mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 12:08:05 +00:00
ZSCORE, CORR
This commit is contained in:
Miha Kralj
+356
-355
@@ -1,355 +1,356 @@
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|||||||
## Ignore Visual Studio temporary files, build results, and
|
## Ignore Visual Studio temporary files, build results, and
|
||||||
## files generated by popular Visual Studio add-ons.
|
## files generated by popular Visual Studio add-ons.
|
||||||
##
|
##
|
||||||
## Get latest from https://github.com/github/gitignore/blob/master/VisualStudio.gitignore
|
## Get latest from https://github.com/github/gitignore/blob/master/VisualStudio.gitignore
|
||||||
|
|
||||||
# User-specific files
|
# User-specific files
|
||||||
*.rsuser
|
*.rsuser
|
||||||
*.suo
|
*.suo
|
||||||
*.user
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*.user
|
||||||
*.userosscache
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*.userosscache
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||||||
*.sln.docstates
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*.sln.docstates
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||||||
.vscode/
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.vscode/
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||||||
*.deps.json
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*.deps.json
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||||||
.Sandbox/
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.Sandbox/
|
||||||
.DS_Store
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.sonarlint/
|
||||||
|
.DS_Store
|
||||||
# User-specific files (MonoDevelop/Xamarin Studio)
|
|
||||||
*.userprefs
|
# User-specific files (MonoDevelop/Xamarin Studio)
|
||||||
|
*.userprefs
|
||||||
# Mono auto generated files
|
|
||||||
mono_crash.*
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# Mono auto generated files
|
||||||
|
mono_crash.*
|
||||||
# Build results
|
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||||||
[Dd]ebug/
|
# Build results
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||||||
[Dd]ebugPublic/
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[Dd]ebug/
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||||||
[Rr]elease/
|
[Dd]ebugPublic/
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||||||
[Rr]eleases/
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[Rr]elease/
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||||||
x64/
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[Rr]eleases/
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||||||
x86/
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x64/
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||||||
[Aa][Rr][Mm]/
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x86/
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||||||
[Aa][Rr][Mm]64/
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[Aa][Rr][Mm]/
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||||||
bld/
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[Aa][Rr][Mm]64/
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||||||
[Bb]in/
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bld/
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||||||
[Oo]bj/
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[Bb]in/
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||||||
[Ll]og/
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[Oo]bj/
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||||||
[Ll]ogs/
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[Ll]og/
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||||||
|
[Ll]ogs/
|
||||||
# Visual Studio 2015/2017 cache/options directory
|
|
||||||
.vs/
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# Visual Studio 2015/2017 cache/options directory
|
||||||
# Uncomment if you have tasks that create the project's static files in wwwroot
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.vs/
|
||||||
#wwwroot/
|
# Uncomment if you have tasks that create the project's static files in wwwroot
|
||||||
|
#wwwroot/
|
||||||
# Visual Studio 2017 auto generated files
|
|
||||||
Generated\ Files/
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# Visual Studio 2017 auto generated files
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||||||
|
Generated\ Files/
|
||||||
# MSTest test Results
|
|
||||||
[Tt]est[Rr]esult*/
|
# MSTest test Results
|
||||||
[Bb]uild[Ll]og.*
|
[Tt]est[Rr]esult*/
|
||||||
|
[Bb]uild[Ll]og.*
|
||||||
# NUnit
|
|
||||||
*.VisualState.xml
|
# NUnit
|
||||||
TestResult.xml
|
*.VisualState.xml
|
||||||
nunit-*.xml
|
TestResult.xml
|
||||||
|
nunit-*.xml
|
||||||
# Build Results of an ATL Project
|
|
||||||
[Dd]ebugPS/
|
# Build Results of an ATL Project
|
||||||
[Rr]eleasePS/
|
[Dd]ebugPS/
|
||||||
dlldata.c
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[Rr]eleasePS/
|
||||||
|
dlldata.c
|
||||||
# Benchmark Results
|
|
||||||
BenchmarkDotNet.Artifacts/
|
# Benchmark Results
|
||||||
|
BenchmarkDotNet.Artifacts/
|
||||||
# .NET Core
|
|
||||||
project.lock.json
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# .NET Core
|
||||||
project.fragment.lock.json
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project.lock.json
|
||||||
artifacts/
|
project.fragment.lock.json
|
||||||
|
artifacts/
|
||||||
# StyleCop
|
|
||||||
StyleCopReport.xml
|
# StyleCop
|
||||||
|
StyleCopReport.xml
|
||||||
# Files built by Visual Studio
|
|
||||||
*_i.c
|
# Files built by Visual Studio
|
||||||
*_p.c
|
*_i.c
|
||||||
*_h.h
|
*_p.c
|
||||||
*.ilk
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*_h.h
|
||||||
*.meta
|
*.ilk
|
||||||
*.obj
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*.meta
|
||||||
*.iobj
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*.obj
|
||||||
*.pch
|
*.iobj
|
||||||
*.pdb
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*.pch
|
||||||
*.ipdb
|
*.pdb
|
||||||
*.pgc
|
*.ipdb
|
||||||
*.pgd
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*.pgc
|
||||||
*.rsp
|
*.pgd
|
||||||
*.sbr
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*.rsp
|
||||||
*.tlb
|
*.sbr
|
||||||
*.tli
|
*.tlb
|
||||||
*.tlh
|
*.tli
|
||||||
*.tmp
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*.tlh
|
||||||
*.tmp_proj
|
*.tmp
|
||||||
*_wpftmp.csproj
|
*.tmp_proj
|
||||||
*.log
|
*_wpftmp.csproj
|
||||||
*.vspscc
|
*.log
|
||||||
*.vssscc
|
*.vspscc
|
||||||
.builds
|
*.vssscc
|
||||||
*.pidb
|
.builds
|
||||||
*.svclog
|
*.pidb
|
||||||
*.scc
|
*.svclog
|
||||||
|
*.scc
|
||||||
# Chutzpah Test files
|
|
||||||
_Chutzpah*
|
# Chutzpah Test files
|
||||||
|
_Chutzpah*
|
||||||
# Visual C++ cache files
|
|
||||||
ipch/
|
# Visual C++ cache files
|
||||||
*.aps
|
ipch/
|
||||||
*.ncb
|
*.aps
|
||||||
*.opendb
|
*.ncb
|
||||||
*.opensdf
|
*.opendb
|
||||||
*.sdf
|
*.opensdf
|
||||||
*.cachefile
|
*.sdf
|
||||||
*.VC.db
|
*.cachefile
|
||||||
*.VC.VC.opendb
|
*.VC.db
|
||||||
|
*.VC.VC.opendb
|
||||||
# Visual Studio profiler
|
|
||||||
*.psess
|
# Visual Studio profiler
|
||||||
*.vsp
|
*.psess
|
||||||
*.vspx
|
*.vsp
|
||||||
*.sap
|
*.vspx
|
||||||
|
*.sap
|
||||||
# Visual Studio Trace Files
|
|
||||||
*.e2e
|
# Visual Studio Trace Files
|
||||||
|
*.e2e
|
||||||
# TFS 2012 Local Workspace
|
|
||||||
$tf/
|
# TFS 2012 Local Workspace
|
||||||
|
$tf/
|
||||||
# Guidance Automation Toolkit
|
|
||||||
*.gpState
|
# Guidance Automation Toolkit
|
||||||
|
*.gpState
|
||||||
# ReSharper is a .NET coding add-in
|
|
||||||
_ReSharper*/
|
# ReSharper is a .NET coding add-in
|
||||||
*.[Rr]e[Ss]harper
|
_ReSharper*/
|
||||||
*.DotSettings.user
|
*.[Rr]e[Ss]harper
|
||||||
|
*.DotSettings.user
|
||||||
# TeamCity is a build add-in
|
|
||||||
_TeamCity*
|
# TeamCity is a build add-in
|
||||||
|
_TeamCity*
|
||||||
# DotCover is a Code Coverage Tool
|
|
||||||
*.dotCover
|
# DotCover is a Code Coverage Tool
|
||||||
|
*.dotCover
|
||||||
# AxoCover is a Code Coverage Tool
|
|
||||||
.axoCover/*
|
# AxoCover is a Code Coverage Tool
|
||||||
!.axoCover/settings.json
|
.axoCover/*
|
||||||
|
!.axoCover/settings.json
|
||||||
# Visual Studio code coverage results
|
|
||||||
*.coverage
|
# Visual Studio code coverage results
|
||||||
*.coveragexml
|
*.coverage
|
||||||
|
*.coveragexml
|
||||||
# NCrunch
|
|
||||||
_NCrunch_*
|
# NCrunch
|
||||||
.*crunch*.local.xml
|
_NCrunch_*
|
||||||
nCrunchTemp_*
|
.*crunch*.local.xml
|
||||||
|
nCrunchTemp_*
|
||||||
# MightyMoose
|
|
||||||
*.mm.*
|
# MightyMoose
|
||||||
AutoTest.Net/
|
*.mm.*
|
||||||
|
AutoTest.Net/
|
||||||
# Web workbench (sass)
|
|
||||||
.sass-cache/
|
# Web workbench (sass)
|
||||||
|
.sass-cache/
|
||||||
# Installshield output folder
|
|
||||||
[Ee]xpress/
|
# Installshield output folder
|
||||||
|
[Ee]xpress/
|
||||||
# DocProject is a documentation generator add-in
|
|
||||||
DocProject/buildhelp/
|
# DocProject is a documentation generator add-in
|
||||||
DocProject/Help/*.HxT
|
DocProject/buildhelp/
|
||||||
DocProject/Help/*.HxC
|
DocProject/Help/*.HxT
|
||||||
DocProject/Help/*.hhc
|
DocProject/Help/*.HxC
|
||||||
DocProject/Help/*.hhk
|
DocProject/Help/*.hhc
|
||||||
DocProject/Help/*.hhp
|
DocProject/Help/*.hhk
|
||||||
DocProject/Help/Html2
|
DocProject/Help/*.hhp
|
||||||
DocProject/Help/html
|
DocProject/Help/Html2
|
||||||
|
DocProject/Help/html
|
||||||
# Click-Once directory
|
|
||||||
publish/
|
# Click-Once directory
|
||||||
|
publish/
|
||||||
# Publish Web Output
|
|
||||||
*.[Pp]ublish.xml
|
# Publish Web Output
|
||||||
*.azurePubxml
|
*.[Pp]ublish.xml
|
||||||
# Note: Comment the next line if you want to checkin your web deploy settings,
|
*.azurePubxml
|
||||||
# but database connection strings (with potential passwords) will be unencrypted
|
# Note: Comment the next line if you want to checkin your web deploy settings,
|
||||||
*.pubxml
|
# but database connection strings (with potential passwords) will be unencrypted
|
||||||
*.publishproj
|
*.pubxml
|
||||||
|
*.publishproj
|
||||||
# Microsoft Azure Web App publish settings. Comment the next line if you want to
|
|
||||||
# checkin your Azure Web App publish settings, but sensitive information contained
|
# Microsoft Azure Web App publish settings. Comment the next line if you want to
|
||||||
# in these scripts will be unencrypted
|
# checkin your Azure Web App publish settings, but sensitive information contained
|
||||||
PublishScripts/
|
# in these scripts will be unencrypted
|
||||||
|
PublishScripts/
|
||||||
# NuGet Packages
|
|
||||||
*.nupkg
|
# NuGet Packages
|
||||||
# NuGet Symbol Packages
|
*.nupkg
|
||||||
*.snupkg
|
# NuGet Symbol Packages
|
||||||
# The packages folder can be ignored because of Package Restore
|
*.snupkg
|
||||||
**/[Pp]ackages/*
|
# The packages folder can be ignored because of Package Restore
|
||||||
# except build/, which is used as an MSBuild target.
|
**/[Pp]ackages/*
|
||||||
!**/[Pp]ackages/build/
|
# except build/, which is used as an MSBuild target.
|
||||||
# Uncomment if necessary however generally it will be regenerated when needed
|
!**/[Pp]ackages/build/
|
||||||
#!**/[Pp]ackages/repositories.config
|
# Uncomment if necessary however generally it will be regenerated when needed
|
||||||
# NuGet v3's project.json files produces more ignorable files
|
#!**/[Pp]ackages/repositories.config
|
||||||
*.nuget.props
|
# NuGet v3's project.json files produces more ignorable files
|
||||||
*.nuget.targets
|
*.nuget.props
|
||||||
|
*.nuget.targets
|
||||||
# Microsoft Azure Build Output
|
|
||||||
csx/
|
# Microsoft Azure Build Output
|
||||||
*.build.csdef
|
csx/
|
||||||
|
*.build.csdef
|
||||||
# Microsoft Azure Emulator
|
|
||||||
ecf/
|
# Microsoft Azure Emulator
|
||||||
rcf/
|
ecf/
|
||||||
|
rcf/
|
||||||
# Windows Store app package directories and files
|
|
||||||
AppPackages/
|
# Windows Store app package directories and files
|
||||||
BundleArtifacts/
|
AppPackages/
|
||||||
Package.StoreAssociation.xml
|
BundleArtifacts/
|
||||||
_pkginfo.txt
|
Package.StoreAssociation.xml
|
||||||
*.appx
|
_pkginfo.txt
|
||||||
*.appxbundle
|
*.appx
|
||||||
*.appxupload
|
*.appxbundle
|
||||||
|
*.appxupload
|
||||||
# Visual Studio cache files
|
|
||||||
# files ending in .cache can be ignored
|
# Visual Studio cache files
|
||||||
*.[Cc]ache
|
# files ending in .cache can be ignored
|
||||||
# but keep track of directories ending in .cache
|
*.[Cc]ache
|
||||||
!?*.[Cc]ache/
|
# but keep track of directories ending in .cache
|
||||||
|
!?*.[Cc]ache/
|
||||||
# Others
|
|
||||||
ClientBin/
|
# Others
|
||||||
~$*
|
ClientBin/
|
||||||
*~
|
~$*
|
||||||
*.dbmdl
|
*~
|
||||||
*.dbproj.schemaview
|
*.dbmdl
|
||||||
*.jfm
|
*.dbproj.schemaview
|
||||||
*.pfx
|
*.jfm
|
||||||
*.publishsettings
|
*.pfx
|
||||||
orleans.codegen.cs
|
*.publishsettings
|
||||||
|
orleans.codegen.cs
|
||||||
# Including strong name files can present a security risk
|
|
||||||
# (https://github.com/github/gitignore/pull/2483#issue-259490424)
|
# Including strong name files can present a security risk
|
||||||
#*.snk
|
# (https://github.com/github/gitignore/pull/2483#issue-259490424)
|
||||||
|
#*.snk
|
||||||
# Since there are multiple workflows, uncomment next line to ignore bower_components
|
|
||||||
# (https://github.com/github/gitignore/pull/1529#issuecomment-104372622)
|
# Since there are multiple workflows, uncomment next line to ignore bower_components
|
||||||
#bower_components/
|
# (https://github.com/github/gitignore/pull/1529#issuecomment-104372622)
|
||||||
|
#bower_components/
|
||||||
# RIA/Silverlight projects
|
|
||||||
Generated_Code/
|
# RIA/Silverlight projects
|
||||||
|
Generated_Code/
|
||||||
# Backup & report files from converting an old project file
|
|
||||||
# to a newer Visual Studio version. Backup files are not needed,
|
# Backup & report files from converting an old project file
|
||||||
# because we have git ;-)
|
# to a newer Visual Studio version. Backup files are not needed,
|
||||||
_UpgradeReport_Files/
|
# because we have git ;-)
|
||||||
Backup*/
|
_UpgradeReport_Files/
|
||||||
UpgradeLog*.XML
|
Backup*/
|
||||||
UpgradeLog*.htm
|
UpgradeLog*.XML
|
||||||
ServiceFabricBackup/
|
UpgradeLog*.htm
|
||||||
*.rptproj.bak
|
ServiceFabricBackup/
|
||||||
|
*.rptproj.bak
|
||||||
# SQL Server files
|
|
||||||
*.mdf
|
# SQL Server files
|
||||||
*.ldf
|
*.mdf
|
||||||
*.ndf
|
*.ldf
|
||||||
|
*.ndf
|
||||||
# Business Intelligence projects
|
|
||||||
*.rdl.data
|
# Business Intelligence projects
|
||||||
*.bim.layout
|
*.rdl.data
|
||||||
*.bim_*.settings
|
*.bim.layout
|
||||||
*.rptproj.rsuser
|
*.bim_*.settings
|
||||||
*- [Bb]ackup.rdl
|
*.rptproj.rsuser
|
||||||
*- [Bb]ackup ([0-9]).rdl
|
*- [Bb]ackup.rdl
|
||||||
*- [Bb]ackup ([0-9][0-9]).rdl
|
*- [Bb]ackup ([0-9]).rdl
|
||||||
|
*- [Bb]ackup ([0-9][0-9]).rdl
|
||||||
# Microsoft Fakes
|
|
||||||
FakesAssemblies/
|
# Microsoft Fakes
|
||||||
|
FakesAssemblies/
|
||||||
# GhostDoc plugin setting file
|
|
||||||
*.GhostDoc.xml
|
# GhostDoc plugin setting file
|
||||||
|
*.GhostDoc.xml
|
||||||
# Node.js Tools for Visual Studio
|
|
||||||
.ntvs_analysis.dat
|
# Node.js Tools for Visual Studio
|
||||||
node_modules/
|
.ntvs_analysis.dat
|
||||||
|
node_modules/
|
||||||
# Visual Studio 6 build log
|
|
||||||
*.plg
|
# Visual Studio 6 build log
|
||||||
|
*.plg
|
||||||
# Visual Studio 6 workspace options file
|
|
||||||
*.opt
|
# Visual Studio 6 workspace options file
|
||||||
|
*.opt
|
||||||
# Visual Studio 6 auto-generated workspace file (contains which files were open etc.)
|
|
||||||
*.vbw
|
# Visual Studio 6 auto-generated workspace file (contains which files were open etc.)
|
||||||
|
*.vbw
|
||||||
# Visual Studio LightSwitch build output
|
|
||||||
**/*.HTMLClient/GeneratedArtifacts
|
# Visual Studio LightSwitch build output
|
||||||
**/*.DesktopClient/GeneratedArtifacts
|
**/*.HTMLClient/GeneratedArtifacts
|
||||||
**/*.DesktopClient/ModelManifest.xml
|
**/*.DesktopClient/GeneratedArtifacts
|
||||||
**/*.Server/GeneratedArtifacts
|
**/*.DesktopClient/ModelManifest.xml
|
||||||
**/*.Server/ModelManifest.xml
|
**/*.Server/GeneratedArtifacts
|
||||||
_Pvt_Extensions
|
**/*.Server/ModelManifest.xml
|
||||||
|
_Pvt_Extensions
|
||||||
# Paket dependency manager
|
|
||||||
.paket/paket.exe
|
# Paket dependency manager
|
||||||
paket-files/
|
.paket/paket.exe
|
||||||
|
paket-files/
|
||||||
# FAKE - F# Make
|
|
||||||
.fake/
|
# FAKE - F# Make
|
||||||
|
.fake/
|
||||||
# CodeRush personal settings
|
|
||||||
.cr/personal
|
# CodeRush personal settings
|
||||||
|
.cr/personal
|
||||||
# Python Tools for Visual Studio (PTVS)
|
|
||||||
__pycache__/
|
# Python Tools for Visual Studio (PTVS)
|
||||||
*.pyc
|
__pycache__/
|
||||||
|
*.pyc
|
||||||
# Cake - Uncomment if you are using it
|
|
||||||
# tools/**
|
# Cake - Uncomment if you are using it
|
||||||
# !tools/packages.config
|
# tools/**
|
||||||
|
# !tools/packages.config
|
||||||
# Tabs Studio
|
|
||||||
*.tss
|
# Tabs Studio
|
||||||
|
*.tss
|
||||||
# Telerik's JustMock configuration file
|
|
||||||
*.jmconfig
|
# Telerik's JustMock configuration file
|
||||||
|
*.jmconfig
|
||||||
# BizTalk build output
|
|
||||||
*.btp.cs
|
# BizTalk build output
|
||||||
*.btm.cs
|
*.btp.cs
|
||||||
*.odx.cs
|
*.btm.cs
|
||||||
*.xsd.cs
|
*.odx.cs
|
||||||
|
*.xsd.cs
|
||||||
# OpenCover UI analysis results
|
|
||||||
OpenCover/
|
# OpenCover UI analysis results
|
||||||
|
OpenCover/
|
||||||
# Azure Stream Analytics local run output
|
|
||||||
ASALocalRun/
|
# Azure Stream Analytics local run output
|
||||||
|
ASALocalRun/
|
||||||
# MSBuild Binary and Structured Log
|
|
||||||
*.binlog
|
# MSBuild Binary and Structured Log
|
||||||
|
*.binlog
|
||||||
# NVidia Nsight GPU debugger configuration file
|
|
||||||
*.nvuser
|
# NVidia Nsight GPU debugger configuration file
|
||||||
|
*.nvuser
|
||||||
# MFractors (Xamarin productivity tool) working folder
|
|
||||||
.mfractor/
|
# MFractors (Xamarin productivity tool) working folder
|
||||||
|
.mfractor/
|
||||||
# Local History for Visual Studio
|
|
||||||
.localhistory/
|
# Local History for Visual Studio
|
||||||
|
.localhistory/
|
||||||
# BeatPulse healthcheck temp database
|
|
||||||
healthchecksdb
|
# BeatPulse healthcheck temp database
|
||||||
|
healthchecksdb
|
||||||
# Backup folder for Package Reference Convert tool in Visual Studio 2017
|
|
||||||
MigrationBackup/
|
# Backup folder for Package Reference Convert tool in Visual Studio 2017
|
||||||
|
MigrationBackup/
|
||||||
# Ionide (cross platform F# VS Code tools) working folder
|
|
||||||
.ionide/
|
# Ionide (cross platform F# VS Code tools) working folder
|
||||||
dotCover.Output.dcvr
|
.ionide/
|
||||||
|
dotCover.Output.dcvr
|
||||||
|
|||||||
+2
-1
@@ -1,3 +1,4 @@
|
|||||||
|
next-version: 0.1.19
|
||||||
minor-version-bump-message: \+semver:\s?(feature|new)
|
minor-version-bump-message: \+semver:\s?(feature|new)
|
||||||
branches:
|
branches:
|
||||||
main:
|
main:
|
||||||
@@ -11,6 +12,6 @@ branches:
|
|||||||
regex: ^dev(elop)?(ment)?$
|
regex: ^dev(elop)?(ment)?$
|
||||||
is-release-branch: false
|
is-release-branch: false
|
||||||
mode: ContinuousDelivery
|
mode: ContinuousDelivery
|
||||||
tag: 'v'
|
tag: 'nightly'
|
||||||
increment: Inherit
|
increment: Inherit
|
||||||
update-build-number: true
|
update-build-number: true
|
||||||
@@ -2,13 +2,13 @@
|
|||||||
using System;
|
using System;
|
||||||
/* <summary>
|
/* <summary>
|
||||||
Abstract classes with all scaffolding required to build indicators.
|
Abstract classes with all scaffolding required to build indicators.
|
||||||
All abstracts support period, NaN, and all permutations of Add() methods.
|
All abstracts support period, NaN, and all permutations of Add() methods.
|
||||||
Indicator classess need to implement:
|
Indicator classess need to implement:
|
||||||
- Chaining constructor (Abstract's constructor executes first)
|
- Chaining constructor (Abstract's constructor executes first)
|
||||||
- Default Add(value) class
|
- Default Add(value) class
|
||||||
- optional Add(series) bulk insert class (for optimization of historical analysis)
|
- optional Add(series) bulk insert class (for optimization of historical analysis)
|
||||||
|
|
||||||
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
|
Single_TSeries_Indicator - one single-value TSeries in, one TSeries out.
|
||||||
Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
|
Pair_TSeries_Indicator - Two TSeries in, one TSeries out. (includes simple semaphoring)
|
||||||
Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
|
Single_TBars_Indicator - One OHLCV TBars in, one TSeries out.
|
||||||
|
|
||||||
@@ -42,11 +42,24 @@ public abstract class Single_TSeries_Indicator : TSeries
|
|||||||
|
|
||||||
public abstract class Pair_TSeries_Indicator : TSeries
|
public abstract class Pair_TSeries_Indicator : TSeries
|
||||||
{
|
{
|
||||||
|
protected readonly int _p;
|
||||||
|
protected readonly bool _NaN;
|
||||||
protected readonly TSeries _d1;
|
protected readonly TSeries _d1;
|
||||||
protected readonly TSeries _d2;
|
protected readonly TSeries _d2;
|
||||||
protected readonly double _dd1, _dd2;
|
protected readonly double _dd1, _dd2;
|
||||||
|
|
||||||
// Chainable Constructors - add them at the end of primary constructors if needed
|
// Chainable Constructors - add them at the end of primary constructors if needed
|
||||||
|
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2, int period, bool useNaN)
|
||||||
|
{
|
||||||
|
this._p = period;
|
||||||
|
this._NaN = useNaN;
|
||||||
|
this._d1 = source1;
|
||||||
|
this._d2 = source2;
|
||||||
|
this._dd1 = double.NaN;
|
||||||
|
this._dd2 = double.NaN;
|
||||||
|
this._d1.Pub += this.Sub;
|
||||||
|
this._d2.Pub += this.Sub;
|
||||||
|
}
|
||||||
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
|
protected Pair_TSeries_Indicator(TSeries source1, TSeries source2)
|
||||||
{
|
{
|
||||||
this._d1 = source1;
|
this._d1 = source1;
|
||||||
|
|||||||
+46
-53
@@ -1,54 +1,47 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
using System;
|
using System;
|
||||||
using System.Text.Json;
|
using System.Text.Json;
|
||||||
|
|
||||||
/* <summary>
|
/* <summary>
|
||||||
Yahoo Finance - Free API feed to collect daily market quotes
|
Yahoo Finance - Free API feed to collect daily market quotes
|
||||||
Parameters:
|
Parameters:
|
||||||
Symbol: stock symbol (default: "IBM")
|
Symbol: stock symbol (default: "IBM")
|
||||||
Period: number of days of collected history (default: 252)
|
Period: number of days of collected history (default: 252)
|
||||||
Usage:
|
Usage:
|
||||||
Yahoo_Feed ticker = new("MSFT", 20)
|
Yahoo_Feed ticker = new("MSFT", 20)
|
||||||
|
|
||||||
</summary> */
|
</summary> */
|
||||||
|
|
||||||
public class Yahoo_Feed : TBars
|
public class Yahoo_Feed : TBars
|
||||||
{
|
{
|
||||||
public Yahoo_Feed(string Symbol = "IBM", int Period = 252) {
|
public Yahoo_Feed(string Symbol = "IBM", int Period = 252) {
|
||||||
string requestUrl = "https://query1.finance.yahoo.com/v8/finance/chart/"+
|
string requestUrl = "https://query1.finance.yahoo.com/v8/finance/chart/"+
|
||||||
Symbol+"?interval=1d&period1="+
|
Symbol+"?interval=1d&period1="+
|
||||||
(int)new DateTimeOffset(DateTime.UtcNow.AddDays(-Period+1)).ToUnixTimeSeconds()+"&period2="+
|
(int)new DateTimeOffset(DateTime.UtcNow.AddDays(-Period+1)).ToUnixTimeSeconds()+"&period2="+
|
||||||
(int)new DateTimeOffset(DateTime.UtcNow).ToUnixTimeSeconds();
|
(int)new DateTimeOffset(DateTime.UtcNow).ToUnixTimeSeconds();
|
||||||
System.Net.Http.HttpClient client = new();
|
System.Net.Http.HttpClient client = new();
|
||||||
var msg = client.GetStringAsync(requestUrl).Result;
|
var msg = client.GetStringAsync(requestUrl).Result;
|
||||||
var jresult = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
|
var jresult = JsonSerializer.Deserialize<JsonDocument>(msg).RootElement;
|
||||||
JsonElement json = new();
|
|
||||||
JsonElement datetime = new();
|
jresult.TryGetProperty("chart",out JsonElement json);
|
||||||
JsonElement open = new();
|
json.TryGetProperty("result",out json);
|
||||||
JsonElement high = new();
|
json[0].TryGetProperty("timestamp",out JsonElement datetime);
|
||||||
JsonElement low = new();
|
json[0].TryGetProperty("indicators",out json);
|
||||||
JsonElement close = new();
|
json.TryGetProperty("quote",out json);
|
||||||
JsonElement volume = new();
|
json[0].TryGetProperty("open",out JsonElement open);
|
||||||
|
json[0].TryGetProperty("high",out JsonElement high);
|
||||||
jresult.TryGetProperty("chart",out json);
|
json[0].TryGetProperty("low",out JsonElement low);
|
||||||
json.TryGetProperty("result",out json);
|
json[0].TryGetProperty("close",out JsonElement close);
|
||||||
json[0].TryGetProperty("timestamp",out datetime);
|
json[0].TryGetProperty("volume",out JsonElement volume);
|
||||||
json[0].TryGetProperty("indicators",out json);
|
|
||||||
json.TryGetProperty("quote",out json);
|
for (int i=0; i<datetime.GetArrayLength(); i++) {
|
||||||
json[0].TryGetProperty("open",out open);
|
DateTime d = DateTimeOffset.FromUnixTimeSeconds(long.Parse(datetime[i].GetRawText())).DateTime;
|
||||||
json[0].TryGetProperty("high",out high);
|
double o = Math.Round(double.Parse(open[i].GetRawText()),3);
|
||||||
json[0].TryGetProperty("low",out low);
|
double h = Math.Round(double.Parse(high[i].GetRawText()),3);
|
||||||
json[0].TryGetProperty("close",out close);
|
double l = Math.Round(double.Parse(low[i].GetRawText()),3);
|
||||||
json[0].TryGetProperty("volume",out volume);
|
double c = Math.Round(double.Parse(close[i].GetRawText()),3);
|
||||||
|
double v = Math.Round(double.Parse(volume[i].GetRawText()),3);
|
||||||
for (int i=0; i<datetime.GetArrayLength(); i++) {
|
base.Add(d, o, h, l, c, v);
|
||||||
DateTime d = DateTimeOffset.FromUnixTimeSeconds(long.Parse(datetime[i].GetRawText())).DateTime;
|
}
|
||||||
double o = Math.Round(double.Parse(open[i].GetRawText()),3);
|
}
|
||||||
double h = Math.Round(double.Parse(high[i].GetRawText()),3);
|
|
||||||
double l = Math.Round(double.Parse(low[i].GetRawText()),3);
|
|
||||||
double c = Math.Round(double.Parse(close[i].GetRawText()),3);
|
|
||||||
double v = Math.Round(double.Parse(volume[i].GetRawText()),3);
|
|
||||||
base.Add(d, o, h, l, c, v);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
@@ -51,7 +51,11 @@
|
|||||||
<PackageIcon>QuanTAlib2.png</PackageIcon>
|
<PackageIcon>QuanTAlib2.png</PackageIcon>
|
||||||
<PackageIconUrl>https://raw.githubusercontent.com/mihakralj/QuanTAlib/main/.github/QuanTAlib2.png</PackageIconUrl>
|
<PackageIconUrl>https://raw.githubusercontent.com/mihakralj/QuanTAlib/main/.github/QuanTAlib2.png</PackageIconUrl>
|
||||||
<EnforceCodeStyleInBuild>True</EnforceCodeStyleInBuild>
|
<EnforceCodeStyleInBuild>True</EnforceCodeStyleInBuild>
|
||||||
|
<CodeAnalysisRuleSet>..\.sonarlint\mihakralj_quantalibcsharp.ruleset</CodeAnalysisRuleSet>
|
||||||
</PropertyGroup>
|
</PropertyGroup>
|
||||||
|
<ItemGroup>
|
||||||
|
<AdditionalFiles Include="..\.sonarlint\mihakralj_quantalib\CSharp\SonarLint.xml" Link="SonarLint.xml" />
|
||||||
|
</ItemGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<None Include="..\Docs\readme.md">
|
<None Include="..\Docs\readme.md">
|
||||||
<Pack>True</Pack>
|
<Pack>True</Pack>
|
||||||
@@ -64,10 +68,11 @@
|
|||||||
</None>
|
</None>
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
<ItemGroup>
|
<ItemGroup>
|
||||||
<PackageReference Include="System.Text.Json" Version="7.0.0" />
|
|
||||||
<PackageReference Include="GitVersion.MsBuild" Version="5.11.1">
|
<PackageReference Include="GitVersion.MsBuild" Version="5.11.1">
|
||||||
<PrivateAssets>All</PrivateAssets>
|
<PrivateAssets>all</PrivateAssets>
|
||||||
|
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
|
||||||
</PackageReference>
|
</PackageReference>
|
||||||
|
<PackageReference Include="System.Text.Json" Version="7.0.0" />
|
||||||
</ItemGroup>
|
</ItemGroup>
|
||||||
|
|
||||||
</Project>
|
</Project>
|
||||||
@@ -0,0 +1,70 @@
|
|||||||
|
namespace QuanTAlib;
|
||||||
|
using System;
|
||||||
|
|
||||||
|
/* <summary>
|
||||||
|
CORR: Pearson's Correlation Coefficient
|
||||||
|
PCC is a measure of linear correlation between two sets of data.
|
||||||
|
It is the ratio between the covariance of two variables and the product of
|
||||||
|
their standard deviations; it is essentially a normalized measurement of
|
||||||
|
the covariance, such that the result always has a value between −1 and 1.
|
||||||
|
|
||||||
|
Sources:
|
||||||
|
https://en.wikipedia.org/wiki/Pearson_correlation_coefficient
|
||||||
|
|
||||||
|
</summary> */
|
||||||
|
|
||||||
|
public class CORR_Series : Pair_TSeries_Indicator
|
||||||
|
{
|
||||||
|
public CORR_Series(TSeries d1, TSeries d2, int period, bool useNaN = false) : base(d1, d2, period, useNaN)
|
||||||
|
{
|
||||||
|
if (base._d1.Count > 0 && base._d2.Count > 0) { for (int i = 0; i < base._d1.Count; i++) { this.Add(base._d1[i], base._d2[i], false); } }
|
||||||
|
}
|
||||||
|
|
||||||
|
private readonly System.Collections.Generic.List<double> _x = new();
|
||||||
|
private readonly System.Collections.Generic.List<double> _xx = new();
|
||||||
|
private readonly System.Collections.Generic.List<double> _y = new();
|
||||||
|
private readonly System.Collections.Generic.List<double> _yy = new();
|
||||||
|
private readonly System.Collections.Generic.List<double> _xy = new();
|
||||||
|
|
||||||
|
public override void Add((System.DateTime t, double v) TValue1, (System.DateTime t, double v) TValue2, bool update)
|
||||||
|
{
|
||||||
|
if (update)
|
||||||
|
{
|
||||||
|
_x[_x.Count - 1] = TValue1.v;
|
||||||
|
_xx[_xx.Count - 1] = TValue1.v * TValue1.v;
|
||||||
|
_y[_y.Count - 1] = TValue2.v;
|
||||||
|
_y[_yy.Count - 1] = TValue2.v * TValue2.v;
|
||||||
|
_xy[_xy.Count - 1] = TValue1.v * TValue2.v;
|
||||||
|
}
|
||||||
|
else
|
||||||
|
{
|
||||||
|
_x.Add(TValue1.v);
|
||||||
|
_xx.Add(TValue1.v * TValue1.v);
|
||||||
|
_y.Add(TValue2.v);
|
||||||
|
_yy.Add(TValue2.v * TValue2.v);
|
||||||
|
_xy.Add(TValue1.v * TValue2.v);
|
||||||
|
}
|
||||||
|
if (_x.Count > this._p) { _x.RemoveAt(0); }
|
||||||
|
if (_xx.Count > this._p) { _xx.RemoveAt(0); }
|
||||||
|
if (_y.Count > this._p) { _y.RemoveAt(0); }
|
||||||
|
if (_yy.Count > this._p) { _yy.RemoveAt(0); }
|
||||||
|
if (_xy.Count > this._p) { _xy.RemoveAt(0); }
|
||||||
|
|
||||||
|
double _sumx = 0;
|
||||||
|
for (int i = 0; i < _x.Count; i++) { _sumx += _x[i]; }
|
||||||
|
double _sumxx = 0;
|
||||||
|
for (int i = 0; i < _xx.Count; i++) { _sumxx += _xx[i]; }
|
||||||
|
double _sumy = 0;
|
||||||
|
for (int i = 0; i < _y.Count; i++) { _sumy += _y[i]; }
|
||||||
|
double _sumyy = 0;
|
||||||
|
for (int i = 0; i < _yy.Count; i++) { _sumyy += _yy[i]; }
|
||||||
|
double _sumxy = 0;
|
||||||
|
for (int i = 0; i < _xy.Count; i++) { _sumxy += _xy[i]; }
|
||||||
|
|
||||||
|
double _div = (_sumxx - _sumx * _sumx / _p) * (_sumyy - _sumy * _sumy / _p);
|
||||||
|
double _cor = (_div != 0) ? (_sumxy - _sumx * _sumy / _p) / Math.Sqrt(_div) : 0.0;
|
||||||
|
|
||||||
|
var result = (TValue1.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _cor);
|
||||||
|
if (update) { base[base.Count - 1] = result; } else { base.Add(result); }
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -1,96 +1,93 @@
|
|||||||
namespace QuanTAlib;
|
namespace QuanTAlib;
|
||||||
using System;
|
using System;
|
||||||
|
|
||||||
/* <summary>
|
/* <summary>
|
||||||
LINREG: Linear Regression (using Least Square Method)
|
LINREG: Linear Regression (using Least Square Method)
|
||||||
Linear Regression provides a slope of a straight line that is the best approximation of the given set of data.
|
Linear Regression provides a slope of a straight line that is the best approximation of the given set of data.
|
||||||
The method of least squares is a standard approach in linear regression analysis to approximate the solution
|
The method of least squares is a standard approach in linear regression analysis to approximate the solution
|
||||||
by minimizing the sum of the squares of the residuals made in the results of each individual equation.
|
by minimizing the sum of the squares of the residuals made in the results of each individual equation.
|
||||||
|
|
||||||
Additional outputs provided by LINREG:
|
Additional outputs provided by LINREG:
|
||||||
.Intercept - y-intercept point of the best fit line
|
.Intercept - y-intercept point of the best fit line
|
||||||
.RSquared - R-Squared (R²), Coefficient of Determination
|
.RSquared - R-Squared (R²), Coefficient of Determination
|
||||||
.StdDev - Standard Deviation of data over given periods
|
.StdDev - Standard Deviation of data over given periods
|
||||||
|
|
||||||
y = Slope * x + Intercept
|
y = Slope * x + Intercept
|
||||||
|
|
||||||
Sources:
|
Sources:
|
||||||
https://en.wikipedia.org/wiki/Least_squares
|
https://en.wikipedia.org/wiki/Least_squares
|
||||||
|
|
||||||
</summary> */
|
</summary> */
|
||||||
|
|
||||||
public class LINREG_Series : Single_TSeries_Indicator
|
public class LINREG_Series : Single_TSeries_Indicator
|
||||||
{
|
{
|
||||||
public TSeries Intercept { get; }
|
public readonly TSeries Intercept = new();
|
||||||
public TSeries RSquared { get; }
|
public readonly TSeries RSquared = new();
|
||||||
public TSeries StdDev { get; }
|
public readonly TSeries StdDev = new();
|
||||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||||
|
|
||||||
public LINREG_Series(TSeries source, int period, bool useNaN = false)
|
public LINREG_Series(TSeries source, int period, bool useNaN = false)
|
||||||
: base(source, period, useNaN)
|
: base(source, period, useNaN)
|
||||||
{
|
{
|
||||||
this.Intercept = new();
|
if (this._data.Count > 0) { base.Add(this._data); }
|
||||||
this.RSquared = new();
|
}
|
||||||
this.StdDev = new();
|
|
||||||
if (this._data.Count > 0) { base.Add(this._data); }
|
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||||
}
|
{
|
||||||
|
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
else { this._buffer.Add(TValue.v); }
|
||||||
{
|
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
|
||||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
|
||||||
else { this._buffer.Add(TValue.v); }
|
int _len = this._buffer.Count;
|
||||||
if (this._buffer.Count > this._p) { this._buffer.RemoveAt(0); }
|
|
||||||
|
// get averages for period
|
||||||
int _len = this._buffer.Count;
|
double sumX = 0;
|
||||||
|
double sumY = 0;
|
||||||
// get averages for period
|
|
||||||
double sumX = 0;
|
for (int p = 0; p < _len; p++)
|
||||||
double sumY = 0;
|
{
|
||||||
|
sumX += this.Count - _len + 2 + p;
|
||||||
for (int p = 0; p < _len; p++)
|
sumY += _buffer[p];
|
||||||
{
|
}
|
||||||
sumX += this.Count - _len + 2 + p;
|
double avgX = sumX / _len;
|
||||||
sumY += _buffer[p];
|
double avgY = sumY / _len;
|
||||||
}
|
|
||||||
double avgX = sumX / _len;
|
// least squares method
|
||||||
double avgY = sumY / _len;
|
double sumSqX = 0;
|
||||||
|
double sumSqY = 0;
|
||||||
// least squares method
|
double sumSqXY = 0;
|
||||||
double sumSqX = 0;
|
|
||||||
double sumSqY = 0;
|
for (int p = 0; p < _len; p++)
|
||||||
double sumSqXY = 0;
|
{
|
||||||
|
double devX = this.Count - _len + 2 + p - avgX;
|
||||||
for (int p = 0; p < _len; p++)
|
double devY = _buffer[p] - avgY;
|
||||||
{
|
|
||||||
double devX = this.Count - _len + 2 + p - avgX;
|
sumSqX += devX * devX;
|
||||||
double devY = _buffer[p] - avgY;
|
sumSqY += devY * devY;
|
||||||
|
sumSqXY += devX * devY;
|
||||||
sumSqX += devX * devX;
|
}
|
||||||
sumSqY += devY * devY;
|
|
||||||
sumSqXY += devX * devY;
|
double _slope = sumSqXY / sumSqX;
|
||||||
}
|
double _intercept = avgY - (_slope * avgX);
|
||||||
|
|
||||||
double _slope = sumSqXY / sumSqX;
|
// calculate Standard Deviation and R-Squared
|
||||||
double _intercept = avgY - (_slope * avgX);
|
double stdDevX = Math.Sqrt(sumSqX / _len);
|
||||||
|
double stdDevY = Math.Sqrt(sumSqY / _len);
|
||||||
// calculate Standard Deviation and R-Squared
|
double _StdDev = stdDevY;
|
||||||
double stdDevX = Math.Sqrt(sumSqX / _len);
|
|
||||||
double stdDevY = Math.Sqrt(sumSqY / _len);
|
double arrr = (stdDevX * stdDevY != 0) ? sumSqXY / (stdDevX * stdDevY) / _len : 0;
|
||||||
double _StdDev = stdDevY;
|
double _RSquared = arrr * arrr;
|
||||||
|
|
||||||
double arrr = (stdDevX * stdDevY != 0) ? sumSqXY / (stdDevX * stdDevY) / _len : 0;
|
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _slope);
|
||||||
double _RSquared = arrr * arrr;
|
base.Add(ret, update);
|
||||||
|
|
||||||
var ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _slope);
|
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _intercept);
|
||||||
base.Add(ret, update);
|
Intercept.Add(ret, update);
|
||||||
|
|
||||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _intercept);
|
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _StdDev);
|
||||||
Intercept.Add(ret, update);
|
StdDev.Add(ret, update);
|
||||||
|
|
||||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _StdDev);
|
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _RSquared);
|
||||||
StdDev.Add(ret, update);
|
RSquared.Add(ret, update);
|
||||||
|
}
|
||||||
ret = (TValue.t, this.Count < this._p - 1 && this._NaN ? double.NaN : _RSquared);
|
|
||||||
RSquared.Add(ret, update);
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
@@ -0,0 +1,51 @@
|
|||||||
|
namespace QuanTAlib;
|
||||||
|
using System;
|
||||||
|
|
||||||
|
/* <summary>
|
||||||
|
ZSCORE: number of standard deviations from SMA
|
||||||
|
Z-score describes a value's relationship to the mean of a series, as measured in
|
||||||
|
terms of standard deviations from the mean. If a Z-score is 0, it indicates that
|
||||||
|
the data point's score is identical to the mean score. A Z-score of 1.0 would
|
||||||
|
indicate a value that is one standard deviation from the mean. Z-scores may be
|
||||||
|
positive or negative, with a positive value indicating the score is above the
|
||||||
|
mean and a negative score indicating it is below the mean.
|
||||||
|
|
||||||
|
Sources:
|
||||||
|
https://en.wikipedia.org/wiki/Z-score
|
||||||
|
https://www.investopedia.com/terms/z/zscore.asp
|
||||||
|
|
||||||
|
Calculation:
|
||||||
|
std = std * STDEV(close, length)
|
||||||
|
mean = SMA(close, length)
|
||||||
|
ZSCORE = (close - mean) / std
|
||||||
|
|
||||||
|
</summary> */
|
||||||
|
|
||||||
|
public class ZSCORE_Series : Single_TSeries_Indicator
|
||||||
|
{
|
||||||
|
public ZSCORE_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
|
||||||
|
{
|
||||||
|
if (base._data.Count > 0) { base.Add(base._data); }
|
||||||
|
}
|
||||||
|
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||||
|
|
||||||
|
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||||
|
{
|
||||||
|
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
|
||||||
|
else { _buffer.Add(TValue.v); }
|
||||||
|
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
|
||||||
|
|
||||||
|
double _sma = 0;
|
||||||
|
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
|
||||||
|
_sma /= this._buffer.Count;
|
||||||
|
|
||||||
|
double _pvar = 0;
|
||||||
|
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
|
||||||
|
_pvar /= this._buffer.Count;
|
||||||
|
double _psdev = Math.Sqrt(_pvar);
|
||||||
|
double _zscore = (_psdev == 0) ? double.NaN : (TValue.v - _sma) / _psdev;
|
||||||
|
|
||||||
|
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _zscore);
|
||||||
|
base.Add(result, update);
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -57,8 +57,9 @@ public class PandasTA : IDisposable
|
|||||||
|
|
||||||
public void Dispose()
|
public void Dispose()
|
||||||
{
|
{
|
||||||
PythonEngine.Shutdown();
|
PythonEngine.Shutdown();
|
||||||
}
|
GC.SuppressFinalize(this);
|
||||||
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
void HL2()
|
void HL2()
|
||||||
@@ -191,10 +192,34 @@ public class PandasTA : IDisposable
|
|||||||
{
|
{
|
||||||
TEMA_Series QL = new(bars.Close, period, false);
|
TEMA_Series QL = new(bars.Close, period, false);
|
||||||
var pta = df.ta.tema(close: df.close, length: period);
|
var pta = df.ta.tema(close: df.close, length: period);
|
||||||
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
Assert.Equal(Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
|
void SDEV()
|
||||||
|
{
|
||||||
|
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
|
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
|
||||||
|
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
||||||
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
void SSDEV()
|
||||||
|
{
|
||||||
|
SSDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
|
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
|
||||||
|
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
||||||
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
void ZSCORE()
|
||||||
|
{
|
||||||
|
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
|
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
|
||||||
|
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
||||||
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
void ENTP()
|
void ENTP()
|
||||||
{
|
{
|
||||||
ENTP_Series QL = new(bars.Close, period, useNaN: false);
|
ENTP_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
|
|||||||
+301
-274
@@ -5,278 +5,305 @@ using Xunit;
|
|||||||
|
|
||||||
namespace Validations;
|
namespace Validations;
|
||||||
public class Skender_Stock
|
public class Skender_Stock
|
||||||
{
|
{
|
||||||
private readonly GBM_Feed bars;
|
private readonly GBM_Feed bars;
|
||||||
private readonly Random rnd = new();
|
private readonly Random rnd = new();
|
||||||
private readonly int period;
|
private readonly int period;
|
||||||
private readonly IEnumerable<Quote> quotes;
|
private readonly IEnumerable<Quote> quotes;
|
||||||
|
|
||||||
public Skender_Stock()
|
public Skender_Stock()
|
||||||
{
|
{
|
||||||
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
||||||
period = rnd.Next(28) + 3;
|
period = rnd.Next(28) + 3;
|
||||||
quotes = bars.Select(
|
quotes = bars.Select(
|
||||||
q => new Quote
|
q => new Quote
|
||||||
{
|
{
|
||||||
Date = q.t,
|
Date = q.t,
|
||||||
Open = (decimal)q.o,
|
Open = (decimal)q.o,
|
||||||
High = (decimal)q.h,
|
High = (decimal)q.h,
|
||||||
Low = (decimal)q.l,
|
Low = (decimal)q.l,
|
||||||
Close = (decimal)q.c,
|
Close = (decimal)q.c,
|
||||||
Volume = (decimal)q.v
|
Volume = (decimal)q.v
|
||||||
});
|
});
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SMA()
|
public void SMA()
|
||||||
{
|
{
|
||||||
SMA_Series QL = new(bars.Close, period, false);
|
SMA_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetSma(period);
|
var SK = quotes.GetSma(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void EMA()
|
public void EMA()
|
||||||
{
|
{
|
||||||
EMA_Series QL = new(bars.Close, period, false);
|
EMA_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetEma(period);
|
var SK = quotes.GetEma(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
[Fact]
|
[Fact]
|
||||||
public void WMA()
|
public void WMA()
|
||||||
{
|
{
|
||||||
WMA_Series QL = new(bars.Close, period, false);
|
WMA_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetWma(period);
|
var SK = quotes.GetWma(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void DEMA()
|
public void DEMA()
|
||||||
{
|
{
|
||||||
DEMA_Series QL = new(bars.Close, period, false);
|
DEMA_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetDema(period);
|
var SK = quotes.GetDema(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void TEMA()
|
public void TEMA()
|
||||||
{
|
{
|
||||||
TEMA_Series QL = new(bars.Close, period, false);
|
TEMA_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetTema(period);
|
var SK = quotes.GetTema(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MAD()
|
public void MAD()
|
||||||
{
|
{
|
||||||
MAD_Series QL = new(bars.Close, period, false);
|
MAD_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetSmaAnalysis(period);
|
var SK = quotes.GetSmaAnalysis(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MAPE()
|
public void MSE()
|
||||||
{
|
{
|
||||||
MAPE_Series QL = new(bars.Close, period, false);
|
MSE_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetSmaAnalysis(period);
|
var SK = quotes.GetSmaAnalysis(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ATR()
|
public void MAPE()
|
||||||
{
|
{
|
||||||
ATR_Series QL = new(bars, period, false);
|
MAPE_Series QL = new(bars.Close, period, false);
|
||||||
var SK = quotes.GetAtr(period);
|
var SK = quotes.GetSmaAnalysis(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void OBV()
|
public void CORR()
|
||||||
{
|
{
|
||||||
OBV_Series QL = new(bars, period, false);
|
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||||
var SK = quotes.GetObv(period);
|
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
|
||||||
|
|
||||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
|
||||||
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
}
|
||||||
Math.Round(QL.Last().v, 5));
|
|
||||||
}
|
[Fact]
|
||||||
|
public void ATR()
|
||||||
[Fact]
|
{
|
||||||
public void ADL()
|
ATR_Series QL = new(bars, period, false);
|
||||||
{
|
var SK = quotes.GetAtr(period);
|
||||||
ADL_Series QL = new(bars, false);
|
|
||||||
var SK = quotes.GetAdl();
|
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
||||||
|
}
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
|
||||||
}
|
[Fact]
|
||||||
|
public void OBV()
|
||||||
[Fact]
|
{
|
||||||
public void CCI()
|
OBV_Series QL = new(bars, period, false);
|
||||||
{
|
var SK = quotes.GetObv(period);
|
||||||
CCI_Series QL = new(bars, period, false);
|
|
||||||
var SK = quotes.GetCci(period);
|
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||||
|
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
Math.Round(QL.Last().v, 5));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ATRP()
|
public void ADL()
|
||||||
{
|
{
|
||||||
ATRP_Series QL = new(bars, period, false);
|
ADL_Series QL = new(bars, false);
|
||||||
var SK = quotes.GetAtr(period);
|
var SK = quotes.GetAdl();
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void KAMA()
|
public void CCI()
|
||||||
{
|
{
|
||||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
CCI_Series QL = new(bars, period, false);
|
||||||
var SK = quotes.GetKama(period);
|
var SK = quotes.GetCci(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void HMA()
|
public void ATRP()
|
||||||
{
|
{
|
||||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
ATRP_Series QL = new(bars, period, false);
|
||||||
var SK = quotes.GetHma(period);
|
var SK = quotes.GetAtr(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SMMA()
|
public void KAMA()
|
||||||
{
|
{
|
||||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
var SK = quotes.GetSmma(period);
|
var SK = quotes.GetKama(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MACD()
|
public void HMA()
|
||||||
{
|
{
|
||||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
var SK = quotes.GetMacd(12, 26, 9);
|
var SK = quotes.GetHma(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
}
|
||||||
}
|
|
||||||
|
[Fact]
|
||||||
[Fact]
|
public void SMMA()
|
||||||
public void BBANDS()
|
{
|
||||||
{
|
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
var SK = quotes.GetSmma(period);
|
||||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
|
||||||
|
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
}
|
||||||
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
[Fact]
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
public void MACD()
|
||||||
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
{
|
||||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||||
}
|
var SK = quotes.GetMacd(12, 26, 9);
|
||||||
|
|
||||||
[Fact]
|
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
||||||
public void RSI()
|
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
||||||
{
|
}
|
||||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
|
||||||
var SK = quotes.GetRsi(period);
|
[Fact]
|
||||||
|
public void BBANDS()
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
{
|
||||||
}
|
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||||
|
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||||
[Fact]
|
|
||||||
public void ALMA()
|
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
||||||
{
|
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
||||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
||||||
var SK = quotes.GetAlma(period);
|
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
||||||
|
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SDEV()
|
public void RSI()
|
||||||
{
|
{
|
||||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
var SK = quotes.GetStdDev(period);
|
var SK = quotes.GetRsi(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void LINREG()
|
public void ALMA()
|
||||||
{
|
{
|
||||||
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
var SK = quotes.GetSlope(period);
|
var SK = quotes.GetAlma(period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
}
|
||||||
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
[Fact]
|
||||||
}
|
public void SDEV()
|
||||||
|
{
|
||||||
[Fact]
|
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
public void TR()
|
var SK = quotes.GetStdDev(period);
|
||||||
{
|
|
||||||
TR_Series QL = new(bars, useNaN: false);
|
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
||||||
var SK = quotes.GetTr();
|
}
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
[Fact]
|
||||||
}
|
public void ZSCORE()
|
||||||
|
{
|
||||||
[Fact]
|
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
public void HL2()
|
var SK = quotes.GetStdDev(period);
|
||||||
{
|
|
||||||
TSeries QL = bars.HL2;
|
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
|
||||||
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
}
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
[Fact]
|
||||||
}
|
public void LINREG()
|
||||||
|
{
|
||||||
[Fact]
|
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
||||||
public void OC2()
|
var SK = quotes.GetSlope(period);
|
||||||
{
|
|
||||||
TSeries QL = bars.OC2;
|
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
||||||
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
||||||
|
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void HLC3()
|
public void TR()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.HLC3;
|
TR_Series QL = new(bars, useNaN: false);
|
||||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
var SK = quotes.GetTr();
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void OHL3()
|
public void HL2()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.OHL3;
|
TSeries QL = bars.HL2;
|
||||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void OHLC4()
|
public void OC2()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.OHLC4;
|
TSeries QL = bars.OC2;
|
||||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
||||||
|
|
||||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||||
}
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
public void HLC3()
|
||||||
|
{
|
||||||
|
TSeries QL = bars.HLC3;
|
||||||
|
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
||||||
|
|
||||||
|
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||||
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
public void OHL3()
|
||||||
|
{
|
||||||
|
TSeries QL = bars.OHL3;
|
||||||
|
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
||||||
|
|
||||||
|
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||||
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
public void OHLC4()
|
||||||
|
{
|
||||||
|
TSeries QL = bars.OHLC4;
|
||||||
|
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
||||||
|
|
||||||
|
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||||
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
+310
-301
@@ -5,305 +5,314 @@ using QuanTAlib;
|
|||||||
|
|
||||||
namespace Validations;
|
namespace Validations;
|
||||||
public class TA_LIB
|
public class TA_LIB
|
||||||
{
|
{
|
||||||
private readonly GBM_Feed bars;
|
private readonly GBM_Feed bars;
|
||||||
private readonly Random rnd = new();
|
private readonly Random rnd = new();
|
||||||
private readonly int period;
|
private readonly int period;
|
||||||
private readonly double[] TALIB;
|
private readonly double[] TALIB;
|
||||||
private readonly double[] inopen;
|
private readonly double[] inopen;
|
||||||
private readonly double[] inhigh;
|
private readonly double[] inhigh;
|
||||||
private readonly double[] inlow;
|
private readonly double[] inlow;
|
||||||
private readonly double[] inclose;
|
private readonly double[] inclose;
|
||||||
private readonly double[] involume;
|
private readonly double[] involume;
|
||||||
|
|
||||||
public TA_LIB()
|
public TA_LIB()
|
||||||
{
|
{
|
||||||
bars = new(5000);
|
bars = new(5000);
|
||||||
period = rnd.Next(28) + 3;
|
period = rnd.Next(28) + 3;
|
||||||
TALIB = new double[bars.Count];
|
TALIB = new double[bars.Count];
|
||||||
inopen = bars.Open.v.ToArray();
|
inopen = bars.Open.v.ToArray();
|
||||||
inhigh = bars.High.v.ToArray();
|
inhigh = bars.High.v.ToArray();
|
||||||
inlow = bars.Low.v.ToArray();
|
inlow = bars.Low.v.ToArray();
|
||||||
inclose = bars.Close.v.ToArray();
|
inclose = bars.Close.v.ToArray();
|
||||||
involume = bars.Volume.v.ToArray();
|
involume = bars.Volume.v.ToArray();
|
||||||
}
|
}
|
||||||
|
|
||||||
/////////////////////////////////////////
|
/////////////////////////////////////////
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ADD()
|
public void ADD()
|
||||||
{
|
{
|
||||||
ADD_Series QL = new(bars.Open, bars.Close);
|
ADD_Series QL = new(bars.Open, bars.Close);
|
||||||
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SUB()
|
public void SUB()
|
||||||
{
|
{
|
||||||
SUB_Series QL = new(bars.Open, bars.Close);
|
SUB_Series QL = new(bars.Open, bars.Close);
|
||||||
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MUL()
|
public void MUL()
|
||||||
{
|
{
|
||||||
MUL_Series QL = new(bars.Open, bars.Close);
|
MUL_Series QL = new(bars.Open, bars.Close);
|
||||||
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void DIV()
|
public void DIV()
|
||||||
{
|
{
|
||||||
DIV_Series QL = new(bars.Open, bars.Close);
|
DIV_Series QL = new(bars.Open, bars.Close);
|
||||||
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SDEV()
|
public void CORR()
|
||||||
{
|
{
|
||||||
SDEV_Series QL = new(bars.Close, period, false);
|
CORR_Series QL = new(bars.Open, bars.Close, period);
|
||||||
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SMA()
|
public void SDEV()
|
||||||
{
|
{
|
||||||
SMA_Series QL = new(bars.Close, period, false);
|
SDEV_Series QL = new(bars.Close, period, false);
|
||||||
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SUM()
|
public void SMA()
|
||||||
{
|
{
|
||||||
SUM_Series QL = new(bars.Close, period, false);
|
SMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MIDPRICE()
|
public void SUM()
|
||||||
{
|
{
|
||||||
MIDPRICE_Series QL = new(bars, period, false);
|
SUM_Series QL = new(bars.Close, period, false);
|
||||||
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
[Fact]
|
public void MIDPRICE()
|
||||||
public void VAR()
|
{
|
||||||
{
|
MIDPRICE_Series QL = new(bars, period, false);
|
||||||
VAR_Series QL = new(bars.Close, period, false);
|
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
|
||||||
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 5, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 5));
|
}
|
||||||
}
|
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MIDPOINT()
|
public void VAR()
|
||||||
{
|
{
|
||||||
MIDPOINT_Series QL = new(bars.Close, period, false);
|
VAR_Series QL = new(bars.Close, period, false);
|
||||||
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 5, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 5));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void TRIMA()
|
public void MIDPOINT()
|
||||||
{
|
{
|
||||||
TRIMA_Series QL = new(bars.Close, period, false);
|
MIDPOINT_Series QL = new(bars.Close, period, false);
|
||||||
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void EMA()
|
public void TRIMA()
|
||||||
{
|
{
|
||||||
EMA_Series QL = new(bars.Close, period, false);
|
TRIMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void WMA()
|
public void EMA()
|
||||||
{
|
{
|
||||||
WMA_Series QL = new(bars.Close, period, false);
|
EMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void DEMA()
|
public void WMA()
|
||||||
{
|
{
|
||||||
DEMA_Series QL = new(bars.Close, period, false);
|
WMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void TEMA()
|
public void DEMA()
|
||||||
{
|
{
|
||||||
TEMA_Series QL = new(bars.Close, period, false);
|
DEMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MAX()
|
public void TEMA()
|
||||||
{
|
{
|
||||||
MAX_Series QL = new(bars.Close, period, false);
|
TEMA_Series QL = new(bars.Close, period, false);
|
||||||
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MIN()
|
public void MAX()
|
||||||
{
|
{
|
||||||
MIN_Series QL = new(bars.Close, period, false);
|
MAX_Series QL = new(bars.Close, period, false);
|
||||||
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ADL()
|
public void MIN()
|
||||||
{
|
{
|
||||||
ADL_Series QL = new(bars, false);
|
MIN_Series QL = new(bars.Close, period, false);
|
||||||
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void OBV()
|
public void ADL()
|
||||||
{
|
{
|
||||||
OBV_Series QL = new(bars, period, false);
|
ADL_Series QL = new(bars, false);
|
||||||
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ADOSC()
|
public void OBV()
|
||||||
{
|
{
|
||||||
ADOSC_Series QL = new(bars, false);
|
OBV_Series QL = new(bars, period, false);
|
||||||
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void ATR()
|
public void ADOSC()
|
||||||
{
|
{
|
||||||
ATR_Series QL = new(bars, period, false);
|
ADOSC_Series QL = new(bars, false);
|
||||||
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void CCI()
|
public void ATR()
|
||||||
{
|
{
|
||||||
CCI_Series QL = new(bars, period, false);
|
ATR_Series QL = new(bars, period, false);
|
||||||
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void RSI()
|
public void CCI()
|
||||||
{
|
{
|
||||||
RSI_Series QL = new(bars.Close, period, false);
|
CCI_Series QL = new(bars, period, false);
|
||||||
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void TR()
|
public void RSI()
|
||||||
{
|
{
|
||||||
TR_Series QL = new(bars, false);
|
RSI_Series QL = new(bars.Close, period, false);
|
||||||
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void MACD()
|
public void TR()
|
||||||
{
|
{
|
||||||
double[] macdSignal = new double[bars.Count];
|
TR_Series QL = new(bars, false);
|
||||||
double[] macdHist = new double[bars.Count];
|
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
|
||||||
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
}
|
||||||
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Signal.Last().v, 6, MidpointRounding.AwayFromZero));
|
|
||||||
}
|
[Fact]
|
||||||
|
public void MACD()
|
||||||
[Fact]
|
{
|
||||||
public void BBANDS()
|
double[] macdSignal = new double[bars.Count];
|
||||||
{
|
double[] macdHist = new double[bars.Count];
|
||||||
double[] outMiddle = new double[bars.Count];
|
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
||||||
double[] outUpper = new double[bars.Count];
|
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
|
||||||
double[] outLower = new double[bars.Count];
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
|
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Signal.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
}
|
||||||
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Upper.Last().v, 6, MidpointRounding.AwayFromZero));
|
|
||||||
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Mid.Last().v, 6, MidpointRounding.AwayFromZero));
|
[Fact]
|
||||||
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero));
|
public void BBANDS()
|
||||||
}
|
{
|
||||||
|
double[] outMiddle = new double[bars.Count];
|
||||||
[Fact]
|
double[] outUpper = new double[bars.Count];
|
||||||
public void HL2()
|
double[] outLower = new double[bars.Count];
|
||||||
{
|
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
|
||||||
TSeries QL = bars.HL2;
|
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
||||||
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Upper.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
|
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Mid.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void HLC3()
|
public void HL2()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.HLC3;
|
TSeries QL = bars.HL2;
|
||||||
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void OHLC4()
|
public void HLC3()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.OHLC4;
|
TSeries QL = bars.HLC3;
|
||||||
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void HLCC4()
|
public void OHLC4()
|
||||||
{
|
{
|
||||||
TSeries QL = bars.HLCC4;
|
TSeries QL = bars.OHLC4;
|
||||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
}
|
}
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
public void HLCC4()
|
||||||
|
{
|
||||||
|
TSeries QL = bars.HLCC4;
|
||||||
|
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||||
|
|
||||||
|
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||||
|
}
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -1,87 +0,0 @@
|
|||||||
|
|
||||||
## 1. Prepare the Peloton tablet
|
|
||||||
|
|
||||||
Stop Peloton overlay app:
|
|
||||||
- tap on Settings in the top right corner and select Device Settings
|
|
||||||
- tap Apps and scroll down to find and tap Peloton app (not Peloton Launcher, just Peloton)
|
|
||||||
- tap FORCE STOP to stop the app overlay
|
|
||||||
- confrm by tapping OK
|
|
||||||
|
|
||||||
Turn on developer mode
|
|
||||||
- return to Settings page
|
|
||||||
- tap About tablet in System section
|
|
||||||
- tap Build number repeatedly until you activate developer mode
|
|
||||||
|
|
||||||
Enable USB debugging
|
|
||||||
- return to Settings page
|
|
||||||
- tap (now visible) Developer options in System section
|
|
||||||
- scroll down to find USB Debugging option
|
|
||||||
- Enable USB debugging
|
|
||||||
- Confirm by tapping OK
|
|
||||||
|
|
||||||
## 3. Prepare the PC with Zwift/Rouvy
|
|
||||||
|
|
||||||
- Create your Splashtop account https://my.splashtop.com/login
|
|
||||||
- Download and install Splashtop Streamer https://www.splashtop.com/downloads#pers
|
|
||||||
- Download Android Platform Tools https://developer.android.com/studio/releases/platform-tools
|
|
||||||
- Download Nova launcher APK (or any other launcher that works on Android 7) https://apkpure.com/nova-launcher/com.teslacoilsw.launcher/download/62019-APK
|
|
||||||
- Download Splashtop APK https://apkpure.com/splashtop-personal-access/com.splashtop.remote.pad.v2
|
|
||||||
- Unzip Android tools into a new folder
|
|
||||||
- move both APKs to the same folder
|
|
||||||
- Run Command Prompt (CMD) and move to the same folder
|
|
||||||
- Launch Android Debuging Bridge: adb start-server
|
|
||||||
- Connect PC and Peloton tablet with USB cable
|
|
||||||
- Peloton tablet will check for confirmation; Accept debugging over USB
|
|
||||||
- Verify connectivity on PC in the Command window: adb devices
|
|
||||||
|
|
||||||
## 4. Side-load APKs
|
|
||||||
|
|
||||||
- Execute the following three commands on PC:
|
|
||||||
adb shell settings put secure install_non_market_apps 1
|
|
||||||
adb install <name_of_nova_launcher.apk>
|
|
||||||
adb install <name_of_splashtop.apk>
|
|
||||||
- Disconnect USB cable
|
|
||||||
- On Peloton tablet tap Peloton 'P' logo at the bottom
|
|
||||||
- Select Nova as a default launcher
|
|
||||||
- Accept all defaults for Nova launcher - you can customize it later
|
|
||||||
|
|
||||||
|
|
||||||
- (optional) Bring Peloton and Splashtop icons to the main page of Nova launcher
|
|
||||||
- Choosing Peloton launches Peloton app; Choosing Splashtop launches Splashtop app
|
|
||||||
- Swiping down from the top of the screen reveals the hidden 'P' launcher button
|
|
||||||
|
|
||||||
## 5. Connect Peloton tablet and PC
|
|
||||||
|
|
||||||
- Launch Splashtop app on Peloton tablet
|
|
||||||
- Login with Splashtop credentials
|
|
||||||
- Connect to PC that runs Splashtop streamer (and Zwift/Rouvy)
|
|
||||||
- Launch Zwift/Rouvy
|
|
||||||
|
|
||||||
## 5. Enable sensors
|
|
||||||
|
|
||||||
- (optional): buy ANT+ USB dongle https://www.amazon.com/s?k=ant%2B+USB+stick
|
|
||||||
|
|
||||||
Peloton Tread:
|
|
||||||
Speed: Runn https://npe-inc.com/runn-smart-treadmill-sensor-2/
|
|
||||||
(or Stryd https://www.stryd.com/us/en)
|
|
||||||
Cadence: Garmin foodpod (or Stryd)
|
|
||||||
Heartrate: any HR monitor (BT or ANT+) https://www.amazon.com/s?k=bluetooth+HR+monitor
|
|
||||||
Power: Stryd
|
|
||||||
|
|
||||||
Peloton Bike (gen1):
|
|
||||||
Power & Cadence: DFC (Data Fitness Connector) https://www.crowdsupply.com/intelligenate/data-fitness-connector
|
|
||||||
Heartrate:vany HR monitor (BT or ANT+)
|
|
||||||
|
|
||||||
## 6. Navigation
|
|
||||||
|
|
||||||
Nova is now a default launcher on Android tablet, but on Tread we need to run Peloton app in the background to prevent locking of treadmill:
|
|
||||||
|
|
||||||
- Launch Peloton app
|
|
||||||
- Swipe down from the top and return to Nova launcher
|
|
||||||
- Launch Splashtop app
|
|
||||||
- Connect to PC
|
|
||||||
- Launch Zwift or Rouvy
|
|
||||||
- Connect all sensors
|
|
||||||
- Run/Ride!
|
|
||||||
|
|
||||||
|
|
||||||
+29
-29
@@ -38,13 +38,13 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
|
|||||||
| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
||||||
|--|:--:|:--:|:--:|:--:|
|
|--|:--:|:--:|:--:|:--:|
|
||||||
| ⭐ OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 ||
|
| ⭐ OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 ||
|
||||||
| ⭐ HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 ||
|
| ⭐ HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 | hl2 |
|
||||||
| ⭐ HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 ||
|
| ⭐ HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 | hlc3 |
|
||||||
| ⭐ OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 ||
|
| ⭐ OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 ||
|
||||||
| ⭐ OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 ||
|
| ⭐ OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 | ohlc4 |
|
||||||
| ⭐ HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 ||
|
| ⭐ HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 ||
|
||||||
| ⭐ MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT |||
|
| ⭐ MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT || midpoint |
|
||||||
| ⭐ MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE |||
|
| ⭐ MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE || midprice |
|
||||||
| ⭐ MAX - Max value | `MAX_Series` | MAX |||
|
| ⭐ MAX - Max value | `MAX_Series` | MAX |||
|
||||||
| ⭐ MIN - Min value | `MIN_Series` | MIN |||
|
| ⭐ MIN - Min value | `MIN_Series` | MIN |||
|
||||||
| ⭐ SUM - Summation | `SUM_Series` | SUM |||
|
| ⭐ SUM - Summation | `SUM_Series` | SUM |||
|
||||||
@@ -55,7 +55,7 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
|
|||||||
|||||
|
|||||
|
||||||
| **STATISTICS & NUMERICAL ANALYSIS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
| **STATISTICS & NUMERICAL ANALYSIS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
||||||
| ⭐ BIAS - Bias | `BIAS_Series` ||| bias |
|
| ⭐ BIAS - Bias | `BIAS_Series` ||| bias |
|
||||||
| ⛔ CORREL - Pearson's Correlation Coefficient || CORREL | GetCorrelation ||
|
| ⭐ CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation ||
|
||||||
| ⛔ COVAR - Covariance ||| GetCorrelation ||
|
| ⛔ COVAR - Covariance ||| GetCorrelation ||
|
||||||
| ⭐ ENTP - Entropy | `ENTP_Series` ||| entropy |
|
| ⭐ ENTP - Entropy | `ENTP_Series` ||| entropy |
|
||||||
| ⭐ KURT - Kurtosis | `KURT_Series` ||| kurtosis |
|
| ⭐ KURT - Kurtosis | `KURT_Series` ||| kurtosis |
|
||||||
@@ -63,54 +63,54 @@ See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/gett
|
|||||||
| ⭐ MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad |
|
| ⭐ MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad |
|
||||||
| ⭐ MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma ||
|
| ⭐ MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma ||
|
||||||
| ⭐ MED - Median value | `MED_Series` ||| median |
|
| ⭐ MED - Median value | `MED_Series` ||| median |
|
||||||
| ✔️ MSE - Mean Squared Error | `MSE_Series` || GetSma ||
|
| ⭐ MSE - Mean Squared Error | `MSE_Series` || GetSma ||
|
||||||
| ⛔ SKEW - Skewness |||||
|
| ⛔ SKEW - Skewness |||| skew |
|
||||||
| ⭐ SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV |||
|
| ⭐ SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV | GetStdDev | stdev |
|
||||||
| ✔️ SSDEV - Sample Standard Deviation | `SSDEV_Series` ||||
|
| ⭐ SSDEV - Sample Standard Deviation | `SSDEV_Series` ||| stdev |
|
||||||
| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` ||||
|
| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` ||||
|
||||||
| ⭐ VAR - Population Variance | `VAR_Series` | VAR || variance |
|
| ⭐ VAR - Population Variance | `VAR_Series` | VAR || variance |
|
||||||
| ⭐ SVAR - Sample Variance | `SVAR_Series` ||| variance |
|
| ⭐ SVAR - Sample Variance | `SVAR_Series` ||| variance |
|
||||||
| ⛔ QUANT - Quantile |||||
|
| ⛔ QUANTILE - Quantile |||| quantile |
|
||||||
| ✔️ WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` ||||
|
| ✔️ WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` ||||
|
||||||
| ⛔ ZSCORE - Number of standard deviations from mean |||||
|
| ⭐ ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore |
|
||||||
||||||
|
||||||
|
||||||
| **TREND INDICATORS & AVERAGES** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
| **TREND INDICATORS & AVERAGES** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** |
|
||||||
| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average |||||
|
| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average |||||
|
||||||
| ⭐ ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma ||
|
| ⭐ ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma | alma |
|
||||||
| ⛔ ARIMA - Autoregressive Integrated Moving Average |||||
|
| ⛔ ARIMA - Autoregressive Integrated Moving Average |||||
|
||||||
| ⭐ DEMA - Double EMA Average | `DEMA_Series` | DEMA | GetDema | dema |
|
| ⭐ DEMA - Double EMA Average | `DEMA_Series` | DEMA | GetDema | dema |
|
||||||
| ⭐ EMA - Exponential Moving Average | `EMA_Series` || GetEma | ema |
|
| ⭐ EMA - Exponential Moving Average | `EMA_Series` || GetEma | ema |
|
||||||
| ⛔ EPMA - Endpoint Moving Average ||| GetEpma ||
|
| ⛔ EPMA - Endpoint Moving Average ||| GetEpma ||
|
||||||
| ⛔ FRAMA - Fractal Adaptive Moving Average |||||
|
| ⛔ FRAMA - Fractal Adaptive Moving Average |||||
|
||||||
| ⛔ FWMA - Fibonacci's Weighted Moving Average |||||
|
| ⛔ FWMA - Fibonacci's Weighted Moving Average |||| fwma |
|
||||||
| ⛔ HILO - Gann High-Low Activator |||||
|
| ⛔ HILO - Gann High-Low Activator |||| hilo |
|
||||||
| ✔️ HEMA - Hull/EMA Average | `HEMA_Series` ||||
|
| ✔️ HEMA - Hull/EMA Average | `HEMA_Series` ||||
|
||||||
| ⛔ Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline ||
|
| ⛔ Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline ||
|
||||||
| ⭐ HMA - Hull Moving Average | `HMA_Series` || GetHma | hma |
|
| ⭐ HMA - Hull Moving Average | `HMA_Series` || GetHma | hma |
|
||||||
| ⛔ HWMA - Holt-Winter Moving Average |||||
|
| ⛔ HWMA - Holt-Winter Moving Average |||| hwma |
|
||||||
| ✔️ JMA - Jurik Moving Average | `JMA_Series` ||||
|
| ✔️ JMA - Jurik Moving Average | `JMA_Series` ||| jma |
|
||||||
| ⭐ KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama |
|
| ⭐ KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama |
|
||||||
| ⛔ KDJ - KDJ Indicator (trend reversal) |||||
|
| ⛔ KDJ - KDJ Indicator (trend reversal) |||| kdj |
|
||||||
| ⛔ LSMA - Least Squares Moving Average |||||
|
| ⛔ LSMA - Least Squares Moving Average |||||
|
||||||
| ⭐ MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd ||
|
| ⭐ MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd |
|
||||||
| ⛔ MAMA - MESA Adaptive Moving Average || MAMA | GetMama ||
|
| ⛔ MAMA - MESA Adaptive Moving Average || MAMA | GetMama ||
|
||||||
| ⛔ MCGD - McGinley Dynamic |||||
|
| ⛔ MCGD - McGinley Dynamic |||| mcgd |
|
||||||
| ⛔ MMA - Modified Moving Average |||||
|
| ⛔ MMA - Modified Moving Average |||||
|
||||||
| ⛔ PPMA - Pivot Point Moving Average |||||
|
| ⛔ PPMA - Pivot Point Moving Average |||||
|
||||||
| ⛔ PWMA - Pascal's Weighted Moving Average |||||
|
| ⛔ PWMA - Pascal's Weighted Moving Average |||| pwma |
|
||||||
| ⭐ RMA - WildeR's Moving Average | `RMA_Series` ||| rma |
|
| ⭐ RMA - WildeR's Moving Average | `RMA_Series` ||| rma |
|
||||||
| ⛔ SINWMA - Sine Weighted Moving Average |||||
|
| ⛔ SINWMA - Sine Weighted Moving Average |||| sinwma |
|
||||||
| ⭐ SMA - Simple Moving Average | `SMA_Series` | SMA | GetSma | sma |
|
| ⭐ SMA - Simple Moving Average | `SMA_Series` | SMA | GetSma | sma |
|
||||||
| ⭐ SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma ||
|
| ⭐ SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma ||
|
||||||
| ⛔ SSF - Ehler's Super Smoother Filter |||||
|
| ⛔ SSF - Ehler's Super Smoother Filter |||| ssf |
|
||||||
| ⛔ SUP - Supertrend |||||
|
| ⛔ SUPERTREND - Supertrend |||| supertrend |
|
||||||
| ⛔ SWMA - Symmetric Weighted Moving Average |||||
|
| ⛔ SWMA - Symmetric Weighted Moving Average |||| swma |
|
||||||
| ⛔ T3 - Tillson T3 Moving Average || T3 | GetT3 ||
|
| ⛔ T3 - Tillson T3 Moving Average || T3 | GetT3 | t3 |
|
||||||
| ⭐ TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema |
|
| ⭐ TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema |
|
||||||
| ⭐ TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA |||
|
| ⭐ TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima |
|
||||||
| ⛔ TSF - Time Series Forecast || TSF |||
|
| ⛔ TSF - Time Series Forecast || TSF |||
|
||||||
| ⛔ VIDYA - Variable Index Dynamic Average |||||
|
| ⛔ VIDYA - Variable Index Dynamic Average |||| vidya |
|
||||||
| ⛔ VOR - Vortex Indicator |||||
|
| ⛔ VORTEX - Vortex Indicator |||| vortex |
|
||||||
| ⭐ WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma |
|
| ⭐ WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma |
|
||||||
| ⭐ ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma |
|
| ⭐ ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma |
|
||||||
||||||
|
||||||
|
||||||
|
|||||||
Reference in New Issue
Block a user