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JMA and DWMA

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Miha Kralj
2022-12-06 15:39:43 -08:00
parent 3aaa1c95c6
commit 9f01df0e65
13 changed files with 264 additions and 748 deletions
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Source/QuanTAlib.csproj
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@@ -2,7 +2,7 @@
<Project Sdk="Microsoft.NET.Sdk"> <Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup> <PropertyGroup>
<Title>QuanTAlib</Title> <Title>QuanTAlib</Title>
<Version>0.1.22</Version> <Version>0.1.23</Version>
<Product>Library of Technical Indicators for .NET</Product> <Product>Library of Technical Indicators for .NET</Product>
<Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description> <Description>Quantitative Technical Analysis library for both real-time (streaming) and historical data analysis</Description>
<RepositoryType>git</RepositoryType> <RepositoryType>git</RepositoryType>
Source/Trends/DWMA_Series.cs
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@@ -0,0 +1,39 @@
namespace QuanTAlib;
using System;
/* <summary>
DWMA: Double (linearly) Weighted Moving Average
The weights are linearly decreasing over the period and the most recent data has
the heaviest weight.
Sources:
</summary> */
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<double> _buffer1 = new();
private readonly System.Collections.Generic.List<double> _buffer2 = new();
private readonly System.Collections.Generic.List<double> _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);
}
}
Source/Trends/JMA_Series.cs
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@@ -1,5 +1,6 @@
namespace QuanTAlib; namespace QuanTAlib;
using System; using System;
using System.Linq;
/* <summary> /* <summary>
JMA: Jurik Moving Average JMA: Jurik Moving Average
@@ -18,141 +19,81 @@ Issues:
original algo is slightly different, yet this approximation is close enough. original algo is slightly different, yet this approximation is close enough.
</summary> </summary>
TODO: buggy - rework
*/ */
public class JMA_Series : Single_TSeries_Indicator {
private readonly System.Collections.Generic.List<double> volty_10 = new();
private readonly System.Collections.Generic.List<double> vsum_buff = new();
private readonly double pr, beta;
public class JMA_Series : Single_TSeries_Indicator private double upperBand, lowerBand, _phase, vsum, Kv, del1, del2, prev_del1, prev_del2;
{ private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
private readonly System.Collections.Generic.List<double> vbuffer10; private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
private readonly System.Collections.Generic.List<double> vsum65;
private double prev_ma1, prev_det0, prev_det1, prev_jma, bsmax, bsmin; public JMA_Series(TSeries source, int period, double phase = 0.0, bool useNaN = false) : base(source, period, useNaN) {
private double o_prev_ma1, o_prev_det0, o_prev_det1, o_prev_jma, o_bsmax, o_bsmin; upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = del1 = del2 = 0.0;
Kv = 0;
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);
private readonly double pr, pow1, len2, beta, rvolty; if (base._data.Count > 0) { base.Add(base._data); }
}
public JMA_Series(TSeries source, int period, double phase = 0.0, bool useNaN = false) : base(source, period, useNaN) public override void Add((System.DateTime t, double v) TValue, bool update) {
{ if (update) {
this.vbuffer10 = new(); upperBand = p_upperBand; lowerBand = p_lowerBand; Kv = p_Kv; prev_vsum = p_prev_vsum;
this.vsum65 = new(); 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;
}
// constants // from Tvalue to volty
this.pr = (phase < -100) ? 0.5 : (phase > 100) ? 2.5 : (phase * 0.01) + 1.5; del1 = TValue.v - upperBand;
double len1 = Math.Max((Math.Log(Math.Sqrt(0.5 * (_p - 1))) / Math.Log(2.0)) + 2.0, 0); del2 = TValue.v - lowerBand;
this.pow1 = Math.Max(len1 - 2, 0.5); upperBand = (del1 > 0) ? TValue.v : TValue.v - (Kv * del1);
this.rvolty = Math.Exp((1 / this.pow1) * Math.Log(len1)); lowerBand = (del2 < 0) ? TValue.v : TValue.v - (Kv * del2);
this.len2 = Math.Sqrt(0.5 * (_p - 1)) * len1; double volty = 0;
this.beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2); if (Math.Abs(del1) > Math.Abs(del2)) { volty = Math.Abs(del1); }
if (base._data.Count > 0) { base.Add(base._data); } if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); }
}
public override void Add((System.DateTime t, double v) TValue, bool update) //// from volty to avolty
{ if (update) { volty_10[volty_10.Count - 1] = volty; } else { volty_10.Add(volty); }
if (this.Count == 0) if (volty_10.Count > 10) { volty_10.RemoveAt(0); }
{ vsum = prev_vsum + 0.1 * (volty - volty_10.First());
this.prev_ma1 = this.prev_jma = TValue.v; if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; } else { vsum_buff.Add(vsum); }
this.bsmax = this.bsmin = this.prev_det0 = this.prev_det1 = 0; 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;
if (update) /// from avolty to rolty
{ double rvolty = (avolty > 0) ? volty / avolty : 0;
this.prev_jma = this.o_prev_jma; double len1 = (Math.Log(Math.Sqrt(_p)) / Math.Log(2.0)) + 2;
this.prev_ma1 = this.o_prev_ma1; if (len1 < 0) len1 = 0;
this.prev_det0 = this.o_prev_det0; double pow1 = Math.Max(len1 - 2.0, 0.5);
this.prev_det1 = this.o_prev_det1; if (rvolty > Math.Pow(len1, 1.0 / pow1)) rvolty = Math.Pow(len1, 1.0 / pow1);
this.bsmax = this.o_bsmax; if (rvolty < 1) rvolty = 1;
this.bsmin = this.o_bsmin;
}
else
{
this.o_prev_jma = this.prev_jma;
this.o_prev_ma1 = this.prev_ma1;
this.o_prev_det0 = this.prev_det0;
this.o_prev_det1 = this.prev_det1;
this.o_bsmax = this.bsmax;
this.o_bsmin = this.bsmin;
}
double hprice = TValue.v; //// from rvolty to second smoothing
double lprice = TValue.v; double pow2 = Math.Pow(rvolty, pow1);
for (int i = 0; i <= Math.Min(9, this._data.Count - 1); i++) double len2 = Math.Sqrt(0.5 * (_p - 1)) * len1;
{ Kv = Math.Pow(len2 / (len2 + 1), Math.Sqrt(pow2));
var _item = this._data[this._data.Count - 1 - i].v; double alpha = Math.Pow(beta, pow2);
hprice = (_item > hprice) ? _item : hprice; double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
lprice = (_item < lprice) ? _item : lprice; prev_ma1 = ma1;
} double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0;
double del1 = hprice - this.bsmax; prev_det0 = det0;
double del2 = lprice - this.bsmin;
double volty = (Math.Abs(del1) != Math.Abs(del2)) /// from second smoothing to jma
? Math.Max(Math.Abs(del1), Math.Abs(del2)) double ma2 = ma1 + pr * det0;
: 0; double det1 = (1 - alpha) * (1 - alpha) * (ma2 - prev_jma) + alpha * alpha * prev_det1;
if (update) prev_det1 = det1;
{ double jma = prev_jma + det1;
this.vbuffer10[this.vbuffer10.Count - 1] = volty; prev_jma = jma;
}
else
{
this.vbuffer10.Add(volty);
}
if (this.vbuffer10.Count > 10)
{
this.vbuffer10.RemoveAt(0);
}
double prevvsum = base.Add((TValue.t, jma), update, _NaN);
(this.vsum65.Count > 0) ? this.vsum65[this.vsum65.Count - 1] : 0; }
double vsumitem = prevvsum + 0.1 * (volty - this.vbuffer10[0]);
if (update)
{
this.vsum65[this.vsum65.Count - 1] = vsumitem;
}
else
{
this.vsum65.Add(vsumitem);
}
if (this.vsum65.Count > 65)
{
this.vsum65.RemoveAt(0);
}
double avolty = 0;
for (int i = 0; i < this.vsum65.Count; i++)
{
avolty += this.vsum65[i];
}
avolty /= this.vsum65.Count;
double dvolty = (avolty > 0) ? volty / avolty : 0;
dvolty = Math.Max((dvolty > this.rvolty) ? this.rvolty : dvolty, 1.0);
double pow2 = Math.Exp(this.pow1 * Math.Log(dvolty));
double kv =
Math.Exp(Math.Sqrt(pow2) * Math.Log(this.len2 / (this.len2 + 1)));
this.bsmax = (del1 > 0) ? hprice : hprice - (kv * del1);
this.bsmin = (del2 < 0) ? lprice : lprice - (kv * del2);
// adaptive EMA dynamic factor
double pow = Math.Pow(dvolty, this.pow1);
double alpha = Math.Pow(this.beta, pow);
// 1st stage - preliminary smoothing by adaptive EMA
double ma1 = TValue.v * (1 - alpha) + this.prev_ma1 * alpha;
this.prev_ma1 = ma1;
// 2nd stage - one more preliminary smoothing by Kalman filter
double det0 = (TValue.v - ma1) * (1 - this.beta) + this.prev_det0 * this.beta;
this.prev_det0 = det0;
double ma2 = ma1 + (this.pr * det0);
// 3rd stage - final smoothing by Jurik adaptive filter
double det1 = ((ma2 - this.prev_jma) * (1 - alpha) * (1 - alpha)) +
(this.prev_det1 * alpha * alpha);
this.prev_det1 = det1;
var _jma = this.prev_jma + det1;
this.prev_jma = _jma;
base.Add((TValue.t, _jma), update, _NaN);
}
} }
Tests/Series/Update.cs
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@@ -124,7 +124,18 @@ public class Update {
Assert.Equal(lastLen, QL.Count); // same size Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data Assert.Equal(lastCalc, QL.Last()); // same data
} }
[Fact] public void ENTROPY() { [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); ENTROPY_Series QL = new(source: bars.Close, period: period);
var lastData = bars.Close.Last(); var lastData = bars.Close.Last();
var lastCalc = QL.Last(); var lastCalc = QL.Last();
Tests/Validations/DEMA_Test.cs
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@@ -1,166 +0,0 @@
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
using Tulip;
using Python.Runtime;
using Python.Included;
using TALib;
using Validations;
using Xunit;
namespace One.by.one;
public class Dema : IDisposable
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, skip;
private readonly double precision;
private readonly IEnumerable<Quote> quotes;
private readonly double[] outdata;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
private readonly string OStype;
private readonly dynamic np;
private readonly dynamic ta;
private readonly dynamic df;
public void Dispose() {
PythonEngine.Shutdown();
GC.SuppressFinalize(this);
}
public Dema()
{
bars = new(Bars: 1000, Volatility: 0.5, Drift: 0.0);
period = rnd.Next(30) + 5;
skip = period*8;
precision = 1e-6;
quotes = bars.Select(q => new Quote
{
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
});
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();
// 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));
}
[Fact]
public void WeirdData() {
DEMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
QL.Add((DateTime.Today.AddDays(1), double.NaN), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((DateTime.Today.AddDays(-1), double.NegativeInfinity), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((new DateTime(), double.Epsilon), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
}
[Fact]
public void Updating() {
DEMA_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);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact]
public void Skender_Test()
{
DEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -precision, precision);
}
}
[Fact]
public void TALIB_Test()
{
DEMA_Series QL = new(bars.Close, period, false);
Core.Dema(inclose, 0, bars.Count - 1, outdata, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = outdata[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -precision, precision);
}
}
[Fact]
public void Tulip_Test() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DEMA_Series QL = new(bars.Close, period: period, useNaN: false);
Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip*3; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -precision, precision);
}
}
[Fact]
void PandasTA_Test() {
DEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.dema(close: df.close, length: period);
for (int i = QL.Length; i > skip; i--) {
double QL_item = QL[i - 1].v;
double PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -1e-5, 1e-5);
}
}
}
Tests/Validations/EMA_Test.cs
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@@ -1,166 +0,0 @@
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
using Tulip;
using Python.Runtime;
using Python.Included;
using TALib;
using Validations;
using Xunit;
namespace One.by.one;
public class Ema : IDisposable
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, skip;
private readonly double precision;
private readonly IEnumerable<Quote> quotes;
private readonly double[] outdata;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
private readonly string OStype;
private readonly dynamic np;
private readonly dynamic ta;
private readonly dynamic df;
public void Dispose() {
PythonEngine.Shutdown();
GC.SuppressFinalize(this);
}
public Ema()
{
bars = new(Bars: 1000, Volatility: 0.5, Drift: 0.0);
period = rnd.Next(30) + 5;
skip = period-1;
precision = 1e-8;
quotes = bars.Select(q => new Quote
{
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
});
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();
// 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));
}
[Fact]
public void WeirdData() {
EMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
QL.Add((DateTime.Today.AddDays(1), double.NaN), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((DateTime.Today.AddDays(-1), double.NegativeInfinity), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((new DateTime(), double.Epsilon), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
}
[Fact]
public void Updating() {
EMA_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);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact]
public void Skender_Test()
{
EMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetEma(period).Select(i => i.Ema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -precision, precision);
}
}
[Fact]
public void TALIB_Test()
{
EMA_Series QL = new(bars.Close, period, false);
Core.Ema(inclose, 0, bars.Count - 1, outdata, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = outdata[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -precision, precision);
}
}
[Fact]
public void Tulip_Test() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
EMA_Series QL = new(bars.Close, period: period, useNaN: false, useSMA: 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 = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -precision, precision);
}
}
[Fact]
void PandasTA_Test() {
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
for (int i = QL.Length; i > skip; i--) {
double QL_item = QL[i - 1].v;
double PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -1e-5, 1e-5);
}
}
}
Tests/Validations/SMA_Test.cs
-160
View File
@@ -1,160 +0,0 @@
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
using Tulip;
using Python.Runtime;
using Python.Included;
using TALib;
using Validations;
using Xunit;
namespace One.by.one;
public class SMA : IDisposable {
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, skip;
private readonly double precision;
private readonly IEnumerable<Quote> quotes;
private readonly double[] outdata;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
private readonly string OStype;
private readonly dynamic np;
private readonly dynamic ta;
private readonly dynamic df;
public void Dispose() {
PythonEngine.Shutdown();
GC.SuppressFinalize(this);
}
public SMA() {
bars = new(Bars: 1000, Volatility: 0.5, Drift: 0.0);
period = rnd.Next(30) + 5;
precision = 1e-8;
skip = period-1;
quotes = bars.Select(q => new Quote {
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
});
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();
// 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));
}
[Fact]
public void WeirdData() {
SMA_Series QL = new(source: bars.Close, period);
var lastData = bars.Close.Last();
var lastCalc = QL.Last();
QL.Add((DateTime.Today.AddDays(1), double.NaN), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((DateTime.Today.AddDays(-1), double.NegativeInfinity), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
QL.Add((new DateTime(), double.Epsilon), update: true);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastCalc, QL.Last()); // back to the same data
}
[Fact]
public void Updating() {
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);
Assert.NotEqual(lastCalc, QL.Last()); //value changed
QL.Add(lastData, update: true);
Assert.Equal(lastLen, QL.Count); // same size
Assert.Equal(lastCalc, QL.Last()); // same data
}
[Fact]
public void Skender_Test() {
SMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--) {
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -precision, precision);
}
}
[Fact]
public void TALIB_Test() {
SMA_Series QL = new(bars.Close, period, false);
Core.Sma(inclose, 0, bars.Count - 1, outdata, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TA_item = outdata[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -precision, precision);
}
}
[Fact]
public void Tulip_Test() {
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 = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -precision, precision);
}
}
[Fact]
void PandasTA_Test() {
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
for (int i = QL.Length; i > skip; i--) {
double QL_item = QL[i - 1].v;
double PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -precision, precision);
}
}
}
Tests/Validations/Trends/Pandas_TA.cs
+32 -31
View File
@@ -20,7 +20,7 @@ public class PandasTA : IDisposable
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0); bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
period = rnd.Next(maxValue: 28) + 3; period = rnd.Next(maxValue: 28) + 3;
sample = 200; sample = 200;
digits = 3; //minimizing rounding errors in type conversions digits = 10;
// Checking the host OS and setting PythonDLL accordingly // Checking the host OS and setting PythonDLL accordingly
OStype = Environment.OSVersion.ToString(); OStype = Environment.OSVersion.ToString();
@@ -61,7 +61,8 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i-1].v, digits: digits); double QL_item = Math.Round(QL[i-1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i-1], digits: digits); double PanTA_item = Math.Round((double)pta[i-1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void ADOSC() { [Fact] void ADOSC() {
@@ -71,7 +72,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void ATR() { [Fact] void ATR() {
@@ -81,7 +82,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void BIAS() { [Fact] void BIAS() {
@@ -91,7 +92,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void DEMA() { [Fact] void DEMA() {
@@ -101,7 +102,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void EMA() { [Fact] void EMA() {
@@ -111,7 +112,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void ENTROPY() { [Fact] void ENTROPY() {
@@ -121,7 +122,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void HL2() { [Fact] void HL2() {
@@ -130,7 +131,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(bars.HL2[i - 1].v, digits: digits); double QL_item = Math.Round(bars.HL2[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void HLC3() { [Fact] void HLC3() {
@@ -139,7 +140,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(bars.HLC3[i - 1].v, digits: digits); double QL_item = Math.Round(bars.HLC3[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void HMA() { [Fact] void HMA() {
@@ -149,7 +150,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
@@ -160,7 +161,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void KURTOSIS() { [Fact] void KURTOSIS() {
@@ -170,7 +171,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void MAD() [Fact] void MAD()
@@ -181,7 +182,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void MEDIAN() { [Fact] void MEDIAN() {
@@ -191,7 +192,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void OBV() { [Fact] void OBV() {
@@ -201,7 +202,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void OHLC4() { [Fact] void OHLC4() {
@@ -210,7 +211,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(bars.OHLC4[i - 1].v, digits: digits); double QL_item = Math.Round(bars.OHLC4[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void RMA() { [Fact] void RMA() {
@@ -220,7 +221,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void RSI() { [Fact] void RSI() {
@@ -230,7 +231,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void SDEV() { [Fact] void SDEV() {
@@ -240,7 +241,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void SMA() { [Fact] void SMA() {
@@ -250,7 +251,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void SSDEV() { [Fact] void SSDEV() {
@@ -260,7 +261,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/* /*
@@ -271,7 +272,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/ */
@@ -282,7 +283,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void TEMA() { [Fact] void TEMA() {
@@ -292,7 +293,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void TR() { [Fact] void TR() {
@@ -302,7 +303,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void TRIMA() { [Fact] void TRIMA() {
@@ -313,7 +314,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void VARIANCE() { [Fact] void VARIANCE() {
@@ -323,7 +324,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void WMA() { [Fact] void WMA() {
@@ -333,7 +334,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void ZLEMA() { [Fact] void ZLEMA() {
@@ -343,7 +344,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] void ZSCORE() { [Fact] void ZSCORE() {
@@ -353,7 +354,7 @@ public class PandasTA : IDisposable
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits); double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item); Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
Tests/Validations/Trends/Skender.cs
+53 -48
View File
@@ -16,10 +16,10 @@ public class Skender
{ {
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2); bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
period = rnd.Next(30) + 5; period = rnd.Next(30) + 5;
digits = 2; //minimizing rounding errors in type conversions skip = 200;
skip = 300; digits = 10;
quotes = bars.Select(q => new Quote quotes = bars.Select(q => new Quote
{ {
Date = q.t, Date = q.t,
Open = (decimal)q.o, Open = (decimal)q.o,
@@ -33,15 +33,14 @@ public class Skender
[Fact] [Fact]
public void ADL() public void ADL()
{ {
// TODO: check precision of ADL()
ADL_Series QL = new(bars, false); ADL_Series QL = new(bars, false);
var SK = quotes.GetAdl().Select(i => i.Adl); var SK = quotes.GetAdl().Select(i => i.Adl);
for (int i = QL.Length; i > skip; i--) for (int i = QL.Length; i > skip; i--)
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
public void ALMA() public void ALMA()
@@ -52,7 +51,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -64,7 +63,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -76,7 +75,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -88,22 +87,22 @@ public class Skender
{ {
double QL_item = Math.Round(QL.Mid[i - 1].v, digits: digits); 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); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Sma!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Upper[i - 1].v, digits: digits); QL_item = Math.Round(QL.Upper[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).UpperBand!.Value, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).UpperBand!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Lower[i - 1].v, digits: digits); QL_item = Math.Round(QL.Lower[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).LowerBand!.Value, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).LowerBand!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Bandwidth[i - 1].v, digits: digits); QL_item = Math.Round(QL.Bandwidth[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).Width!.Value, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Width!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.PercentB[i - 1].v, digits: digits); QL_item = Math.Round(QL.PercentB[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).PercentB!.Value, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).PercentB!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Zscore[i - 1].v, digits: digits); QL_item = Math.Round(QL.Zscore[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).ZScore!.Value, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).ZScore!.Value, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -115,7 +114,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -127,7 +126,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -139,9 +138,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] [Fact]
public void DEMA() public void DEMA()
{ {
@@ -151,9 +151,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/
[Fact] [Fact]
public void EMA() public void EMA()
{ {
@@ -163,7 +164,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/* /*
@@ -176,7 +177,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -188,7 +189,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/ */
@@ -201,9 +202,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] [Fact]
public void KAMA() public void KAMA()
{ {
@@ -214,9 +216,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits/2), Math.Exp(-digits/2));
} }
} }
*/
[Fact] [Fact]
public void LINREG() public void LINREG()
{ {
@@ -226,16 +229,16 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1).Slope!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Slope!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Intercept[i - 1].v, digits: digits); QL_item = Math.Round(QL.Intercept[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).Intercept!, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Intercept!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.RSquared[i - 1].v, digits: digits); QL_item = Math.Round(QL.RSquared[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).RSquared!, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).RSquared!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.StdDev[i - 1].v, digits: digits); QL_item = Math.Round(QL.StdDev[i - 1].v, digits: digits);
SK_item = Math.Round((double)SK.ElementAt(i - 1).StdDev!, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).StdDev!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -247,10 +250,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1).Macd.Null2NaN()!, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Macd.Null2NaN()!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Signal[i - 1].v, digits: digits); QL_item = Math.Round(QL.Signal[i - 1].v, digits: digits);
SK_item = Math.Round(SK.ElementAt(i - 1).Signal.Null2NaN()!, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Signal.Null2NaN()!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -262,7 +265,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -274,10 +277,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits); QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits);
SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -289,7 +292,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -301,7 +304,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -314,7 +317,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL.Last().v, digits: digits); double QL_item = Math.Round(QL.Last().v, digits: digits);
double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits); double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/* /*
@@ -327,7 +330,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -339,7 +342,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -351,7 +354,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/ */
@@ -364,7 +367,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -376,7 +379,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -388,7 +391,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -400,9 +403,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] [Fact]
public void T3() public void T3()
{ {
@@ -412,9 +416,10 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
*/
[Fact] [Fact]
public void TEMA() public void TEMA()
{ {
@@ -424,7 +429,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -436,7 +441,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -448,7 +453,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -460,7 +465,7 @@ public class Skender
{ {
double QL_item = Math.Round(QL[i - 1].v, digits: digits); double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
Assert.Equal(SK_item!, QL_item); Assert.InRange(SK_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
Tests/Validations/Trends/TA_LIB.cs
+37 -35
View File
@@ -21,8 +21,8 @@ public class Ta_Lib
{ {
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3; period = rnd.Next(28) + 3;
skip = 200; skip = 500;
digits = 6; digits = 10;
TALIB = new double[bars.Count]; TALIB = new double[bars.Count];
TALIB2 = new double[bars.Count]; TALIB2 = new double[bars.Count];
@@ -42,7 +42,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -54,8 +54,8 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
public void ADOSC() public void ADOSC()
@@ -66,7 +66,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -78,9 +78,10 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
/*
[Fact] [Fact]
public void BBANDS() public void BBANDS()
{ {
@@ -105,6 +106,7 @@ public class Ta_Lib
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Mid.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)); Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], digits: digits), Math.Round(QL.Lower.Last().v, digits: digits));
} }
*/
[Fact] [Fact]
public void CCI() public void CCI()
{ {
@@ -114,7 +116,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -126,7 +128,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -138,7 +140,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -150,7 +152,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -162,7 +164,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -174,7 +176,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -186,7 +188,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -198,7 +200,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -215,7 +217,7 @@ public class Ta_Lib
Assert.Equal(TA_item!, QL_item); Assert.Equal(TA_item!, QL_item);
QL_item = Math.Round(QL.Signal[i].v, digits: digits); QL_item = Math.Round(QL.Signal[i].v, digits: digits);
TA_item = Math.Round(macdSignal[i - outBegIdx], digits: digits); TA_item = Math.Round(macdSignal[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -227,7 +229,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -239,7 +241,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -251,7 +253,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -263,7 +265,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -275,7 +277,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -287,7 +289,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -299,7 +301,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -311,7 +313,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -323,7 +325,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -335,7 +337,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -347,7 +349,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -359,7 +361,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -371,7 +373,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -383,7 +385,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -395,7 +397,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -407,7 +409,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -419,7 +421,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -431,7 +433,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -443,7 +445,7 @@ public class Ta_Lib
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits); double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
Assert.Equal(TA_item!, QL_item); Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
Tests/Validations/Trends/Tulip.cs
+12 -12
View File
@@ -20,8 +20,8 @@ public class Tulip_Test
{ {
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3); bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3; period = rnd.Next(28) + 3;
skip = 600; skip = 200;
digits = 5; digits = 10;
outdata = new double[bars.Count]; outdata = new double[bars.Count];
inopen = bars.Open.v.ToArray(); inopen = bars.Open.v.ToArray();
@@ -42,7 +42,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits); double TU_item = Math.Round(arrout[0][i], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -56,7 +56,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits); double TU_item = Math.Round(arrout[0][i], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -71,7 +71,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits); double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -86,7 +86,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i - period + 1], digits); double TU_item = Math.Round(arrout[0][i - period + 1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -103,13 +103,13 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL.Lower[i].v, digits: digits); double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
double TU_item = Math.Round(outlower[i - period + 1], digits); double TU_item = Math.Round(outlower[i - period + 1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Mid[i].v, digits: digits); QL_item = Math.Round(QL.Mid[i].v, digits: digits);
TU_item = Math.Round(outmid[i - period + 1], digits); TU_item = Math.Round(outmid[i - period + 1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Upper[i].v, digits: digits); QL_item = Math.Round(QL.Upper[i].v, digits: digits);
TU_item = Math.Round(outupper[i - period + 1], digits); TU_item = Math.Round(outupper[i - period + 1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -123,7 +123,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits); double TU_item = Math.Round(arrout[0][i], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -138,7 +138,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits); double TU_item = Math.Round(arrout[0][i], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
[Fact] [Fact]
@@ -152,7 +152,7 @@ public class Tulip_Test
{ {
double QL_item = Math.Round(QL[i].v, digits: digits); double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits); double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.Equal(TU_item!, QL_item); Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
} }
} }
} }
docs/SMA.md
+2 -1
View File
@@ -1,3 +1,4 @@
![Alt text](./img/SMA_chart.svg)
# SMA: Simple Moving Average # 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. 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.
@@ -30,7 +31,7 @@ Performance tests
## Visual analysis ## Visual analysis
![Alt text](./img/SMA_chart.svg)
docs/_sidebar.md
+8
View File
@@ -3,3 +3,11 @@
* [Indicators](indicators.md "Indocators coverage") * [Indicators](indicators.md "Indocators coverage")
* [SMA - Simple Moving Average](SMA.md "SMA - Simple Moving Average") * [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")