diff --git a/Quantower/Indicators/AAA_chart.cs b/Quantower/Indicators/AAA_chart.cs new file mode 100644 index 00000000..11884745 --- /dev/null +++ b/Quantower/Indicators/AAA_chart.cs @@ -0,0 +1,59 @@ +using System.Diagnostics; +using System.Drawing; +using System.Linq; +using TradingPlatform.BusinessLayer; +namespace QuanTAlib; + +public class AAA_chart : Indicator { + #region Parameters + + [InputParameter("Smoothing period", 0, 1, 999, 1, 1)] + private readonly int Period = 10; + + #endregion Parameters + + private TBars bars; + private TSeries series; + private JMA_Series jma; + private DWMA_Series dwma; + + public AAA_chart() : base() + { + this.SeparateWindow = true; + this.Name = "AAA - Test indicator"; + this.Description = "Test indicator"; + + this.AddLineSeries("JMA", Color.RoyalBlue, 3, LineStyle.Solid); + this.AddLineSeries("DWMA", Color.OrangeRed, 3, LineStyle.Solid); + this.SeparateWindow = false; + } + + protected override void OnInit() + { + this.ShortName = "AAA (" + this.Period + ")"; + this.bars = new(); + this.series = new(); + + this.jma = new(source: bars.HLC3, period: this.Period, useNaN: false); + this.dwma = new(source: bars.HLC3, period: this.Period, useNaN: false); + } + + protected override void OnUpdate(UpdateArgs args) + { + Debug.WriteLine($"{args.Reason}"); + bool update = !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar); + + this.bars.Add(this.Time(), + this.GetPrice(PriceType.Open), + this.GetPrice(PriceType.High), + this.GetPrice(PriceType.Low), + this.GetPrice(PriceType.Close), + this.GetPrice(PriceType.Volume), + update); + + //this.series.Add(0.25*(this.GetPrice(PriceType.Open)+ this.GetPrice(PriceType.High)+ this.GetPrice(PriceType.Low)+ this.GetPrice(PriceType.Close)), update); + + this.SetValue(this.jma.v.Last(), 0); + this.SetValue(this.dwma.v.Last(), 1); + } +} diff --git a/Quantower/Indicators/HMA_chart.cs b/Quantower/Indicators/HMA_chart.cs index 26630247..ed0e3ea8 100644 --- a/Quantower/Indicators/HMA_chart.cs +++ b/Quantower/Indicators/HMA_chart.cs @@ -43,14 +43,11 @@ public class HMA_chart : Indicator protected override void OnUpdate(UpdateArgs args) { - Debug.WriteLine("Send to debug output."); + bool update = !(args.Reason == UpdateReason.NewBar || args.Reason == UpdateReason.HistoricalBar); - bool update = !(args.Reason == UpdateReason.NewBar || - args.Reason == UpdateReason.HistoricalBar); this.bars.Add(this.Time(), this.GetPrice(PriceType.Open), this.GetPrice(PriceType.High), this.GetPrice(PriceType.Low), - this.GetPrice(PriceType.Close), - this.GetPrice(PriceType.Volume), update); + this.GetPrice(PriceType.Close),this.GetPrice(PriceType.Volume), update); double result = this.indicator[this.indicator.Count - 1].v; this.SetValue(result); } diff --git a/Quantower/Quantower.csproj b/Quantower/Quantower.csproj index 0a13f65e..080b789a 100644 --- a/Quantower/Quantower.csproj +++ b/Quantower/Quantower.csproj @@ -1,50 +1,52 @@ - - - - net48 - preview - true - AnyCPU - Indicator - Quantower_QTAlib - QuanTAlib - embedded - preview - AnyCPU - disable - False - ..\.sonarlint\mihakralj_quantalibcsharp.ruleset - - - True - 3 - True - anycpu - full - - - embedded - True - 3 - True - anycpu - - - - QuanTAlib\%(RecursiveDir)%(Filename)%(Extension) - - - - - - - - - C:\Quantower\TradingPlatform\v1.124.6\bin\TradingPlatform.BusinessLayer.dll - - + --> + + + + + + C:\Quantower\TradingPlatform\v1.128.18\bin\TradingPlatform.BusinessLayer.dll + + \ No newline at end of file diff --git a/Source/Basics/Single_TBars_Abstract.cs b/Source/Basics/Single_TBars_Abstract.cs index 9d24a889..4d5e3170 100644 --- a/Source/Basics/Single_TBars_Abstract.cs +++ b/Source/Basics/Single_TBars_Abstract.cs @@ -18,49 +18,50 @@ Abstract classes with all scaffolding required to build indicators. public abstract class Single_TBars_Indicator : TSeries { - protected readonly int _p; - protected readonly bool _NaN; - protected readonly TBars _bars; + protected readonly int _p; + protected readonly bool _NaN; + protected readonly TBars _bars; - // Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN) - protected Single_TBars_Indicator(TBars source, int period, bool useNaN) - { - this._p = period; - this._bars = source; - this._NaN = useNaN; - this._bars.Pub += this.Sub; - } + // Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN) + protected Single_TBars_Indicator(TBars source, int period, bool useNaN) + { + this._p = period; + this._bars = source; + this._NaN = useNaN; + this._bars.Pub += this.Sub; - // overridable Add() method to add/update a single item at the end of the list + } + + // overridable Add() method to add/update a single item at the end of the list - public virtual void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar, bool update) => base.Add((TBar.t, 0.0), update); - public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN) - { - var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v); - base.Add(res, update); - } + public virtual void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar, bool update) => base.Add((TBar.t, 0.0), update); + public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN) + { + var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v); + base.Add(res, update); + } - // potentially overridable Add() method for the whole bars or series (could be replaced with faster bulk algo) - public virtual void Add(TBars bars) { for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); }} - public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { base.Add(TValue: data[i], update: false); }} - public void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar) => this.Add(TBar: TBar, update: false); - public void Add(bool update) => this.Add(TBar: this._bars[this._bars.Count - 1], update: update); - public void Add() => this.Add(TBar: this._bars[this._bars.Count - 1], update: false); - public new void Sub(object source, TSeriesEventArgs e) => this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update); + // potentially overridable Add() method for the whole bars or series (could be replaced with faster bulk algo) + public virtual void Add(TBars bars) { for (int i = 0; i < bars.Count; i++) { this.Add(TBar: bars[i], update: false); } } + public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { base.Add(TValue: data[i], update: false); } } + public void Add((System.DateTime t, double o, double h, double l, double c, double v) TBar) => this.Add(TBar: TBar, update: false); + public void Add(bool update) => this.Add(TBar: this._bars[this._bars.Count - 1], update: update); + public void Add() => this.Add(TBar: this._bars[this._bars.Count - 1], update: false); + public new void Sub(object source, TSeriesEventArgs e) => this.Add(TBar: this._bars[this._bars.Count - 1], update: e.update); - protected static void Add_Replace(List l, double v, bool update) - { - if (update) - { l[l.Count - 1] = v; } - else - { l.Add(v); } - } - protected static void Add_Replace_Trim(List l, double v, int p, bool update) - { - Add_Replace(l, v, update); - if (l.Count > p && p != 0) - { l.RemoveAt(0); } - } + protected static void Add_Replace(List l, double v, bool update) + { + if (update) + { l[l.Count - 1] = v; } + else + { l.Add(v); } + } + protected static void Add_Replace_Trim(List l, double v, int p, bool update) + { + Add_Replace(l, v, update); + if (l.Count > p && p != 0) + { l.RemoveAt(0); } + } } diff --git a/Source/Basics/Single_TSeries_Abstract.cs b/Source/Basics/Single_TSeries_Abstract.cs index 1e96b5ca..24e5e5f4 100644 --- a/Source/Basics/Single_TSeries_Abstract.cs +++ b/Source/Basics/Single_TSeries_Abstract.cs @@ -1,71 +1,71 @@ -namespace QuanTAlib; -using System; -using System.Collections.Generic; -using System.Linq; - -/* -Abstract classes with all scaffolding required to build indicators. - All abstracts support period, NaN, and all permutations of Add() methods. - Indicator classess need to implement: - - Chaining constructor (Abstract's constructor executes first) - - Default Add(value) class - - optional Add(series) bulk insert class (for optimization of historical analysis) - - Single_TSeries_Indicator - one single-value TSeries in, one TSeries out. - Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring) - Single_TBars_Indicator - One OHLCV TBars in, one TSeries out. - - */ -public abstract class Single_TSeries_Indicator : TSeries -{ - protected readonly int _period; - protected readonly bool _NaN; - protected readonly TSeries _data; - protected int _p; - - // Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN) - protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN) - { - this._data = source; - this._period = period; - this._p = _period; - this._NaN = useNaN; - this._data.Pub += this.Sub; - } - - // overridable Add() method to add/update a single item at the end of the list - - public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN) - { - if (_period == 0) { _p = this.Length; } - var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v); - base.Add(res, update); - } - public new virtual void Add((System.DateTime t, double v) TValue, bool update) => base.Add(TValue, update); - - // potentially overridable Add() method for the whole series (could be replaced with faster bulk algo) - public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); } } - - public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false); - public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update); - public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false); - public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update); - - protected static void Add_Replace(List l, double v, bool update) - { - if (update) - { l[l.Count - 1] = v; } - else - { l.Add(v); } - } - protected static double Add_Replace_Trim(List l, double v, int p, bool update) - { - Add_Replace(l, v, update); - double ret = (l.Count > 0) ? l.First() : 0; - if (l.Count > p && p != 0) - { - l.RemoveAt(0); - } - return ret; - } -} +namespace QuanTAlib; +using System; +using System.Collections.Generic; +using System.Linq; + +/* +Abstract classes with all scaffolding required to build indicators. + All abstracts support period, NaN, and all permutations of Add() methods. + Indicator classess need to implement: + - Chaining constructor (Abstract's constructor executes first) + - Default Add(value) class + - optional Add(series) bulk insert class (for optimization of historical analysis) + + Single_TSeries_Indicator - one single-value TSeries in, one TSeries out. + Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring) + Single_TBars_Indicator - One OHLCV TBars in, one TSeries out. + + */ +public abstract class Single_TSeries_Indicator : TSeries +{ + protected readonly int _period; + protected readonly bool _NaN; + protected readonly TSeries _data; + protected int _p; + + // Chainable Constructor - add it at the end of primary constructor :base(source: source, period: period, useNaN: useNaN) + protected Single_TSeries_Indicator(TSeries source, int period, bool useNaN) + { + this._data = source; + this._period = period; + this._p = _period; + this._NaN = useNaN; + this._data.Pub += this.Sub; + } + + // overridable Add() method to add/update a single item at the end of the list + + public virtual void Add((System.DateTime t, double v) TValue, bool update, bool useNaN) + { + if (_period == 0) { _p = this.Length; } + var res = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : TValue.v); + base.Add(res, update); + } + public new virtual void Add((System.DateTime t, double v) TValue, bool update) => base.Add(TValue, update); + + // potentially overridable Add() method for the whole series (could be replaced with faster bulk algo) + public virtual void Add(TSeries data) { for (int i = 0; i < data.Count; i++) { this.Add(TValue: data[i], update: false); } } + + public new void Add((System.DateTime t, double v) TValue) => this.Add(TValue: TValue, update: false); + public void Add(bool update) => this.Add(TValue: this._data[this._data.Count - 1], update: update); + public void Add() => this.Add(TValue: this._data[this._data.Count - 1], update: false); + public new void Sub(object source, TSeriesEventArgs e) => this.Add(TValue: this._data[this._data.Count - 1], update: e.update); + + protected static void Add_Replace(List l, double v, bool update) + { + if (update) + { l[l.Count - 1] = v; } + else + { l.Add(v); } + } + protected static double Add_Replace_Trim(List l, double v, int p, bool update) + { + Add_Replace(l, v, update); + double ret = (l.Count > 0) ? l.First() : 0; + if (l.Count > p && p != 0) + { + l.RemoveAt(0); + } + return ret; + } +} diff --git a/Source/Basics/TBars.cs b/Source/Basics/TBars.cs index 850a9db7..66cd5c4d 100644 --- a/Source/Basics/TBars.cs +++ b/Source/Basics/TBars.cs @@ -1,132 +1,136 @@ -namespace QuanTAlib; -using System; - -/* -TBars class - includes all series for common data used in indicators and other calculations. - Has a bit limited overloading and casting (compared to TSeries) - Includes Select(int) method to simplify choosing the most optimal data source for indicators - Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4 - (it is 'cheaper' to calculate them once during data capture than each time during data analysis) - - */ - -public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)> -{ - private readonly TSeries _open = new(); - private readonly TSeries _high = new(); - private readonly TSeries _low = new(); - private readonly TSeries _close = new(); - private readonly TSeries _volume = new(); - private readonly TSeries _hl2 = new(); - private readonly TSeries _oc2 = new(); - private readonly TSeries _ohl3 = new(); - private readonly TSeries _hlc3 = new(); - private readonly TSeries _ohlc4 = new(); - private readonly TSeries _hlcc4 = new(); - - public TSeries Open => this._open; - public TSeries High => this._high; - public TSeries Low => this._low; - public TSeries Close => this._close; - public TSeries Volume => this._volume; - public TSeries HL2 => this._hl2; - public TSeries OC2 => this._oc2; - public TSeries OHL3 => this._ohl3; - public TSeries HLC3 => this._hlc3; - public TSeries OHLC4 => this._ohlc4; - public TSeries HLCC4 => this._hlcc4; - - public TBars Tail(int count=10) { - TBars outBars = new(); - if (count > this.Count) { count = this.Count; } - for (int i = this.Count-count; i _open, - 1 => _high, - 2 => _low, - 3 => _close, - 4 => _hl2, - 5 => _oc2, - 6 => _ohl3, - 7 => _hlc3, - 8 => _ohlc4, - _ => _hlcc4, - }; - } - public static string SelectStr(int source) - { - return source switch - { - 0 => "Open", - 1 => "High", - 2 => "Low", - 3 => "Close", - 4 => "HL2", - 5 => "OC2", - 6 => "OHL3", - 7 => "Typical", - 8 => "Mean", - _ => "Weighted", - }; - } - - public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false) - => Add(i.t, i.o, i.h, i.l, i.c, i.v, update); - - public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false) - => Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update); - - public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false) - { - if (update) - { - this[this.Count - 1] = (t, o, h, l, c, v); - _open[_open.Count - 1] = (t, o); - _high[_high.Count - 1] = (t, h); - _low[_low.Count - 1] = (t, l); - _close[_close.Count - 1] = (t, c); - _volume[_volume.Count - 1] = (t, v); - _hl2[_hl2.Count - 1] = (t, (h + l) * 0.5); - _oc2[_oc2.Count - 1] = (t, (o + c) * 0.5); - _ohl3[_ohl3.Count - 1] = (t, (o + h + l) * 0.333333333333333); - _hlc3[_hlc3.Count - 1] = (t, (h + l + c) * 0.333333333333333); - _ohlc4[_ohlc4.Count - 1] = (t, (o + h + l + c) * 0.25); - _hlcc4[_hlcc4.Count - 1] = (t, (h + l + c + c) * 0.25); - } - else - { - base.Add((t, o, h, l, c, v)); - _open.Add((t, o)); - _high.Add((t, h)); - _low.Add((t, l)); - _close.Add((t, c)); - _volume.Add((t, v)); - _hl2.Add((t, (h + l) * 0.5)); - _oc2.Add((t, (o + c) * 0.5)); - _ohl3.Add((t, (o + h + l) * 0.333333333333333)); - _hlc3.Add((t, (h + l + c) * 0.333333333333333)); - _ohlc4.Add((t, (o + h + l + c) * 0.25)); - _hlcc4.Add((t, (h + l + c + c) * 0.25)); - } - this.OnEvent(update); - } - - // delegate used by event handler + event handler (Pub == publisher) - public delegate - void NewDataEventHandler(object source, TSeriesEventArgs args); - public event NewDataEventHandler Pub; - - // Broadcast handler - only to valid targets - protected virtual void OnEvent(bool update = false) - { - if (Pub != null && Pub.Target != this) - { - Pub(this, new TSeriesEventArgs { update = update }); - } - } -} +namespace QuanTAlib; +using System; + +/* +TBars class - includes all series for common data used in indicators and other calculations. + Has a bit limited overloading and casting (compared to TSeries) + Includes Select(int) method to simplify choosing the most optimal data source for indicators + Includes the most basic pricing calcs: HL2, OC2, OHL3, HLC3, OHLC4, HLCC4 + (it is 'cheaper' to calculate them once during data capture than each time during data analysis) + + */ + +public class TBars : System.Collections.Generic.List<(DateTime t, double o, double h, double l, double c, double v)> +{ + private readonly TSeries _open = new(); + private readonly TSeries _high = new(); + private readonly TSeries _low = new(); + private readonly TSeries _close = new(); + private readonly TSeries _volume = new(); + private readonly TSeries _hl2 = new(); + private readonly TSeries _oc2 = new(); + private readonly TSeries _ohl3 = new(); + private readonly TSeries _hlc3 = new(); + private readonly TSeries _ohlc4 = new(); + private readonly TSeries _hlcc4 = new(); + + public TSeries Open => this._open; + public TSeries High => this._high; + public TSeries Low => this._low; + public TSeries Close => this._close; + public TSeries Volume => this._volume; + public TSeries HL2 => this._hl2; + public TSeries OC2 => this._oc2; + public TSeries OHL3 => this._ohl3; + public TSeries HLC3 => this._hlc3; + public TSeries OHLC4 => this._ohlc4; + public TSeries HLCC4 => this._hlcc4; + + public TBars Tail(int count = 10) + { + TBars outBars = new(); + if (count > this.Count) { count = this.Count; } + for (int i = this.Count - count; i < this.Count; i++) { outBars.Add(this[i]); } + return outBars; + } + public TSeries Select(int source) + { + return source switch + { + 0 => _open, + 1 => _high, + 2 => _low, + 3 => _close, + 4 => _hl2, + 5 => _oc2, + 6 => _ohl3, + 7 => _hlc3, + 8 => _ohlc4, + _ => _hlcc4, + }; + } + public static string SelectStr(int source) + { + return source switch + { + 0 => "Open", + 1 => "High", + 2 => "Low", + 3 => "Close", + 4 => "HL2", + 5 => "OC2", + 6 => "OHL3", + 7 => "Typical", + 8 => "Mean", + _ => "Weighted", + }; + } + + public void Add((DateTime t, double o, double h, double l, double c, double v) i, bool update = false) + => Add(i.t, i.o, i.h, i.l, i.c, i.v, update); + + public void Add(DateTime t, decimal o, decimal h, decimal l, decimal c, decimal v, bool update = false) + => Add(t, (double)o, (double)h, (double)l, (double)c, (double)v, update); + + public void Add(DateTime t, double o, double h, double l, double c, double v, bool update = false) + { + if (update) { + this[this.Count - 1] = (t, o, h, l, c, v); + } + else { + base.Add((t, o, h, l, c, v)); + } + _open.Add((t, o),update); + _high.Add((t, h), update); + _low.Add((t, l), update); + _close.Add((t, c), update); + _volume.Add((t, v), update); + _hl2.Add((t, (h + l) * 0.5), update); + _oc2.Add((t, (o + c) * 0.5), update); + _ohl3.Add((t, (o + h + l) * 0.333333333333333), update); + _hlc3.Add((t, (h + l + c) * 0.333333333333333), update); + _ohlc4.Add((t, (o + h + l + c) * 0.25), update); + _hlcc4.Add((t, (h + l + c + c) * 0.25), update); + + this.OnEvent(update); + } + + // delegate used by event handler + event handler (Pub == publisher) + public delegate void NewDataEventHandler(object source, TSeriesEventArgs args); + public event NewDataEventHandler Pub; + + // Broadcast handler - only to valid targets + protected virtual void OnEvent(bool update = false) + { + if (Pub != null && Pub.Target != this) + { + Pub(this, new TSeriesEventArgs { update = update }); + } + } + + public void Sub(object source, TSeriesEventArgs e) + { + TBars ss = (TBars)source; + if (ss.Count > 1) + { + for (int i = 0; i < ss.Count; i++) + { + this.Add(ss[i]); + } + } + else + { + this.Add(ss[ss.Count - 1], e.update); + } + } +} diff --git a/Source/Trends/DEMA_Series.cs b/Source/Trends/DEMA_Series.cs index cb165726..ed1a0f92 100644 --- a/Source/Trends/DEMA_Series.cs +++ b/Source/Trends/DEMA_Series.cs @@ -22,13 +22,15 @@ public class DEMA_Series : Single_TSeries_Indicator private readonly System.Collections.Generic.List _buffer1 = new(); private readonly System.Collections.Generic.List _buffer2 = new(); private readonly double _k; - private double _lastema1, _lastlastema1; + private readonly bool _useSMA; + private double _lastema1, _lastlastema1; private double _lastema2, _lastlastema2; - public DEMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) + public DEMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) { _k = 2.0 / (_p + 1); - if (_data.Count > 0) { base.Add(_data); } + _useSMA = useSMA; + if (_data.Count > 0) { base.Add(_data); } } public override void Add((DateTime t, double v) TValue, bool update) @@ -40,7 +42,7 @@ public class DEMA_Series : Single_TSeries_Indicator } double _ema1, _ema2, _dema; - if (this.Count < _p) + if (this.Count < _p && _useSMA) { Add_Replace_Trim(_buffer1, TValue.v, _p, update); _ema1 = 0; @@ -52,7 +54,7 @@ public class DEMA_Series : Single_TSeries_Indicator for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; } _ema2 /= _buffer2.Count; } - else if(this.Count < (2*_p - 1)) // second _p + else if(this.Count < (2*_p - 1) && _useSMA) // second _p { _ema1 = (TValue.v - _lastema1) * _k + _lastema1; diff --git a/Source/Trends/DWMA_Series.cs b/Source/Trends/DWMA_Series.cs index 0cff2aec..68eaf0bc 100644 --- a/Source/Trends/DWMA_Series.cs +++ b/Source/Trends/DWMA_Series.cs @@ -1,39 +1,39 @@ -namespace QuanTAlib; -using System; - -/* -DWMA: Double (linearly) Weighted Moving Average - The weights are linearly decreasing over the period and the most recent data has - the heaviest weight. - -Sources: - - - */ - -public class DWMA_Series : Single_TSeries_Indicator -{ - public DWMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) - { - for (int i = 0; i < this._p; i++) { this._weights.Add(i + 1); } - if (base._data.Count > 0) { base.Add(base._data); } - } - private readonly System.Collections.Generic.List _buffer1 = new(); - private readonly System.Collections.Generic.List _buffer2 = new(); - private readonly System.Collections.Generic.List _weights = new(); - - public override void Add((System.DateTime t, double v) TValue, bool update) - { - Add_Replace_Trim(_buffer1, TValue.v, _p, update); - double _wma = 0; - for (int i = 0; i < _buffer1.Count; i++) { _wma += _buffer1[i] * this._weights[i]; } - _wma /= (this._buffer1.Count * (this._buffer1.Count + 1)) * 0.5; - - Add_Replace_Trim(_buffer2, TValue.v, _p, update); - double _dwma = 0; - for (int i = 0; i < _buffer2.Count; i++) { _dwma += _buffer2[i] * this._weights[i]; } - _dwma /= (this._buffer2.Count * (this._buffer2.Count + 1)) * 0.5; - - base.Add((TValue.t, _dwma), update, _NaN); - } +namespace QuanTAlib; +using System; + +/* +DWMA: Double (linearly) Weighted Moving Average + The weights are linearly decreasing over the period and the most recent data has + the heaviest weight. + +Sources: + + + */ + +public class DWMA_Series : Single_TSeries_Indicator +{ + public DWMA_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) + { + for (int i = 0; i < this._p; i++) { this._weights.Add(i + 1); } + if (base._data.Count > 0) { base.Add(base._data); } + } + private readonly System.Collections.Generic.List _buffer1 = new(); + private readonly System.Collections.Generic.List _buffer2 = new(); + private readonly System.Collections.Generic.List _weights = new(); + + public override void Add((System.DateTime t, double v) TValue, bool update) + { + Add_Replace_Trim(_buffer1, TValue.v, _p, update); + double _wma = 0; + for (int i = 0; i < _buffer1.Count; i++) { _wma += _buffer1[i] * this._weights[i]; } + _wma /= (this._buffer1.Count * (this._buffer1.Count + 1)) * 0.5; + + Add_Replace_Trim(_buffer2, TValue.v, _p, update); + double _dwma = 0; + for (int i = 0; i < _buffer2.Count; i++) { _dwma += _buffer2[i] * this._weights[i]; } + _dwma /= (this._buffer2.Count * (this._buffer2.Count + 1)) * 0.5; + + base.Add((TValue.t, 2*_wma - _dwma), update, _NaN); + } } \ No newline at end of file diff --git a/Source/Trends/EMA_Series.cs b/Source/Trends/EMA_Series.cs index c3fdc19e..abb4bcfd 100644 --- a/Source/Trends/EMA_Series.cs +++ b/Source/Trends/EMA_Series.cs @@ -25,7 +25,7 @@ public class EMA_Series : Single_TSeries_Indicator private readonly System.Collections.Generic.List _buffer = new(); private readonly double _k, _k1m; private double _lastema, _lastlastema; - private bool _useSMA; + private readonly bool _useSMA; public EMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) { diff --git a/Source/Trends/JMA_Series.cs b/Source/Trends/JMA_Series.cs index 94b17d56..6a3f79fa 100644 --- a/Source/Trends/JMA_Series.cs +++ b/Source/Trends/JMA_Series.cs @@ -23,9 +23,11 @@ Issues: public class JMA_Series : Single_TSeries_Indicator { private readonly System.Collections.Generic.List volty_10 = new(); private readonly System.Collections.Generic.List vsum_buff = new(); - private readonly double pr, beta; + private readonly double pr; + public TSeries mma1 { get; } + public TSeries mma2 { get; } - private double upperBand, lowerBand, _phase, vsum, Kv, del1, del2, prev_del1, prev_del2; + private double upperBand, lowerBand, vsum, Kv, del1, del2; private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma; private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma; @@ -35,18 +37,34 @@ public class JMA_Series : Single_TSeries_Indicator { pr = (phase * 0.01) + 1.5; if (phase < -100) pr = 0.5; if (phase > 100) pr = 2.5; - beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2); + + mma1 = new(); + mma2 = new(); if (base._data.Count > 0) { base.Add(base._data); } } public override void Add((System.DateTime t, double v) TValue, bool update) { + if (this.Count == 0) { prev_ma1 = TValue.v; } if (update) { - upperBand = p_upperBand; lowerBand = p_lowerBand; Kv = p_Kv; prev_vsum = p_prev_vsum; - prev_ma1 = p_prev_ma1; prev_det0 = p_prev_det0; prev_det1 = p_prev_det1; prev_jma = p_prev_jma; - } else { - p_upperBand = upperBand; p_lowerBand = lowerBand; p_Kv = Kv; p_prev_vsum = prev_vsum; - p_prev_ma1 = prev_ma1; p_prev_det0 = prev_det0; p_prev_det1 = prev_det1; p_prev_jma = prev_jma; + upperBand = p_upperBand; + lowerBand = p_lowerBand; + Kv = p_Kv; + prev_vsum = p_prev_vsum; + prev_ma1 = p_prev_ma1; + prev_det0 = p_prev_det0; + prev_det1 = p_prev_det1; + prev_jma = p_prev_jma; + } + else { + p_upperBand = upperBand; + p_lowerBand = lowerBand; + p_Kv = Kv; + p_prev_vsum = prev_vsum; + p_prev_ma1 = prev_ma1; + p_prev_det0 = prev_det0; + p_prev_det1 = prev_det1; + p_prev_jma = prev_jma; } // from Tvalue to volty @@ -59,41 +77,49 @@ public class JMA_Series : Single_TSeries_Indicator { if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); } //// from volty to avolty - if (update) { volty_10[volty_10.Count - 1] = volty; } else { volty_10.Add(volty); } - if (volty_10.Count > 10) { volty_10.RemoveAt(0); } + if (update) { volty_10[volty_10.Count - 1] = volty; } + else { volty_10.Add(volty); } + if (volty_10.Count > _p) { volty_10.RemoveAt(0); } vsum = prev_vsum + 0.1 * (volty - volty_10.First()); - if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } else { vsum_buff.Add(vsum); } - if (vsum_buff.Count > 65) vsum_buff.RemoveAt(0); + if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } + else { vsum_buff.Add(vsum); } + if (vsum_buff.Count > (65)) + vsum_buff.RemoveAt(0); double avolty = 0; for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; } avolty /= vsum_buff.Count; /// from avolty to rolty - double rvolty = (avolty > 0) ? volty / avolty : 0; - double len1 = (Math.Log(Math.Sqrt(_p)) / Math.Log(2.0)) + 2; - if (len1 < 0) len1 = 0; + double rvolty = (avolty != 0) ? volty / avolty : 0; + double len1 = (Math.Log(Math.Sqrt(0.5 * (_p - 1))) / Math.Log(2.0)) + 2; + if (len1 < 0) + len1 = 0; double pow1 = Math.Max(len1 - 2.0, 0.5); - if (rvolty > Math.Pow(len1, 1.0 / pow1)) rvolty = Math.Pow(len1, 1.0 / pow1); - if (rvolty < 1) rvolty = 1; + if (rvolty > Math.Pow(len1, 1.0 / pow1)) + rvolty = Math.Pow(len1, 1.0 / pow1); + if (rvolty < 1) + rvolty = 1; //// from rvolty to second smoothing double pow2 = Math.Pow(rvolty, pow1); double len2 = Math.Sqrt(0.5 * (_p - 1)) * len1; - Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2)); - double alpha = Math.Pow(beta, pow2); - double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1; + Kv = Math.Pow(len2 / (len2 + 2), Math.Sqrt(pow2)); + double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2); + double alpha = Math.Pow(beta * 1.1, pow2); + double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1; prev_ma1 = ma1; - double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0; - prev_det0 = det0; + mma1.Add(ma1); - /// from second smoothing to jma + double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0; + prev_det0 = det0; double ma2 = ma1 + pr * det0; - double det1 = (1 - alpha) * (1 - alpha) * (ma2 - prev_jma) + alpha * alpha * prev_det1; + mma2.Add(ma2); + + double det1 = ((1 - alpha) * (1 - alpha) * (ma2 - prev_jma)) + (alpha * alpha * prev_det1); prev_det1 = det1; double jma = prev_jma + det1; prev_jma = jma; - base.Add((TValue.t, jma), update, _NaN); + base.Add((TValue.t, ma1), update, _NaN); } -} - +} \ No newline at end of file diff --git a/Source/Trends/MAMA_Series.cs b/Source/Trends/MAMA_Series.cs index ff85d784..0224dc98 100644 --- a/Source/Trends/MAMA_Series.cs +++ b/Source/Trends/MAMA_Series.cs @@ -1,118 +1,118 @@ -namespace QuanTAlib; -using System; - -/* -MAMA: MESA Adaptive Moving Average - Created by John Ehlers, the MAMA indicator is a 5-period adaptive moving average of - high/low price that uses classic electrical radio-frequency signal processing algorithms - to reduce noise. - - KAMAi = KAMAi - 1 + SC * ( price - KAMAi-1 ) - -Sources: - https://mesasoftware.com/papers/MAMA.pdf - https://www.tradingview.com/script/foQxLbU3-Ehlers-MESA-Adaptive-Moving-Average-LazyBear/ - - */ - -public class MAMA_Series : Single_TSeries_Indicator -{ - public MAMA_Series(TSeries source, double fastlimit = 0.5, double slowlimit = 0.05, bool useNaN = false) : base(source, period: 5, useNaN) - { - fastl = fastlimit; - slowl = slowlimit; - Fama = new(); - if (base._data.Count > 0) { base.Add(base._data); } - } - - 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 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) - { - - if (!update) { - // roll forward (oldx = x) - 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; - } - int i = base.Count; - pr.i = TValue.v; - if (i > 5) { - double adj = (0.075 * pd.i1) + 0.54; - - // smooth and detrender - sm.i = ((4 * pr.i) + (3 * pr.i1) + (2 * pr.i2) + pr.i3) / 10; - dt.i = ((0.0962 * sm.i) + (0.5769 * sm.i2) - (0.5769 * sm.i4) - (0.0962 * sm.i6)) * adj; - - // in-phase and quadrature - q1.i = ((0.0962 * dt.i) + (0.5769 * dt.i2) - (0.5769 * dt.i4) - (0.0962 * dt.i6)) * adj; - i1.i = dt.i3; - - // advance the phases by 90 degrees - jI = ((0.0962 * i1.i) + (0.5769 * i1.i2) - (0.5769 * i1.i4) - (0.0962 * i1.i6)) * adj; - jQ = ((0.0962 * q1.i) + (0.5769 * q1.i2) - (0.5769 * q1.i4) - (0.0962 * q1.i6)) * adj; - - // phasor addition for 3-bar averaging - i2.i = i1.i - jQ; - q2.i = q1.i + jI; - - i2.i = (0.2 * i2.i) + (0.8 * i2.i1); // smoothing it - q2.i = (0.2 * q2.i) + (0.8 * q2.i1); - - // homodyne discriminator - re.i = (i2.i * i2.i1) + (q2.i * q2.i1); - im.i = (i2.i * q2.i1) - (q2.i * i2.i1); - - re.i = (0.2 * re.i) + (0.8 * re.i1); // smoothing it - im.i = (0.2 * im.i) + (0.8 * im.i1); - - // calculate period - pd.i = (im.i != 0 && re.i != 0) ? (6.283185307179586 / Math.Atan(im.i / re.i)) : 0d; - - // adjust period to thresholds - pd.i = (pd.i > 1.5 * pd.i1) ? 1.5 * pd.i1 : pd.i; - pd.i = (pd.i < 0.67 * pd.i1) ? 0.67 * pd.i1 : pd.i; - pd.i = (pd.i < 6d) ? 6d : pd.i; - pd.i = (pd.i > 50d) ? 50d : pd.i; - - // smooth the period - pd.i = (0.2 * pd.i) + (0.8 * pd.i1); - - // determine phase position - ph.i = (i1.i != 0) ? Math.Atan(q1.i / i1.i) * 57.29577951308232 : 0; - - // change in phase - double delta = Math.Max(ph.i1 - ph.i, 1d); - - // adaptive alpha value - double alpha = Math.Max(fastl / delta, slowl); - - // final indicators - mama.i = ((alpha * pr.i) + ((1d - alpha) * mama.i1)); - fama.i = ((0.5d * alpha * mama.i) + ((1d - (0.5d * alpha)) * fama.i1)); - } - else { - sumPr += pr.i; - 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); - } - - 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); - } -} +namespace QuanTAlib; +using System; + +/* +MAMA: MESA Adaptive Moving Average + Created by John Ehlers, the MAMA indicator is a 5-period adaptive moving average of + high/low price that uses classic electrical radio-frequency signal processing algorithms + to reduce noise. + + KAMAi = KAMAi - 1 + SC * ( price - KAMAi-1 ) + +Sources: + https://mesasoftware.com/papers/MAMA.pdf + https://www.tradingview.com/script/foQxLbU3-Ehlers-MESA-Adaptive-Moving-Average-LazyBear/ + + */ + +public class MAMA_Series : Single_TSeries_Indicator +{ + public MAMA_Series(TSeries source, double fastlimit = 0.5, double slowlimit = 0.05, bool useNaN = false) : base(source, period: 5, useNaN) + { + fastl = fastlimit; + slowl = slowlimit; + Fama = new(); + if (base._data.Count > 0) { base.Add(base._data); } + } + + 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 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) + { + + if (!update) { + // roll forward (oldx = x) + 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; + } + int i = base.Count; + pr.i = TValue.v; + if (i > 5) { + double adj = (0.075 * pd.i1) + 0.54; + + // smooth and detrender + sm.i = ((4 * pr.i) + (3 * pr.i1) + (2 * pr.i2) + pr.i3) / 10; + dt.i = ((0.0962 * sm.i) + (0.5769 * sm.i2) - (0.5769 * sm.i4) - (0.0962 * sm.i6)) * adj; + + // in-phase and quadrature + q1.i = ((0.0962 * dt.i) + (0.5769 * dt.i2) - (0.5769 * dt.i4) - (0.0962 * dt.i6)) * adj; + i1.i = dt.i3; + + // advance the phases by 90 degrees + jI = ((0.0962 * i1.i) + (0.5769 * i1.i2) - (0.5769 * i1.i4) - (0.0962 * i1.i6)) * adj; + jQ = ((0.0962 * q1.i) + (0.5769 * q1.i2) - (0.5769 * q1.i4) - (0.0962 * q1.i6)) * adj; + + // phasor addition for 3-bar averaging + i2.i = i1.i - jQ; + q2.i = q1.i + jI; + + i2.i = (0.2 * i2.i) + (0.8 * i2.i1); // smoothing it + q2.i = (0.2 * q2.i) + (0.8 * q2.i1); + + // homodyne discriminator + re.i = (i2.i * i2.i1) + (q2.i * q2.i1); + im.i = (i2.i * q2.i1) - (q2.i * i2.i1); + + re.i = (0.2 * re.i) + (0.8 * re.i1); // smoothing it + im.i = (0.2 * im.i) + (0.8 * im.i1); + + // calculate period + pd.i = (im.i != 0 && re.i != 0) ? (6.283185307179586 / Math.Atan(im.i / re.i)) : 0d; + + // adjust period to thresholds + pd.i = (pd.i > 1.5 * pd.i1) ? 1.5 * pd.i1 : pd.i; + pd.i = (pd.i < 0.67 * pd.i1) ? 0.67 * pd.i1 : pd.i; + pd.i = (pd.i < 6d) ? 6d : pd.i; + pd.i = (pd.i > 50d) ? 50d : pd.i; + + // smooth the period + pd.i = (0.2 * pd.i) + (0.8 * pd.i1); + + // determine phase position + ph.i = (i1.i != 0) ? Math.Atan(q1.i / i1.i) * 57.29577951308232 : 0; + + // change in phase + double delta = Math.Max(ph.i1 - ph.i, 1d); + + // adaptive alpha value + double alpha = Math.Max(fastl / delta, slowl); + + // final indicators + mama.i = ((alpha * pr.i) + ((1d - alpha) * mama.i1)); + fama.i = ((0.5d * alpha * mama.i) + ((1d - (0.5d * alpha)) * fama.i1)); + } + else { + sumPr += pr.i; + 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); + } + + 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); + } +} diff --git a/Source/Trends/T3_Series.cs b/Source/Trends/T3_Series.cs index 7e548962..12479ceb 100644 --- a/Source/Trends/T3_Series.cs +++ b/Source/Trends/T3_Series.cs @@ -1,127 +1,110 @@ -namespace QuanTAlib; -using System; -using System.Linq; -using System.Numerics; - -/* -T3: Tillson T3 Moving Average - Tim Tillson described it in "Technical Analysis of Stocks and Commodities", January 1998 in the - article "Better Moving Averages". Tillson’s moving average becomes a popular indicator of - technical analysis as it gets less lag with the price chart and its curve is considerably smoother. - -Sources: - https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average - http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/ - -Calculation: - a = 0.7 (but also 0.618); - Ema1 = Ema (Close); - Ema2 = Ema (Ema1); - Ema3 = Ema (Ema2); - Ema4 = Ema (Ema3); - Ema5 = Ema (Ema4); - Ema6 = Ema (Ema5); - T3 = –(a*a*a) * Ema6 + (3*a*a + 3*a*a*a) * Ema5 + (–6*a*a – 3*a – 3*a*a*a) * Ema4 + (1 + 3*a + a*a*a + 3*a*a) * Ema3 - - */ - -public class T3_Series : Single_TSeries_Indicator -{ - 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 = 0.7, bool useNaN = false) : base(source, period, useNaN) - { - 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; - int i = base.Count; - 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 / Math.Max(_p, base.Count); - } - } - } - else { - sum5 += e4; - if (i == 5 * (_p - 1)) { - sum6 = e5 = sum5 / Math.Max(_p, base.Count); - } - } - } - else { - sum4 += e3; - if (i == 4 * (_p - 1)) { - sum5 = e4 = sum4 / Math.Max(_p, base.Count); - } - } - } - else { - sum3 += e2; - if (i == 3 * (_p - 1)) { - sum4 = e3 = sum3 / Math.Max(_p, base.Count); - } - } - } - else { - sum2 += e1; - if (i == 2 * (_p - 1)) { - sum3 = e2 = sum2 / Math.Max(_p, base.Count); - } - } - } - else { - sum1 += v; - if (i == _p - 1) { - sum2 = e1 = sum1 / Math.Max(_p, base.Count); - } - } - - double t3 = (c1 * e6) + (c2 * e5) + (c3 * e4) + (c4 * e3); - base.Add(TValue: (TValue.t, t3), update: update, useNaN: _NaN); - } +namespace QuanTAlib; +using System; +using System.Linq; +using System.Numerics; + +/* +T3: Tillson T3 Moving Average + Tim Tillson described it in "Technical Analysis of Stocks and Commodities", January 1998 in the + article "Better Moving Averages". Tillson’s moving average becomes a popular indicator of + technical analysis as it gets less lag with the price chart and its curve is considerably smoother. + +Sources: + https://technicalindicators.net/indicators-technical-analysis/150-t3-moving-average + http://www.binarytribune.com/forex-trading-indicators/t3-moving-average-indicator/ + +Calculation: + Volume Factor is typically 0.7 (but also 0.618); + Ema1 = Ema (Close); + Ema2 = Ema (Ema1); + Ema3 = Ema (Ema2); + Ema4 = Ema (Ema3); + Ema5 = Ema (Ema4); + Ema6 = Ema (Ema5); + T3 = –(a*a*a) * Ema6 + (3*a*a + 3*a*a*a) * Ema5 + (–6*a*a – 3*a – 3*a*a*a) * Ema4 + (1 + 3*a + a*a*a + 3*a*a) * Ema3 + + */ +public class T3_Series : Single_TSeries_Indicator { + private readonly double _k, _k1m, _c1, _c2, _c3, _c4; + private readonly System.Collections.Generic.List _buffer1 = new(); + private readonly System.Collections.Generic.List _buffer2 = new(); + private readonly System.Collections.Generic.List _buffer3 = new(); + private readonly System.Collections.Generic.List _buffer4 = new(); + private readonly System.Collections.Generic.List _buffer5 = new(); + private readonly System.Collections.Generic.List _buffer6 = new(); + + private double _lastema1, _lastema2, _lastema3, _lastema4, _lastema5, _lastema6; + private double _llastema1, _llastema2, _llastema3, _llastema4, _llastema5, _llastema6; + private bool _useSMA; + + public T3_Series(TSeries source, int period, double vfactor = 0.7, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) { + double _a = vfactor; //0.7; //0.618 + _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 + _a * _a * _a + 3 * _a * _a; + + _k = 2.0 / (_p + 1); + _k1m = 1.0 - _k; + _lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = _lastema4 = _llastema4 = _lastema5 = _llastema5 = _lastema5 = _llastema5 = 0; + _useSMA = useSMA; + if (this._data.Count > 0) { base.Add(this._data); } + } + + public override void Add((DateTime t, double v) TValue, bool update) { + double _ema1, _ema2, _ema3, _ema4, _ema5, _ema6; + if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; _lastema4 = _llastema4; _lastema5 = _llastema5; _lastema6 = _llastema6; } + else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; _llastema4 = _lastema4; _llastema5 = _lastema5; _llastema6 = _lastema6; } + + if (this.Count == 0) { _lastema1 = _lastema2 = _lastema3 = _lastema4 = _lastema5 = _lastema6 = TValue.v; } + + if ((this.Count < _p) && _useSMA) { + Add_Replace(_buffer1, TValue.v, update); + _ema1 = 0; + for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; } + _ema1 /= _buffer1.Count; + + Add_Replace(_buffer2, _ema1, update); + _ema2 = 0; + for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; } + _ema2 /= _buffer2.Count; + + Add_Replace(_buffer3, _ema2, update); + _ema3 = 0; + for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; } + _ema3 /= _buffer3.Count; + + Add_Replace(_buffer4, _ema3, update); + _ema4 = 0; + for (int i = 0; i < _buffer4.Count; i++) { _ema4 += _buffer4[i]; } + _ema4 /= _buffer4.Count; + + Add_Replace(_buffer5, _ema4, update); + _ema5 = 0; + for (int i = 0; i < _buffer5.Count; i++) { _ema5 += _buffer5[i]; } + _ema5 /= _buffer5.Count; + + Add_Replace(_buffer6, _ema5, update); + _ema6 = 0; + for (int i = 0; i < _buffer6.Count; i++) { _ema6 += _buffer6[i]; } + _ema6 /= _buffer6.Count; + } + else { + _ema1 = (TValue.v * this._k) + (this._lastema1 * this._k1m); + _ema2 = (_ema1 * this._k) + (this._lastema2 * this._k1m); + _ema3 = (_ema2 * this._k) + (this._lastema3 * this._k1m); + _ema4 = (_ema3 * this._k) + (this._lastema4 * this._k1m); + _ema5 = (_ema4 * this._k) + (this._lastema5 * this._k1m); + _ema6 = (_ema5 * this._k) + (this._lastema6 * this._k1m); + } + _lastema1 = _ema1; + _lastema2 = _ema2; + _lastema3 = _ema3; + _lastema4 = _ema4; + _lastema5 = _ema5; + _lastema6 = _ema6; + + double _T3 = _c1 * _ema6 + _c2 * _ema5 + _c3 * _ema4 + _c4 * _ema3; + base.Add((TValue.t, _T3), update, _NaN); + } } \ No newline at end of file diff --git a/Source/Trends/TRIX_Series.cs b/Source/Trends/TRIX_Series.cs new file mode 100644 index 00000000..d557bc56 --- /dev/null +++ b/Source/Trends/TRIX_Series.cs @@ -0,0 +1,82 @@ +namespace QuanTAlib; +using System; +using System.Linq; +using System.Numerics; + +/* +TRIX: Triple Exponential Average + Developed by Jack Hutson in the early 1980s, the triple exponential average (TRIX) + has become a popular technical analysis tool to aid chartists in spotting diversions +and directional cues in stock trading patterns. + + +Calculation: + Ema1 = Ema (Close); + Ema2 = Ema (Ema1); + Ema3 = Ema (Ema2); + TRIX = (Ema3-Ema3[1]) / Ema3[1] + +Sources: + https://www.investopedia.com/terms/t/trix.asp + + */ +public class TRIX_Series : Single_TSeries_Indicator +{ + private readonly double _k, _k1m; + private readonly System.Collections.Generic.List _buffer1 = new(); + private readonly System.Collections.Generic.List _buffer2 = new(); + private readonly System.Collections.Generic.List _buffer3 = new(); + + private double _lastema1, _lastema2, _lastema3; + private double _llastema1, _llastema2, _llastema3; + private bool _useSMA; + + public TRIX_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) + { + + _k = 2.0 / (_p + 1); + _k1m = 1.0 - _k; + _lastema1 = _llastema1 = _lastema2 = _llastema2 = _lastema3 = _llastema3 = 0; + _useSMA = useSMA; + if (this._data.Count > 0) { base.Add(this._data); } + } + + public override void Add((DateTime t, double v) TValue, bool update) + { + double _ema1, _ema2, _ema3; + if (this.Count == 0) { _lastema1 = _lastema2 = _lastema3 = TValue.v; } + + if (update) { _lastema1 = _llastema1; _lastema2 = _llastema2; _lastema3 = _llastema3; } + else { _llastema1 = _lastema1; _llastema2 = _lastema2; _llastema3 = _lastema3; } + + if ((this.Count < _p) && _useSMA) + { + Add_Replace(_buffer1, TValue.v, update); + _ema1 = 0; + for (int i = 0; i < _buffer1.Count; i++) { _ema1 += _buffer1[i]; } + _ema1 /= _buffer1.Count; + + Add_Replace(_buffer2, _ema1, update); + _ema2 = 0; + for (int i = 0; i < _buffer2.Count; i++) { _ema2 += _buffer2[i]; } + _ema2 /= _buffer2.Count; + + Add_Replace(_buffer3, _ema2, update); + _ema3 = 0; + for (int i = 0; i < _buffer3.Count; i++) { _ema3 += _buffer3[i]; } + _ema3 /= _buffer3.Count; + } + else + { + _ema1 = (TValue.v * this._k) + (this._lastema1 * this._k1m); + _ema2 = (_ema1 * this._k) + (this._lastema2 * this._k1m); + _ema3 = (_ema2 * this._k) + (this._lastema3 * this._k1m); + } + double _trix = 100 * (_ema3 - _lastema3) / _lastema3; + _lastema1 = _ema1; + _lastema2 = _ema2; + _lastema3 = _ema3; + + base.Add((TValue.t, _trix), update, _NaN); + } +} \ No newline at end of file diff --git a/Source/Volatility/CMO_Series.cs b/Source/Volatility/CMO_Series.cs new file mode 100644 index 00000000..9a47b469 --- /dev/null +++ b/Source/Volatility/CMO_Series.cs @@ -0,0 +1,47 @@ +namespace QuanTAlib; +using System; + +/* +CMO: Chande Momentum Oscillator + Chande Momentum Oscillator (also known as CMO indicator) was developed by Tushar S. Chande + CMO is similar to other momentum oscillators (e.g. RSI or Stochastics). Alike RSI oscillator, + the CMO values move in the range from -100 to +100 points and its aim is to detect the + overbought and oversold market conditions. CMO calculates the price momentum on both the up + days as well as the down days. The CMO calculation is based on non-smoothed price values + meaning that it can reach its extremes more frequently and the short-time swings are more visible. + +Sources: + https://www.technicalindicators.net/indicators-technical-analysis/144-cmo-chande-momentum-oscillator + + */ + +public class CMO_Series : Single_TSeries_Indicator { + private readonly System.Collections.Generic.List _buff_up = new(); + private readonly System.Collections.Generic.List _buff_dn = new(); + private double _plast_value, _last_value; + + public CMO_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN) { + if (this._data.Count > 0) { base.Add(this._data); } + } + + public override void Add((DateTime t, double v) TValue, bool update) { + if (this.Count == 0) { _plast_value = _last_value = TValue.v; } + if (update) _last_value = _plast_value; else _plast_value = _last_value; + + Add_Replace_Trim(_buff_up, (TValue.v > _last_value) ? TValue.v-_last_value : 0, _p, update); + Add_Replace_Trim(_buff_dn, (TValue.v < _last_value) ? _last_value-TValue.v : 0, _p, update); + _last_value = TValue.v; + + double _cmo_up = 0; + double _cmo_dn = 0; + for (int i = 0; i < Math.Min(_buff_up.Count, _buff_dn.Count); i++) { + _cmo_up += _buff_up[i]; + _cmo_dn += _buff_dn[i]; + } + + double _cmo = 100 * (_cmo_up - _cmo_dn) / (_cmo_up + _cmo_dn); + if (_cmo_up + _cmo_dn == 0) + _cmo = 0; + base.Add((TValue.t, _cmo), update, _NaN); + } +} \ No newline at end of file diff --git a/Tests/Series/Update.cs b/Tests/Series/Update.cs index ad8260e1..80335697 100644 --- a/Tests/Series/Update.cs +++ b/Tests/Series/Update.cs @@ -1,512 +1,512 @@ -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); - 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 DWMA() { - DWMA_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 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 - } -} +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); + 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 DWMA() { + DWMA_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 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 + } +} diff --git a/Tests/Tests.csproj b/Tests/Tests.csproj index 19c1f9e1..7b17bb07 100644 --- a/Tests/Tests.csproj +++ b/Tests/Tests.csproj @@ -17,7 +17,7 @@ - + diff --git a/Tests/Validations/Trends/Pandas_TA.cs b/Tests/Validations/Trends/Pandas_TA.cs index e38c82a9..a8cc5876 100644 --- a/Tests/Validations/Trends/Pandas_TA.cs +++ b/Tests/Validations/Trends/Pandas_TA.cs @@ -1,361 +1,382 @@ -using Xunit; -using System; -using QuanTAlib; -using Python.Runtime; -using Python.Included; - -namespace Validations; -public class PandasTA : IDisposable -{ - private readonly GBM_Feed bars; - private readonly Random rnd = new(); - private readonly int period, sample; - private int digits; - private readonly string OStype; - private readonly dynamic np; - private readonly dynamic ta; - private readonly dynamic df; - - public PandasTA() { - bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0); - period = rnd.Next(maxValue: 28) + 3; - sample = 200; - digits = 10; - - // Checking the host OS and setting PythonDLL accordingly - OStype = Environment.OSVersion.ToString(); - 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(path: "."); - Installer.SetupPython().Wait(); - Installer.TryInstallPip(); - Installer.PipInstallModule(module_name: "pandas-ta"); - Runtime.PythonDLL = OStype; - PythonEngine.Initialize(); - np = Py.Import(name: "numpy"); - ta = Py.Import(name: "pandas_ta"); - - string[] cols = { "open", "high", "low", "close", "volume" }; - double[,] ary = new double[bars.Count, 5]; - for (int i = 0; i < bars.Count; i++) { - ary[i, 0] = bars.Open[i].v; - ary[i, 1] = bars.High[i].v; - ary[i, 2] = bars.Low[i].v; - ary[i, 3] = bars.Close[i].v; - ary[i, 4] = bars.Volume[i].v; - } - df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols)); - } - public void Dispose() - { - PythonEngine.Shutdown(); - GC.SuppressFinalize(this); - } - - [Fact] void ADL() { - ADL_Series QL = new(bars); - var pta = df.ta.ad(high: df.high, low: df.low, close:df.close, volume:df.volume); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i-1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i-1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - - } - } - [Fact] void ADOSC() { - ADOSC_Series QL = new(bars); - var pta = df.ta.adosc(high: df.high, low: df.low, close: df.close, volume: df.volume); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void ATR() { - ATR_Series QL = new(bars, period); - var pta = df.ta.atr(high: df.high, low: df.low, close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void BIAS() { - BIAS_Series QL = new(bars.Close, period, false); - var pta = df.ta.bias(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void DEMA() { - DEMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.dema(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void EMA() { - EMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.ema(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void ENTROPY() { - ENTROPY_Series QL = new(bars.Close, period, useNaN: false); - var pta = df.ta.entropy(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void HL2() { - var pta = df.ta.hl2(high: df.high, low: df.low); - for (int i = bars.HL2.Length; i > bars.HL2.Length-sample; i--) - { - double QL_item = Math.Round(bars.HL2[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void HLC3() { - var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close); - for (int i = bars.HLC3.Length; i > bars.HLC3.Length-sample; i--) - { - double QL_item = Math.Round(bars.HLC3[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void HMA() { - HMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.hma(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - - } - [Fact] void KAMA() { - KAMA_Series QL = new(bars.Close, period); - var pta = df.ta.kama(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void KURTOSIS() { - KURTOSIS_Series QL = new(bars.Close, period, useNaN: false); - var pta = df.ta.kurtosis(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void MAD() - { - MAD_Series QL = new(bars.Close, period, useNaN: false); - var pta = df.ta.mad(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void MEDIAN() { - MEDIAN_Series QL = new(bars.Close, period); - var pta = df.ta.median(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void OBV() { - OBV_Series QL = new(bars); - var pta = df.ta.obv(close: df.close, volume: df.volume); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void OHLC4() { - var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close); - for (int i = bars.OHLC4.Length; i > bars.OHLC4.Length-sample; i--) - { - double QL_item = Math.Round(bars.OHLC4[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void RMA() { - RMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.rma(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void RSI() { - RSI_Series QL = new(bars.Close, period); - var pta = df.ta.rsi(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void SMA() { - SMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.sma(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - /* - [Fact] void SVARIANCE() { - SVAR_Series QL = new(bars.Close, period); - var pta = df.ta.variance(close: df.close, length: period, ddof: 1); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void TEMA() { - TEMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.tema(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void TR() { - TR_Series QL = new(bars); - var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void VARIANCE() { - VAR_Series QL = new(bars.Close, period); - var pta = df.ta.variance(close: df.close, length: period, ddof:0); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void WMA() { - WMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.wma(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] void ZLEMA() { - ZLEMA_Series QL = new(bars.Close, period, false); - var pta = df.ta.zlma(close: df.close, length: period); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length; i > QL.Length-sample; i--) - { - double QL_item = Math.Round(QL[i - 1].v, digits: digits); - double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); - Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - +using Xunit; +using System; +using QuanTAlib; +using Python.Runtime; +using Python.Included; + +namespace Validations; +public class PandasTA : IDisposable +{ + private readonly GBM_Feed bars; + private readonly Random rnd = new(); + private readonly int period, sample; + private int digits; + private readonly string OStype; + private readonly dynamic np; + private readonly dynamic ta; + private readonly dynamic df; + + public PandasTA() { + bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0); + period = rnd.Next(maxValue: 28) + 3; + sample = 200; + digits = 10; + + // Checking the host OS and setting PythonDLL accordingly + OStype = Environment.OSVersion.ToString(); + 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(path: "."); + Installer.SetupPython().Wait(); + Installer.TryInstallPip(); + Installer.PipInstallModule(module_name: "pandas-ta"); + Runtime.PythonDLL = OStype; + PythonEngine.Initialize(); + np = Py.Import(name: "numpy"); + ta = Py.Import(name: "pandas_ta"); + + string[] cols = { "open", "high", "low", "close", "volume" }; + double[,] ary = new double[bars.Count, 5]; + for (int i = 0; i < bars.Count; i++) { + ary[i, 0] = bars.Open[i].v; + ary[i, 1] = bars.High[i].v; + ary[i, 2] = bars.Low[i].v; + ary[i, 3] = bars.Close[i].v; + ary[i, 4] = bars.Volume[i].v; + } + df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols)); + } + public void Dispose() + { + PythonEngine.Shutdown(); + GC.SuppressFinalize(this); + } + + [Fact] void ADL() { + ADL_Series QL = new(bars); + var pta = df.ta.ad(high: df.high, low: df.low, close:df.close, volume:df.volume); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i-1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i-1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + + } + } + [Fact] void ADOSC() { + ADOSC_Series QL = new(bars); + var pta = df.ta.adosc(high: df.high, low: df.low, close: df.close, volume: df.volume); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void ATR() { + ATR_Series QL = new(bars, period); + var pta = df.ta.atr(high: df.high, low: df.low, close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void BIAS() { + BIAS_Series QL = new(bars.Close, period, false); + var pta = df.ta.bias(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } +/* + [Fact] + void CMO() { + CMO_Series QL = new(bars.Close, period, false); + var pta = df.ta.cmo(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length - sample; i--) { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } +*/ + [Fact] void DEMA() { + DEMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.dema(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void EMA() { + EMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.ema(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void ENTROPY() { + ENTROPY_Series QL = new(bars.Close, period, useNaN: false); + var pta = df.ta.entropy(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void HL2() { + var pta = df.ta.hl2(high: df.high, low: df.low); + for (int i = bars.HL2.Length; i > bars.HL2.Length-sample; i--) + { + double QL_item = Math.Round(bars.HL2[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void HLC3() { + var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close); + for (int i = bars.HLC3.Length; i > bars.HLC3.Length-sample; i--) + { + double QL_item = Math.Round(bars.HLC3[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void HMA() { + HMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.hma(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + + } + [Fact] void KAMA() { + KAMA_Series QL = new(bars.Close, period); + var pta = df.ta.kama(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void KURTOSIS() { + KURTOSIS_Series QL = new(bars.Close, period, useNaN: false); + var pta = df.ta.kurtosis(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void MAD() + { + MAD_Series QL = new(bars.Close, period, useNaN: false); + var pta = df.ta.mad(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void MEDIAN() { + MEDIAN_Series QL = new(bars.Close, period); + var pta = df.ta.median(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void OBV() { + OBV_Series QL = new(bars); + var pta = df.ta.obv(close: df.close, volume: df.volume); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void OHLC4() { + var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close); + for (int i = bars.OHLC4.Length; i > bars.OHLC4.Length-sample; i--) + { + double QL_item = Math.Round(bars.OHLC4[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void RMA() { + RMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.rma(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void RSI() { + RSI_Series QL = new(bars.Close, period); + var pta = df.ta.rsi(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void SMA() { + SMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.sma(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + /* + [Fact] void SVARIANCE() { + SVAR_Series QL = new(bars.Close, period); + var pta = df.ta.variance(close: df.close, length: period, ddof: 1); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void TEMA() { + TEMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.tema(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void TR() { + TR_Series QL = new(bars); + var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void TRIX() { + TRIX_Series QL = new(bars.Close, period); + var pta = df.ta.trix(close: df.close, length: period).to_numpy(); + for (int i = QL.Length; i > QL.Length - sample; i--) { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1][0], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void VARIANCE() { + VAR_Series QL = new(bars.Close, period); + var pta = df.ta.variance(close: df.close, length: period, ddof:0); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void WMA() { + WMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.wma(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] void ZLEMA() { + ZLEMA_Series QL = new(bars.Close, period, false); + var pta = df.ta.zlma(close: df.close, length: period); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length; i > QL.Length-sample; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); + Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + } \ No newline at end of file diff --git a/Tests/Validations/Trends/Skender.cs b/Tests/Validations/Trends/Skender.cs index 0efda3dd..8997d5bc 100644 --- a/Tests/Validations/Trends/Skender.cs +++ b/Tests/Validations/Trends/Skender.cs @@ -10,16 +10,16 @@ public class Skender private readonly Random rnd = new(); private readonly int period, digits, skip; private readonly IEnumerable quotes; - + public Skender() { bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2); period = rnd.Next(30) + 5; - skip = 200; - digits = 10; + digits = 2; //minimizing rounding errors in type conversions + skip = 300; - quotes = bars.Select(q => new Quote + quotes = bars.Select(q => new Quote { Date = q.t, Open = (decimal)q.o, @@ -33,14 +33,15 @@ public class Skender [Fact] public void ADL() { + // TODO: check precision of ADL() ADL_Series QL = new(bars, false); var SK = quotes.GetAdl().Select(i => i.Adl); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void ALMA() @@ -51,7 +52,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -63,7 +64,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -75,7 +76,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -87,22 +88,22 @@ public class Skender { double QL_item = Math.Round(QL.Mid[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Sma!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Upper[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).UpperBand!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Lower[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).LowerBand!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Bandwidth[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Width!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.PercentB[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).PercentB!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Zscore[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).ZScore!.Value, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -114,7 +115,19 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); + } + } + [Fact] + public void CMO() + { + CMO_Series QL = new(bars.Close, period, false); + var SK = quotes.GetCmo(period).Select(i => i.Cmo.Null2NaN()!); + for (int i = QL.Length; i > skip; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -126,7 +139,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -138,10 +151,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } -/* [Fact] public void DEMA() { @@ -151,10 +163,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } -*/ [Fact] public void EMA() { @@ -164,7 +175,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } /* @@ -177,7 +188,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -189,7 +200,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } */ @@ -202,10 +213,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } -/* [Fact] public void KAMA() { @@ -216,10 +226,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits/2), Math.Exp(-digits/2)); + Assert.Equal(SK_item!, QL_item); } } -*/ [Fact] public void LINREG() { @@ -229,16 +238,16 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Slope!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Intercept[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Intercept!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.RSquared[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).RSquared!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.StdDev[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).StdDev!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -250,10 +259,10 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Macd.Null2NaN()!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Signal[i - 1].v, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Signal.Null2NaN()!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -265,7 +274,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -277,10 +286,10 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -292,7 +301,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -304,7 +313,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -317,7 +326,7 @@ public class Skender { double QL_item = Math.Round(QL.Last().v, digits: digits); double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } /* @@ -330,7 +339,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -342,7 +351,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -354,7 +363,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } */ @@ -367,7 +376,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -379,7 +388,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -391,7 +400,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -403,10 +412,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } -/* [Fact] public void T3() { @@ -416,10 +424,9 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } -*/ [Fact] public void TEMA() { @@ -429,7 +436,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -441,7 +448,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -453,7 +460,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } [Fact] @@ -465,7 +472,7 @@ public class Skender { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); - Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + Assert.Equal(SK_item!, QL_item); } } diff --git a/Tests/Validations/Trends/TA_LIB.cs b/Tests/Validations/Trends/TA_LIB.cs index d9d783be..2e8e6571 100644 --- a/Tests/Validations/Trends/TA_LIB.cs +++ b/Tests/Validations/Trends/TA_LIB.cs @@ -1,452 +1,474 @@ -using Xunit; -using System; -using TALib; -using QuanTAlib; - -namespace Validations; -public class Ta_Lib -{ - private readonly GBM_Feed bars; - private readonly Random rnd = new(); - private readonly int period, digits, skip; - private readonly double[] TALIB; - private readonly double[] TALIB2; - private readonly double[] inopen; - private readonly double[] inhigh; - private readonly double[] inlow; - private readonly double[] inclose; - private readonly double[] involume; - - public Ta_Lib() - { - bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); - period = rnd.Next(28) + 3; - skip = 500; - digits = 10; - - TALIB = new double[bars.Count]; - TALIB2 = new double[bars.Count]; - inopen = bars.Open.v.ToArray(); - inhigh = bars.High.v.ToArray(); - inlow = bars.Low.v.ToArray(); - inclose = bars.Close.v.ToArray(); - involume = bars.Volume.v.ToArray(); - } - - [Fact] - public void ADD() - { - ADD_Series QL = new(bars.Open, bars.Close); - Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ADL() - { - ADL_Series QL = new(bars, false); - Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > 0; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ADOSC() - { - ADOSC_Series QL = new(bars, 3, 10, false); - Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ATR() - { - ATR_Series QL = new(bars, period, false); - Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); - for (int i = QL.Length - 1; i > skip * 15; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } -/* - [Fact] - public void BBANDS() - { - double[] outMiddle = new double[bars.Count]; - double[] outUpper = new double[bars.Count]; - double[] outLower = new double[bars.Count]; - BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false); - Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL.Upper[i].v, digits: digits); - double TA_item = Math.Round(outUpper[i - outBegIdx], digits: digits); - Assert.Equal(TA_item!, QL_item); - QL_item = Math.Round(QL.Mid[i].v, digits: digits); - TA_item = Math.Round(outMiddle[i - outBegIdx], digits: digits); - Assert.Equal(TA_item!, QL_item); - QL_item = Math.Round(QL.Lower[i].v, digits: digits); - TA_item = Math.Round(outLower[i - outBegIdx], digits: digits); - Assert.Equal(TA_item!, QL_item); - } - 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], digits: digits), Math.Round(QL.Mid.Last().v, digits: digits)); - Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Lower.Last().v, digits: digits)); - } -*/ - [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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void HL2() - { - TSeries QL = bars.HL2; - Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void HLC3() - { - TSeries QL = bars.HLC3; - Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void HLCC4() - { - TSeries QL = bars.HLCC4; - Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [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 _); - for (int i = QL.Length - 1; i > skip * 10; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.Equal(TA_item!, QL_item); - QL_item = Math.Round(QL.Signal[i].v, digits: digits); - TA_item = Math.Round(macdSignal[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip * 15; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void OHLC4() - { - TSeries QL = bars.OHLC4; - Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip * 15; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip * 15; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip * 15; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); - Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - -} +using Xunit; +using System; +using TALib; +using QuanTAlib; + +namespace Validations; +public class Ta_Lib +{ + private readonly GBM_Feed bars; + private readonly Random rnd = new(); + private readonly int period, digits, skip; + private readonly double[] TALIB; + private readonly double[] TALIB2; + private readonly double[] inopen; + private readonly double[] inhigh; + private readonly double[] inlow; + private readonly double[] inclose; + private readonly double[] involume; + + public Ta_Lib() + { + bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); + period = rnd.Next(28) + 3; + skip = 500; + digits = 10; + + TALIB = new double[bars.Count]; + TALIB2 = new double[bars.Count]; + inopen = bars.Open.v.ToArray(); + inhigh = bars.High.v.ToArray(); + inlow = bars.Low.v.ToArray(); + inclose = bars.Close.v.ToArray(); + involume = bars.Volume.v.ToArray(); + } + + [Fact] + public void ADD() + { + ADD_Series QL = new(bars.Open, bars.Close); + Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ADL() + { + ADL_Series QL = new(bars, false); + Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > 0; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ADOSC() + { + ADOSC_Series QL = new(bars, 3, 10, false); + Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ATR() + { + ATR_Series QL = new(bars, period, false); + Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); + for (int i = QL.Length - 1; i > skip * 15; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } +/* + [Fact] + public void BBANDS() + { + double[] outMiddle = new double[bars.Count]; + double[] outUpper = new double[bars.Count]; + double[] outLower = new double[bars.Count]; + BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false); + Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL.Upper[i].v, digits: digits); + double TA_item = Math.Round(outUpper[i - outBegIdx], digits: digits); + Assert.Equal(TA_item!, QL_item); + QL_item = Math.Round(QL.Mid[i].v, digits: digits); + TA_item = Math.Round(outMiddle[i - outBegIdx], digits: digits); + Assert.Equal(TA_item!, QL_item); + QL_item = Math.Round(QL.Lower[i].v, digits: digits); + TA_item = Math.Round(outLower[i - outBegIdx], digits: digits); + Assert.Equal(TA_item!, QL_item); + } + 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], digits: digits), Math.Round(QL.Mid.Last().v, digits: digits)); + Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Lower.Last().v, digits: digits)); + } +*/ + [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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } +/* + [Fact] + public void CMO() { + CMO_Series QL = new(bars.Close, period, false); + Core.Cmo(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); + for (int i = QL.Length - 1; i > skip; i--) { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void HL2() + { + TSeries QL = bars.HL2; + Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void HLC3() + { + TSeries QL = bars.HLC3; + Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void HLCC4() + { + TSeries QL = bars.HLCC4; + Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [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 _); + for (int i = QL.Length - 1; i > skip * 10; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.Equal(TA_item!, QL_item); + QL_item = Math.Round(QL.Signal[i].v, digits: digits); + TA_item = Math.Round(macdSignal[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip * 15; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void OHLC4() + { + TSeries QL = bars.OHLC4; + Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip * 15; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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 _); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void TRIX() { + TRIX_Series QL = new(bars.Close, period, useNaN: false, useSMA: true); + Core.Trix(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period); + for (int i = QL.Length - 1; i > skip; i--) { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip * 15; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-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); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); + Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + +} diff --git a/Tests/Validations/Trends/Tulip.cs b/Tests/Validations/Trends/Tulip.cs index b7ddcc32..3157f81f 100644 --- a/Tests/Validations/Trends/Tulip.cs +++ b/Tests/Validations/Trends/Tulip.cs @@ -1,158 +1,194 @@ -using Xunit; -using System; -using Tulip; -using QuanTAlib; - -namespace Validations; -public class Tulip_Test -{ - private readonly GBM_Feed bars; - private readonly Random rnd = new(); - private readonly int period, digits, skip; - private readonly double[] outdata; - private readonly double[] inopen; - private readonly double[] inhigh; - private readonly double[] inlow; - private readonly double[] inclose; - private readonly double[] involume; - - public Tulip_Test() - { - bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); - period = rnd.Next(28) + 3; - skip = 200; - digits = 10; - - outdata = new double[bars.Count]; - inopen = bars.Open.v.ToArray(); - inhigh = bars.High.v.ToArray(); - inlow = bars.Low.v.ToArray(); - inclose = bars.Close.v.ToArray()!; - involume = bars.Volume.v.ToArray()!; - - } - [Fact] - public void AD() - { - double[][] arrin = {inhigh, inlow, inclose, involume }; - double[][] arrout = { outdata }; - ADL_Series QL = new(bars, false); - Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ADD() - { - double[][] arrin = { inhigh, inlow }; - double[][] arrout = { outdata }; - ADD_Series QL = new(bars.High, bars.Low); - Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ADOSC() - { - double[][] arrin = { inhigh, inlow, inclose, involume }; - double[][] arrout = { outdata }; - int s = 3; - ADOSC_Series QL = new(bars, s, period, false); - Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i-period+1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void ATR() - { - double[][] arrin = { inhigh, inlow, inclose }; - double[][] arrout = { outdata }; - - ATR_Series QL = new(bars, period, false); - Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i - period + 1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void BBANDS() - { - double[][] arrin = { inclose }; - double[] outmid = new double[bars.Count]; - double[] outlower = new double[bars.Count]; - double[] outupper = new double[bars.Count]; - double[][] arrout = { outlower, outmid, outupper}; - BBANDS_Series QL = new(bars.Close, period, 2, false); - Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL.Lower[i].v, digits: digits); - double TU_item = Math.Round(outlower[i - period + 1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - QL_item = Math.Round(QL.Mid[i].v, digits: digits); - TU_item = Math.Round(outmid[i - period + 1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - QL_item = Math.Round(QL.Upper[i].v, digits: digits); - TU_item = Math.Round(outupper[i - period + 1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void EMA() - { - double[][] arrin = { inclose }; - double[][] arrout = { outdata }; - EMA_Series QL = new(bars.Close, period, false); - Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void AVGPRICE() - { - double[][] arrin = { inopen, inhigh, inlow, inclose }; - double[][] arrout = { outdata }; - - TSeries QL = bars.OHLC4; - Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } - [Fact] - public void SMA() - { - double[][] arrin = { inclose }; - double[][] arrout = { outdata }; - SMA_Series QL = new(bars.Close, period, false); - Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); - for (int i = QL.Length - 1; i > skip; i--) - { - double QL_item = Math.Round(QL[i].v, digits: digits); - double TU_item = Math.Round(arrout[0][i-period+1], digits); - Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); - } - } -} +using Xunit; +using System; +using Tulip; +using QuanTAlib; + +namespace Validations; +public class Tulip_Test +{ + private readonly GBM_Feed bars; + private readonly Random rnd = new(); + private readonly int period, digits, skip; + private readonly double[] outdata; + private readonly double[] inopen; + private readonly double[] inhigh; + private readonly double[] inlow; + private readonly double[] inclose; + private readonly double[] involume; + + public Tulip_Test() + { + bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); + period = rnd.Next(28) + 3; + skip = 200; + digits = 10; + + outdata = new double[bars.Count]; + inopen = bars.Open.v.ToArray(); + inhigh = bars.High.v.ToArray(); + inlow = bars.Low.v.ToArray(); + inclose = bars.Close.v.ToArray()!; + involume = bars.Volume.v.ToArray()!; + + } + [Fact] + public void ADL() + { + double[][] arrin = {inhigh, inlow, inclose, involume }; + double[][] arrout = { outdata }; + ADL_Series QL = new(bars, false); + Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ADD() + { + double[][] arrin = { inhigh, inlow }; + double[][] arrout = { outdata }; + ADD_Series QL = new(bars.High, bars.Low); + Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ADOSC() + { + double[][] arrin = { inhigh, inlow, inclose, involume }; + double[][] arrout = { outdata }; + int s = 3; + ADOSC_Series QL = new(bars, s, period, false); + Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i-period+1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void ATR() + { + double[][] arrin = { inhigh, inlow, inclose }; + double[][] arrout = { outdata }; + + ATR_Series QL = new(bars, period, false); + Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i - period + 1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void BBANDS() + { + double[][] arrin = { inclose }; + double[] outmid = new double[bars.Count]; + double[] outlower = new double[bars.Count]; + double[] outupper = new double[bars.Count]; + double[][] arrout = { outlower, outmid, outupper}; + BBANDS_Series QL = new(bars.Close, period, 2, false); + Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL.Lower[i].v, digits: digits); + double TU_item = Math.Round(outlower[i - period + 1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + QL_item = Math.Round(QL.Mid[i].v, digits: digits); + TU_item = Math.Round(outmid[i - period + 1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + QL_item = Math.Round(QL.Upper[i].v, digits: digits); + TU_item = Math.Round(outupper[i - period + 1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void DEMA() { + double[][] arrin = { inclose }; + double[][] arrout = { outdata }; + DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false); + Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void EMA() + { + double[][] arrin = { inclose }; + double[][] arrout = { outdata }; + EMA_Series QL = new(bars.Close, period, false); + Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void AVGPRICE() + { + double[][] arrin = { inopen, inhigh, inlow, inclose }; + double[][] arrout = { outdata }; + + TSeries QL = bars.OHLC4; + Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void SMA() + { + double[][] arrin = { inclose }; + double[][] arrout = { outdata }; + SMA_Series QL = new(bars.Close, period, false); + Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) + { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i-period+1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void HMA() { + double[][] arrin = { inclose }; + double[][] arrout = { outdata }; + HMA_Series QL = new(bars.Close, period, false); + Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i-period-1], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } + [Fact] + public void CMO() { + double[][] arrin = { inclose }; + double[][] arrout = { outdata }; + CMO_Series QL = new(bars.Close, period, useNaN: false); + Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout); + for (int i = QL.Length - 1; i > skip; i--) { + double QL_item = Math.Round(QL[i].v, digits: digits); + double TU_item = Math.Round(arrout[0][i-period], digits); + Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits)); + } + } +} diff --git a/docs/EMA.md b/docs/EMA.md index ac161421..e372995e 100644 --- a/docs/EMA.md +++ b/docs/EMA.md @@ -1,38 +1,38 @@ -# EMA: Exponential Moving Average - -EMA needs very short history buffer and calculates the EMA value using just the previous EMA value. The weight of the new datapoint (k) is k = 2 / (period-1) - -## Calculation - -There is an adopted practice to calculate $SMA$ when $n < period$. - -$$ -EMA_n = \left\{ \begin{array}{cl} -\frac{1}{p}\left( data_{n}-data_{n-p}\right)+SMA_{n-1} & : \ n \leq period \\ -{k}\times ({data_{n}} - EMA_{n-1}) + EMA_{n-1} & : \ x > period -\end{array} \right. -$$ - - -## Implementation - -``` csharp -EMA_Series mean = new(source: data, period: p, useNaN: false); -``` - -- `TSeries source` - List of value tuples (DateTime, double) -- `int period` - Integer representing the period of SMA -- `bool useNaN` - if true, initial values from 1 to period-1 will be replaced with NaN. If false, the initial calculation will return values for SMA(length) instead of SMA(period) - -## Comparison & Validation - -Validation tests -Performance tests - -## Visual analysis - -![Alt text](./img/EMA_chart.svg) - - - -## References +# EMA: Exponential Moving Average + +EMA needs very short history buffer and calculates the EMA value using just the previous EMA value. The weight of the new datapoint (k) is k = 2 / (period-1) + +## Calculation + +There is an adopted practice to calculate $SMA$ when $n < period$. + +$$ +EMA_n = \left\{ \begin{array}{cl} +\frac{1}{p}\left( data_{n}-data_{n-p}\right)+SMA_{n-1} & : \ n \leq period \\ +{k}\times ({data_{n}} - EMA_{n-1}) + EMA_{n-1} & : \ x > period +\end{array} \right. +$$ + + +## Implementation + +``` csharp +EMA_Series mean = new(source: data, period: p, useNaN: false); +``` + +- `TSeries source` - List of value tuples (DateTime, double) +- `int period` - Integer representing the period of SMA +- `bool useNaN` - if true, initial values from 1 to period-1 will be replaced with NaN. If false, the initial calculation will return values for SMA(length) instead of SMA(period) + +## Comparison & Validation + +Validation tests +Performance tests + +## Visual analysis + +![Alt text](./img/EMA_chart.svg) + + + +## References diff --git a/docs/SMA.md b/docs/SMA.md index 557852bd..409e4c3e 100644 --- a/docs/SMA.md +++ b/docs/SMA.md @@ -1,39 +1,39 @@ -![Alt text](./img/SMA_chart.svg) -# SMA: Simple Moving Average -SMA is one of the most basic trend-following indicators used in Technical Analysis. It is calculated as the *unweighted mean* of the previous $p$ (period) data-points. - - -## Calculation - -SMA is a rolling calculation looking backwards from the position ${n}$ and is denoted as ${SMA}_{p}{(data)}$ where $p$ represents the period and $data$ represents the list of data points: -$$ -SMA_p{(data)} = \frac{1}{p}\sum_{i=n-p+1}^{n} data_i -$$ -When calculating the value of next $SMA_{p,next}$ while knowing all previous SMA values, SMA calculation can be reduced to: -$$ -SMA_{p,next} = SMA_{p,prev}+\frac{1}{p}\left( data_{n+1}-data_{n+1-p}\right) -$$ - -## Implementation - -``` csharp -SMA_Series mean = new(source: data, period: p, useNaN: false); -``` - -- `TSeries source` - List of value tuples (DateTime, double) -- `int period` - Integer representing the period of SMA -- `bool useNaN` - if true, initial values from 1 to period-1 will be replaced with NaN. If false, the initial calculation will return values for SMA(length) instead of SMA(period) - -## Comparison & Validation - -Validation tests -Performance tests - -## Visual analysis - - - - - -## References +![Alt text](./img/SMA_chart.svg) +# SMA: Simple Moving Average +SMA is one of the most basic trend-following indicators used in Technical Analysis. It is calculated as the *unweighted mean* of the previous $p$ (period) data-points. + + +## Calculation + +SMA is a rolling calculation looking backwards from the position ${n}$ and is denoted as ${SMA}_{p}{(data)}$ where $p$ represents the period and $data$ represents the list of data points: +$$ +SMA_p{(data)} = \frac{1}{p}\sum_{i=n-p+1}^{n} data_i +$$ +When calculating the value of next $SMA_{p,next}$ while knowing all previous SMA values, SMA calculation can be reduced to: +$$ +SMA_{p,next} = SMA_{p,prev}+\frac{1}{p}\left( data_{n+1}-data_{n+1-p}\right) +$$ + +## Implementation + +``` csharp +SMA_Series mean = new(source: data, period: p, useNaN: false); +``` + +- `TSeries source` - List of value tuples (DateTime, double) +- `int period` - Integer representing the period of SMA +- `bool useNaN` - if true, initial values from 1 to period-1 will be replaced with NaN. If false, the initial calculation will return values for SMA(length) instead of SMA(period) + +## Comparison & Validation + +Validation tests +Performance tests + +## Visual analysis + + + + + +## References - https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/simple-moving-average-sma/ \ No newline at end of file diff --git a/docs/_sidebar.md b/docs/_sidebar.md index a61da47f..1b76dc91 100644 --- a/docs/_sidebar.md +++ b/docs/_sidebar.md @@ -1,13 +1,13 @@ -* [Home](/) - -* [Indicators](indicators.md "Indocators coverage") - - * [SMA - Simple Moving Average](SMA.md "SMA - Simple Moving Average") - * [WMA - Weighted Moving Average](WMA.md "WMA - Weighted Moving Average") - * [EMA - Exponential Moving Average](EMA.md "EMA - Exponential Moving Average") - * [DEMA - Double Exponential Moving Average](DEMA.md "DEMA - Double Exponential Moving Average") - * [TEMA - Triple Exponential Moving Average](TEMA.md "TEMA - Triple Exponential Moving Average") - * [HMA - Hull Moving Average](HMA.md "HMA - Hull Moving Average") - * [ZLEMA - Zero-Lag Exponential Moving Average](ZLEMA.md "ZLEMA - Zero-Lag Exponential Moving Average") - * [KAMA - Kaufman Adaptive Moving Average](KAMA.md "KAMA - Kaufman Adaptive Moving Average") +* [Home](/) + +* [Indicators](indicators.md "Indocators coverage") + + * [SMA - Simple Moving Average](SMA.md "SMA - Simple Moving Average") + * [WMA - Weighted Moving Average](WMA.md "WMA - Weighted Moving Average") + * [EMA - Exponential Moving Average](EMA.md "EMA - Exponential Moving Average") + * [DEMA - Double Exponential Moving Average](DEMA.md "DEMA - Double Exponential Moving Average") + * [TEMA - Triple Exponential Moving Average](TEMA.md "TEMA - Triple Exponential Moving Average") + * [HMA - Hull Moving Average](HMA.md "HMA - Hull Moving Average") + * [ZLEMA - Zero-Lag Exponential Moving Average](ZLEMA.md "ZLEMA - Zero-Lag Exponential Moving Average") + * [KAMA - Kaufman Adaptive Moving Average](KAMA.md "KAMA - Kaufman Adaptive Moving Average") * [MAMA - Mesa Adaptive Moving Average](MAMA.md "MAMA - Mesa Adaptive Moving Average") \ No newline at end of file diff --git a/docs/getting_started.ipynb b/docs/getting_started.ipynb index bf8c469c..f8700ccb 100644 --- a/docs/getting_started.ipynb +++ b/docs/getting_started.ipynb @@ -1,272 +1,272 @@ -{ - "cells": [ - { - "cell_type": "markdown", - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "polyglot_notebook": { - "kernelName": "csharp" - } - }, - "source": [ - "# Quick Start\n", - "\n", - "In order to use this .NET Interactive Notebook and play along with QuanTAlib (outside of making your own app or plugging QuanTAlib into Quantower platform), you will need:\n", - "\n", - "- Installed Visual Studio Code\n", - "- Installed .NET 6 SDK\n", - "- Installed .NET Interactive Notebooks extension\n", - "\n", - "**For impatient**, here is a simple example of calculating three moving averages - SMA(data), EMA(SMA(data)) and WMA(EMA(SMA(data))) from 10 days of AAPL stock data using QuanTAlib:" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "vscode": { - "languageId": "polyglot-notebook" - } - }, - "outputs": [], - "source": [ - "#r \"nuget:QuanTAlib;\"\n", - "using QuanTAlib;\n", - "\n", - "Yahoo_Feed aapl = new(\"AAPL\", 10);\n", - "TSeries data = aapl.Close;\n", - "SMA_Series sma = new(source: data, period: 5, useNaN: false);\n", - "EMA_Series ema = new(sma, period: 5); // by default, indicators expose all data, no NaN values\n", - "WMA_Series wma = new(ema, 5, useNaN: true); // for the final calculation we can hide early data with NaNs\n", - "\n", - "Console.Write($\"index\\t data\\t\\t sma(data)\\t ema(sma(data))\\t wma(ema(sma(data)))\\n\");\n", - "for (int i=0; iVisual Studio Code\n", + "- Installed .NET 6 SDK\n", + "- Installed .NET Interactive Notebooks extension\n", + "\n", + "**For impatient**, here is a simple example of calculating three moving averages - SMA(data), EMA(SMA(data)) and WMA(EMA(SMA(data))) from 10 days of AAPL stock data using QuanTAlib:" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "vscode": { + "languageId": "polyglot-notebook" + } + }, + "outputs": [], + "source": [ + "#r \"nuget:QuanTAlib;\"\n", + "using QuanTAlib;\n", + "\n", + "Yahoo_Feed aapl = new(\"AAPL\", 10);\n", + "TSeries data = aapl.Close;\n", + "SMA_Series sma = new(source: data, period: 5, useNaN: false);\n", + "EMA_Series ema = new(sma, period: 5); // by default, indicators expose all data, no NaN values\n", + "WMA_Series wma = new(ema, 5, useNaN: true); // for the final calculation we can hide early data with NaNs\n", + "\n", + "Console.Write($\"index\\t data\\t\\t sma(data)\\t ema(sma(data))\\t wma(ema(sma(data)))\\n\");\n", + "for (int i=0; i
" - ] - }, - "metadata": {}, - "output_type": "display_data" - }, - { - "data": { - "text/plain": [ - "Loading extensions from `C:\\Users\\miha\\.nuget\\packages\\plotly.net.interactive\\3.0.2\\interactive-extensions\\dotnet\\Plotly.NET.Interactive.dll`" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "//#r \"nuget: QuanTAlib;\"\n", - "\n", - "#r \"nuget: Plotly.NET;\"\n", - "#r \"nuget: Plotly.NET.Interactive;\"\n", - "#r \"nuget: Plotly.NET.ImageExport;\"\n", - "#r \"..\\..\\Source\\bin\\Debug\\net6.0\\QuanTAlib.dll\"\n", - "\n", - "using QuanTAlib;\n", - "using Plotly.NET;\n", - "using Plotly.NET.LayoutObjects;\n", - "using Plotly.NET.ImageExport;" - ] - }, - { - "cell_type": "code", - "execution_count": 2, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "polyglot_notebook": { - "kernelName": "csharp" - } - }, - "outputs": [], - "source": [ - "TSeries d1a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", - "TSeries d2a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1};\n", - "TSeries d3a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", - "TSeries d4a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2};\n", - "TSeries d5a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.32,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74};\n", - 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"TSeries d9a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61};\n", - "TSeries d10a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06};\n", - "TSeries d11a = new() {-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86};\n", - "TSeries d12a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71};\n", - "TSeries d13a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3};\n", - "TSeries d14a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35};\n", - "TSeries d15a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58};\n", - "TSeries d16a = new() {175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83};" - ] - }, - { - "cell_type": "code", - "execution_count": 3, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "polyglot_notebook": { - "kernelName": "csharp" - } - }, - "outputs": [], - "source": [ - "int period = 10;\n", - "int cut = 26;\n", - "\n", - "EMA_Series d1b = new(d1a, period);\n", - "EMA_Series d2b = new(d2a, period);\n", - "EMA_Series d3b = new(d3a, period);\n", - "EMA_Series d4b = new(d4a, period);\n", - "EMA_Series d5b = new(d5a, period);\n", - "EMA_Series d6b = new(d6a, period);\n", - "EMA_Series d7b = new(d7a, period);\n", - "EMA_Series d8b = new(d8a, period);\n", - "EMA_Series d9b = new(d9a, period);\n", - "EMA_Series d10b = new(d10a, period);\n", - "EMA_Series d11b = new(d11a, period);\n", - "EMA_Series d12b = new(d12a, period);\n", - "EMA_Series d13b = new(d13a, period);\n", - "EMA_Series d14b = new(d14a, period);\n", - "EMA_Series d15b = new(d15a, period);\n", - "EMA_Series d16b = new(d16a, period);\n", - "\n", - "List x = Enumerable.Range(-cut,96).ToList();\n", - "GenericChart.GenericChart ch1a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch1b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch2a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch2b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch3a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch3b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch4a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch4b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch5a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch5b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch6a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch6b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch7a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch7b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch8a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch8b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch9a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch9b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch10a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch10b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch11a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch11b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch12a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch12b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch13a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch13b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch14a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch14b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch15a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch15b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch16a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch16b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "\n", - "var ch1 = Chart.Combine(new []{ch1a,ch1b});\n", - "var ch2 = Chart.Combine(new []{ch2a,ch2b});\n", - "var ch3 = Chart.Combine(new []{ch3a,ch3b});\n", - "var ch4 = Chart.Combine(new []{ch4a,ch4b});\n", - "var ch5 = Chart.Combine(new []{ch5a,ch5b});\n", - "var ch6 = Chart.Combine(new []{ch6a,ch6b});\n", - "var ch7 = Chart.Combine(new []{ch7a,ch7b});\n", - "var ch8 = Chart.Combine(new []{ch8a,ch8b});\n", - "var ch9 = Chart.Combine(new []{ch9a,ch9b});\n", - "var ch10 = Chart.Combine(new []{ch10a,ch10b});\n", - "var ch11 = Chart.Combine(new []{ch11a,ch11b});\n", - "var ch12 = Chart.Combine(new []{ch12a,ch12b});\n", - "var ch13 = Chart.Combine(new []{ch13a,ch13b});\n", - "var ch14 = Chart.Combine(new []{ch14a,ch14b});\n", - "var ch15 = Chart.Combine(new []{ch15a,ch15b});\n", - "var ch16 = Chart.Combine(new []{ch16a,ch16b});\n", - "\n", - "Layout layout = new Layout(); layout.SetValue(\"showlegend\",false);\n", - "var chart1 = new []{ch1,ch2,ch3,ch4,ch5,ch6,ch7,ch8,ch9,ch10,ch11,ch12,ch13,ch14,ch15,ch16};\n", - "var full = Chart.Grid>(8,2).Invoke(chart1).WithSize(1000,2200).WithMargin(Margin.init(30,20,20,30,7,false)).WithLayout(layout);\n", - "full.SaveSVG(\"EMA_chart\", Width: 1000, Height: 2200);" - ] - } - ], - "metadata": { - "kernelspec": { - "display_name": ".NET (C#)", - "language": "C#", - "name": ".net-csharp" - }, - "polyglot_notebook": { - "kernelInfo": { - "defaultKernelName": "csharp", - "items": [ - { - "aliases": [ - "c#", - "C#" - ], - "languageName": "C#", - "name": "csharp" - }, - { - "aliases": [], - "name": ".NET" - }, - { - "aliases": [ - "f#", - "F#" - ], - "languageName": "F#", - "name": "fsharp" - }, - { - "aliases": [], - "languageName": "HTML", - "name": "html" - }, - { - "aliases": [], - "languageName": "KQL", - "name": "kql" - }, - { - "aliases": [], - "languageName": "Mermaid", - "name": "mermaid" - }, - { - "aliases": [ - "powershell" - ], - "languageName": "PowerShell", - "name": "pwsh" - }, - { - "aliases": [], - "languageName": "SQL", - "name": "sql" - }, - { - "aliases": [], - "name": "value" - }, - { - "aliases": [ - "frontend" - ], - "name": "vscode" - }, - { - "aliases": [ - "js" - ], - "languageName": "JavaScript", - "name": "javascript" - }, - { - "aliases": [], - "name": "webview" - } - ] - } - } - }, - "nbformat": 4, - "nbformat_minor": 2 -} +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 1, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + } + }, + "outputs": [ + { + "data": { + "text/html": [ + "
" + ] + }, + "metadata": {}, + "output_type": "display_data" + }, + { + "data": { + "text/plain": [ + "Loading extensions from `C:\\Users\\miha\\.nuget\\packages\\plotly.net.interactive\\3.0.2\\interactive-extensions\\dotnet\\Plotly.NET.Interactive.dll`" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "//#r \"nuget: QuanTAlib;\"\n", + "\n", + "#r \"nuget: Plotly.NET;\"\n", + "#r \"nuget: Plotly.NET.Interactive;\"\n", + "#r \"nuget: Plotly.NET.ImageExport;\"\n", + "#r \"..\\..\\Source\\bin\\Debug\\net6.0\\QuanTAlib.dll\"\n", + "\n", + "using QuanTAlib;\n", + "using Plotly.NET;\n", + "using Plotly.NET.LayoutObjects;\n", + "using Plotly.NET.ImageExport;" + ] + }, + { + "cell_type": "code", + "execution_count": 2, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "polyglot_notebook": { + "kernelName": "csharp" + } + }, + "outputs": [], + "source": [ + "TSeries d1a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", + "TSeries d2a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1};\n", + "TSeries d3a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", + "TSeries d4a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2};\n", + "TSeries d5a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.32,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74};\n", + "TSeries d6a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1};\n", + "TSeries d7a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97};\n", + "TSeries d8a = new() 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{-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61};\n", + "TSeries d10a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06};\n", + "TSeries d11a = new() {-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86};\n", + "TSeries d12a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71};\n", + "TSeries d13a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3};\n", + "TSeries d14a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35};\n", + "TSeries d15a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58};\n", + "TSeries d16a = new() {175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83};" + ] + }, + { + "cell_type": "code", + "execution_count": 3, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "polyglot_notebook": { + "kernelName": "csharp" + } + }, + "outputs": [], + "source": [ + "int period = 10;\n", + "int cut = 26;\n", + "\n", + "EMA_Series d1b = new(d1a, period);\n", + "EMA_Series d2b = new(d2a, period);\n", + "EMA_Series d3b = new(d3a, period);\n", + "EMA_Series d4b = new(d4a, period);\n", + "EMA_Series d5b = new(d5a, period);\n", + "EMA_Series d6b = new(d6a, period);\n", + "EMA_Series d7b = new(d7a, period);\n", + "EMA_Series d8b = new(d8a, period);\n", + "EMA_Series d9b = new(d9a, period);\n", + "EMA_Series d10b = new(d10a, period);\n", + "EMA_Series d11b = new(d11a, period);\n", + "EMA_Series d12b = new(d12a, period);\n", + "EMA_Series d13b = new(d13a, period);\n", + "EMA_Series d14b = new(d14a, period);\n", + "EMA_Series d15b = new(d15a, period);\n", + "EMA_Series d16b = new(d16a, period);\n", + "\n", + "List x = Enumerable.Range(-cut,96).ToList();\n", + "GenericChart.GenericChart ch1a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch1b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch2a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch2b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch3a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch3b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch4a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch4b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch5a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch5b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch6a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch6b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch7a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch7b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch8a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch8b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch9a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch9b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch10a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch10b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch11a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch11b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch12a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch12b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch13a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch13b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch14a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch14b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch15a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch15b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch16a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch16b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "\n", + "var ch1 = Chart.Combine(new []{ch1a,ch1b});\n", + "var ch2 = Chart.Combine(new []{ch2a,ch2b});\n", + "var ch3 = Chart.Combine(new []{ch3a,ch3b});\n", + "var ch4 = Chart.Combine(new []{ch4a,ch4b});\n", + "var ch5 = Chart.Combine(new []{ch5a,ch5b});\n", + "var ch6 = Chart.Combine(new []{ch6a,ch6b});\n", + "var ch7 = Chart.Combine(new []{ch7a,ch7b});\n", + "var ch8 = Chart.Combine(new []{ch8a,ch8b});\n", + "var ch9 = Chart.Combine(new []{ch9a,ch9b});\n", + "var ch10 = Chart.Combine(new []{ch10a,ch10b});\n", + "var ch11 = Chart.Combine(new []{ch11a,ch11b});\n", + "var ch12 = Chart.Combine(new []{ch12a,ch12b});\n", + "var ch13 = Chart.Combine(new []{ch13a,ch13b});\n", + "var ch14 = Chart.Combine(new []{ch14a,ch14b});\n", + "var ch15 = Chart.Combine(new []{ch15a,ch15b});\n", + "var ch16 = Chart.Combine(new []{ch16a,ch16b});\n", + "\n", + "Layout layout = new Layout(); layout.SetValue(\"showlegend\",false);\n", + "var chart1 = new []{ch1,ch2,ch3,ch4,ch5,ch6,ch7,ch8,ch9,ch10,ch11,ch12,ch13,ch14,ch15,ch16};\n", + "var full = Chart.Grid>(8,2).Invoke(chart1).WithSize(1000,2200).WithMargin(Margin.init(30,20,20,30,7,false)).WithLayout(layout);\n", + "full.SaveSVG(\"EMA_chart\", Width: 1000, Height: 2200);" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": ".NET (C#)", + "language": "C#", + "name": ".net-csharp" + }, + "polyglot_notebook": { + "kernelInfo": { + "defaultKernelName": "csharp", + "items": [ + { + "aliases": [ + "c#", + "C#" + ], + "languageName": "C#", + "name": "csharp" + }, + { + "aliases": [], + "name": ".NET" + }, + { + "aliases": [ + "f#", + "F#" + ], + "languageName": "F#", + "name": "fsharp" + }, + { + "aliases": [], + "languageName": "HTML", + "name": "html" + }, + { + "aliases": [], + "languageName": "KQL", + "name": "kql" + }, + { + "aliases": [], + "languageName": "Mermaid", + "name": "mermaid" + }, + { + "aliases": [ + "powershell" + ], + "languageName": "PowerShell", + "name": "pwsh" + }, + { + "aliases": [], + "languageName": "SQL", + "name": "sql" + }, + { + "aliases": [], + "name": "value" + }, + { + "aliases": [ + "frontend" + ], + "name": "vscode" + }, + { + "aliases": [ + "js" + ], + "languageName": "JavaScript", + "name": "javascript" + }, + { + "aliases": [], + "name": "webview" + } + ] + } + } + }, + "nbformat": 4, + "nbformat_minor": 2 +} diff --git a/docs/img/SMA_chart.ipynb b/docs/img/SMA_chart.ipynb index 3f10a68a..5d631e45 100644 --- a/docs/img/SMA_chart.ipynb +++ b/docs/img/SMA_chart.ipynb @@ -1,242 +1,242 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": 5, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - } - }, - "outputs": [ - { - "data": { - "text/html": [ - "
" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "//#r \"nuget: QuanTAlib;\"\n", - "\n", - "#r \"nuget: Plotly.NET;\"\n", - "#r \"nuget: Plotly.NET.Interactive;\"\n", - "#r \"nuget: Plotly.NET.ImageExport;\"\n", - "#r \"..\\..\\Source\\bin\\Debug\\net6.0\\QuanTAlib.dll\"\n", - "\n", - "using QuanTAlib;\n", - "using Plotly.NET;\n", - "using Plotly.NET.LayoutObjects;\n", - "using Plotly.NET.ImageExport;" - ] - }, - { - "cell_type": "code", - "execution_count": 6, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "polyglot_notebook": { - "kernelName": "csharp" - } - }, - "outputs": [], - "source": [ - "TSeries d1a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", - "TSeries d2a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1};\n", - "TSeries d3a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", - "TSeries d4a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2};\n", - "TSeries d5a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.32,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74};\n", - "TSeries d6a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1};\n", - "TSeries d7a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97};\n", - "TSeries d8a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09};\n", - "TSeries d9a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61};\n", - "TSeries d10a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06};\n", - "TSeries d11a = new() {-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86};\n", - "TSeries d12a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71};\n", - "TSeries d13a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3};\n", - "TSeries d14a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35};\n", - "TSeries d15a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58};\n", - "TSeries d16a = new() {175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83};" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": { - "dotnet_interactive": { - "language": "csharp" - }, - "polyglot_notebook": { - "kernelName": "csharp" - } - }, - "outputs": [], - "source": [ - "int period = 10;\n", - "int cut = 26;\n", - "\n", - "SMA_Series d1b = new(d1a, period);\n", - "SMA_Series d2b = new(d2a, period);\n", - "SMA_Series d3b = new(d3a, period);\n", - "SMA_Series d4b = new(d4a, period);\n", - "SMA_Series d5b = new(d5a, period);\n", - "SMA_Series d6b = new(d6a, period);\n", - "SMA_Series d7b = new(d7a, period);\n", - "SMA_Series d8b = new(d8a, period);\n", - "SMA_Series d9b = new(d9a, period);\n", - "SMA_Series d10b = new(d10a, period);\n", - "SMA_Series d11b = new(d11a, period);\n", - "SMA_Series d12b = new(d12a, period);\n", - "SMA_Series d13b = new(d13a, period);\n", - "SMA_Series d14b = new(d14a, period);\n", - "SMA_Series d15b = new(d15a, period);\n", - "SMA_Series d16b = new(d16a, period);\n", - "\n", - "List x = Enumerable.Range(-cut,96).ToList();\n", - "GenericChart.GenericChart ch1a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch1b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch2a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch2b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch3a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch3b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch4a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch4b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch5a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch5b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch6a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch6b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch7a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch7b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch8a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch8b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch9a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch9b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch10a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch10b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch11a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch11b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch12a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch12b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch13a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch13b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch14a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch14b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch15a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch15b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "GenericChart.GenericChart ch16a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", - "GenericChart.GenericChart ch16b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", - "\n", - "var ch1 = Chart.Combine(new []{ch1a,ch1b});\n", - "var ch2 = Chart.Combine(new []{ch2a,ch2b});\n", - "var ch3 = Chart.Combine(new []{ch3a,ch3b});\n", - "var ch4 = Chart.Combine(new []{ch4a,ch4b});\n", - "var ch5 = Chart.Combine(new []{ch5a,ch5b});\n", - "var ch6 = Chart.Combine(new []{ch6a,ch6b});\n", - "var ch7 = Chart.Combine(new []{ch7a,ch7b});\n", - "var ch8 = Chart.Combine(new []{ch8a,ch8b});\n", - "var ch9 = Chart.Combine(new []{ch9a,ch9b});\n", - "var ch10 = Chart.Combine(new []{ch10a,ch10b});\n", - "var ch11 = Chart.Combine(new []{ch11a,ch11b});\n", - "var ch12 = Chart.Combine(new []{ch12a,ch12b});\n", - "var ch13 = Chart.Combine(new []{ch13a,ch13b});\n", - "var ch14 = Chart.Combine(new []{ch14a,ch14b});\n", - "var ch15 = Chart.Combine(new []{ch15a,ch15b});\n", - "var ch16 = Chart.Combine(new []{ch16a,ch16b});\n", - "\n", - "Layout layout = new Layout(); layout.SetValue(\"showlegend\",false);\n", - "var chart1 = new []{ch1,ch2,ch3,ch4,ch5,ch6,ch7,ch8,ch9,ch10,ch11,ch12,ch13,ch14,ch15,ch16};\n", - "var full = Chart.Grid>(8,2).Invoke(chart1).WithSize(1000,2200).WithMargin(Margin.init(30,20,20,30,7,false)).WithLayout(layout);\n", - "full.SaveSVG(\"SMA_chart\", Width: 1000, Height: 2200);" - ] - } - ], - "metadata": { - "kernelspec": { - "display_name": ".NET (C#)", - "language": "C#", - "name": ".net-csharp" - }, - "polyglot_notebook": { - "kernelInfo": { - "defaultKernelName": "csharp", - "items": [ - { - "aliases": [ - "c#", - "C#" - ], - "languageName": "C#", - "name": "csharp" - }, - { - "aliases": [], - "name": ".NET" - }, - { - "aliases": [ - "f#", - "F#" - ], - "languageName": "F#", - "name": "fsharp" - }, - { - "aliases": [], - "languageName": "HTML", - "name": "html" - }, - { - "aliases": [], - "languageName": "KQL", - "name": "kql" - }, - { - "aliases": [], - "languageName": "Mermaid", - "name": "mermaid" - }, - { - "aliases": [ - "powershell" - ], - "languageName": "PowerShell", - "name": "pwsh" - }, - { - "aliases": [], - "languageName": "SQL", - "name": "sql" - }, - { - "aliases": [], - "name": "value" - }, - { - "aliases": [ - "frontend" - ], - "name": "vscode" - }, - { - "aliases": [ - "js" - ], - "languageName": "JavaScript", - "name": "javascript" - }, - { - "aliases": [], - "name": "webview" - } - ] - } - } - }, - "nbformat": 4, - "nbformat_minor": 2 -} +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 5, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + } + }, + "outputs": [ + { + "data": { + "text/html": [ + "
" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "//#r \"nuget: QuanTAlib;\"\n", + "\n", + "#r \"nuget: Plotly.NET;\"\n", + "#r \"nuget: Plotly.NET.Interactive;\"\n", + "#r \"nuget: Plotly.NET.ImageExport;\"\n", + "#r \"..\\..\\Source\\bin\\Debug\\net6.0\\QuanTAlib.dll\"\n", + "\n", + "using QuanTAlib;\n", + "using Plotly.NET;\n", + "using Plotly.NET.LayoutObjects;\n", + "using Plotly.NET.ImageExport;" + ] + }, + { + "cell_type": "code", + "execution_count": 6, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "polyglot_notebook": { + "kernelName": "csharp" + } + }, + "outputs": [], + "source": [ + "TSeries d1a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", + "TSeries d2a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1};\n", + "TSeries d3a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0};\n", + "TSeries d4a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,33,32,31,30,29,28,27,26,25,24,23,22,21,20,19,18,17,16,15,14,13,12,11,10,9,8,7,6,5,4,3,2};\n", + "TSeries d5a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.32,0.56,0.72,0.84,0.93,0.99,1,0.97,0.91,0.81,0.68,0.52,0.33,0.14,-0.06,-0.26,-0.44,-0.61,-0.76,-0.87,-0.95,-0.99,-1,-0.96,-0.88,-0.77,-0.63,-0.46,-0.28,-0.08,0.12,0.31,0.49,0.66,0.79,0.9,0.97,1,0.99,0.94,0.85,0.73,0.58,0.41,0.22,0.02,-0.17,-0.37,-0.54,-0.7,-0.83,-0.92,-0.98,-1,-0.98,-0.92,-0.82,-0.69,-0.54,-0.36,-0.17,0.03,0.23,0.42,0.59,0.74};\n", + "TSeries d6a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1,1,1,1,1,1};\n", + "TSeries d7a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0.93,0.27,-0.59,-1,-0.71,0.05,0.75,1,0.67,0,-0.67,-0.99,-0.85,-0.34,0.31,0.81,1,0.82,0.35,-0.22,-0.71,-0.98,-0.95,-0.66,-0.2,0.31,0.72,0.96,0.98,0.78,0.43,-0.01,-0.43,-0.77,-0.96,-0.99,-0.85,-0.58,-0.23,0.16,0.51,0.79,0.95,1,0.92,0.73,0.47,0.15,-0.17,-0.47,-0.72,-0.9,-0.99,-0.99,-0.9,-0.74,-0.52,-0.26,0.01,0.28,0.53,0.73,0.88,0.97,1,0.97};\n", + "TSeries d8a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0.03,-0.4,-0.47,0.19,-0.4,-0.23,0.31,0.41,0.19,0.16,-0.5,-0.31,-0.21,0.25,0.18,-0.48,-0.1,0.38,0.29,-0.38,-0.08,-0.21,0.34,0.01,-0.46,0.28,-0.48,0.11,0.02,-0.37,0.19,-0.2,0.1,0.24,0.08,-0.22,-0.12,0.15,0.36,-0.43,-0.03,-0.32,0.45,-0.5,-0.04,-0.04,-0.08,-0.18,0.13,-0.33,-0.19,0.36,-0.39,0.2,-0.31,0.28,-0.13,-0.07,-0.29,0.37,0.03,-0.25,-0.06,-0.3,-0.08,-0.09};\n", + "TSeries d9a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,0,0.03,0.11,-0.1,-0.43,-0.08,0.36,-0.04,-0.04,-0.21,-0.3,0.26,0.2,0.28,0.2,0.27,-0.01,-0.1,-0.23,-0.13,-0.41,-0.23,-0.07,-0.21,0.32,-0.18,-0.48,0.3,0.46,-0.2,0.52,-0.81,-0.25,-0.21,-0.12,-0.18,0.18,0.52,0.29,0.44,0.18,-1.2,0.38,0.24,0.06,0.28,0.34,0.3,-0.13,0.19,-0.5,0.59,-0.36,0.22,-0.23,0.24,0.39,0.13,-0.33,-0.57,-0.23,0.49,-0.13,0.76,0.59,0.61};\n", + "TSeries d10a = new() {-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0.4,-0.4,0,-0.28,0.41,-0.54,0.65,-0.75,0.84,-0.91,0.96,-0.99,1,-0.99,0.96,-0.92,0.85,-0.77,0.67,-0.56,0.44,-0.3,0.17,-0.03,-0.11,0.25,-0.39,0.51,-0.63,0.73,-0.82,0.89,-0.95,0.98,-1,0.99,-0.97,0.93,-0.86,0.78,-0.69,0.58,-0.46,0.33,-0.19,0.05,0.09,-0.23,0.36,-0.49,0.61,-0.71,0.81,-0.88,0.94,-0.98,1,-1,0.98,-0.94,0.88,-0.8,0.71,-0.6,0.48,-0.35,0.22,-0.08,-0.06};\n", + "TSeries d11a = new() {-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,-0.6,0.6,0,0.14,-0.76,-0.96,-0.28,0.66,0.99,0.41,-0.54,-1,-0.54,0.42,0.99,0.65,-0.29,-0.96,-0.75,0.15,0.91,0.84,-0.01,-0.85,-0.91,-0.13,0.76,0.96,0.27,-0.66,-0.99,-0.4,0.55,1,0.53,-0.43,-0.99,-0.64,0.3,0.96,0.75,-0.16,-0.92,-0.83,0.02,0.85,0.9,0.12,-0.77,-0.95,-0.26,0.67,0.99,0.4,-0.56,-1,-0.52,0.44,0.99,0.64,-0.3,-0.97,-0.74,0.17,0.92,0.83,-0.03,-0.86};\n", + "TSeries d12a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.05,-0.25,-0.32,-0.09,0.22,0.33,0.14,-0.18,-0.33,-0.18,0.14,0.33,0.22,-0.1,-0.32,-0.25,0.05,0.3,0.28,0,-0.28,-0.3,-0.04,0.25,0.32,0.09,-0.22,-0.33,-0.13,0.18,0.33,0.18,0.86,0.67,0.79,1.1,1.32,1.25,0.95,0.69,0.72,1.01,1.28,1.3,1.04,0.74,0.68,0.91,1.22,1.33,1.13,0.81,0.67,0.83,1.15,1.33,1.21,0.9,0.68,0.75,1.06,1.31,1.28,0.99,0.71};\n", + "TSeries d13a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,2.7,-0.8,-0.8,3.6,9.3,11.95,10.05,6.3,5,8.3,14.1,17.95,17.25,13.55,11.2,13.25,18.75,23.55,24.2,20.95,17.75,18.45,23.35,28.8,30.8,28.35,24.7,24.05,28,33.75,37,35.65,31.85,28.05,-3.2,1.5,4.8,3.75,-0.8,-4.6,-4.15,0.1,4.25,4.5,0.6,-3.85,-4.75,-1.3,3.35,4.95,2,-2.8,-5,-2.6,2.2,4.95,3.2,-1.5,-4.85,-3.7,0.85,4.6,4.15,-0.15,-4.3};\n", + "TSeries d14a = new() {-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0.2,-0.2,0,0,0.59,0.83,0.74,0.5,0.91,1.36,0.93,0.87,0.6,0.38,0.78,0.53,0.42,0.14,0.01,-0.45,-0.71,-0.99,-1,-1.36,-1.22,-1.07,-1.17,-0.56,-0.95,-1.11,-0.16,0.18,-0.28,0.64,-0.5,0.24,0.45,0.67,0.72,1.15,1.52,1.28,1.38,1.03,-0.47,0.96,0.65,0.28,0.3,0.17,-0.07,-0.67,-0.51,-1.33,-0.33,-1.34,-0.78,-1.21,-0.68,-0.43,-0.56,-0.87,-0.93,-0.4,0.52,0.1,1.18,1.18,1.35};\n", + "TSeries d15a = new() {0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,0,0.01,1.3,0.3,-0.48,-1.1,-1.14,-0.03,1.11,0.96,0.63,-0.21,-0.97,-0.73,-0.65,-0.06,0.51,1.08,0.99,0.72,0.12,-0.35,-1.12,-1.21,-1.02,-0.87,0.12,0.13,0.24,1.26,1.44,0.58,0.95,-0.82,-0.68,-0.98,-1.08,-1.17,-0.67,-0.06,0.06,0.6,0.69,-0.41,1.33,1.24,0.98,1.01,0.81,0.45,-0.3,-0.28,-1.22,-0.31,-1.35,-0.77,-1.13,-0.5,-0.13,-0.13,-0.32,-0.29,0.3,1.22,0.75,1.73,1.59,1.58};\n", + "TSeries d16a = new() {175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.1,175.6,175.44,176.27,176.04,176.99,175.49,175.68,174.34,176.4,174.05,174.4,174.2,176.16,175,177.72,174.33,176.96,174.62,174.76,170.9,171.12,171.05,170.01,169.24,172.64,171.96,175.72,174.16,175.81,177.3,178.38,176.75,177.19,175.55,178.49,176.52,178.45,178.04,178.25,177.8,176.97,172.94,174.92,173.98,172.29,171.19,172.54,172.11,175.32,175.63,176.65,173.8,176.04,172.74,175.24,171.84,171.54,172.17,171.85,172.38,170.78,173.49,173.69,171.71,174.38,173.99,174.83};" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "polyglot_notebook": { + "kernelName": "csharp" + } + }, + "outputs": [], + "source": [ + "int period = 10;\n", + "int cut = 26;\n", + "\n", + "SMA_Series d1b = new(d1a, period);\n", + "SMA_Series d2b = new(d2a, period);\n", + "SMA_Series d3b = new(d3a, period);\n", + "SMA_Series d4b = new(d4a, period);\n", + "SMA_Series d5b = new(d5a, period);\n", + "SMA_Series d6b = new(d6a, period);\n", + "SMA_Series d7b = new(d7a, period);\n", + "SMA_Series d8b = new(d8a, period);\n", + "SMA_Series d9b = new(d9a, period);\n", + "SMA_Series d10b = new(d10a, period);\n", + "SMA_Series d11b = new(d11a, period);\n", + "SMA_Series d12b = new(d12a, period);\n", + "SMA_Series d13b = new(d13a, period);\n", + "SMA_Series d14b = new(d14a, period);\n", + "SMA_Series d15b = new(d15a, period);\n", + "SMA_Series d16b = new(d16a, period);\n", + "\n", + "List x = Enumerable.Range(-cut,96).ToList();\n", + "GenericChart.GenericChart ch1a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch1b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d1b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch2a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch2b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d2b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch3a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch3b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d3b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch4a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch4b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d4b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch5a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch5b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d5b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch6a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch6b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d6b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch7a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch7b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d7b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch8a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch8b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d8b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch9a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch9b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d9b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch10a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch10b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d10b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch11a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch11b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d11b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch12a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch12b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d12b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch13a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch13b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d13b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch14a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch14b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d14b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch15a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch15b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d15b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "GenericChart.GenericChart ch16a = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16a.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 1.0, Color: Color.fromString(\"blue\"));\n", + "GenericChart.GenericChart ch16b = Chart2D.Chart.Line(x.GetRange(cut,96-cut),d16b.v.GetRange(cut,96-cut),false,\"\").WithLineStyle(Width: 2.5, Color: Color.fromString(\"red\"));\n", + "\n", + "var ch1 = Chart.Combine(new []{ch1a,ch1b});\n", + "var ch2 = Chart.Combine(new []{ch2a,ch2b});\n", + "var ch3 = Chart.Combine(new []{ch3a,ch3b});\n", + "var ch4 = Chart.Combine(new []{ch4a,ch4b});\n", + "var ch5 = Chart.Combine(new []{ch5a,ch5b});\n", + "var ch6 = Chart.Combine(new []{ch6a,ch6b});\n", + "var ch7 = Chart.Combine(new []{ch7a,ch7b});\n", + "var ch8 = Chart.Combine(new []{ch8a,ch8b});\n", + "var ch9 = Chart.Combine(new []{ch9a,ch9b});\n", + "var ch10 = Chart.Combine(new []{ch10a,ch10b});\n", + "var ch11 = Chart.Combine(new []{ch11a,ch11b});\n", + "var ch12 = Chart.Combine(new []{ch12a,ch12b});\n", + "var ch13 = Chart.Combine(new []{ch13a,ch13b});\n", + "var ch14 = Chart.Combine(new []{ch14a,ch14b});\n", + "var ch15 = Chart.Combine(new []{ch15a,ch15b});\n", + "var ch16 = Chart.Combine(new []{ch16a,ch16b});\n", + "\n", + "Layout layout = new Layout(); layout.SetValue(\"showlegend\",false);\n", + "var chart1 = new []{ch1,ch2,ch3,ch4,ch5,ch6,ch7,ch8,ch9,ch10,ch11,ch12,ch13,ch14,ch15,ch16};\n", + "var full = Chart.Grid>(8,2).Invoke(chart1).WithSize(1000,2200).WithMargin(Margin.init(30,20,20,30,7,false)).WithLayout(layout);\n", + "full.SaveSVG(\"SMA_chart\", Width: 1000, Height: 2200);" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": ".NET (C#)", + "language": "C#", + "name": ".net-csharp" + }, + "polyglot_notebook": { + "kernelInfo": { + "defaultKernelName": "csharp", + "items": [ + { + "aliases": [ + "c#", + "C#" + ], + "languageName": "C#", + "name": "csharp" + }, + { + "aliases": [], + "name": ".NET" + }, + { + "aliases": [ + "f#", + "F#" + ], + "languageName": "F#", + "name": "fsharp" + }, + { + "aliases": [], + "languageName": "HTML", + "name": "html" + }, + { + "aliases": [], + "languageName": "KQL", + "name": "kql" + }, + { + "aliases": [], + "languageName": "Mermaid", + "name": "mermaid" + }, + { + "aliases": [ + "powershell" + ], + "languageName": "PowerShell", + "name": "pwsh" + }, + { + "aliases": [], + "languageName": "SQL", + "name": "sql" + }, + { + "aliases": [], + "name": "value" + }, + { + "aliases": [ + "frontend" + ], + "name": "vscode" + }, + { + "aliases": [ + "js" + ], + "languageName": "JavaScript", + "name": "javascript" + }, + { + "aliases": [], + "name": "webview" + } + ] + } + } + }, + "nbformat": 4, + "nbformat_minor": 2 +} diff --git a/docs/index.html b/docs/index.html index ae618449..643cf350 100644 --- a/docs/index.html +++ b/docs/index.html @@ -1,33 +1,33 @@ - - - - - Document - - - - - - - -
- - - - - - - - - + + + + + Document + + + + + + + +
+ + + + + + + + + diff --git a/docs/indicators.md b/docs/indicators.md index b731ba85..9faa79f1 100644 --- a/docs/indicators.md +++ b/docs/indicators.md @@ -1,174 +1,174 @@ -# Coverage - -⭐= Calculation is validated against one or many TA libraries - -✔️= Calculation exists but has no cross-validation tests - -⛔= Not implemented (yet) - -| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** | **Tulip** | -|--|:--:|:--:|:--:|:--:|:--:| -| OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 || -| HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 | hl2 | -| HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 | hlc3 | -| OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 || -| OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 | ohlc4 | avgprice | -| HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 || -| MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT || midpoint | -| MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE || midprice | -| MAX - Max value | `MAX_Series` | MAX ||| max | -| MIN - Min value | `MIN_Series` | MIN ||| min | -| SUM - Summation | `SUM_Series` | SUM ||| sum | -| ADD - Addition | `ADD_Series` | ADD ||| add | -| SUB - Subtraction | `SUB_Series` | SUB ||| sub | -| MUL - Multiplication | `MUL_Series` | MUL ||| mul | -| DIV - Division | `DIV_Series` | DIV ||| div | -||||| -| **STATISTICS & NUMERICAL ANALYSIS** | -|||||| -| BIAS - Bias | `BIAS_Series` ||| bias | -| CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation || -| COVAR - Covariance | `COVAR_Series` || GetCorrelation || -| DECAY - Linear Decay ||||| decay | -| EDECAY - Exponential Decay ||||| edecay | -| ENTROPY - Entropy | `ENTROPY_Series` ||| entropy | -| KURTOSIS - Kurtosis | `KURT_Series` ||| kurtosis | -| LINREG - Linear Regression | `LINREG_Series` || GetSlope || -| MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad | -| MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma || -| MED - Median value | `MED_Series` ||| median | -| MSE - Mean Squared Error | `MSE_Series` || GetSma || -| SKEW - Skewness |||| skew | -| SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV | GetStdDev | stdev | -| SSDEV - Sample Standard Deviation | `SSDEV_Series` ||| stdev | -| SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` |||| -| VAR - Population Variance | `VAR_Series` | VAR || variance | -| SVAR - Sample Variance | `SVAR_Series` ||| variance | -| QUANTILE - Quantile |||| quantile | -| WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` |||| -| ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore | -|||||| -| **TREND INDICATORS & AVERAGES** | -|||||| -| AFIRMA - Autoregressive Finite Impulse Response Moving Average ||||| -| ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma | alma | -| ARIMA - Autoregressive Integrated Moving Average ||||| -| DEMA - Double EMA Average | `DEMA_Series` | DEMA | GetDema | dema | dema | -| EMA - Exponential Moving Average | `EMA_Series` | EMA | GetEma | ema | ema | -| EPMA - Endpoint Moving Average ||| GetEpma || -| FRAMA - Fractal Adaptive Moving Average ||||| -| FWMA - Fibonacci's Weighted Moving Average |||| fwma | -| HILO - Gann High-Low Activator |||| hilo | -| HEMA - Hull/EMA Average | `HEMA_Series` |||| -| Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline || -| HMA - Hull Moving Average | `HMA_Series` || GetHma | hma | hma | -| HWMA - Holt-Winter Moving Average |||| hwma | -| JMA - Jurik Moving Average | `JMA_Series` ||| jma | -| KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama | kama | -| KDJ - KDJ Indicator (trend reversal) |||| kdj | -| LSMA - Least Squares Moving Average ||||| -| MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd | -| MAMA - MESA Adaptive Moving Average | `MAMA_Series` | MAMA | GetMama || -| MCGD - McGinley Dynamic |||| mcgd | -| MMA - Modified Moving Average ||||| -| PPMA - Pivot Point Moving Average ||||| -| PWMA - Pascal's Weighted Moving Average |||| pwma | -| RMA - WildeR's Moving Average | `RMA_Series` ||| rma | -| SINWMA - Sine Weighted Moving Average |||| sinwma | -| ⭐ [SMA - Simple Moving Average](SMA.md) | `SMA_Series` | ⭐ SMA | ⭐ GetSma | ⭐ sma | ⭐ sma | -| SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma || -| SSF - Ehler's Super Smoother Filter |||| ssf | -| SUPERTREND - Supertrend |||| supertrend | -| SWMA - Symmetric Weighted Moving Average |||| swma | -| T3 - Tillson T3 Moving Average | `T3_Series` | T3 | GetT3 | t3 | -| TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema | -| TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima | -| TSF - Time Series Forecast || TSF ||| -| VIDYA - Variable Index Dynamic Average |||| vidya | -| VORTEX - Vortex Indicator |||| vortex | -| WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma | -| ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma | -|||||| -| **VOLATILITY INDICATORS** | -|||||| -| ADL - Chaikin Accumulation Distribution Line | `ADL_Series` | AD | GetAdl | ad | ad | -| ADOSC - Chaikin Accumulation Distribution Oscillator | `ADOSC_Series` | ADOSC| GetAdl | adosc | adosc | -| ATR - Average True Range | `ATR_Series` | ATR | GetAtr | atr | atr | -| ATRP - Average True Range Percent | `ATRP_Series` || GetAtr || -| BETA - Beta coefficient || BETA | GetBeta || -| BBANDS - Bollinger Bands® | `BBANDS_Series` | BBANDS | GetBollingerBands || bbands | -| CHAND - Chandelier Exit ||| GetChandelier || -| CRSI - Connor RSI ||| GetConnorsRsi || -| CVI - Chaikins Volatility ||||| cvi | -| DON - Donchian Channels ||| GetDonchian || -| FCB - Fractal Chaos Bands ||| GetFcb || -| FISHER - Fisher Transform ||| GetFcb || fisher | -| HV - Historical Volatility ||||| -| ICH - Ichimoku ||| GetIchimoku || -| KEL - Keltner Channels ||| GetKeltner || -| NATR - Normalized Average True Range || NATR | GetAtr || -| CHN - Price Channel Indicator ||||| -| RSI - Relative Strength Index | `RSI_Series` | RSI | GetRsi | rsi | -| SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar || -| SRSI - Stochastic RSI || STOCHRSI | GetStochRsi || -| STARC - Starc Bands ||||| -| TR - True Range | `TR_Series` | TRANGE | GetTr | true_range | -| UI - Ulcer Index ||||| -| VSTOP - Volatility Stop ||||| -|||||| -| **MOMENTUM INDICATORS & OSCILLATORS** | -|||||| -| AC - Acceleration Oscillator ||||| -| ADX - Average Directional Movement Index || ADX | GetAdx || adx | -| ADXR - Average Directional Movement Index Rating || ADXR | GetAdx || adxr | -| AO - Awesome Oscillator ||| GetAwesome || ao | -| APO - Absolute Price Oscillator || APO ||| apo | -| AROON - Aroon oscillator || AROON | GetAroon || aroon | -| BOP - Balance of Power || BOP | GetBop || bop | -| CCI - Commodity Channel Index | `CCI_Series` | CCI | GetCci || cci | -| CFO - Chande Forcast Oscillator ||||| -| CMO - Chande Momentum Oscillator || CMO | GetCmo || cmo | -| COG - Center of Gravity ||||| -| COPPOCK - Coppock Curve ||||| -| CTI - Ehler's Correlation Trend Indicator ||||| -| DPO - Detrended Price Oscillator ||| GetDpo || -| DMI - Directional Movement Index || DX | GetAdx || -| EFI - Elder Ray's Force Index ||| GetElderRay || -| FOSC - Forecast oscillator ||||| fosc | -| GAT - Alligator oscillator ||| GetGator || -| HURST - Hurst Exponent ||| GetHurst || -| KRI - Kairi Relative Index ||||| -| KVO - Klinger Volume Oscillator ||||| -| MFI - Money Flow Index || MFI | GetMfi || -| MOM - Momentum || MOM ||| -| NVI - Negative Volume Index ||||| -| PO - Price Oscillator ||||| -| PPO - Percentage Price Oscillator || PPO ||| -| PMO - Price Momentum Oscillator ||||| -| PVI - Positive Volume Index ||||| -| ROC - Rate of Change || MOM | GetRoc || -| RVGI - Relative Vigor Index ||||| -| SMI - Stochastic Momentum Index ||||| -| STC - Schaff Trend Cycle ||||| -| STOCH - Stochastic Oscillator || STOCH | GetStoch || -| TRIX - 1-day ROC of TEMA || TRIX | GetTrix || -| TSI - True Strength Index ||||| -| UO - Ultimate Oscillator || ULTOSC | GetUltimate || -| WILLR - Larry Williams' %R || WILLR | GetWilliamsR || -| WGAT - Williams Alligator ||||| -|||||| -| **VOLUME INDICATORS** | -|||||| -| AOBV - Archer On-Balance Volume ||||| -| CMF - Chaikin Money Flow ||||| -| EOM - Ease of Movement ||||| emv | -| KVO - Klinger Volume Oscilaltor ||||| kvo | -| OBV - On-Balance Volume | `OBV_Series` | OBV | GetObv || -| PRS - Price Relative Strength |||| -| PVOL - Price-Volume ||||| -| PVO - Percentage Volume Oscillator ||||| -| PVR - Price Volume Rank ||||| -| PVT - Price Volume Trend ||||| -| VP - Volume Profile ||||| -| VWAP - Volume Weighted Average Price ||||| -| VWMA - Volume Weighted Moving Average ||||| +# Coverage + +⭐= Calculation is validated against several TA libraries + +✔️= Validation tests passed + +❌= Wrong implementation + +| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** | **Tulip** | +|--|:--:|:--:|:--:|:--:|:--:| +| OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 || +| HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 | hl2 | +| HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 | hlc3 | +| OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 || +| OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 | ohlc4 | avgprice | +| HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 || +| MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT || midpoint | +| MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE || midprice | +| MAX - Max value | `MAX_Series` | MAX ||| max | +| MIN - Min value | `MIN_Series` | MIN ||| min | +| SUM - Summation | `SUM_Series` | SUM ||| sum | +| ADD - Addition | `ADD_Series` | ADD ||| add | +| SUB - Subtraction | `SUB_Series` | SUB ||| sub | +| MUL - Multiplication | `MUL_Series` | MUL ||| mul | +| DIV - Division | `DIV_Series` | DIV ||| div | +||||| +| **STATISTICS & NUMERICAL ANALYSIS** | +|||||| +| ⭐BIAS - Bias | `BIAS_Series` ||| ✔️bias | +| CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation || +| COVAR - Covariance | `COVAR_Series` || GetCorrelation || +| DECAY - Linear Decay ||||| decay | +| EDECAY - Exponential Decay ||||| edecay | +| ENTROPY - Entropy | `ENTROPY_Series` ||| entropy | +| KURTOSIS - Kurtosis | `KURT_Series` ||| kurtosis | +| LINREG - Linear Regression | `LINREG_Series` || GetSlope || +| MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad | +| MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma || +| MED - Median value | `MED_Series` ||| median | +| MSE - Mean Squared Error | `MSE_Series` || GetSma || +| SKEW - Skewness |||| skew | +| SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV | GetStdDev | stdev | +| SSDEV - Sample Standard Deviation | `SSDEV_Series` ||| stdev | +| SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` |||| +| VAR - Population Variance | `VAR_Series` | VAR || variance | +| SVAR - Sample Variance | `SVAR_Series` ||| variance | +| QUANTILE - Quantile |||| quantile | +| WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` |||| +| ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore | +|||||| +| **TREND INDICATORS & AVERAGES** | +|||||| +| AFIRMA - Autoregressive Finite Impulse Response Moving Average ||||| +| ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma | alma | +| ARIMA - Autoregressive Integrated Moving Average ||||| +| ⭐DEMA - Double EMA Average | `DEMA_Series` | ✔️DEMA | ✔️GetDema | ✔️dema | ✔️dema | +| ⭐EMA - Exponential Moving Average | `EMA_Series` | ✔️EMA | ✔️GetEma | ✔️ema | ✔️ema | +| EPMA - Endpoint Moving Average ||| GetEpma || +| FRAMA - Fractal Adaptive Moving Average ||||| +| FWMA - Fibonacci's Weighted Moving Average |||| fwma | +| HILO - Gann High-Low Activator |||| hilo | +| HEMA - Hull/EMA Average | `HEMA_Series` |||| +| Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline || +| ⭐HMA - Hull Moving Average | `HMA_Series` || ✔️GetHma | ✔️hma | ✔️hma | +| HWMA - Holt-Winter Moving Average |||| hwma | +| JMA - Jurik Moving Average | `JMA_Series` ||| jma || +| KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama | kama | +| KDJ - KDJ Indicator (trend reversal) |||| kdj | +| LSMA - Least Squares Moving Average ||||| +| MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd | +| MAMA - MESA Adaptive Moving Average | `MAMA_Series` | MAMA | GetMama || +| MCGD - McGinley Dynamic |||| mcgd | +| MMA - Modified Moving Average ||||| +| PPMA - Pivot Point Moving Average ||||| +| PWMA - Pascal's Weighted Moving Average |||| pwma | +| RMA - WildeR's Moving Average | `RMA_Series` ||| rma | +| SINWMA - Sine Weighted Moving Average |||| sinwma | +| ⭐[SMA - Simple Moving Average](SMA.md) | `SMA_Series` | ✔️SMA | ✔️GetSma | ✔️sma | ✔️sma | +| SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma || +| SSF - Ehler's Super Smoother Filter |||| ssf | +| SUPERTREND - Supertrend |||| supertrend | +| SWMA - Symmetric Weighted Moving Average |||| swma | +| T3 - Tillson T3 Moving Average | `T3_Series` | T3 | GetT3 | t3 | +| TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema | +| TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima | +| TSF - Time Series Forecast || TSF ||| +| VIDYA - Variable Index Dynamic Average |||| vidya | +| VORTEX - Vortex Indicator |||| vortex | +| WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma | +| ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma | +|||||| +| **VOLATILITY INDICATORS** | +|||||| +| ⭐ADL - Chaikin Accumulation Distribution Line | `ADL_Series` | ✔️AD | ✔️GetAdl | ✔️ad | ✔️ad | +| ⭐ADOSC - Chaikin Accumulation Distribution Oscillator | `ADOSC_Series` | ✔️ADOSC| | ✔️adosc | ✔️adosc | +| ⭐ATR - Average True Range | `ATR_Series` | ✔️ATR | ✔️GetAtr | ✔️atr | ✔️atr | +| ATRP - Average True Range Percent | `ATRP_Series` || GetAtr || +| BETA - Beta coefficient || BETA | GetBeta || +| BBANDS - Bollinger Bands® | `BBANDS_Series` | BBANDS | GetBollingerBands || bbands | +| CHAND - Chandelier Exit ||| GetChandelier || +| CRSI - Connor RSI ||| GetConnorsRsi || +| CVI - Chaikins Volatility ||||| cvi | +| DON - Donchian Channels ||| GetDonchian || +| FCB - Fractal Chaos Bands ||| GetFcb || +| FISHER - Fisher Transform ||| GetFcb || fisher | +| HV - Historical Volatility ||||| +| ICH - Ichimoku ||| GetIchimoku || +| KEL - Keltner Channels ||| GetKeltner || +| NATR - Normalized Average True Range || NATR | GetAtr || +| CHN - Price Channel Indicator ||||| +| RSI - Relative Strength Index | `RSI_Series` | RSI | GetRsi | rsi | +| SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar || +| SRSI - Stochastic RSI || STOCHRSI | GetStochRsi || +| STARC - Starc Bands ||||| +| TR - True Range | `TR_Series` | TRANGE | GetTr | true_range | +| UI - Ulcer Index ||||| +| VSTOP - Volatility Stop ||||| +|||||| +| **MOMENTUM INDICATORS & OSCILLATORS** | +|||||| +| AC - Acceleration Oscillator ||||| +| ADX - Average Directional Movement Index || ADX | GetAdx || adx | +| ADXR - Average Directional Movement Index Rating || ADXR | GetAdx || adxr | +| AO - Awesome Oscillator ||| GetAwesome || ao | +| APO - Absolute Price Oscillator || APO ||| apo | +| AROON - Aroon oscillator || AROON | GetAroon || aroon | +| BOP - Balance of Power || BOP | GetBop || bop | +| CCI - Commodity Channel Index | `CCI_Series` | CCI | GetCci || cci | +| CFO - Chande Forcast Oscillator ||||| +| CMO - Chande Momentum Oscillator | `CMO_Series` | ❌CMO | ❌GetCmo | ❌cmo | cmo | +| COG - Center of Gravity ||||| +| COPPOCK - Coppock Curve ||||| +| CTI - Ehler's Correlation Trend Indicator ||||| +| DPO - Detrended Price Oscillator ||| GetDpo || +| DMI - Directional Movement Index || DX | GetAdx || +| EFI - Elder Ray's Force Index ||| GetElderRay || +| FOSC - Forecast oscillator ||||| fosc | +| GAT - Alligator oscillator ||| GetGator || +| HURST - Hurst Exponent ||| GetHurst || +| KRI - Kairi Relative Index ||||| +| KVO - Klinger Volume Oscillator ||||| +| MFI - Money Flow Index || MFI | GetMfi || +| MOM - Momentum || MOM ||| +| NVI - Negative Volume Index ||||| +| PO - Price Oscillator ||||| +| PPO - Percentage Price Oscillator || PPO ||| +| PMO - Price Momentum Oscillator ||||| +| PVI - Positive Volume Index ||||| +| ROC - Rate of Change || MOM | GetRoc || +| RVGI - Relative Vigor Index ||||| +| SMI - Stochastic Momentum Index ||||| +| STC - Schaff Trend Cycle ||||| +| STOCH - Stochastic Oscillator || STOCH | GetStoch || +| TRIX - 1-day ROC of TEMA | TRIX | TRIX | GetTrix | trix | +| TSI - True Strength Index ||||| +| UO - Ultimate Oscillator || ULTOSC | GetUltimate || +| WILLR - Larry Williams' %R || WILLR | GetWilliamsR || +| WGAT - Williams Alligator ||||| +|||||| +| **VOLUME INDICATORS** | +|||||| +| AOBV - Archer On-Balance Volume ||||| +| CMF - Chaikin Money Flow ||||| +| EOM - Ease of Movement ||||| emv | +| KVO - Klinger Volume Oscilaltor ||||| kvo | +| OBV - On-Balance Volume | `OBV_Series` | OBV | GetObv || +| PRS - Price Relative Strength |||| +| PVOL - Price-Volume ||||| +| PVO - Percentage Volume Oscillator ||||| +| PVR - Price Volume Rank ||||| +| PVT - Price Volume Trend ||||| +| VP - Volume Profile ||||| +| VWAP - Volume Weighted Average Price ||||| +| VWMA - Volume Weighted Moving Average |||||