i1, double io) i2, q2, re, im, pd, ph, mama, fama;
public TSeries Fama { get; }
public override void Add((System.DateTime t, double v) TValue, bool update) public override void Add((System.DateTime t, double v) TValue, bool update)
{ {
if (update) {
i--; if (!update) {
pr.i = pr.i1; pr.i1 = pr.i2; pr.i2 = pr.i3; pr.i3 = pr.i4; pr.i4 = pr.i5; pr.i5 = pr.i6; pr.i6 = pr.io; // roll forward (oldx = x)
i1.i = i1.i1; i1.i1 = i1.i2; i1.i2 = i1.i3; i1.i3 = i1.i4; i1.i4 = i1.i5; i1.i5 = i1.i6; i1.i6 = i1.io; pr.io = pr.i6; pr.i6 = pr.i5; pr.i5 = pr.i4; pr.i4 = pr.i3; pr.i3 = pr.i2; pr.i2 = pr.i1; pr.i1 = pr.i;
q1.i = q1.i1; q1.i1 = q1.i2; q1.i2 = q1.i3; q1.i3 = q1.i4; q1.i4 = q1.i5; q1.i5 = q1.i6; q1.i6 = q1.io; i1.io = i1.i6; i1.i6 = i1.i5; i1.i5 = i1.i4; i1.i4 = i1.i3; i1.i3 = i1.i2; i1.i2 = i1.i1; i1.i1 = i1.i;
dt.i = dt.i1; dt.i1 = dt.i2; dt.i2 = dt.i3; dt.i3 = dt.i4; dt.i4 = dt.i5; dt.i5 = dt.i6; dt.i6 = dt.io; q1.io = q1.i6; q1.i6 = q1.i5; q1.i5 = q1.i4; q1.i4 = q1.i3; q1.i3 = q1.i2; q1.i2 = q1.i1; q1.i1 = q1.i;
sm.i = sm.i1; sm.i1 = sm.i2; sm.i2 = sm.i3; sm.i3 = sm.i4; dt.i4 = sm.i5; sm.i5 = sm.i6; sm.i6 = sm.io; dt.io = dt.i6; dt.i6 = dt.i5; dt.i5 = dt.i4; dt.i4 = dt.i3; dt.i3 = dt.i2; dt.i2 = dt.i1; dt.i1 = dt.i;
i2.i = i2.i1; i2.i1 = i2.io; sm.io = sm.i6; sm.i6 = sm.i5; sm.i5 = sm.i4; sm.i4 = sm.i3; sm.i3 = sm.i2; sm.i2 = sm.i1; sm.i1 = sm.i;
q2.i = q2.i1; q2.i1 = q2.io; i2.io = i2.i1; i2.i1 = i2.i;
re.i = re.i1; re.i1 = re.io; q2.io = q2.i1; q2.i1 = q2.i;
im.i = im.i1; im.i1 = im.io; re.io = re.i1; re.i1 = re.i;
pd.i = pd.i1; pd.i1 = pd.io; im.io = im.i1; im.i1 = im.i;
ph.i = ph.i1; ph.i1 = ph.io; pd.io = pd.i1; pd.i1 = pd.i;
mama.i = mama.i1; mama.i1 = mama.io; ph.io = ph.i1; ph.i1 = ph.i;
fama.i = fama.i1; fama.i1 = fama.io; mama.io = mama.i1; mama.i1 = mama.i;
fama.io = fama.i1; fama.i1 = fama.i;
} }
pr.i = TValue.v; pr.i = TValue.v;
@@ -109,23 +112,10 @@ public class MAMA_Series : Single_TSeries_Indicator
pd.i = sm.i = dt.i = i1.i = q1.i = i2.i = q2.i = re.i = im.i = ph.i = 0; pd.i = sm.i = dt.i = i1.i = q1.i = i2.i = q2.i = re.i = im.i = ph.i = 0;
mama.i = fama.i = sumPr / (i+1); mama.i = fama.i = sumPr / (i+1);
} }
i++;
pr.io = pr.i6; pr.i6 = pr.i5; pr.i5 = pr.i4; pr.i4 = pr.i3; pr.i3 = pr.i2; pr.i2 = pr.i1; pr.i1 = pr.i;
i1.io = i1.i6; i1.i6 = i1.i5; i1.i5 = i1.i4; i1.i4 = i1.i3; i1.i3 = i1.i2; i1.i2 = i1.i1; i1.i1 = i1.i;
q1.io = q1.i6; q1.i6 = q1.i5; q1.i5 = q1.i4; q1.i4 = q1.i3; q1.i3 = q1.i2; q1.i2 = q1.i1; q1.i1 = q1.i;
dt.io = dt.i6; dt.i6 = dt.i5; dt.i5 = dt.i4; dt.i4 = dt.i3; dt.i3 = dt.i2; dt.i2 = dt.i1; dt.i1 = dt.i;
sm.io = sm.i6; sm.i6 = sm.i5; sm.i5 = sm.i4; sm.i4 = sm.i3; sm.i3 = sm.i2; sm.i2 = sm.i1; sm.i1 = sm.i;
i2.io = i2.i1; i2.i1 = i2.i;
q2.io = q2.i1; q2.i1 = q2.i;
re.io = re.i1; re.i1 = re.i;
im.io = im.i1; im.i1 = im.i;
pd.io = pd.i1; pd.i1 = pd.i;
ph.io = ph.i1; ph.i1 = ph.i;
mama.io = mama.i1; mama.i1 = mama.i;
fama.io = fama.i1; fama.i1 = fama.i;
if (!update) { i++; }
base.Add((TValue.t, mama.i), update, _NaN); base.Add((TValue.t, mama.i), update, _NaN);
var result = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : fama.i);
Fama.Add(result, update);
} }
} }
Source/Trends/T3_Series.cs
+117
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@@ -0,0 +1,117 @@
namespace QuanTAlib;
using System;
using System.Linq;
using System.Numerics;
/* <summary>
T3: Triple Exponential Moving Average
TEMA uses EMA(EMA(EMA())) to calculate less laggy Exponential moving average.
Sources:
https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/triple-exponential-moving-average-tema/
</summary> */
public class T3_Series : Single_TSeries_Indicator
{
private int i;
private double k, a;
private double c1, c2, c3, c4;
private double o_c1, o_c2, o_c3, o_c4;
private double e1, e2, e3, e4, e5, e6;
private double o_e1, o_e2, o_e3, o_e4, o_e5, o_e6;
private double sum1, sum2, sum3, sum4, sum5, sum6;
private double o_sum1, o_sum2, o_sum3, o_sum4, o_sum5, o_sum6;
public T3_Series(TSeries source, int period, double vfactor, bool useNaN = false) : base(source, period, useNaN)
{
i = 0;
k = 2.0 / (_p + 1);
a = vfactor;
c1 = -a * a * a;
c2 = (3 * a * a) + (3 * a * a * a);
c3 = (-6 * a * a) - (3 * a) - (3 * a * a * a);
c4 = 1 + (3 * a) + (3 * a * a) + (a * a * a) ;
e1 = e2 = e3 = e4 = e5 = e6 = 0;
sum1 = sum2 = sum3 = sum4 = sum5 = sum6 = 0;
if (_data.Count > 0) { base.Add(data: _data); }
}
public override void Add((DateTime t, double v) TValue, bool update)
{
if (update) {
// roll back (x = oldx)
c1 = o_c1; c2 = o_c2; c3 = o_c3; c4 = o_c4;
e1 = o_e1; e2 = o_e2; e3 = o_e3; e4 = o_e4; e5 = o_e5; e6 = o_e6;
sum1 = o_sum1; sum2 = o_sum2; sum3 = o_sum3; sum4 = o_sum4; sum5 = o_sum5; sum6 = o_sum6;
} else {
// roll forward (oldx = x)
o_c1 = c1; o_c2 = c2; o_c3 = c3; o_c4 = c4;
o_e1 = e1; o_e2 = e2; o_e3 = e3; o_e4 = e4; o_e5 = e5; o_e6 = e6;
o_sum1 = sum1; o_sum2 = sum2; o_sum3 = sum3; o_sum4 = sum4; o_sum5 = sum5; o_sum6 = sum6;
}
double v = TValue.v;
if (i > _p - 1) {
e1 += k * (v - e1);
if (i > 2 * (_p - 1)) {
e2 += k * (e1 - e2);
if (i > 3 * (_p - 1)) {
e3 += k * (e2 - e3);
if (i > 4 * (_p - 1)) {
e4 += k * (e3 - e4);
if (i > 5 * (_p - 1)) {
e5 += k * (e4 - e5);
if (i > 6 * (_p - 1)) {
e6 += k * (e5 - e6);
}
else {
sum6 += e5;
if (i == 6 * (_p - 1)) {
e6 = sum6 / _p;
}
}
}
else {
sum5 += e4;
if (i == 5 * (_p - 1)) {
sum6 = e5 = sum5 / _p;
}
}
}
else {
sum4 += e3;
if (i == 4 * (_p - 1)) {
sum5 = e4 = sum4 / _p;
}
}
}
else {
sum3 += e2;
if (i == 3 * (_p - 1)) {
sum4 = e3 = sum3 / _p;
}
}
}
else {
sum2 += e1;
if (i == 2 * (_p - 1)) {
sum3 = e2 = sum2 / _p;
}
}
}
else {
sum1 += v;
if (i == _p - 1) {
sum2 = e1 = sum1 / _p;
}
}
if (!update) { i++; }
double t3 = (c1 * e6) + (c2 * e5) + (c3 * e4) + (c4 * e3);
base.Add(TValue: (TValue.t, t3), update: update, useNaN: _NaN);
}
}
Source/Trends/ZLEMA_Series.cs
+16 -18
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@@ -24,38 +24,36 @@ public class ZLEMA_Series : Single_TSeries_Indicator
{ {
private readonly System.Collections.Generic.List<double> _buffer = new(); private readonly System.Collections.Generic.List<double> _buffer = new();
private readonly double _k, _k1m; private readonly double _k, _k1m;
private double _lastema, _lastlastema; private double _lastema, _lastema_o;
private int _llag;
public ZLEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) public ZLEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
{ {
this._k = 2.0 / (this._p + 1); this._k = 2.0 / (this._p + 1);
this._k1m = 1.0 - this._k; this._k1m = 1.0 - this._k;
this._lastema = this._lastlastema = double.NaN; this._lastema = this._lastema_o = double.NaN;
if (base._data.Count > 0) _llag = (int)((_p-1) * 0.5);
{ base.Add(base._data); } if (_data.Count > 0) { base.Add(_data); }
} }
public override void Add((System.DateTime t, double v) TValue, bool update) public override void Add((System.DateTime t, double v) TValue, bool update)
{ {
int _lag = (int)((_p-1) * 0.5); int _lag = Math.Max(this.Count-_llag, 0);
_lag = (this.Count-_lag < 0) ? 0 : this.Count-_lag; if (update) {
_lastema = _lastema_o; _lag--;
} else {
_lastema_o = _lastema;
}
double _zl = TValue.v + (TValue.v - _data[_lag].v); double _zl = TValue.v + (TValue.v - _data[_lag].v);
double _ema = 0; double _ema = 0;
if (update)
{ this._lastema = this._lastlastema; } if (this.Count < this._p) {
if (this.Count < this._p)
{
Add_Replace_Trim(_buffer, _zl, _p, update); Add_Replace_Trim(_buffer, _zl, _p, update);
_ema = _buffer.Average(); _ema = _buffer.Average();
} else {
_ema = (_zl * _k) + (_lastema * _k1m);
} }
else _lastema = _ema;
{
_ema = (_zl * this._k) + (this._lastema * this._k1m);
}
this._lastlastema = this._lastema;
this._lastema = _ema;
base.Add((TValue.t, _ema), update, _NaN); base.Add((TValue.t, _ema), update, _NaN);
} }
Source/Volatility/RSI_Series.cs
+22 -17
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@@ -16,30 +16,34 @@ public class RSI_Series : Single_TSeries_Indicator
{ {
private readonly System.Collections.Generic.List<double> _gain = new(); private readonly System.Collections.Generic.List<double> _gain = new();
private readonly System.Collections.Generic.List<double> _loss = new(); private readonly System.Collections.Generic.List<double> _loss = new();
private double _avgGain; private double _avgGain, _avgLoss, _lastValue;
private double _avgLoss; private double _avgGain_o, _avgLoss_o, _lastValue_o;
private double _lastValue; private int i;
private double _lastlastValue;
public RSI_Series(TSeries source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN) public RSI_Series(TSeries source, int period = 10, bool useNaN = false) : base(source, period: period, useNaN: useNaN) {
{ if (source.Count > 0) { base.Add(source); } } i = 0;
if (source.Count > 0) { base.Add(source); }
}
public override void Add((System.DateTime t, double v) TValue, bool update) public override void Add((System.DateTime t, double v) TValue, bool update) {
{
int i = this.Count;
double _rsi = 0; double _rsi = 0;
if (update) { _lastValue = _lastlastValue; } if (update) {
_lastValue = _lastValue_o;
_avgGain = _avgGain_o;
_avgLoss = _avgLoss_o;
}
else {
_lastValue_o = _lastValue;
_avgGain_o = _avgGain;
_avgLoss_o = _avgLoss;
}
if (i == 0) { _lastValue = TValue.v; } if (i == 0) { _lastValue = TValue.v; }
double _gainval = (TValue.v > _lastValue) ? TValue.v - _lastValue : 0; double _gainval = (TValue.v > _lastValue) ? TValue.v - _lastValue : 0;
if (update) { _gain[_gain.Count - 1] = _gainval; } else { _gain.Add(_gainval); } Add_Replace_Trim(_gain, _gainval, _p, update);
if (_gain.Count > this._p) { _gain.RemoveAt(0); }
double _lossval = (TValue.v < _lastValue) ? _lastValue - TValue.v : 0; double _lossval = (TValue.v < _lastValue) ? _lastValue - TValue.v : 0;
if (update) { _loss[_loss.Count - 1] = _lossval; } else { _loss.Add(_lossval); } Add_Replace_Trim(_loss, _lossval, _p, update);
if (_loss.Count > this._p) { _loss.RemoveAt(0); }
_lastlastValue = _lastValue;
_lastValue = TValue.v; _lastValue = TValue.v;
// calculate RSI // calculate RSI
@@ -67,6 +71,7 @@ public class RSI_Series : Single_TSeries_Indicator
_rsi = (_avgLoss > 0) ? 100 - (100 / (1 + (_avgGain / _avgLoss))) : 100; _rsi = (_avgLoss > 0) ? 100 - (100 / (1 + (_avgGain / _avgLoss))) : 100;
} }
if (!update) { i++; }
var result = (TValue.t, (this.Count < this._p && this._NaN) ? double.NaN : _rsi); var result = (TValue.t, (this.Count < this._p && this._NaN) ? double.NaN : _rsi);
base.Add(result, update); base.Add(result, update);
} }
Tests/MovingAvg/ALMA_Test.cs
+1 -1
View File
@@ -3,7 +3,7 @@ using System;
using QuanTAlib; using QuanTAlib;
namespace MovingAvg; namespace MovingAvg;
public class ALMA_Test public class Update
{ {
[Fact] [Fact]
public void Add_Test() public void Add_Test()
Tests/Series/Update.cs
+501
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@@ -0,0 +1,501 @@
using Xunit;
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
namespace Series;
public class Update {
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
public Update() {
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
period = rnd.Next(28) + 3;
}
[Fact] public void ADL() {
ADL_Series QL = new(bars);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ADOSC() {
ADOSC_Series QL = new(bars);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ALMA() {
ALMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ATR() {
ATR_Series QL = new(bars, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ATRP() {
ATRP_Series QL = new(bars, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void BBANDS() {
BBANDS_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void BIAS() {
BIAS_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void CCI() {
CCI_Series QL = new(bars, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void CORR() {
CORR_Series QL = new(d1: bars.High, d2: bars.Low, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), (DateTime.Today, 0), update: true);
QL.Add((lastData.t, lastData.h), (lastData.t, lastData.l), update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void COVAR() {
COVAR_Series QL = new(d1: bars.High, d2: bars.Low, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), (DateTime.Today, 0), update: true);
QL.Add((lastData.t, lastData.h), (lastData.t, lastData.l), update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void DEMA() {
DEMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ENTROPY() {
ENTROPY_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void EMA() {
EMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void HEMA() {
HEMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void HMA() {
HMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void JMA() {
JMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void KAMA() {
KAMA_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void KURTOSIS() {
KURTOSIS_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void LINREG() {
LINREG_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MACD() {
MACD_Series QL = new(source: bars.Close);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
var lastC1 = QL.Signal.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
Assert.Equal(lastC1, QL.Signal.Last()); // same data
}
[Fact] public void MAD() {
MAD_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MAMA() {
MAMA_Series QL = new(source: bars.Close);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
var lastC1 = QL.Fama.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
Assert.Equal(lastC1, QL.Fama.Last()); // same data
}
[Fact] public void MAPE() {
MAPE_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MAX() {
MAX_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MEDIAN() {
MEDIAN_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MIDPOINT() {
MIDPOINT_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MIDPRICE() {
MIDPRICE_Series QL = new(bars, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MIN() {
MAX_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void MSE() {
MSE_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void OBV() {
OBV_Series QL = new(bars, period: period);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void RSI() {
RSI_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void RMA() {
RMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SDEV() {
SDEV_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SMA() {
SMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SMAPE() {
SMAPE_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SMMA() {
SMMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SSDEV() {
SSDEV_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SUM() {
SUM_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void SVAR() {
SVAR_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void T3() {
SMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void TEMA() {
TEMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void TR() {
TR_Series QL = new(bars);
var lastData = bars.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0, 0, 0, 0, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void TRIMA() {
TRIMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void VAR() {
VAR_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void WMA() {
WMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void WMAPE() {
WMAPE_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ZLEMA() {
ZLEMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact] public void ZSCORE() {
ZSCORE_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
int lastLen = QL.Count;
QL.Add((DateTime.Today, 0), update: true);
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
}
Tests/Validations/Pandas_TA.cs
+142 -232
View File
@@ -10,42 +10,32 @@ public class PandasTA : IDisposable
private readonly GBM_Feed bars; private readonly GBM_Feed bars;
private readonly Random rnd = new(); private readonly Random rnd = new();
private readonly int period; private readonly int period;
private int digits;
private readonly string OStype; private readonly string OStype;
private readonly dynamic np; private readonly dynamic np;
private readonly dynamic ta; private readonly dynamic ta;
private readonly dynamic df; private readonly dynamic df;
public PandasTA() public PandasTA() {
{ bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
bars = new(5000); period = rnd.Next(maxValue: 28) + 3;
period = rnd.Next(28) + 3; digits = 4; //minimizing rounding errors in type conversions
// Checking the host OS and setting PythonDLL accordingly // Checking the host OS and setting PythonDLL accordingly
OStype = Environment.OSVersion.ToString(); OStype = Path.GetFullPath(path: ".") + @"\python-3.10.0-embed-amd64\python310.dll";
if (OStype == "Unix 13.1.0")
{
OStype = @"/usr/local/Cellar/python@3.10/3.10.8/Frameworks/Python.framework/Versions/3.10/lib/libpython3.10.dylib";
}
else
{
OStype = Path.GetFullPath(".") + @"\python-3.10.0-embed-amd64\python310.dll";
}
Installer.InstallPath = Path.GetFullPath("."); Installer.InstallPath = Path.GetFullPath(path: ".");
Installer.SetupPython().Wait(); Installer.SetupPython().Wait();
Installer.TryInstallPip(); Installer.TryInstallPip();
Installer.PipInstallModule("pandas-ta"); Installer.PipInstallModule(module_name: "pandas-ta");
//alternative: git+https://github.com/twopirllc/pandas-ta
Runtime.PythonDLL = OStype; Runtime.PythonDLL = OStype;
PythonEngine.Initialize(); PythonEngine.Initialize();
np = Py.Import("numpy"); np = Py.Import(name: "numpy");
ta = Py.Import("pandas_ta"); ta = Py.Import(name: "pandas_ta");
string[] cols = { "open", "high", "low", "close", "volume" }; string[] cols = { "open", "high", "low", "close", "volume" };
double[,] ary = new double[bars.Count, 5]; double[,] ary = new double[bars.Count, 5];
for (int i = 0; i < bars.Count; i++) for (int i = 0; i < bars.Count; i++) {
{
ary[i, 0] = bars.Open[i].v; ary[i, 0] = bars.Open[i].v;
ary[i, 1] = bars.High[i].v; ary[i, 1] = bars.High[i].v;
ary[i, 2] = bars.Low[i].v; ary[i, 2] = bars.Low[i].v;
@@ -54,240 +44,160 @@ public class PandasTA : IDisposable
} }
df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols)); df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
} }
public void Dispose() public void Dispose()
{ {
PythonEngine.Shutdown(); PythonEngine.Shutdown();
GC.SuppressFinalize(this); GC.SuppressFinalize(this);
} }
[Fact] [Fact] void ADL() {
void HL2()
{
var pta = df.ta.hl2(high: df.high, low: df.low);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(bars.HL2.Last().v, 4));
}
[Fact]
void HLC3()
{
var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(bars.HLC3.Last().v, 4));
}
[Fact]
void OHLC4()
{
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(bars.OHLC4.Last().v, 4));
}
[Fact]
void MEDIAN()
{
MEDIAN_Series QL = new(bars.Close, period);
var pta = df.ta.median(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void VARIANCE()
{
VAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof:0);
Assert.Equal(Math.Round((double)pta.tail(1), 5), Math.Round(QL.Last().v, 5));
}
[Fact]
void SVARIANCE()
{
SVAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), 5), Math.Round(QL.Last().v, 5));
}
[Fact]
void ADL()
{
ADL_Series QL = new(bars); ADL_Series QL = new(bars);
var pta = df.ta.ad(high: df.high, low: df.low, close:df.close, volume:df.volume); var pta = df.ta.ad(high: df.high, low: df.low, close:df.close, volume:df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void ADOSC() {
[Fact]
void ADOSC()
{
ADOSC_Series QL = new(bars); ADOSC_Series QL = new(bars);
var pta = df.ta.adosc(high: df.high, low: df.low, close: df.close, volume: df.volume); var pta = df.ta.adosc(high: df.high, low: df.low, close: df.close, volume: df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void ATR() {
[Fact]
void TR()
{
TR_Series QL = new(bars);
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void OBV()
{
OBV_Series QL = new(bars);
var pta = df.ta.obv(close: df.close, volume: df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void ATR()
{
ATR_Series QL = new(bars, period); ATR_Series QL = new(bars, period);
var pta = df.ta.atr(high: df.high, low: df.low, close: df.close, length: period); var pta = df.ta.atr(high: df.high, low: df.low, close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void BIAS() {
[Fact]
void RSI()
{
RSI_Series QL = new(bars.Close, period);
var pta = df.ta.rsi(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void TRIMA()
{
// TODO: return length to variable length (period) when Pandas-TA fixes trima
TRIMA_Series QL = new(bars.Close, 11);
var pta = df.ta.trima(close: df.close, length: 11);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void KAMA()
{
KAMA_Series QL = new(bars.Close, period);
var pta = df.ta.kama(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void HMA()
{
HMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.hma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.tema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void SDEV()
{
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void SSDEV()
{
SSDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void ENTROPY()
{
ENTROPY_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.entropy(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.wma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void RMA()
{
RMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.rma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void ZLEMA()
{
ZLEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.zlma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.dema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void BIAS()
{
BIAS_Series QL = new(bars.Close, period, false); BIAS_Series QL = new(bars.Close, period, false);
var pta = df.ta.bias(close: df.close, length: period); var pta = df.ta.bias(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void DEMA() {
[Fact] DEMA_Series QL = new(bars.Close, period, false);
void KURTOSIS() var pta = df.ta.dema(close: df.close, length: period);
{ Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void EMA() {
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void ENTROPY() {
ENTROPY_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.entropy(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void HL2() {
var pta = df.ta.hl2(high: df.high, low: df.low);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.HL2.Last().v, digits: digits));
}
[Fact] void HLC3() {
var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.HLC3.Last().v, digits: digits));
}
[Fact] void HMA() {
HMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.hma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void KAMA() {
KAMA_Series QL = new(bars.Close, period);
var pta = df.ta.kama(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void KURTOSIS() {
KURTOSIS_Series QL = new(bars.Close, period, useNaN: false); KURTOSIS_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.kurtosis(close: df.close, length: period); var pta = df.ta.kurtosis(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void MAD()
[Fact]
void MAD()
{ {
MAD_Series QL = new(bars.Close, period, useNaN: false); MAD_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.mad(close: df.close, length: period); var pta = df.ta.mad(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4)); Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
[Fact] void MEDIAN() {
MEDIAN_Series QL = new(bars.Close, period);
var pta = df.ta.median(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void OBV() {
OBV_Series QL = new(bars);
var pta = df.ta.obv(close: df.close, volume: df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void OHLC4() {
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.OHLC4.Last().v, digits: digits));
}
[Fact] void RMA() {
RMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.rma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void RSI() {
RSI_Series QL = new(bars.Close, period);
var pta = df.ta.rsi(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void SDEV() {
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void SMA() {
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void SSDEV() {
SSDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void SVARIANCE() {
SVAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void T3() {
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
var pta = df.ta.t3(close: df.close, length: period, a: 0.7);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void TEMA() {
TEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.tema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void TR() {
TR_Series QL = new(bars);
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void TRIMA() {
// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
TRIMA_Series QL = new(bars.Close, 11);
var pta = df.ta.trima(close: df.close, length: 11);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void VARIANCE() {
VAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof:0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void WMA() {
WMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.wma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void ZLEMA() {
ZLEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.zlma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] void ZSCORE() {
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
} }
Tests/Validations/Skender_Stock.cs
+162 -285
View File
@@ -4,20 +4,18 @@ using Skender.Stock.Indicators;
using Xunit; using Xunit;
namespace Validations; namespace Validations;
public class Skender_Stock public class Skender_Stock {
{
private readonly GBM_Feed bars; private readonly GBM_Feed bars;
private readonly Random rnd = new(); private readonly Random rnd = new();
private readonly int period; private readonly int period, digits;
private readonly IEnumerable<Quote> quotes; private readonly IEnumerable<Quote> quotes;
public Skender_Stock() public Skender_Stock() {
{ bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
period = rnd.Next(28) + 3; period = rnd.Next(28) + 3;
quotes = bars.Select( digits = 4; //minimizing rounding errors in type conversions
q => new Quote
{ quotes = bars.Select(q => new Quote {
Date = q.t, Date = q.t,
Open = (decimal)q.o, Open = (decimal)q.o,
High = (decimal)q.h, High = (decimal)q.h,
@@ -26,302 +24,181 @@ public class Skender_Stock
Volume = (decimal)q.v Volume = (decimal)q.v
}); });
} }
[Fact] public void ADL() {
[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 MAMA() {
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
Assert.Equal(Math.Round((double)SK.Last().Mama!, 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 COVAR()
{
COVAR_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().Covariance!, 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); ADL_Series QL = new(bars, false);
var SK = quotes.GetAdl(); var SK = quotes.GetAdl();
Assert.Equal(Math.Round(SK.Last().Adl!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
} }
[Fact] public void ALMA() {
[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); ALMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetAlma(period); var SK = quotes.GetAlma(period);
Assert.Equal(Math.Round((double)SK.Last().Alma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
} }
[Fact] public void ATR() {
[Fact] ATR_Series QL = new(bars, period, false);
public void SDEV() var SK = quotes.GetAtr(period);
{ Assert.Equal(Math.Round((double)SK.Last().Atr!, digits: digits), Math.Round(QL.Last().v, digits: digits));
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 ATRP() {
[Fact] ATRP_Series QL = new(bars, period, false);
public void ZSCORE() var SK = quotes.GetAtr(period);
{ Assert.Equal(Math.Round((double)SK.Last().Atrp!, digits: digits), Math.Round(QL.Last().v, digits: digits));
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 BBANDS() {
[Fact] BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
public void LINREG() var SK = quotes.GetBollingerBands(period, 2.0);
{ Assert.Equal(Math.Round((double)SK.Last().Sma!, digits: digits), Math.Round(QL.Mid.Last().v, digits: digits));
LINREG_Series QL = new(bars.Close, period, useNaN: false); Assert.Equal(Math.Round((double)SK.Last().UpperBand!, digits: digits), Math.Round(QL.Upper.Last().v, digits: digits));
var SK = quotes.GetSlope(period); Assert.Equal(Math.Round((double)SK.Last().LowerBand!, digits: digits), Math.Round(QL.Lower.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Width!, digits: digits), Math.Round(QL.Bandwidth.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6)); Assert.Equal(Math.Round((double)SK.Last().PercentB!, digits: digits), Math.Round(QL.PercentB.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6)); Assert.Equal(Math.Round((double)SK.Last().ZScore!, digits: digits), Math.Round(QL.Zscore.Last().v, digits: digits));
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 CCI() {
[Fact] CCI_Series QL = new(bars, period, false);
public void TR() var SK = quotes.GetCci(period);
{ Assert.Equal(Math.Round((double)SK.Last().Cci!, digits: digits), Math.Round(QL.Last().v, digits: digits));
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 CORR() {
[Fact] CORR_Series QL = new(bars.High, bars.Low, period, false);
public void HL2() var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
{ Assert.Equal(Math.Round((double)SK.Last().Correlation!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void COVAR() {
COVAR_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().Covariance!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void HL2() {
TSeries QL = bars.HL2; TSeries QL = bars.HL2;
var SK = quotes.GetBaseQuote(CandlePart.HL2); var SK = quotes.GetBaseQuote(CandlePart.HL2);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
} }
[Fact] public void HLC3() {
[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; TSeries QL = bars.HLC3;
var SK = quotes.GetBaseQuote(CandlePart.HLC3); var SK = quotes.GetBaseQuote(CandlePart.HLC3);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
} }
[Fact] public void HMA() {
[Fact] HMA_Series QL = new(bars.Close, period, useNaN: false);
public void OHL3() var SK = quotes.GetHma(period);
{ Assert.Equal(Math.Round((double)SK.Last().Hma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Intercept!, digits: digits), Math.Round(QL.Intercept.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().RSquared!, digits: digits), Math.Round(QL.RSquared.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().StdDev!, digits: digits), Math.Round(QL.StdDev.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Signal!, digits: digits), Math.Round(QL.Signal.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void MAMA() {
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
Assert.Equal(Math.Round((double)SK.Last().Mama!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Fama!, digits: digits), Math.Round(QL.Fama.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OC2() {
TSeries QL = bars.OC2;
var SK = quotes.GetBaseQuote(CandlePart.OC2);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OHL3() {
TSeries QL = bars.OHL3; TSeries QL = bars.OHL3;
var SK = quotes.GetBaseQuote(CandlePart.OHL3); var SK = quotes.GetBaseQuote(CandlePart.OHL3);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
} }
[Fact] public void OHLC4() {
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4; TSeries QL = bars.OHLC4;
var SK = quotes.GetBaseQuote(CandlePart.OHLC4); var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void T3() {
T3_Series QL = new(source: bars.Close, period, vfactor: 0.7, false);
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7);
Assert.Equal(Math.Round((double)SK.Last().T3!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void TR() {
TR_Series QL = new(bars, useNaN: false);
var SK = quotes.GetTr();
Assert.Equal(Math.Round((double)SK.Last().Tr!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
} }
Tests/Validations/TA_LIB.cs
+152 -274
View File
@@ -4,11 +4,11 @@ using TALib;
using QuanTAlib; using QuanTAlib;
namespace Validations; namespace Validations;
public class TA_LIB public class Ta_Lib
{ {
private readonly GBM_Feed bars; private readonly GBM_Feed bars;
private readonly Random rnd = new(); private readonly Random rnd = new();
private readonly int period; private readonly int period, digits;
private readonly double[] TALIB; private readonly double[] TALIB;
private readonly double[] TALIB2; private readonly double[] TALIB2;
private readonly double[] inopen; private readonly double[] inopen;
@@ -17,10 +17,11 @@ public class TA_LIB
private readonly double[] inclose; private readonly double[] inclose;
private readonly double[] involume; private readonly double[] involume;
public TA_LIB() public Ta_Lib() {
{ bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
bars = new(5000);
period = rnd.Next(28) + 3; period = rnd.Next(28) + 3;
digits = 6;
TALIB = new double[bars.Count]; TALIB = new double[bars.Count];
TALIB2 = new double[bars.Count]; TALIB2 = new double[bars.Count];
inopen = bars.Open.v.ToArray(); inopen = bars.Open.v.ToArray();
@@ -30,301 +31,178 @@ public class TA_LIB
involume = bars.Volume.v.ToArray(); involume = bars.Volume.v.ToArray();
} }
///////////////////////////////////////// [Fact] public void ADD() {
[Fact]
public void ADD()
{
ADD_Series QL = new(bars.Open, bars.Close); ADD_Series QL = new(bars.Open, bars.Close);
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void ADL() {
[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], 4, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 4));
}
[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 MAMA() {
MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
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); ADL_Series QL = new(bars, false);
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void ADOSC() {
[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); ADOSC_Series QL = new(bars, false);
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void ATR() {
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period, false); ATR_Series QL = new(bars, period, false);
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void BBANDS() {
[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[] outMiddle = new double[bars.Count];
double[] outUpper = new double[bars.Count]; double[] outUpper = new double[bars.Count];
double[] outLower = new double[bars.Count]; double[] outLower = new double[bars.Count];
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false); 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); 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(outUpper[outUpper.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Upper.Last().v, digits: digits));
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(outMiddle[outMiddle.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Mid.Last().v, digits: digits));
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero)); Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Lower.Last().v, digits: digits));
} }
[Fact] public void CCI() {
[Fact] CCI_Series QL = new(bars, period, false);
public void HL2() Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
{ Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void HL2() {
TSeries QL = bars.HL2; TSeries QL = bars.HL2;
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void HLC3() {
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3; TSeries QL = bars.HLC3;
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
} }
[Fact] public void HLCC4() {
[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; TSeries QL = bars.HLCC4;
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
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], digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Signal.Last().v, digits: digits));
}
[Fact] public void MAMA() {
MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void T3() {
T3_Series QL = new(source: bars.Close, period: period, vfactor:0.7, useNaN: false);
Core.T3(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period, optInVFactor: 0.7);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[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], digits: digits), Math.Round(QL.Last().v, digits: digits));
} }
} }
docs/readme.md
+2 -2
View File
@@ -92,7 +92,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
| ⛔ KDJ - KDJ Indicator (trend reversal) |||| kdj | | ⛔ KDJ - KDJ Indicator (trend reversal) |||| kdj |
| ⛔ LSMA - Least Squares Moving Average ||||| | ⛔ LSMA - Least Squares Moving Average |||||
| ⭐ MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd | | ⭐ MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd |
| ⛔ MAMA - MESA Adaptive Moving Average || MAMA | GetMama || | ⭐ MAMA - MESA Adaptive Moving Average | `MAMA_Series` | MAMA | GetMama ||
| ⛔ MCGD - McGinley Dynamic |||| mcgd | | ⛔ MCGD - McGinley Dynamic |||| mcgd |
| ⛔ MMA - Modified Moving Average ||||| | ⛔ MMA - Modified Moving Average |||||
| ⛔ PPMA - Pivot Point Moving Average ||||| | ⛔ PPMA - Pivot Point Moving Average |||||
@@ -104,7 +104,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
| ⛔ SSF - Ehler's Super Smoother Filter |||| ssf | | ⛔ SSF - Ehler's Super Smoother Filter |||| ssf |
| ⛔ SUPERTREND - Supertrend |||| supertrend | | ⛔ SUPERTREND - Supertrend |||| supertrend |
| ⛔ SWMA - Symmetric Weighted Moving Average |||| swma | | ⛔ SWMA - Symmetric Weighted Moving Average |||| swma |
| ⛔ T3 - Tillson T3 Moving Average || T3 | GetT3 | t3 | | ⭐ T3 - Tillson T3 Moving Average | `T3_Series` | T3 | GetT3 | t3 |
| ⭐ TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema | | ⭐ TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema |
| ⭐ TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima | | ⭐ TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima |
| ⛔ TSF - Time Series Forecast || TSF ||| | ⛔ TSF - Time Series Forecast || TSF |||