diff --git a/Source/Basics/Single_TSeries_Abstract.cs b/Source/Basics/Single_TSeries_Abstract.cs index 289cc5b9..3725f8e9 100644 --- a/Source/Basics/Single_TSeries_Abstract.cs +++ b/Source/Basics/Single_TSeries_Abstract.cs @@ -17,15 +17,17 @@ Abstract classes with all scaffolding required to build indicators. */ public abstract class Single_TSeries_Indicator : TSeries { - protected readonly int _p; + 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._p = period; + this._period = period; + this._p = _period; this._NaN = useNaN; this._data.Pub += this.Sub; } @@ -34,6 +36,7 @@ public abstract class Single_TSeries_Indicator : TSeries 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); } diff --git a/Source/QuanTAlib.csproj b/Source/QuanTAlib.csproj index be71640e..a2f23bc1 100644 --- a/Source/QuanTAlib.csproj +++ b/Source/QuanTAlib.csproj @@ -66,7 +66,6 @@ False - \ No newline at end of file diff --git a/Source/Trends/MAMA_Series.cs b/Source/Trends/MAMA_Series.cs index ae26f66c..ff85d784 100644 --- a/Source/Trends/MAMA_Series.cs +++ b/Source/Trends/MAMA_Series.cs @@ -21,12 +21,10 @@ public class MAMA_Series : Single_TSeries_Indicator { fastl = fastlimit; slowl = slowlimit; - i = 0; Fama = new(); if (base._data.Count > 0) { base.Add(base._data); } } - private int i; 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; @@ -51,7 +49,7 @@ public class MAMA_Series : Single_TSeries_Indicator 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; @@ -113,7 +111,6 @@ public class MAMA_Series : Single_TSeries_Indicator mama.i = fama.i = sumPr / (i+1); } - if (!update) { i++; } 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 46e4217a..7e548962 100644 --- a/Source/Trends/T3_Series.cs +++ b/Source/Trends/T3_Series.cs @@ -4,19 +4,30 @@ using System.Linq; using System.Numerics; /* -T3: Triple Exponential Moving Average - TEMA uses EMA(EMA(EMA())) to calculate less laggy Exponential moving average. +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://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/triple-exponential-moving-average-tema/ + 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 int i; - private double k, a; + private double k, a; private double c1, c2, c3, c4; private double o_c1, o_c2, o_c3, o_c4; @@ -26,9 +37,8 @@ public class T3_Series : Single_TSeries_Indicator private double sum1, sum2, sum3, sum4, sum5, sum6; private double o_sum1, o_sum2, o_sum3, o_sum4, o_sum5, o_sum6; - public T3_Series(TSeries source, int period, double vfactor, bool useNaN = false) : base(source, period, useNaN) + public T3_Series(TSeries source, int period, double vfactor = 0.7, bool useNaN = false) : base(source, period, useNaN) { - i = 0; k = 2.0 / (_p + 1); a = vfactor; c1 = -a * a * a; @@ -55,6 +65,7 @@ public class T3_Series : Single_TSeries_Indicator 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)) { @@ -71,45 +82,44 @@ public class T3_Series : Single_TSeries_Indicator else { sum6 += e5; if (i == 6 * (_p - 1)) { - e6 = sum6 / _p; + e6 = sum6 / Math.Max(_p, base.Count); } } } else { sum5 += e4; if (i == 5 * (_p - 1)) { - sum6 = e5 = sum5 / _p; + sum6 = e5 = sum5 / Math.Max(_p, base.Count); } } } else { sum4 += e3; if (i == 4 * (_p - 1)) { - sum5 = e4 = sum4 / _p; + sum5 = e4 = sum4 / Math.Max(_p, base.Count); } } } else { sum3 += e2; if (i == 3 * (_p - 1)) { - sum4 = e3 = sum3 / _p; + sum4 = e3 = sum3 / Math.Max(_p, base.Count); } } } else { sum2 += e1; if (i == 2 * (_p - 1)) { - sum3 = e2 = sum2 / _p; + sum3 = e2 = sum2 / Math.Max(_p, base.Count); } } } else { sum1 += v; if (i == _p - 1) { - sum2 = e1 = sum1 / _p; + sum2 = e1 = sum1 / Math.Max(_p, base.Count); } } - if (!update) { i++; } double t3 = (c1 * e6) + (c2 * e5) + (c3 * e4) + (c4 * e3); base.Add(TValue: (TValue.t, t3), update: update, useNaN: _NaN); diff --git a/Source/Volatility/ADL_Series.cs b/Source/Volatility/ADL_Series.cs index 72210268..7e0a962f 100644 --- a/Source/Volatility/ADL_Series.cs +++ b/Source/Volatility/ADL_Series.cs @@ -5,7 +5,7 @@ using System; ADL: Chaikin Accumulation/Distribution Line ADL is a volume-based indicator that measures the cumulative Money Flow Volume: - 1. Money Flow Multiplier = [(Close - Low) - (High - Close)] /(High - Low) + 1. Money Flow Multiplier = [(Close - Low) - (High - Close)] /(High - Low) 2. Money Flow Volume = Money Flow Multiplier x Volume for the Period 3. ADL = Previous ADL + Current Period's Money Flow Volume @@ -20,19 +20,17 @@ public class ADL_Series : Single_TBars_Indicator public ADL_Series(TBars source, bool useNaN = false) : base(source, 0, useNaN) { - this._lastadl = this._lastlastadl = 0; - if (_bars.Count > 0) - { base.Add(_bars); } + _lastadl = _lastlastadl = 0; + if (_bars.Count > 0) { base.Add(_bars); } } public override void Add((DateTime t, double o, double h, double l, double c, double v) TBar, bool update) { - if (update) - { this._lastadl = this._lastlastadl; } + if (update) { this._lastadl = this._lastlastadl; } - double _mfm = ((TBar.c - TBar.l) - (TBar.h - TBar.c)) / (TBar.h - TBar.l); - double _mfv = _mfm * TBar.v; - double _adl = this._lastadl + _mfv; + double _adl = 0; + double tmp = TBar.h - TBar.l; + if (tmp > 0.0 ) { _adl = _lastadl + ((2*TBar.c - TBar.l - TBar.h) / tmp * TBar.v); } this._lastlastadl = this._lastadl; this._lastadl = _adl; diff --git a/Tests/Series/Update.cs b/Tests/Series/Update.cs index 37d3f9a7..4c37428e 100644 --- a/Tests/Series/Update.cs +++ b/Tests/Series/Update.cs @@ -105,7 +105,7 @@ public class Update { Assert.Equal(lastCalc, QL.Last()); // same data } [Fact] public void COVAR() { - COVAR_Series QL = new(d1: bars.High, d2: bars.Low, period: period); + COVAR_Series QL = new(d1: bars.High, d2: bars.Low, period); var lastData = bars.Last(); var lastCalc = QL.Last(); int lastLen = QL.Count; diff --git a/Tests/Validations/Skender_Stock.cs b/Tests/Validations/Skender_Stock.cs index 418f9611..63a07573 100644 --- a/Tests/Validations/Skender_Stock.cs +++ b/Tests/Validations/Skender_Stock.cs @@ -11,9 +11,9 @@ public class Skender_Stock { private readonly IEnumerable quotes; public Skender_Stock() { - bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0); - period = rnd.Next(28) + 3; - digits = 4; //minimizing rounding errors in type conversions + bars = new(Bars: 10000, Volatility: 0.8, Drift: 0.0); + period = rnd.Next(30) + 5; + digits = 2; //minimizing rounding errors in type conversions quotes = bars.Select(q => new Quote { Date = q.t, @@ -25,180 +25,362 @@ public class Skender_Stock { }); } [Fact] public void ADL() { + // TODO: check precision of ADL() ADL_Series QL = new(bars, false); - var SK = quotes.GetAdl(); - Assert.Equal(Math.Round(SK.Last().Adl!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetAdl().Select(i => i.Adl); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1)!, digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void ALMA() { ALMA_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetAlma(period); - Assert.Equal(Math.Round((double)SK.Last().Alma!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void ATR() { ATR_Series QL = new(bars, period, false); - var SK = quotes.GetAtr(period); - Assert.Equal(Math.Round((double)SK.Last().Atr!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void ATRP() { ATRP_Series QL = new(bars, period, false); - var SK = quotes.GetAtr(period); - Assert.Equal(Math.Round((double)SK.Last().Atrp!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void BBANDS() { BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false); var SK = quotes.GetBollingerBands(period, 2.0); - Assert.Equal(Math.Round((double)SK.Last().Sma!, digits: digits), Math.Round(QL.Mid.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().UpperBand!, digits: digits), Math.Round(QL.Upper.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().LowerBand!, digits: digits), Math.Round(QL.Lower.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().Width!, digits: digits), Math.Round(QL.Bandwidth.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().PercentB!, digits: digits), Math.Round(QL.PercentB.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().ZScore!, digits: digits), Math.Round(QL.Zscore.Last().v, digits: digits)); + for (int i = QL.Length; i > period; i--) + { + 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.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.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.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.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.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.Equal(SK_item!, QL_item); + } } [Fact] public void CCI() { CCI_Series QL = new(bars, period, false); - var SK = quotes.GetCci(period); - Assert.Equal(Math.Round((double)SK.Last().Cci!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void CORR() { CORR_Series QL = new(bars.High, bars.Low, period, false); - var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period); - Assert.Equal(Math.Round((double)SK.Last().Correlation!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Correlation.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void COVAR() { COVAR_Series QL = new(bars.High, bars.Low, period, false); - var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period); - Assert.Equal(Math.Round((double)SK.Last().Covariance!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Covariance.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void DEMA() { DEMA_Series QL = new(bars.Close, period, false); - var SK = quotes.GetDema(period); - Assert.Equal(Math.Round((double)SK.Last().Dema!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void EMA() { EMA_Series QL = new(bars.Close, period, false); - var SK = quotes.GetEma(period); - Assert.Equal(Math.Round((double)SK.Last().Ema!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetEma(period).Select(i => i.Ema.Null2NaN()!); + for (int i = QL.Length; i > period; 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] public void HL2() { TSeries QL = bars.HL2; - var SK = quotes.GetBaseQuote(CandlePart.HL2); - Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetBaseQuote(CandlePart.HL2).Select(i => i.Value); + for (int i = QL.Length; i > period; 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] public void HLC3() { TSeries QL = bars.HLC3; - var SK = quotes.GetBaseQuote(CandlePart.HLC3); - Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetBaseQuote(CandlePart.HLC3).Select(i => i.Value); + for (int i = QL.Length; i > period; 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] public void HMA() { HMA_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetHma(period); - Assert.Equal(Math.Round((double)SK.Last().Hma!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!); + for (int i = QL.Length; i > period+3; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void KAMA() { + // TODO: check precision of KAMA() KAMA_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetKama(period); - Assert.Equal(Math.Round((double)SK.Last().Kama!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!); + for (int i = QL.Length; i > 500; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void LINREG() { LINREG_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetSlope(period); - Assert.Equal(Math.Round((double)SK.Last().Slope!, digits: digits), Math.Round(QL.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().Intercept!, digits: digits), Math.Round(QL.Intercept.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().RSquared!, digits: digits), Math.Round(QL.RSquared.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().StdDev!, digits: digits), Math.Round(QL.StdDev.Last().v, digits: digits)); + for (int i = QL.Length; i > period; i--) + { + 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.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.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.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.Equal(SK_item!, QL_item); + } } [Fact] public void MACD() { MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false); var SK = quotes.GetMacd(12, 26, 9); - Assert.Equal(Math.Round((double)SK.Last().Macd!, digits: digits), Math.Round(QL.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().Signal!, digits: digits), Math.Round(QL.Signal.Last().v, digits: digits)); + for (int i = QL.Length; i > 500; i--) + { + 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.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.Equal(SK_item!, QL_item); + } } [Fact] public void MAD() { MAD_Series QL = new(bars.Close, period, false); - var SK = quotes.GetSmaAnalysis(period); - Assert.Equal(Math.Round((double)SK.Last().Mad!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void MAMA() { MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05); var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05); - Assert.Equal(Math.Round((double)SK.Last().Mama!, digits: digits), Math.Round(QL.Last().v, digits: digits)); - Assert.Equal(Math.Round((double)SK.Last().Fama!, digits: digits), Math.Round(QL.Fama.Last().v, digits: digits)); + for (int i = QL.Length; i > period; i--) + { + 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.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.Equal(SK_item!, QL_item); + } } [Fact] public void MAPE() { MAPE_Series QL = new(bars.Close, period, false); - var SK = quotes.GetSmaAnalysis(period); - Assert.Equal(Math.Round((double)SK.Last().Mape!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void MSE() { MSE_Series QL = new(bars.Close, period, false); - var SK = quotes.GetSmaAnalysis(period); - Assert.Equal(Math.Round((double)SK.Last().Mse!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void OBV() { OBV_Series QL = new(bars, period, false); - var SK = quotes.GetObv(period); + var SK = quotes.GetObv(period).Select(i => i.Obv!); // adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB - Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + Assert.Equal(Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits), Math.Round(QL.Last().v, digits: digits)); } [Fact] public void OC2() { TSeries QL = bars.OC2; - var SK = quotes.GetBaseQuote(CandlePart.OC2); - Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetBaseQuote(CandlePart.OC2).Select(i => i.Value); + for (int i = QL.Length; i > period; 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] public void OHL3() { TSeries QL = bars.OHL3; - var SK = quotes.GetBaseQuote(CandlePart.OHL3); - Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetBaseQuote(CandlePart.OHL3).Select(i => i.Value); + for (int i = QL.Length; i > period; 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] public void OHLC4() { TSeries QL = bars.OHLC4; - var SK = quotes.GetBaseQuote(CandlePart.OHLC4); - Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetBaseQuote(CandlePart.OHLC4).Select(i => i.Value); + for (int i = QL.Length; i > period; 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] public void RSI() { RSI_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetRsi(period); - Assert.Equal(Math.Round((double)SK.Last().Rsi!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void SDEV() { SDEV_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetStdDev(period); - Assert.Equal(Math.Round((double)SK.Last().StdDev!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void SMA() { SMA_Series QL = new(bars.Close, period, false); - var SK = quotes.GetSma(period); - Assert.Equal(Math.Round((double)SK.Last().Sma!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void SMMA() { SMMA_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetSmma(period); - Assert.Equal(Math.Round((double)SK.Last().Smma!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void T3() { - T3_Series QL = new(source: bars.Close, period, vfactor: 0.7, false); - var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7); - Assert.Equal(Math.Round((double)SK.Last().T3!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false); + var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!); + for (int i = QL.Length; i > period*15 ; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void TEMA() { TEMA_Series QL = new(bars.Close, period, false); - var SK = quotes.GetTema(period); - Assert.Equal(Math.Round((double)SK.Last().Tema!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void TR() { TR_Series QL = new(bars, useNaN: false); - var SK = quotes.GetTr(); - Assert.Equal(Math.Round((double)SK.Last().Tr!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void WMA() { WMA_Series QL = new(bars.Close, period, false); - var SK = quotes.GetWma(period); - Assert.Equal(Math.Round((double)SK.Last().Wma!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } [Fact] public void ZSCORE() { ZSCORE_Series QL = new(bars.Close, period, useNaN: false); - var SK = quotes.GetStdDev(period); - Assert.Equal(Math.Round((double)SK.Last().ZScore!, digits: digits), Math.Round(QL.Last().v, digits: digits)); + var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!); + for (int i = QL.Length; i > period; i--) + { + double QL_item = Math.Round(QL[i - 1].v, digits: digits); + double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); + Assert.Equal(SK_item!, QL_item); + } } } diff --git a/docs/ema study.ipynb b/docs/ema study.ipynb new file mode 100644 index 00000000..49fde29c --- /dev/null +++ b/docs/ema study.ipynb @@ -0,0 +1,249 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 44, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "vscode": { + "languageId": "dotnet-interactive.csharp" + } + }, + "outputs": [ + { + "data": { + "text/html": [ + "
" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "#r \"nuget: Plotly.NET;\"\n", + "#r \"nuget: Plotly.NET.ImageExport;\"\n", + "\n", + "using Plotly.NET;\n", + "using Plotly.NET.ImageExport;\n", + "\n", + "double ema(double data, double prev_ema, int period, double attenuator = 0.0) {\n", + " double k = 2.0 / (period + 1);\n", + " return ((data*k) + (prev_ema*(1-k)))/(1-attenuator);\n", + "}\n", + "\n", + "List data = new() { 1, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 0, 0, 0, 0, 0}; \n", + "List x = new() { 1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16};\n", + "List es = new();\n", + "List e1 = new();\n", + "List e2 = new();\n", + "List e3 = new();" + ] + }, + { + "attachments": {}, + "cell_type": "markdown", + "metadata": {}, + "source": [ + "EMA is a convergent moving average where we don't need to keep a list of past values around; all that is needed to calculate the next value of EMA is a previous value, factor k [ k = 2.0/(period+1) ] and new value.\n", + "\n", + "The core question is: how to START the EMA sequence?\n", + "\n", + "The most direct way is to start the EMA sequence with an arbitrary number - either zero or the first value are commonly accepted 'igniters' of the calculation. Except both starting values are wrong: \n", + "- starting EMA with the First Value creates overshooting EMA, requiring 50+ bars to converge to the correct series.\n", + "- starting EMA with a Zero undershoots the series, requiring 50+ bars to climb back to the correct series.\n", + "- starting EMA with a short SMA warming sequence at the beginning creates even more problems: transition from SMA to EMA is non-linear and results are not predictable.\n", + "\n", + "But there is a better way.\n", + "\n", + "I found an article on [David Owen's blog](https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA) that explains the math behind attenuation of early elements of EMA series.\n", + "\n", + "Below is the simple comparison of four approaches:\n", + "\n", + "- low EMA (series assumes that pre-value was 0)\n", + "- high EMA (series assumes that pre-value was same as the first value)\n", + "- SMA-EMA (series first calculates SMA for the duration of period and then uses the last SMA to calculate EMA)\n", + "- fixed EMA (uses diminishing attenuation to keep EMA between overshooting and undershooting EMA )\n" + ] + }, + { + "cell_type": "code", + "execution_count": 47, + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "vscode": { + "languageId": "dotnet-interactive.csharp" + } + }, + "outputs": [ + { + "name": "stdout", + "output_type": "stream", + "text": [ + "data\t low\t high\t s_ema fixed\t\r\n", + "1\t 0.222\t 1.000\t 1.000\t 1.000\t\r\n", + "0\t 0.173\t 0.778\t 0.500\t 0.560\t\r\n", + "0\t 0.134\t 0.605\t 0.333\t 0.393\t\r\n", + "0\t 0.105\t 0.471\t 0.250\t 0.294\t\r\n", + "0\t 0.081\t 0.366\t 0.200\t 0.226\t\r\n", + "0\t 0.063\t 0.285\t 0.167\t 0.175\t\r\n", + "1\t 0.271\t 0.444\t 0.286\t 0.358\t\r\n", + "1\t 0.433\t 0.567\t 0.375\t 0.501\t\r\n", + "1\t 0.559\t 0.663\t 0.514\t 0.611\t\r\n", + "1\t 0.657\t 0.738\t 0.622\t 0.698\t\r\n", + "1\t 0.733\t 0.796\t 0.706\t 0.765\t\r\n", + "0\t 0.570\t 0.619\t 0.549\t 0.595\t\r\n", + "0\t 0.444\t 0.482\t 0.427\t 0.463\t\r\n", + "0\t 0.345\t 0.375\t 0.332\t 0.360\t\r\n", + "0\t 0.268\t 0.291\t 0.258\t 0.280\t\r\n", + "0\t 0.209\t 0.227\t 0.201\t 0.218\t\r\n" + ] + } + ], + "source": [ + "int period = 18;\n", + "\n", + "double k = 2.0 / (period + 1);\n", + "double attenuator = ( 1 - k ) * 0.5;\n", + "double factor = 1;\n", + "double ema1 = 0; // start too low\n", + "double ema2 = data[0]; // start too high\n", + "double ema3 = data[0]*(1-k-attenuator)/(1-k); \n", + "double emas = data[0];\n", + "Console.WriteLine($\"data\\t low\\t high\\t s_ema fixed\\t\");\n", + "for (int i=0; i\n", + "
\r\n", + "\r\n", + "\n", + " \n", + " \n" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "var d = Chart2D.Chart.Line(x, data, true, \"Data\").WithLineStyle(Width: 4, Color: Color.fromString(\"blue\"));\n", + "var le = Chart2D.Chart.Line(x, es, true, \"s_ema\").WithLineStyle(Width: 2, Color: Color.fromString(\"green\"));\n", + "var le1 = Chart2D.Chart.Line(x, e1, true, \"low\").WithLineStyle(Width: 2, Color: Color.fromString(\"red\"));\n", + "var le2 = Chart2D.Chart.Line(x, e2, true, \"high\").WithLineStyle(Width: 2, Color: Color.fromString(\"red\"));\n", + "var le3 = Chart2D.Chart.Line(x, e3, true, \"fixed\").WithLineStyle(Width: 3, Color: Color.fromString(\"purple\"));\n", + "var chart = Chart.Combine(new []{d,le,le1,le2,le3})\n", + " .WithSize(1200,600)\n", + " .WithMargin(Margin.init(30,10,40,30,1,false))\n", + " .WithXAxisRangeSlider(RangeSlider.init(Visible:false));\n", + "\n", + "chart.SavePNG(\"ema_study\");\n", + "chart" + ] + }, + { + "attachments": {}, + "cell_type": "markdown", + "metadata": { + "dotnet_interactive": { + "language": "csharp" + }, + "vscode": { + "languageId": "dotnet-interactive.csharp" + } + }, + "source": [ + "![EMA study chart](./ema_study.png)" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": ".NET (C#)", + "language": "C#", + "name": ".net-csharp" + }, + "language_info": { + "file_extension": ".cs", + "mimetype": "text/x-csharp", + "name": "C#", + "pygments_lexer": "csharp", + "version": "9.0" + }, + "orig_nbformat": 4, + "vscode": { + "interpreter": { + "hash": "aee8b7b246df8f9039afb4144a1f6fd8d2ca17a180786b69acc140d282b71a49" + } + } + }, + "nbformat": 4, + "nbformat_minor": 2 +} diff --git a/docs/ema_study.png b/docs/ema_study.png new file mode 100644 index 00000000..d5feee0b Binary files /dev/null and b/docs/ema_study.png differ