mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-04 12:07:44 +00:00
Merge remote-tracking branch 'origin/add-dosc' into dev
This commit is contained in:
Miha Kralj
@@ -41,6 +41,7 @@
|
||||
<InvariantGlobalization>true</InvariantGlobalization>
|
||||
<MetadataUpdaterSupport>false</MetadataUpdaterSupport>
|
||||
<UseSystemResourceKeys>true</UseSystemResourceKeys>
|
||||
|
||||
</PropertyGroup>
|
||||
|
||||
<PropertyGroup>
|
||||
|
||||
@@ -113,7 +113,8 @@ public class EventingTests
|
||||
// Volatility indicators (bar-based)
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||||
("Atr", new Atr(14), new Atr(barInput, 14)),
|
||||
// Oscillators (bar-based)
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("Chop", new Chop(14), new Chop(barInput, 14))
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("Chop", new Chop(14), new Chop(barInput, 14)),
|
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("Dosc", new Dosc(), new Dosc(barInput))
|
||||
};
|
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|
||||
// Generate 200 random values and feed them to indicators
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+324
-308
@@ -1,308 +1,324 @@
|
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using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class OscillatorsUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
private TBar GetRandomBar(bool IsNew)
|
||||
{
|
||||
double open = GetRandomDouble();
|
||||
double high = open + Math.Abs(GetRandomDouble());
|
||||
double low = open - Math.Abs(GetRandomDouble());
|
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double close = low + ((high - low) * GetRandomDouble());
|
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return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsi_Update()
|
||||
{
|
||||
var indicator = new Rsi(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsx_Update()
|
||||
{
|
||||
var indicator = new Rsx(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmo_Update()
|
||||
{
|
||||
var indicator = new Cmo(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ao_Update()
|
||||
{
|
||||
var indicator = new Ao();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ac_Update()
|
||||
{
|
||||
var indicator = new Ac();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Aroon_Update()
|
||||
{
|
||||
var indicator = new Aroon(period: 25);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Bop_Update()
|
||||
{
|
||||
var indicator = new Bop();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cci_Update()
|
||||
{
|
||||
var indicator = new Cci(period: 20);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cfo_Update()
|
||||
{
|
||||
var indicator = new Cfo(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chop_Update()
|
||||
{
|
||||
var indicator = new Chop(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cog_Update()
|
||||
{
|
||||
var indicator = new Cog(period: 10);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smi_Update()
|
||||
{
|
||||
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Srsi_Update()
|
||||
{
|
||||
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stc_Update()
|
||||
{
|
||||
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stoch_Update()
|
||||
{
|
||||
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tsi_Update()
|
||||
{
|
||||
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Uo_Update()
|
||||
{
|
||||
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Willr_Update()
|
||||
{
|
||||
var indicator = new Willr(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class OscillatorsUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
private TBar GetRandomBar(bool IsNew)
|
||||
{
|
||||
double open = GetRandomDouble();
|
||||
double high = open + Math.abs(GetRandomDouble());
|
||||
double low = open - Math.abs(GetRandomDouble());
|
||||
double close = low + ((high - low) * GetRandomDouble());
|
||||
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsi_Update()
|
||||
{
|
||||
var indicator = new Rsi(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsx_Update()
|
||||
{
|
||||
var indicator = new Rsx(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmo_Update()
|
||||
{
|
||||
var indicator = new Cmo(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ao_Update()
|
||||
{
|
||||
var indicator = new Ao();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ac_Update()
|
||||
{
|
||||
var indicator = new Ac();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Aroon_Update()
|
||||
{
|
||||
var indicator = new Aroon(period: 25);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Bop_Update()
|
||||
{
|
||||
var indicator = new Bop();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cci_Update()
|
||||
{
|
||||
var indicator = new Cci(period: 20);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cfo_Update()
|
||||
{
|
||||
var indicator = new Cfo(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chop_Update()
|
||||
{
|
||||
var indicator = new Chop(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cog_Update()
|
||||
{
|
||||
var indicator = new Cog(period: 10);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smi_Update()
|
||||
{
|
||||
var indicator = new Smi(period: 10, smooth1: 3, smooth2: 3);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Srsi_Update()
|
||||
{
|
||||
var indicator = new Srsi(rsiPeriod: 14, stochPeriod: 14, smoothK: 3, smoothD: 3);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stc_Update()
|
||||
{
|
||||
var indicator = new Stc(cyclePeriod: 10, fastPeriod: 23, slowPeriod: 50);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stoch_Update()
|
||||
{
|
||||
var indicator = new Stoch(period: 14, smoothK: 3, smoothD: 3);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tsi_Update()
|
||||
{
|
||||
var indicator = new Tsi(firstPeriod: 25, secondPeriod: 13);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Uo_Update()
|
||||
{
|
||||
var indicator = new Uo(period1: 7, period2: 14, period3: 28);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Willr_Update()
|
||||
{
|
||||
var indicator = new Willr(period: 14);
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dosc_Update()
|
||||
{
|
||||
var indicator = new Dosc();
|
||||
TBar r = GetRandomBar(true);
|
||||
double initialValue = indicator.Calc(r);
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(GetRandomBar(IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
|
||||
@@ -5,12 +5,12 @@
|
||||
| Basic Transforms | 6 of 6 | 100% |
|
||||
| Averages & Trends | 33 of 33 | 100% |
|
||||
| Momentum | 16 of 16 | 100% |
|
||||
| Oscillators | 20 of 29 | 69% |
|
||||
| Oscillators | 21 of 29 | 72% |
|
||||
| Volatility | 24 of 35 | 69% |
|
||||
| Volume | 15 of 19 | 79% |
|
||||
| Numerical Analysis | 13 of 19 | 68% |
|
||||
| Errors | 16 of 16 | 100% |
|
||||
| **Total** | **143 of 173** | **83%** |
|
||||
| **Total** | **144 of 173** | **83%** |
|
||||
|
||||
|Technical Indicator Name| Class Name|
|
||||
|-----------|:----------:|
|
||||
@@ -85,7 +85,6 @@
|
||||
|COPPOCK - Coppock Curve|`Coppock`|
|
||||
|CRSI - Connor RSI|`Crsi`|
|
||||
|🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`|
|
||||
|🚧 DOSC - Derivative Oscillator|`Dosc`|
|
||||
|🚧 EFI - Elder Ray's Force Index|`Efi`|
|
||||
|🚧 FISHER - Fisher Transform|`Fisher`|
|
||||
|🚧 FOSC - Forecast Oscillator|`Fosc`|
|
||||
@@ -102,6 +101,7 @@
|
||||
|TSI - True Strength Index|`Tsi`|
|
||||
|UO - Ultimate Oscillator|`Uo`|
|
||||
|WILLR - Larry Williams' %R|`Willr`|
|
||||
|DOSC - Derivative Oscillator|`Dosc`|
|
||||
|**VOLATILITY INDICATORS**||
|
||||
|ADR - Average Daily Range|`Adr`|
|
||||
|AP - Andrew's Pitchfork|`Ap`|
|
||||
|
||||
@@ -0,0 +1,74 @@
|
||||
using System.Runtime.CompilerServices;
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// DOSC: Derivative Oscillator
|
||||
/// A momentum indicator that combines the Relative Strength Index (RSI) and the Moving Average Convergence Divergence (MACD) to identify potential trend reversals.
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// The DOSC calculation process:
|
||||
/// 1. Calculate the RSI
|
||||
/// 2. Calculate the MACD of the RSI
|
||||
/// 3. Calculate the signal line (SMA) of the MACD
|
||||
/// 4. Subtract the signal line from the MACD to get the DOSC
|
||||
///
|
||||
/// Key characteristics:
|
||||
/// - Combines RSI and MACD
|
||||
/// - Oscillates above and below zero
|
||||
/// - Positive values indicate bullish momentum
|
||||
/// - Negative values indicate bearish momentum
|
||||
/// - Crosses above zero suggest buying opportunities
|
||||
/// - Crosses below zero suggest selling opportunities
|
||||
///
|
||||
/// Formula:
|
||||
/// DOSC = MACD(RSI) - Signal(MACD(RSI))
|
||||
///
|
||||
/// Sources:
|
||||
/// Original development
|
||||
/// https://www.investopedia.com/terms/d/derivativeoscillator.asp
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Dosc : AbstractBase
|
||||
{
|
||||
private readonly Rsi _rsi;
|
||||
private readonly Macd _macd;
|
||||
private readonly Sma _signal;
|
||||
|
||||
/// <param name="source">The data source object that publishes updates.</param>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public Dosc(object source) : this()
|
||||
{
|
||||
var pubEvent = source.GetType().GetEvent("Pub");
|
||||
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public Dosc()
|
||||
{
|
||||
_rsi = new Rsi();
|
||||
_macd = new Macd();
|
||||
_signal = new Sma(9);
|
||||
WarmupPeriod = 34; // RSI requires 14 periods + MACD requires 26 periods + 9 for signal line
|
||||
Name = "DOSC";
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void ManageState(bool isNew)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_index++;
|
||||
}
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override double Calculation()
|
||||
{
|
||||
ManageState(BarInput.IsNew);
|
||||
var rsi = _rsi.Calc(BarInput.Close, BarInput.IsNew);
|
||||
var macd = _macd.Calc(rsi, BarInput.IsNew);
|
||||
_signal.Calc(macd, BarInput.IsNew);
|
||||
|
||||
return macd - _signal.Value;
|
||||
}
|
||||
}
|
||||
+32
-32
@@ -1,32 +1,32 @@
|
||||
# Oscillators indicators
|
||||
Done: 20, Todo: 9
|
||||
|
||||
✔️ AC - Acceleration Oscillator
|
||||
✔️ AO - Awesome Oscillator
|
||||
✔️ AROON - Aroon oscillator (Up, Down)
|
||||
✔️ BOP - Balance of Power
|
||||
✔️ CCI - Commodity Channel Index
|
||||
✔️ CFO - Chande Forcast Oscillator
|
||||
✔️ CHOP - Choppiness Index
|
||||
✔️ CMO - Chande Momentum Oscillator
|
||||
✔️ COG - Ehler's Center of Gravity
|
||||
✔️ COPPOCK - Coppock Curve
|
||||
✔️ CRSI - Connor RSI
|
||||
CTI - Ehler's Correlation Trend Indicator
|
||||
DOSC - Derivative Oscillator
|
||||
EFI - Elder Ray's Force Index
|
||||
FISHER - Fisher Transform
|
||||
FOSC - Forecast Oscillator
|
||||
*GATOR - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)
|
||||
*KDJ - KDJ Indicator (K, D, J lines)
|
||||
KRI - Kairi Relative Index
|
||||
✔️ RSI - Relative Strength Index
|
||||
✔️ RSX - Jurik Trend Strength Index
|
||||
*RVGI - Relative Vigor Index (RVGI, Signal)
|
||||
✔️ SMI - Stochastic Momentum Index
|
||||
✔️ SRSI - Stochastic RSI (SRSI, Signal)
|
||||
✔️ STC - Schaff Trend Cycle
|
||||
✔️ STOCH - Stochastic Oscillator (%K, %D)
|
||||
✔️ TSI - True Strength Index
|
||||
✔️ UO - Ultimate Oscillator
|
||||
✔️ WILLR - Larry Williams' %R
|
||||
# Oscillators indicators
|
||||
Done: 21, Todo: 8
|
||||
|
||||
✔️ AC - Acceleration Oscillator
|
||||
✔️ AO - Awesome Oscillator
|
||||
✔️ AROON - Aroon oscillator (Up, Down)
|
||||
✔️ BOP - Balance of Power
|
||||
✔️ CCI - Commodity Channel Index
|
||||
✔️ CFO - Chande Forcast Oscillator
|
||||
✔️ CHOP - Choppiness Index
|
||||
✔️ CMO - Chande Momentum Oscillator
|
||||
✔️ COG - Ehler's Center of Gravity
|
||||
✔️ COPPOCK - Coppock Curve
|
||||
✔️ CRSI - Connor RSI
|
||||
CTI - Ehler's Correlation Trend Indicator
|
||||
✔️ DOSC - Derivative Oscillator
|
||||
EFI - Elder Ray's Force Index
|
||||
FISHER - Fisher Transform
|
||||
FOSC - Forecast Oscillator
|
||||
*GATOR - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)
|
||||
*KDJ - KDJ Indicator (K, D, J lines)
|
||||
KRI - Kairi Relative Index
|
||||
✔️ RSI - Relative Strength Index
|
||||
✔️ RSX - Jurik Trend Strength Index
|
||||
*RVGI - Relative Vigor Index (RVGI, Signal)
|
||||
✔️ SMI - Stochastic Momentum Index
|
||||
✔️ SRSI - Stochastic RSI (SRSI, Signal)
|
||||
✔️ STC - Schaff Trend Cycle
|
||||
✔️ STOCH - Stochastic Oscillator (%K, %D)
|
||||
✔️ TSI - True Strength Index
|
||||
✔️ UO - Ultimate Oscillator
|
||||
✔️ WILLR - Larry Williams' %R
|
||||
|
||||
@@ -22,6 +22,11 @@
|
||||
<PackageIconUrl>https://raw.githubusercontent.com/mihakralj/QuanTAlib/main/.github/QuanTAlib2.png</PackageIconUrl>
|
||||
<EnforceCodeStyleInBuild>True</EnforceCodeStyleInBuild>
|
||||
<EnableDefaultCompileItems>false</EnableDefaultCompileItems>
|
||||
<Version>$(GitVersion_MajorMinorPatch)</Version>
|
||||
<PackageVersion>$(GitVersion_MajorMinorPatch)</PackageVersion>
|
||||
<AssemblyVersion>$(GitVersion_AssemblySemVer)</AssemblyVersion>
|
||||
<FileVersion>$(GitVersion_AssemblySemFileVer)</FileVersion>
|
||||
<InformationalVersion>$(GitVersion_InformationalVersion)</InformationalVersion>
|
||||
</PropertyGroup>
|
||||
|
||||
<ItemGroup>
|
||||
|
||||
Reference in New Issue
Block a user