From 485a0771698ac6c1dbe098d991a48a7f1068db54 Mon Sep 17 00:00:00 2001 From: Dave Skender <8432125+DaveSkender@users.noreply.github.com> Date: Sun, 12 Dec 2021 00:06:59 -0500 Subject: [PATCH] performance tuning (#652) +semver: minor --- docs/_indicators/Adl.md | 8 +- docs/_indicators/Adx.md | 6 +- docs/_indicators/Awesome.md | 4 +- docs/_indicators/Beta.md | 10 +- docs/_indicators/BollingerBands.md | 8 +- docs/_indicators/Bop.md | 2 +- docs/_indicators/Cci.md | 2 +- docs/_indicators/ChaikinOsc.md | 8 +- docs/_indicators/Cmf.md | 6 +- docs/_indicators/ConnorsRsi.md | 8 +- docs/_indicators/Correlation.md | 10 +- docs/_indicators/FisherTransform.md | 4 +- docs/_indicators/ForceIndex.md | 2 +- docs/_indicators/Gator.md | 4 +- docs/_indicators/Kama.md | 2 +- docs/_indicators/Kvo.md | 4 +- docs/_indicators/Mama.md | 4 +- docs/_indicators/Obv.md | 4 +- docs/_indicators/Pmo.md | 4 +- docs/_indicators/Prs.md | 6 +- docs/_indicators/Roc.md | 12 +- docs/_indicators/Rsi.md | 2 +- docs/_indicators/Slope.md | 4 +- docs/_indicators/Sma.md | 6 +- docs/_indicators/StdDev.md | 8 +- docs/_indicators/StdDevChannels.md | 2 +- docs/_indicators/Stoch.md | 4 +- docs/_indicators/SuperTrend.md | 2 +- docs/_indicators/Tsi.md | 4 +- docs/_indicators/UlcerIndex.md | 2 +- docs/_indicators/VolatilityStop.md | 2 +- docs/_indicators/Vortex.md | 4 +- docs/performance.md | 198 ++- src/_common/Quotes/Models.cs | 7 + src/_common/Quotes/Quotes.Functions.cs | 25 + src/a-d/Adl/Adl.Models.cs | 12 +- src/a-d/Adl/Adl.cs | 20 +- src/a-d/Adx/Adx.Models.cs | 10 +- src/a-d/Adx/Adx.cs | 40 +- src/a-d/Alligator/Alligator.cs | 28 +- src/a-d/Alma/Alma.cs | 12 +- src/a-d/Awesome/Awesome.Models.cs | 8 +- src/a-d/Awesome/Awesome.cs | 8 +- src/a-d/Beta/Beta.Models.cs | 10 +- src/a-d/Beta/Beta.cs | 14 +- .../BollingerBands/BollingerBands.Models.cs | 10 +- src/a-d/BollingerBands/BollingerBands.cs | 27 +- src/a-d/Bop/Bop.Models.cs | 6 +- src/a-d/Bop/Bop.cs | 6 +- src/a-d/Cci/Cci.Models.cs | 10 +- src/a-d/Cci/Cci.cs | 12 +- src/a-d/ChaikinOsc/ChaikinOsc.Models.cs | 12 +- src/a-d/ChaikinOsc/ChaikinOsc.cs | 6 +- src/a-d/Chop/Chop.cs | 20 +- src/a-d/Cmf/Cmf.Models.cs | 10 +- src/a-d/Cmf/Cmf.cs | 12 +- src/a-d/ConnorsRsi/ConnorsRsi.Models.cs | 14 +- src/a-d/ConnorsRsi/ConnorsRsi.cs | 43 +- src/a-d/Correlation/Correlation.Models.cs | 14 +- src/a-d/Correlation/Correlation.cs | 38 +- src/a-d/DoubleEma/DoubleEma.cs | 10 +- src/e-k/Ema/Ema.cs | 21 +- src/e-k/Epma/Epma.cs | 2 +- .../FisherTransform/FisherTransform.Models.cs | 6 +- src/e-k/FisherTransform/FisherTransform.cs | 16 +- src/e-k/ForceIndex/ForceIndex.Models.cs | 4 +- src/e-k/ForceIndex/ForceIndex.cs | 15 +- src/e-k/Gator/Gator.Models.cs | 4 +- src/e-k/Gator/Gator.cs | 4 +- src/e-k/Hma/Hma.cs | 4 +- src/e-k/Hurst/Hurst.cs | 9 +- src/e-k/Kama/Kama.Models.cs | 4 +- src/e-k/Kama/Kama.cs | 16 +- src/e-k/Kvo/Kvo.Models.cs | 6 +- src/e-k/Kvo/Kvo.cs | 36 +- src/m-r/Macd/Macd.cs | 12 +- src/m-r/Mama/Mama.cs | 18 +- src/m-r/Mfi/Mfi.cs | 18 +- src/m-r/Obv/Obv.Models.cs | 8 +- src/m-r/Obv/Obv.cs | 19 +- src/m-r/Pmo/Pmo.Models.cs | 10 +- src/m-r/Pmo/Pmo.cs | 26 +- src/m-r/Prs/Prs.Models.cs | 10 +- src/m-r/Prs/Prs.cs | 10 +- src/m-r/Pvo/Pvo.cs | 18 +- src/m-r/Roc/Roc.Models.cs | 14 +- src/m-r/Roc/Roc.cs | 6 +- src/m-r/Roc/RocWb.cs | 10 +- src/m-r/Rsi/Rsi.Models.cs | 4 +- src/m-r/Rsi/Rsi.cs | 24 +- src/s-z/Slope/Slope.Models.cs | 8 +- src/s-z/Slope/Slope.cs | 24 +- src/s-z/Sma/Sma.Models.cs | 8 +- src/s-z/Sma/Sma.cs | 14 +- src/s-z/Sma/SmaExtended.cs | 19 +- src/s-z/Smi/Smi.cs | 38 +- src/s-z/Smma/Smma.cs | 13 +- src/s-z/StdDev/StdDev.Models.cs | 12 +- src/s-z/StdDev/StdDev.cs | 14 +- src/s-z/StdDevChannels/StdDevChannels.cs | 9 +- src/s-z/Stoch/Stoch.cs | 50 +- src/s-z/SuperTrend/SuperTrend.cs | 32 +- src/s-z/T3/T3.cs | 24 +- src/s-z/TripleEma/TripleEma.cs | 12 +- src/s-z/Trix/Trix.cs | 12 +- src/s-z/Tsi/Tsi.Models.cs | 8 +- src/s-z/Tsi/Tsi.cs | 32 +- src/s-z/UlcerIndex/UlcerIndex.Models.cs | 6 +- src/s-z/UlcerIndex/UlcerIndex.cs | 9 +- src/s-z/Ultimate/Ultimate.cs | 28 +- src/s-z/VolatilityStop/VolatilityStop.cs | 20 +- src/s-z/Vortex/Vortex.Models.cs | 6 +- src/s-z/Vortex/Vortex.cs | 18 +- src/s-z/Vwap/Vwap.cs | 14 +- src/s-z/Wma/Wma.cs | 8 +- tests/indicators/Tests.Indicators.csproj | 6 + tests/indicators/_Initialize.cs | 2 + tests/indicators/_common/Data.Quotes.xlsx | Bin 1802214 -> 1957722 bytes tests/indicators/_common/Helper.Functions.cs | 12 + tests/indicators/_common/Helper.Importer.cs | 22 + tests/indicators/_common/data/bad.csv | 924 ++++++------ tests/indicators/_common/data/max.csv | 503 +++++++ tests/indicators/_common/data/toobig.csv | 1247 +++++++++++++++++ tests/indicators/a-d/Adl/Adl.Tests.cs | 29 +- tests/indicators/a-d/Adx/Adx.Tests.cs | 39 +- tests/indicators/a-d/Awesome/Awesome.Tests.cs | 18 +- tests/indicators/a-d/Beta/Beta.Tests.cs | 50 +- .../BollingerBands/BollingerBands.Tests.cs | 20 +- tests/indicators/a-d/Cci/Cci.Tests.cs | 6 +- .../a-d/ChaikinOsc/ChaikinOsc.Tests.cs | 18 +- tests/indicators/a-d/Cmf/Cmf.Tests.cs | 33 +- .../a-d/ConnorsRsi/ConnorsRsi.Tests.cs | 26 +- .../a-d/Correlation/Correlation.Tests.cs | 23 +- .../FisherTransform/FisherTransform.Tests.cs | 36 +- .../e-k/ForceIndex/ForceIndex.Tests.cs | 14 +- tests/indicators/e-k/Gator/Gator.Tests.cs | 30 +- tests/indicators/e-k/Kama/Kama.Tests.cs | 14 +- tests/indicators/e-k/Kvo/Kvo.Tests.cs | 26 +- tests/indicators/m-r/Mama/Mama.Tests.cs | 16 +- tests/indicators/m-r/Obv/Obv.Tests.cs | 17 +- tests/indicators/m-r/Pmo/Pmo.Tests.cs | 14 +- tests/indicators/m-r/Prs/Prs.Tests.cs | 16 +- tests/indicators/m-r/Roc/Roc.Tests.cs | 16 +- tests/indicators/m-r/Roc/RocWb.Tests.cs | 40 +- tests/indicators/m-r/Rsi/Rsi.Tests.cs | 36 +- tests/indicators/s-z/Slope/Slope.Tests.cs | 43 +- tests/indicators/s-z/Sma/SmaExtended.Tests.cs | 8 +- tests/indicators/s-z/StdDev/StdDev.Tests.cs | 47 +- .../StdDevChannels/StdDevChannels.Tests.cs | 6 +- .../s-z/SuperTrend/SuperTrend.Tests.cs | 6 +- tests/indicators/s-z/Tsi/Tsi.Tests.cs | 35 +- .../s-z/UlcerIndex/UlcerIndex.Tests.cs | 6 +- tests/indicators/s-z/Vortex/Vortex.Tests.cs | 22 +- tests/performance/Perf.Indicators.cs | 12 + 154 files changed, 3471 insertions(+), 1559 deletions(-) create mode 100644 tests/indicators/_common/data/max.csv create mode 100644 tests/indicators/_common/data/toobig.csv diff --git a/docs/_indicators/Adl.md b/docs/_indicators/Adl.md index 0e2962ae0..36f13ea92 100644 --- a/docs/_indicators/Adl.md +++ b/docs/_indicators/Adl.md @@ -49,10 +49,10 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `MoneyFlowMultiplier` | decimal | Money Flow Multiplier -| `MoneyFlowVolume` | decimal | Money Flow Volume -| `Adl` | decimal | Accumulation Distribution Line (ADL) -| `AdlSma` | decimal | Moving average (SMA) of ADL based on `smaPeriods` periods, if specified +| `MoneyFlowMultiplier` | double | Money Flow Multiplier +| `MoneyFlowVolume` | double | Money Flow Volume +| `Adl` | double | Accumulation Distribution Line (ADL) +| `AdlSma` | double | Moving average (SMA) of ADL based on `smaPeriods` periods, if specified :warning: **Warning**: absolute values in ADL and MFV are somewhat meaningless, so use with caution. diff --git a/docs/_indicators/Adx.md b/docs/_indicators/Adx.md index cbf070fc4..3a194a387 100644 --- a/docs/_indicators/Adx.md +++ b/docs/_indicators/Adx.md @@ -48,9 +48,9 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Pdi` | decimal | Plus Directional Index (+DI) for `N` lookback periods -| `Mdi` | decimal | Minus Directional Index (-DI) for `N` lookback periods -| `Adx` | decimal | Average Directional Index (ADX) for `N` lookback periods +| `Pdi` | double | Plus Directional Index (+DI) for `N` lookback periods +| `Mdi` | double | Minus Directional Index (-DI) for `N` lookback periods +| `Adx` | double | Average Directional Index (ADX) for `N` lookback periods ### Utilities diff --git a/docs/_indicators/Awesome.md b/docs/_indicators/Awesome.md index f9f83c3fa..746799f0e 100644 --- a/docs/_indicators/Awesome.md +++ b/docs/_indicators/Awesome.md @@ -48,8 +48,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Oscillator` | decimal | Awesome Oscillator -| `Normalized` | decimal | `100 × Oscillator ÷ (median price)` +| `Oscillator` | double | Awesome Oscillator +| `Normalized` | double | `100 × Oscillator ÷ (median price)` ### Utilities diff --git a/docs/_indicators/Beta.md b/docs/_indicators/Beta.md index 2213dceee..d89505c4f 100644 --- a/docs/_indicators/Beta.md +++ b/docs/_indicators/Beta.md @@ -57,11 +57,11 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Beta` | decimal | Beta coefficient based on `N` lookback periods -| `BetaUp` | decimal | Beta+ (Up Beta) -| `BetaDown` | decimal | Beta- (Down Beta) -| `Ratio` | decimal | Beta ratio is `BetaUp/BetaDown` -| `Convexity` | decimal | Beta convexity is (BetaUp-BetaDown)2 +| `Beta` | double | Beta coefficient based on `N` lookback periods +| `BetaUp` | double | Beta+ (Up Beta) +| `BetaDown` | double | Beta- (Down Beta) +| `Ratio` | double | Beta ratio is `BetaUp/BetaDown` +| `Convexity` | double | Beta convexity is (BetaUp-BetaDown)2 ### Utilities diff --git a/docs/_indicators/BollingerBands.md b/docs/_indicators/BollingerBands.md index ba41359ca..da6f72493 100644 --- a/docs/_indicators/BollingerBands.md +++ b/docs/_indicators/BollingerBands.md @@ -23,7 +23,7 @@ IEnumerable results = | name | type | notes | -- |-- |-- | `lookbackPeriods` | int | Number of periods (`N`) for the center line moving average. Must be greater than 1 to calculate; however we suggest a larger period for statistically appropriate sample size. Default is 20. -| `standardDeviations` | int | Width of bands. Standard deviations (`D`) from the moving average. Must be greater than 0. Default is 2. +| `standardDeviations` | double | Width of bands. Standard deviations (`D`) from the moving average. Must be greater than 0. Default is 2. ### Historical quotes requirements @@ -50,9 +50,9 @@ IEnumerable | `Sma` | decimal | Simple moving average (SMA) of Close price (center line) | `UpperBand` | decimal | Upper line is `D` standard deviations above the SMA | `LowerBand` | decimal | Lower line is `D` standard deviations below the SMA -| `PercentB` | decimal | `%B` is the location within the bands. `(Price-LowerBand)/(UpperBand-LowerBand)` -| `ZScore` | decimal | Z-Score of current Close price (number of standard deviations from mean) -| `Width` | decimal | Width as percent of SMA price. `(UpperBand-LowerBand)/Sma` +| `PercentB` | double | `%B` is the location within the bands. `(Price-LowerBand)/(UpperBand-LowerBand)` +| `ZScore` | double | Z-Score of current Close price (number of standard deviations from mean) +| `Width` | double | Width as percent of SMA price. `(UpperBand-LowerBand)/Sma` ### Utilities diff --git a/docs/_indicators/Bop.md b/docs/_indicators/Bop.md index 36e333501..eea92e2ad 100644 --- a/docs/_indicators/Bop.md +++ b/docs/_indicators/Bop.md @@ -47,7 +47,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Bop` | decimal | Balance of Power +| `Bop` | double | Balance of Power ### Utilities diff --git a/docs/_indicators/Cci.md b/docs/_indicators/Cci.md index ab7f7de1c..7f670f120 100644 --- a/docs/_indicators/Cci.md +++ b/docs/_indicators/Cci.md @@ -46,7 +46,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Cci` | decimal | CCI value for `N` lookback periods +| `Cci` | double | CCI value for `N` lookback periods ### Utilities diff --git a/docs/_indicators/ChaikinOsc.md b/docs/_indicators/ChaikinOsc.md index d9eb0a0ef..9d84d9a76 100644 --- a/docs/_indicators/ChaikinOsc.md +++ b/docs/_indicators/ChaikinOsc.md @@ -49,10 +49,10 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `MoneyFlowMultiplier` | decimal | Money Flow Multiplier -| `MoneyFlowVolume` | decimal | Money Flow Volume -| `Adl` | decimal | Accumulation Distribution Line (ADL) -| `Oscillator` | decimal | Chaikin Oscillator +| `MoneyFlowMultiplier` | double | Money Flow Multiplier +| `MoneyFlowVolume` | double | Money Flow Volume +| `Adl` | double | Accumulation Distribution Line (ADL) +| `Oscillator` | double | Chaikin Oscillator :warning: **Warning**: absolute values in MFV, ADL, and Oscillator are somewhat meaningless, so use with caution. diff --git a/docs/_indicators/Cmf.md b/docs/_indicators/Cmf.md index 713370122..c06827b6e 100644 --- a/docs/_indicators/Cmf.md +++ b/docs/_indicators/Cmf.md @@ -46,9 +46,9 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `MoneyFlowMultiplier` | decimal | Money Flow Multiplier -| `MoneyFlowVolume` | decimal | Money Flow Volume -| `Cmf` | decimal | Chaikin Money Flow = SMA of MFV for `N` lookback periods +| `MoneyFlowMultiplier` | double | Money Flow Multiplier +| `MoneyFlowVolume` | double | Money Flow Volume +| `Cmf` | double | Chaikin Money Flow = SMA of MFV for `N` lookback periods :warning: **Warning**: absolute values in MFV and CMF are somewhat meaningless, so use with caution. diff --git a/docs/_indicators/ConnorsRsi.md b/docs/_indicators/ConnorsRsi.md index f63377565..ce358ac42 100644 --- a/docs/_indicators/ConnorsRsi.md +++ b/docs/_indicators/ConnorsRsi.md @@ -50,10 +50,10 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `RsiClose` | decimal | RSI(`R`) of the Close price. -| `RsiStreak` | decimal | RSI(`S`) of the Streak. -| `PercentRank` | decimal | Percentile rank of the period gain value. -| `ConnorsRsi` | decimal | ConnorsRSI +| `RsiClose` | double | RSI(`R`) of the Close price. +| `RsiStreak` | double | RSI(`S`) of the Streak. +| `PercentRank` | double | Percentile rank of the period gain value. +| `ConnorsRsi` | double | ConnorsRSI ### Utilities diff --git a/docs/_indicators/Correlation.md b/docs/_indicators/Correlation.md index 7b41fffeb..358c3afe2 100644 --- a/docs/_indicators/Correlation.md +++ b/docs/_indicators/Correlation.md @@ -48,11 +48,11 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `VarianceA` | decimal | Variance of A based on `N` lookback periods -| `VarianceB` | decimal | Variance of B based on `N` lookback periods -| `Covariance` | decimal | Covariance of A+B based on `N` lookback periods -| `Correlation` | decimal | Correlation `R` based on `N` lookback periods -| `RSquared` | decimal | R-Squared (R²), aka Coefficient of Determination. Simple linear regression models is used (square of Correlation). +| `VarianceA` | double | Variance of A based on `N` lookback periods +| `VarianceB` | double | Variance of B based on `N` lookback periods +| `Covariance` | double | Covariance of A+B based on `N` lookback periods +| `Correlation` | double | Correlation `R` based on `N` lookback periods +| `RSquared` | double | R-Squared (R²), aka Coefficient of Determination. Simple linear regression models is used (square of Correlation). ### Utilities diff --git a/docs/_indicators/FisherTransform.md b/docs/_indicators/FisherTransform.md index b04dcec0a..2abdd9bc3 100644 --- a/docs/_indicators/FisherTransform.md +++ b/docs/_indicators/FisherTransform.md @@ -47,8 +47,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Fisher` | decimal | Fisher Transform -| `Trigger` | decimal | FT offset by one period +| `Fisher` | double | Fisher Transform +| `Trigger` | double | FT offset by one period ### Utilities diff --git a/docs/_indicators/ForceIndex.md b/docs/_indicators/ForceIndex.md index 8df9bc2f6..c76f3a735 100644 --- a/docs/_indicators/ForceIndex.md +++ b/docs/_indicators/ForceIndex.md @@ -48,7 +48,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `ForceIndex` | decimal | Force Index +| `ForceIndex` | double | Force Index ### Utilities diff --git a/docs/_indicators/Gator.md b/docs/_indicators/Gator.md index 4eeb7506d..45733b3a9 100644 --- a/docs/_indicators/Gator.md +++ b/docs/_indicators/Gator.md @@ -42,8 +42,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Upper` | decimal | Absolute value of Alligator `Jaw-Teeth` -| `Lower` | decimal | Absolute value of Alligator `Lips-Teeth` +| `Upper` | double | Absolute value of Alligator `Jaw-Teeth` +| `Lower` | double | Absolute value of Alligator `Lips-Teeth` | `UpperIsExpanding` | boolean | Upper value is growing | `LowerIsExpanding` | boolean | Lower value is growing diff --git a/docs/_indicators/Kama.md b/docs/_indicators/Kama.md index 031a01b4c..0b3d80033 100644 --- a/docs/_indicators/Kama.md +++ b/docs/_indicators/Kama.md @@ -50,7 +50,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `ER` | decimal | Efficiency Ratio is the fractal efficiency of price changes +| `ER` | double | Efficiency Ratio is the fractal efficiency of price changes | `Kama` | decimal | Kaufman's adaptive moving average More about Efficiency Ratio: ER fluctuates between 0 and 1, but these extremes are the exception, not the norm. ER would be 1 if prices moved up or down consistently over the `erPeriods` periods. ER would be zero if prices are unchanged over the `erPeriods` periods. diff --git a/docs/_indicators/Kvo.md b/docs/_indicators/Kvo.md index 4290e9713..7b364e7a7 100644 --- a/docs/_indicators/Kvo.md +++ b/docs/_indicators/Kvo.md @@ -50,8 +50,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Oscillator` | decimal | Klinger Oscillator -| `Signal` | decimal | EMA of Klinger Oscillator (signal line) +| `Oscillator` | double | Klinger Oscillator +| `Signal` | double | EMA of Klinger Oscillator (signal line) ### Utilities diff --git a/docs/_indicators/Mama.md b/docs/_indicators/Mama.md index 5f793bd02..e0905d9cc 100644 --- a/docs/_indicators/Mama.md +++ b/docs/_indicators/Mama.md @@ -22,8 +22,8 @@ IEnumerable results = | name | type | notes | -- |-- |-- -| `fastLimit` | decimal | Fast limit threshold. Must be greater than `slowLimit` and less than 1. Default is 0.5. -| `slowLimit` | decimal | Slow limit threshold. Must be greater than 0. Default is 0.05. +| `fastLimit` | double | Fast limit threshold. Must be greater than `slowLimit` and less than 1. Default is 0.5. +| `slowLimit` | double | Slow limit threshold. Must be greater than 0. Default is 0.05. ### Historical quotes requirements diff --git a/docs/_indicators/Obv.md b/docs/_indicators/Obv.md index 58d1cf7f3..78964281a 100644 --- a/docs/_indicators/Obv.md +++ b/docs/_indicators/Obv.md @@ -50,8 +50,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Obv` | decimal | On-balance Volume -| `ObvSma` | decimal | Moving average (SMA) of OBV based on `smaPeriods` periods, if specified +| `Obv` | double | On-balance Volume +| `ObvSma` | double | Moving average (SMA) of OBV based on `smaPeriods` periods, if specified :warning: **Warning**: absolute values in OBV are somewhat meaningless, so use with caution. diff --git a/docs/_indicators/Pmo.md b/docs/_indicators/Pmo.md index d8c8541d8..f0112965b 100644 --- a/docs/_indicators/Pmo.md +++ b/docs/_indicators/Pmo.md @@ -50,8 +50,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Pmo` | decimal | Price Momentum Oscillator -| `Signal` | decimal | Signal line is EMA of PMO +| `Pmo` | double | Price Momentum Oscillator +| `Signal` | double | Signal line is EMA of PMO ### Utilities diff --git a/docs/_indicators/Prs.md b/docs/_indicators/Prs.md index d1ba4230b..9b2ecedd1 100644 --- a/docs/_indicators/Prs.md +++ b/docs/_indicators/Prs.md @@ -52,9 +52,9 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Prs` | decimal | Price Relative Strength compares `Eval` to `Base` histories -| `PrsSma` | decimal | Moving Average (SMA) of PRS over `S` periods -| `PrsPercent` | decimal | Percent change difference between `Eval` and `Base` over `N` periods +| `Prs` | double | Price Relative Strength compares `Eval` to `Base` histories +| `PrsSma` | double | Moving Average (SMA) of PRS over `S` periods +| `PrsPercent` | double | Percent change difference between `Eval` and `Base` over `N` periods ### Utilities diff --git a/docs/_indicators/Roc.md b/docs/_indicators/Roc.md index 221ea0c7a..76760fbdf 100644 --- a/docs/_indicators/Roc.md +++ b/docs/_indicators/Roc.md @@ -52,8 +52,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Roc` | decimal | Rate of Change over `N` lookback periods (%, not decimal) -| `RocSma` | decimal | Moving average (SMA) of ROC based on `smaPeriods` periods, if specified +| `Roc` | double | Rate of Change over `N` lookback periods (%, not decimal) +| `RocSma` | double | Moving average (SMA) of ROC based on `smaPeriods` periods, if specified ### Utilities @@ -96,7 +96,7 @@ IEnumerable results = | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Roc` | decimal | Rate of Change over `N` lookback periods (%, not decimal) -| `RocEma` | decimal | Exponential moving average (EMA) of `Roc` -| `UpperBand` | decimal | Upper band of ROC (overbought indicator) -| `LowerBand` | decimal | Lower band of ROC (oversold indicator) +| `Roc` | double | Rate of Change over `N` lookback periods (%, not decimal) +| `RocEma` | double | Exponential moving average (EMA) of `Roc` +| `UpperBand` | double | Upper band of ROC (overbought indicator) +| `LowerBand` | double | Lower band of ROC (oversold indicator) diff --git a/docs/_indicators/Rsi.md b/docs/_indicators/Rsi.md index f169c2bda..8eaa9c818 100644 --- a/docs/_indicators/Rsi.md +++ b/docs/_indicators/Rsi.md @@ -50,7 +50,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Rsi` | decimal | RSI over prior `N` lookback periods +| `Rsi` | double | RSI over prior `N` lookback periods ### Utilities diff --git a/docs/_indicators/Slope.md b/docs/_indicators/Slope.md index 89be15202..baf6e7f25 100644 --- a/docs/_indicators/Slope.md +++ b/docs/_indicators/Slope.md @@ -48,8 +48,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Slope` | decimal | Slope `m` of the best-fit line of Close price -| `Intercept` | decimal | Y-Intercept `b` of the best-fit line +| `Slope` | double | Slope `m` of the best-fit line of Close price +| `Intercept` | double | Y-Intercept `b` of the best-fit line | `StdDev` | double | Standard Deviation of Close price over `N` lookback periods | `RSquared` | double | R-Squared (R²), aka Coefficient of Determination | `Line` | decimal | Best-fit line `y` over the last 'N' periods (i.e. `y=mx+b` using last period values) diff --git a/docs/_indicators/Sma.md b/docs/_indicators/Sma.md index cc9b4bd61..1e46c7511 100644 --- a/docs/_indicators/Sma.md +++ b/docs/_indicators/Sma.md @@ -97,6 +97,6 @@ IEnumerable results = | -- |-- |-- | `Date` | DateTime | Date | `Sma` | decimal | Simple moving average -| `Mad` | decimal | Mean absolute deviation -| `Mse` | decimal | Mean square error -| `Mape` | decimal | Mean absolute percentage error +| `Mad` | double | Mean absolute deviation +| `Mse` | double | Mean square error +| `Mape` | double | Mean absolute percentage error diff --git a/docs/_indicators/StdDev.md b/docs/_indicators/StdDev.md index 1f7ea484a..8bab725b6 100644 --- a/docs/_indicators/StdDev.md +++ b/docs/_indicators/StdDev.md @@ -52,10 +52,10 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `StdDev` | decimal | Standard Deviation of Close price over `N` lookback periods -| `Mean` | decimal | Mean value of Close price over `N` lookback periods -| `ZScore` | decimal | Z-Score of current Close price (number of standard deviations from mean) -| `StdDevSma` | decimal | Moving average (SMA) of STDDEV based on `smaPeriods` periods, if specified +| `StdDev` | double | Standard Deviation of Close price over `N` lookback periods +| `Mean` | double | Mean value of Close price over `N` lookback periods +| `ZScore` | double | Z-Score of current Close price (number of standard deviations from mean) +| `StdDevSma` | double | Moving average (SMA) of STDDEV based on `smaPeriods` periods, if specified ### Utilities diff --git a/docs/_indicators/StdDevChannels.md b/docs/_indicators/StdDevChannels.md index 5b10d418f..4079962b3 100644 --- a/docs/_indicators/StdDevChannels.md +++ b/docs/_indicators/StdDevChannels.md @@ -23,7 +23,7 @@ IEnumerable results = | name | type | notes | -- |-- |-- | `lookbackPeriods` | int | Size (`N`) of the evaluation window. Must be `null` or greater than 1 to calculate. A `null` value will produce a full `quotes` evaluation window ([see below](#alternative-depiction-for-full-quotes-variant)). Default is 20. -| `standardDeviations` | int | Width of bands. Standard deviations (`D`) from the regression line. Must be greater than 0. Default is 2. +| `standardDeviations` | double | Width of bands. Standard deviations (`D`) from the regression line. Must be greater than 0. Default is 2. ### Historical quotes requirements diff --git a/docs/_indicators/Stoch.md b/docs/_indicators/Stoch.md index d07678417..a83dc1499 100644 --- a/docs/_indicators/Stoch.md +++ b/docs/_indicators/Stoch.md @@ -33,8 +33,8 @@ IEnumerable results = | `lookbackPeriods` | int | Lookback period (`N`) for the oscillator (%K). Must be greater than 0. Default is 14. | `signalPeriods` | int | Smoothing period for the signal (%D). Must be greater than 0. Default is 3. | `smoothPeriods` | int | Smoothing period (`S`) for the Oscillator (%K). "Slow" stochastic uses 3, "Fast" stochastic uses 1. Must be greater than 0. Default is 3. -| `kFactor` | int | Optional. Weight of %K in the %J calculation. Must be greater than 0. Default is 3. -| `dFactor` | int | Optional. Weight of %D in the %J calculation. Must be greater than 0. Default is 2. +| `kFactor` | decimal | Optional. Weight of %K in the %J calculation. Must be greater than 0. Default is 3. +| `dFactor` | decimal | Optional. Weight of %D in the %J calculation. Must be greater than 0. Default is 2. | `movingAverageType` | MaType | Optional. Type of moving average (SMA or SMMA) used for smoothing. See [MaType options](#matype-options) below. Default is `MaType.SMA`. ### Historical quotes requirements diff --git a/docs/_indicators/SuperTrend.md b/docs/_indicators/SuperTrend.md index 9deac4157..0b95f391b 100644 --- a/docs/_indicators/SuperTrend.md +++ b/docs/_indicators/SuperTrend.md @@ -24,7 +24,7 @@ IEnumerable results = | name | type | notes | -- |-- |-- | `lookbackPeriods` | int | Number of periods (`N`) for the ATR evaluation. Must be greater than 1 and is usually set between 7 and 14. Default is 10. -| `multiplier` | decimal | Multiplier sets the ATR band width. Must be greater than 0 and is usually set around 2 to 3. Default is 3. +| `multiplier` | double | Multiplier sets the ATR band width. Must be greater than 0 and is usually set around 2 to 3. Default is 3. ### Historical quotes requirements diff --git a/docs/_indicators/Tsi.md b/docs/_indicators/Tsi.md index 26cdb161d..bc79fcb4b 100644 --- a/docs/_indicators/Tsi.md +++ b/docs/_indicators/Tsi.md @@ -51,8 +51,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Tsi` | decimal | True Strength Index -| `Signal` | decimal | Signal line (EMA of TSI) +| `Tsi` | double | True Strength Index +| `Signal` | double | Signal line (EMA of TSI) ### Utilities diff --git a/docs/_indicators/UlcerIndex.md b/docs/_indicators/UlcerIndex.md index 6fa1e3a5e..a14cbbbee 100644 --- a/docs/_indicators/UlcerIndex.md +++ b/docs/_indicators/UlcerIndex.md @@ -46,7 +46,7 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `UI` | decimal | Ulcer Index +| `UI` | double | Ulcer Index ### Utilities diff --git a/docs/_indicators/VolatilityStop.md b/docs/_indicators/VolatilityStop.md index 4b8415724..a54fd5508 100644 --- a/docs/_indicators/VolatilityStop.md +++ b/docs/_indicators/VolatilityStop.md @@ -23,7 +23,7 @@ IEnumerable results = | name | type | notes | -- |-- |-- | `lookbackPeriods` | int | Number of periods (`N`) ATR lookback window. Must be greater than 1. Default is 7. -| `multiplier` | decimal | ATR multiplier for the offset. Must be greater than 0. Default is 3.0. +| `multiplier` | double | ATR multiplier for the offset. Must be greater than 0. Default is 3.0. ### Historical quotes requirements diff --git a/docs/_indicators/Vortex.md b/docs/_indicators/Vortex.md index 9be17c414..4427d2294 100644 --- a/docs/_indicators/Vortex.md +++ b/docs/_indicators/Vortex.md @@ -46,8 +46,8 @@ IEnumerable | name | type | notes | -- |-- |-- | `Date` | DateTime | Date -| `Pvi` | decimal | Positive Vortex Indicator (VI+) -| `Nvi` | decimal | Negative Vortex Indicator (VI-) +| `Pvi` | double | Positive Vortex Indicator (VI+) +| `Nvi` | double | Negative Vortex Indicator (VI-) ### Utilities diff --git a/docs/performance.md b/docs/performance.md index 5e9cb57a5..169a8e94d 100644 --- a/docs/performance.md +++ b/docs/performance.md @@ -1,5 +1,5 @@ --- -title: Performance benchmarks for v1.15.0 +title: Performance benchmarks for v1.20.0 permalink: /performance/ layout: default redirect_from: @@ -12,111 +12,101 @@ redirect_from: These are the execution times for the current indicators using two years of historical daily stock quotes (502 periods) with default or typical parameters. ``` bash -BenchmarkDotNet=v0.13.0, OS=Windows 10.0.19043.1165 (21H1/May2021Update) +BenchmarkDotNet=v0.13.1, OS=Windows 10.0.19044.1348 (21H2) Intel Core i7-7700HQ CPU 2.80GHz (Kaby Lake), 1 CPU, 8 logical and 4 physical cores -.NET SDK=5.0.303 - [Host] : .NET 5.0.9 (5.0.921.35908), X64 RyuJIT - DefaultJob : .NET 5.0.9 (5.0.921.35908), X64 RyuJIT +.NET SDK=6.0.100 ``` ## indicators -| Method | Mean | Error | StdDev | Median | -|------------------- |------------:|----------:|----------:|------------:| -| GetAdl | 142.97 μs | 0.497 μs | 0.388 μs | 142.94 μs | -| GetAdlWithSma | 381.47 μs | 3.150 μs | 3.093 μs | 380.48 μs | -| GetAdx | 751.34 μs | 2.972 μs | 2.482 μs | 750.57 μs | -| GetAlligator | 234.74 μs | 1.240 μs | 1.160 μs | 234.56 μs | -| GetAlma | 215.96 μs | 1.546 μs | 1.370 μs | 215.42 μs | -| GetAroon | 353.01 μs | 0.803 μs | 0.670 μs | 352.93 μs | -| GetAtr | 159.49 μs | 1.414 μs | 1.254 μs | 159.12 μs | -| GetAwesome | 330.95 μs | 1.490 μs | 1.321 μs | 331.14 μs | -| GetBeta | 959.70 μs | 2.365 μs | 1.975 μs | 959.47 μs | -| GetBollingerBands | 457.88 μs | 1.584 μs | 1.323 μs | 457.95 μs | -| GetBop | 282.34 μs | 1.319 μs | 1.030 μs | 282.14 μs | -| GetCci | 843.90 μs | 2.398 μs | 2.003 μs | 843.66 μs | -| GetChaikinOsc | 268.11 μs | 0.989 μs | 0.826 μs | 268.18 μs | -| GetChandelier | 368.09 μs | 3.612 μs | 2.820 μs | 367.56 μs | -| GetChop | 304.53 μs | 1.161 μs | 0.906 μs | 304.36 μs | -| GetCmf | 669.74 μs | 1.981 μs | 1.655 μs | 669.63 μs | -| GetConnorsRsi | 1,235.14 μs | 21.665 μs | 43.764 μs | 1,212.54 μs | -| GetCorrelation | 870.27 μs | 3.443 μs | 2.875 μs | 869.54 μs | -| GetDonchian | 340.71 μs | 3.841 μs | 3.207 μs | 339.06 μs | -| GetDoubleEma | 178.53 μs | 0.528 μs | 0.441 μs | 178.45 μs | -| GetElderRay | 165.20 μs | 0.599 μs | 0.500 μs | 165.24 μs | -| GetEma | 100.30 μs | 0.622 μs | 0.582 μs | 100.25 μs | -| GetEpma | 1,384.73 μs | 3.229 μs | 2.863 μs | 1,384.37 μs | -| GetFcb | 392.19 μs | 2.354 μs | 2.202 μs | 391.52 μs | -| GetFisherTransform | 280.99 μs | 0.783 μs | 0.694 μs | 280.92 μs | -| GetForceIndex | 127.98 μs | 0.682 μs | 0.604 μs | 127.83 μs | -| GetFractal | 104.33 μs | 0.469 μs | 0.392 μs | 104.32 μs | -| GetGator | 285.22 μs | 1.183 μs | 0.923 μs | 284.83 μs | -| GetHeikinAshi | 180.60 μs | 4.060 μs | 11.046 μs | 175.51 μs | -| GetHma | 1,381.84 μs | 3.634 μs | 3.035 μs | 1,381.41 μs | -| GetHtTrendline | 174.17 μs | 1.182 μs | 1.048 μs | 173.99 μs | -| GetHurst | 5,577.92 μs | 21.799 μs | 20.390 μs | 5,567.51 μs | -| GetIchimoku | 938.48 μs | 3.479 μs | 3.084 μs | 938.72 μs | -| GetKama | 329.93 μs | 1.653 μs | 1.466 μs | 329.66 μs | -| GetKlinger | 494.76 μs | 1.875 μs | 1.565 μs | 494.16 μs | -| GetKeltner | 472.58 μs | 2.184 μs | 2.042 μs | 471.92 μs | -| GetMacd | 217.86 μs | 1.426 μs | 1.264 μs | 217.51 μs | -| GetMaEnvelopes | 148.26 μs | 0.713 μs | 0.632 μs | 148.01 μs | -| GetMama | 287.17 μs | 2.075 μs | 1.620 μs | 286.68 μs | -| GetMfi | 485.62 μs | 1.907 μs | 1.690 μs | 485.18 μs | -| GetObv | 62.31 μs | 0.372 μs | 0.330 μs | 62.31 μs | -| GetObvWithSma | 140.16 μs | 1.793 μs | 1.677 μs | 139.93 μs | -| GetParabolicSar | 94.90 μs | 0.533 μs | 0.472 μs | 94.89 μs | -| GetPivotPoints | 97.13 μs | 0.690 μs | 0.612 μs | 97.04 μs | -| GetPmo | 265.15 μs | 1.907 μs | 1.784 μs | 264.94 μs | -| GetPrs | 133.24 μs | 1.900 μs | 1.586 μs | N/A | -| GetPrsWithSma | 205.19 μs | 1.452 μs | 1.287 μs | N/A | -| GetPvo | 343.26 μs | 4.831 μs | 4.034 μs | 341.35 μs | -| GetRenko | 94.18 μs | 0.328 μs | 0.256 μs | 94.18 μs | -| GetRenkoAtr | 101.58 μs | 0.526 μs | 0.439 μs | 101.42 μs | -| GetRoc | 94.60 μs | 0.350 μs | 0.310 μs | 94.58 μs | -| GetRocWb | 200.73 μs | 0.623 μs | 0.552 μs | 200.64 μs | -| GetRocWithSma | 355.20 μs | 1.624 μs | 1.519 μs | 354.83 μs | -| GetRsi | 340.61 μs | 1.052 μs | 0.821 μs | 340.70 μs | -| GetSlope | 880.85 μs | 5.654 μs | 5.012 μs | 879.30 μs | -| GetSma | 107.26 μs | 0.363 μs | 0.303 μs | 107.21 μs | -| GetSmaExtended | 942.89 μs | 5.649 μs | 5.284 μs | 940.02 μs | -| GetSmma | 96.63 μs | 0.469 μs | 0.439 μs | 96.42 μs | -| GetStarcBands | 418.00 μs | 1.100 μs | 0.918 μs | 417.84 μs | -| GetStdDev | 296.16 μs | 0.870 μs | 0.726 μs | 296.26 μs | -| GetStdDevWithSma | 383.25 μs | 2.206 μs | 2.063 μs | 382.67 μs | -| GetStdDevChannels | 947.06 μs | 2.845 μs | 2.376 μs | 947.12 μs | -| GetStoch | 403.67 μs | 1.003 μs | 0.838 μs | 403.38 μs | -| GetStochRsi | 708.34 μs | 2.750 μs | 2.296 μs | 707.45 μs | -| GetSuperTrend | 301.10 μs | 0.886 μs | 0.692 μs | 301.20 μs | -| GetTripleEma | 260.73 μs | 0.781 μs | 0.692 μs | 260.85 μs | -| GetTrix | 319.06 μs | 0.923 μs | 0.771 μs | 319.08 μs | -| GetTrixWithSma | 374.94 μs | 0.969 μs | 0.757 μs | 375.28 μs | -| GetTsi | 371.20 μs | 1.001 μs | 0.836 μs | 371.11 μs | -| GetT3 | 464.78 μs | 0.754 μs | 0.668 μs | 464.94 μs | -| GetUlcerIndex | 1,513.72 μs | 20.189 μs | 19.828 μs | 1,502.68 μs | -| GetUltimate | 555.05 μs | 2.761 μs | 2.306 μs | 554.72 μs | -| GetVolSma | 120.00 μs | 0.459 μs | 0.430 μs | 119.86 μs | -| GetVortex | 282.67 μs | 0.636 μs | 0.564 μs | 282.51 μs | -| GetVwap | 98.52 μs | 0.734 μs | 0.573 μs | 98.41 μs | -| GetWilliamsR | 295.51 μs | 1.869 μs | 1.459 μs | 295.22 μs | -| GetWma | 734.43 μs | 4.447 μs | 3.942 μs | 733.00 μs | -| GetZigZag | 147.16 μs | 0.613 μs | 0.512 μs | 147.16 μs | - -## quotes functions (mostly internal) - -| Method | Mean | Error | StdDev | -|---------------- |-------------:|-----------:|-----------:| -| Sort | 37,768.62 ns | 406.995 ns | 360.790 ns | -| Validate | 40,457.78 ns | 301.177 ns | 266.985 ns | -| Aggregate | 83.36 ns | 0.699 ns | 0.545 ns | -| ConvertToBasic | 42,362.26 ns | 144.200 ns | 120.414 ns | -| ConvertToQuotes | 8,378.83 ns | 71.755 ns | 63.609 ns | - -## math functions (internal) - -| Method | Periods | Mean | Error | StdDev | -|------- |-------- |------------:|---------:|---------:| -| StdDev | 20 | 36.84 ns | 0.194 ns | 0.172 ns | -| StdDev | 50 | 95.47 ns | 0.306 ns | 0.256 ns | -| StdDev | 250 | 530.23 ns | 1.303 ns | 1.088 ns | -| StdDev | 1000 | 2,142.94 ns | 5.994 ns | 5.313 ns | +| Method | Mean | Error | StdDev | +|------------------- |------------:|----------:|----------:| +| GetAdl | 124.29 μs | 2.414 μs | 3.687 μs | +| GetAdlWithSma | 115.54 μs | 1.839 μs | 2.753 μs | +| GetAdx | 237.15 μs | 1.069 μs | 0.948 μs | +| GetAlligator | 155.55 μs | 0.993 μs | 0.880 μs | +| GetAlma | 83.36 μs | 0.531 μs | 0.444 μs | +| GetAroon | 309.18 μs | 1.777 μs | 1.576 μs | +| GetAtr | 156.35 μs | 0.484 μs | 0.404 μs | +| GetAwesome | 66.29 μs | 0.259 μs | 0.230 μs | +| GetBeta | 286.29 μs | 0.851 μs | 0.665 μs | +| GetBetaUp | 377.75 μs | 1.433 μs | 1.270 μs | +| GetBetaDown | 369.43 μs | 1.257 μs | 1.050 μs | +| GetBetaAll | 878.41 μs | 16.218 μs | 13.543 μs | +| GetBollingerBands | 259.73 μs | 1.392 μs | 1.234 μs | +| GetBop | 108.02 μs | 0.246 μs | 0.205 μs | +| GetCci | 81.89 μs | 0.852 μs | 0.797 μs | +| GetChaikinOsc | 162.76 μs | 1.113 μs | 0.987 μs | +| GetChandelier | 346.43 μs | 1.250 μs | 1.044 μs | +| GetChop | 119.33 μs | 0.454 μs | 0.402 μs | +| GetCmf | 212.59 μs | 1.732 μs | 1.446 μs | +| GetConnorsRsi | 249.64 μs | 1.196 μs | 0.999 μs | +| GetCorrelation | 229.14 μs | 0.633 μs | 0.494 μs | +| GetDonchian | 312.26 μs | 2.677 μs | 2.236 μs | +| GetDoubleEma | 100.06 μs | 0.361 μs | 0.302 μs | +| GetDpo | 149.42 μs | 0.430 μs | 0.402 μs | +| GetElderRay | 117.93 μs | 0.895 μs | 0.793 μs | +| GetEma | 57.01 μs | 0.494 μs | 0.386 μs | +| GetEpma | 154.44 μs | 0.546 μs | 0.456 μs | +| GetFcb | 346.71 μs | 3.460 μs | 3.067 μs | +| GetFisherTransform | 80.28 μs | 0.213 μs | 0.178 μs | +| GetForceIndex | 48.03 μs | 0.178 μs | 0.149 μs | +| GetFractal | 95.96 μs | 0.528 μs | 0.441 μs | +| GetGator | 201.69 μs | 0.528 μs | 0.412 μs | +| GetHeikinAshi | 173.05 μs | 1.270 μs | 1.060 μs | +| GetHma | 326.51 μs | 2.386 μs | 2.116 μs | +| GetHtTrendline | 165.08 μs | 0.916 μs | 0.812 μs | +| GetHurst | 996.05 μs | 2.921 μs | 2.589 μs | +| GetIchimoku | 872.99 μs | 6.311 μs | 5.903 μs | +| GetKama | 218.28 μs | 1.158 μs | 1.026 μs | +| GetKlinger | 75.66 μs | 0.409 μs | 0.342 μs | +| GetKeltner | 381.80 μs | 1.465 μs | 1.299 μs | +| GetMacd | 143.19 μs | 0.550 μs | 0.429 μs | +| GetMaEnvelopes | 86.82 μs | 0.665 μs | 0.622 μs | +| GetMama | 132.06 μs | 1.773 μs | 1.571 μs | +| GetMarubozu | 125.23 μs | 2.474 μs | 2.540 μs | +| GetMfi | 172.48 μs | 1.895 μs | 1.773 μs | +| GetObv | 60.26 μs | 0.430 μs | 0.381 μs | +| GetObvWithSma | 65.82 μs | 0.340 μs | 0.302 μs | +| GetParabolicSar | 94.03 μs | 0.178 μs | 0.158 μs | +| GetPivots | 159.44 μs | 0.464 μs | 0.387 μs | +| GetPivotPoints | 93.03 μs | 0.871 μs | 0.772 μs | +| GetPmo | 113.49 μs | 2.236 μs | 2.196 μs | +| GetPrs | 133.71 μs | 1.256 μs | 1.175 μs | +| GetPrsWithSma | 138.15 μs | 0.610 μs | 0.541 μs | +| GetPvo | 203.95 μs | 0.467 μs | 0.390 μs | +| GetRenko | 94.77 μs | 0.744 μs | 0.659 μs | +| GetRenkoAtr | 99.85 μs | 0.271 μs | 0.240 μs | +| GetRoc | 95.43 μs | 0.331 μs | 0.310 μs | +| GetRocWb | 115.57 μs | 0.942 μs | 0.835 μs | +| GetRocWithSma | 106.40 μs | 0.837 μs | 0.742 μs | +| GetRollingPivots | 326.90 μs | 1.383 μs | 1.226 μs | +| GetRsi | 53.08 μs | 0.098 μs | 0.087 μs | +| GetSlope | 175.21 μs | 0.348 μs | 0.309 μs | +| GetSma | 82.92 μs | 0.180 μs | 0.159 μs | +| GetSmaExtended | 174.34 μs | 0.276 μs | 0.244 μs | +| GetSmi | 151.84 μs | 1.414 μs | 1.253 μs | +| GetSmma | 80.26 μs | 0.302 μs | 0.283 μs | +| GetStarcBands | 366.64 μs | 0.567 μs | 0.531 μs | +| GetStc | 395.16 μs | 3.675 μs | 3.257 μs | +| GetStdDev | 169.55 μs | 1.396 μs | 1.237 μs | +| GetStdDevWithSma | 178.82 μs | 0.296 μs | 0.247 μs | +| GetStdDevChannels | 209.56 μs | 0.692 μs | 0.613 μs | +| GetStoch | 290.82 μs | 0.536 μs | 0.418 μs | +| GetStochSMMA | 238.85 μs | 2.398 μs | 2.003 μs | +| GetStochRsi | 345.09 μs | 4.706 μs | 3.929 μs | +| GetSuperTrend | 247.28 μs | 1.870 μs | 1.658 μs | +| GetTripleEma | 143.98 μs | 2.074 μs | 1.619 μs | +| GetTrix | 185.84 μs | 1.499 μs | 1.402 μs | +| GetTrixWithSma | 243.63 μs | 1.639 μs | 1.533 μs | +| GetTsi | 61.29 μs | 0.603 μs | 0.564 μs | +| GetT3 | 66.47 μs | 0.776 μs | 0.726 μs | +| GetUlcerIndex | 1,102.98 μs | 3.249 μs | 3.039 μs | +| GetUltimate | 110.62 μs | 0.974 μs | 0.863 μs | +| GetVolatilityStop | 243.24 μs | 0.560 μs | 0.497 μs | +| GetVolSma | 159.04 μs | 1.197 μs | 1.120 μs | +| GetVortex | 90.71 μs | 1.141 μs | 0.953 μs | +| GetVwap | 67.75 μs | 0.362 μs | 0.338 μs | +| GetWilliamsR | 254.60 μs | 1.243 μs | 1.038 μs | +| GetWma | 101.64 μs | 0.579 μs | 0.541 μs | +| GetZigZag | 163.98 μs | 3.266 μs | 5.458 μs | diff --git a/src/_common/Quotes/Models.cs b/src/_common/Quotes/Models.cs index d41904a2b..f6e29fbac 100644 --- a/src/_common/Quotes/Models.cs +++ b/src/_common/Quotes/Models.cs @@ -31,4 +31,11 @@ internal class BasicData internal DateTime Date { get; set; } internal decimal Value { get; set; } } + + [Serializable] + internal class BasicDouble + { + internal DateTime Date { get; set; } + internal double Value { get; set; } + } } diff --git a/src/_common/Quotes/Quotes.Functions.cs b/src/_common/Quotes/Quotes.Functions.cs index 3715375f5..e405d816d 100644 --- a/src/_common/Quotes/Quotes.Functions.cs +++ b/src/_common/Quotes/Quotes.Functions.cs @@ -129,5 +129,30 @@ internal static List ConvertToBasic( : bdList; } + // convert to basic double + internal static List ConvertToBasicDouble( + this IEnumerable quotes, CandlePart element = CandlePart.Close) + where TQuote : IQuote + { + // elements represents the targeted OHLCV parts, so use "O" to return as base data, etc. + // convert to basic double precision format + IEnumerable basicDouble = element switch + { + CandlePart.Open => quotes.Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Open }), + CandlePart.High => quotes.Select(x => new BasicDouble { Date = x.Date, Value = (double)x.High }), + CandlePart.Low => quotes.Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Low }), + CandlePart.Close => quotes.Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Close }), + CandlePart.Volume => quotes.Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Volume }), + _ => new List(), + }; + + List bdList = basicDouble.OrderBy(x => x.Date).ToList(); + + // validate + return bdList == null || bdList.Count == 0 + ? throw new BadQuotesException(nameof(quotes), "No historical quotes provided.") + : bdList; + } + } } diff --git a/src/a-d/Adl/Adl.Models.cs b/src/a-d/Adl/Adl.Models.cs index f1b0a4656..8c7081660 100644 --- a/src/a-d/Adl/Adl.Models.cs +++ b/src/a-d/Adl/Adl.Models.cs @@ -1,13 +1,13 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class AdlResult : ResultBase { - public decimal MoneyFlowMultiplier { get; set; } - public decimal MoneyFlowVolume { get; set; } - public decimal Adl { get; set; } - public decimal? AdlSma { get; set; } + public double MoneyFlowMultiplier { get; set; } + public double MoneyFlowVolume { get; set; } + public double Adl { get; set; } + public double? AdlSma { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Adl/Adl.cs b/src/a-d/Adl/Adl.cs index 66c85d1f3..62a23bc9d 100644 --- a/src/a-d/Adl/Adl.cs +++ b/src/a-d/Adl/Adl.cs @@ -23,7 +23,7 @@ public static IEnumerable GetAdl( // initialize List results = new(quotesList.Count); - decimal prevAdl = 0; + double prevAdl = 0; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -31,9 +31,9 @@ public static IEnumerable GetAdl( TQuote q = quotesList[i]; int index = i + 1; - decimal mfm = (q.High == q.Low) ? 0 : ((q.Close - q.Low) - (q.High - q.Close)) / (q.High - q.Low); - decimal mfv = mfm * q.Volume; - decimal adl = mfv + prevAdl; + double mfm = (q.High == q.Low) ? 0 : (double)(((q.Close - q.Low) - (q.High - q.Close)) / (q.High - q.Low)); + double mfv = mfm * (double)q.Volume; + double adl = mfv + prevAdl; AdlResult result = new() { @@ -49,7 +49,7 @@ public static IEnumerable GetAdl( // optional SMA if (smaPeriods != null && index >= smaPeriods) { - decimal sumSma = 0m; + double sumSma = 0; for (int p = index - (int)smaPeriods; p < index; p++) { sumSma += results[p].Adl; @@ -73,11 +73,11 @@ public static IEnumerable ConvertToQuotes( .Select(x => new Quote { Date = x.Date, - Open = x.Adl, - High = x.Adl, - Low = x.Adl, - Close = x.Adl, - Volume = x.Adl + Open = (decimal)x.Adl, + High = (decimal)x.Adl, + Low = (decimal)x.Adl, + Close = (decimal)x.Adl, + Volume = (decimal)x.Adl }) .ToList(); } diff --git a/src/a-d/Adx/Adx.Models.cs b/src/a-d/Adx/Adx.Models.cs index 8515025d1..9cfbe4938 100644 --- a/src/a-d/Adx/Adx.Models.cs +++ b/src/a-d/Adx/Adx.Models.cs @@ -1,12 +1,12 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class AdxResult : ResultBase { - public decimal? Pdi { get; set; } - public decimal? Mdi { get; set; } - public decimal? Adx { get; set; } + public double? Pdi { get; set; } + public double? Mdi { get; set; } + public double? Adx { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Adx/Adx.cs b/src/a-d/Adx/Adx.cs index fa0db3732..78cf2fcf0 100644 --- a/src/a-d/Adx/Adx.cs +++ b/src/a-d/Adx/Adx.cs @@ -27,15 +27,15 @@ public static IEnumerable GetAdx( decimal prevHigh = 0; decimal prevLow = 0; - decimal prevTrs = 0; // smoothed - decimal prevPdm = 0; - decimal prevMdm = 0; - decimal prevAdx = 0; + double prevTrs = 0; // smoothed + double prevPdm = 0; + double prevMdm = 0; + double prevAdx = 0; - decimal sumTr = 0; - decimal sumPdm = 0; - decimal sumMdm = 0; - decimal sumDx = 0; + double sumTr = 0; + double sumPdm = 0; + double sumMdm = 0; + double sumDx = 0; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -57,13 +57,13 @@ public static IEnumerable GetAdx( continue; } - decimal tr = (decimal)atr[i].Tr; + double tr = (double)atr[i].Tr; - decimal pdm1 = (q.High - prevHigh) > (prevLow - q.Low) ? - Math.Max(q.High - prevHigh, 0) : 0; + double pdm1 = (q.High - prevHigh) > (prevLow - q.Low) ? + (double)Math.Max(q.High - prevHigh, 0) : 0; - decimal mdm1 = (prevLow - q.Low) > (q.High - prevHigh) ? - Math.Max(prevLow - q.Low, 0) : 0; + double mdm1 = (prevLow - q.Low) > (q.High - prevHigh) ? + (double)Math.Max(prevLow - q.Low, 0) : 0; prevHigh = q.High; prevLow = q.Low; @@ -84,9 +84,9 @@ public static IEnumerable GetAdx( // smoothed true range and directional movement - decimal trs; - decimal pdm; - decimal mdm; + double trs; + double pdm; + double mdm; if (index == lookbackPeriods + 1) { @@ -111,8 +111,8 @@ public static IEnumerable GetAdx( } // directional increments - decimal pdi = 100 * pdm / trs; - decimal mdi = 100 * mdm / trs; + double pdi = 100 * pdm / trs; + double mdi = 100 * mdm / trs; result.Pdi = pdi; result.Mdi = mdi; @@ -123,8 +123,8 @@ public static IEnumerable GetAdx( } // calculate ADX - decimal dx = 100 * Math.Abs(pdi - mdi) / (pdi + mdi); - decimal adx; + double dx = 100 * Math.Abs(pdi - mdi) / (pdi + mdi); + double adx; if (index > 2 * lookbackPeriods) { diff --git a/src/a-d/Alligator/Alligator.cs b/src/a-d/Alligator/Alligator.cs index 8cc490b08..ea902d49a 100644 --- a/src/a-d/Alligator/Alligator.cs +++ b/src/a-d/Alligator/Alligator.cs @@ -21,7 +21,7 @@ public static IEnumerable GetAlligator( // initialize int size = quotesList.Count; - decimal[] pr = new decimal[size]; // median price + double[] pr = new double[size]; // median price int jawLookback = 13; int jawOffset = 8; @@ -43,7 +43,7 @@ public static IEnumerable GetAlligator( { TQuote q = quotesList[i]; int index = i + 1; - pr[i] = (q.High + q.Low) / 2; + pr[i] = (double)(q.High + q.Low) / 2; // only calculate jaw if the array index + offset is still in valid range if (i + jawOffset < size) @@ -54,19 +54,19 @@ public static IEnumerable GetAlligator( // first value: calculate SMA if (index == jawLookback) { - decimal sumMedianPrice = 0m; + double sumMedianPrice = 0; for (int p = index - jawLookback; p < index; p++) { sumMedianPrice += pr[p]; } - jawResult.Jaw = sumMedianPrice / jawLookback; + jawResult.Jaw = (decimal)sumMedianPrice / jawLookback; } // remaining values: SMMA else if (index > jawLookback) { - decimal? prevValue = results[i + jawOffset - 1].Jaw; - jawResult.Jaw = (prevValue * (jawLookback - 1) + pr[i]) / jawLookback; + double? prevValue = (double)results[i + jawOffset - 1].Jaw; + jawResult.Jaw = (decimal)(prevValue * (jawLookback - 1) + pr[i]) / jawLookback; } } @@ -79,19 +79,19 @@ public static IEnumerable GetAlligator( // first value: calculate SMA if (index == teethLookback) { - decimal sumMedianPrice = 0m; + double sumMedianPrice = 0; for (int p = index - teethLookback; p < index; p++) { sumMedianPrice += pr[p]; } - teethResult.Teeth = sumMedianPrice / teethLookback; + teethResult.Teeth = (decimal)sumMedianPrice / teethLookback; } // remaining values: SMMA else if (index > teethLookback) { - decimal? prevValue = results[i + teethOffset - 1].Teeth; - teethResult.Teeth = (prevValue * (teethLookback - 1) + pr[i]) / teethLookback; + double? prevValue = (double)results[i + teethOffset - 1].Teeth; + teethResult.Teeth = (decimal)(prevValue * (teethLookback - 1) + pr[i]) / teethLookback; } } @@ -104,19 +104,19 @@ public static IEnumerable GetAlligator( // first value: calculate SMA if (index == lipsLookback) { - decimal sumMedianPrice = 0m; + double sumMedianPrice = 0; for (int p = index - lipsLookback; p < index; p++) { sumMedianPrice += pr[p]; } - lipsResult.Lips = sumMedianPrice / lipsLookback; + lipsResult.Lips = (decimal)sumMedianPrice / lipsLookback; } // remaining values: SMMA else if (index > lipsLookback) { - decimal? prevValue = results[i + lipsOffset - 1].Lips; - lipsResult.Lips = (prevValue * (lipsLookback - 1) + pr[i]) / lipsLookback; + double? prevValue = (double)results[i + lipsOffset - 1].Lips; + lipsResult.Lips = (decimal)(prevValue * (lipsLookback - 1) + pr[i]) / lipsLookback; } } } diff --git a/src/a-d/Alma/Alma.cs b/src/a-d/Alma/Alma.cs index 64bc17492..f0538796d 100644 --- a/src/a-d/Alma/Alma.cs +++ b/src/a-d/Alma/Alma.cs @@ -30,12 +30,12 @@ public static IEnumerable GetAlma( double m = offset * (lookbackPeriods - 1); double s = lookbackPeriods / sigma; - decimal[] weight = new decimal[lookbackPeriods]; - decimal norm = 0; + double[] weight = new double[lookbackPeriods]; + double norm = 0; for (int i = 0; i < lookbackPeriods; i++) { - decimal wt = (decimal)Math.Exp(-((i - m) * (i - m)) / (2 * s * s)); + double wt = Math.Exp(-((i - m) * (i - m)) / (2 * s * s)); weight[i] = wt; norm += wt; } @@ -53,17 +53,17 @@ public static IEnumerable GetAlma( if (index >= lookbackPeriods) { - decimal weightedSum = 0m; + double weightedSum = 0; int n = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - weightedSum += weight[n] * d.Close; + weightedSum += weight[n] * (double)d.Close; n++; } - r.Alma = weightedSum / norm; + r.Alma = (decimal)(weightedSum / norm); } results.Add(r); diff --git a/src/a-d/Awesome/Awesome.Models.cs b/src/a-d/Awesome/Awesome.Models.cs index e8d311f70..74156a941 100644 --- a/src/a-d/Awesome/Awesome.Models.cs +++ b/src/a-d/Awesome/Awesome.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class AwesomeResult : ResultBase { - public decimal? Oscillator { get; set; } - public decimal? Normalized { get; set; } + public double? Oscillator { get; set; } + public double? Normalized { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Awesome/Awesome.cs b/src/a-d/Awesome/Awesome.cs index 4e9a8f70b..07c230d8b 100644 --- a/src/a-d/Awesome/Awesome.cs +++ b/src/a-d/Awesome/Awesome.cs @@ -25,13 +25,13 @@ public static IEnumerable GetAwesome( // initialize int size = quotesList.Count; List results = new(); - decimal[] pr = new decimal[size]; // median price + double[] pr = new double[size]; // median price // roll through quotes for (int i = 0; i < size; i++) { TQuote q = quotesList[i]; - pr[i] = (q.High + q.Low) / 2; + pr[i] = (double)(q.High + q.Low) / 2; int index = i + 1; AwesomeResult r = new() @@ -41,8 +41,8 @@ public static IEnumerable GetAwesome( if (index >= slowPeriods) { - decimal sumSlow = 0m; - decimal sumFast = 0m; + double sumSlow = 0; + double sumFast = 0; for (int p = index - slowPeriods; p < index; p++) { diff --git a/src/a-d/Beta/Beta.Models.cs b/src/a-d/Beta/Beta.Models.cs index b66224fce..a9ac50b36 100644 --- a/src/a-d/Beta/Beta.Models.cs +++ b/src/a-d/Beta/Beta.Models.cs @@ -5,11 +5,11 @@ namespace Skender.Stock.Indicators [Serializable] public class BetaResult : ResultBase { - public decimal? Beta { get; set; } - public decimal? BetaUp { get; set; } - public decimal? BetaDown { get; set; } - public decimal? Ratio { get; set; } - public decimal? Convexity { get; set; } + public double? Beta { get; set; } + public double? BetaUp { get; set; } + public double? BetaDown { get; set; } + public double? Ratio { get; set; } + public double? Convexity { get; set; } } public enum BetaType diff --git a/src/a-d/Beta/Beta.cs b/src/a-d/Beta/Beta.cs index cc085ced1..8f73d1e64 100644 --- a/src/a-d/Beta/Beta.cs +++ b/src/a-d/Beta/Beta.cs @@ -115,13 +115,13 @@ private static void CalcBeta( // initialize CorrResult c = new(); - List dataA = new(lookbackPeriods); - List dataB = new(lookbackPeriods); + List dataA = new(lookbackPeriods); + List dataB = new(lookbackPeriods); for (int p = index - lookbackPeriods + 1; p <= index; p++) { - decimal a = quotesListMrkt[p].Close; - decimal b = quotesListEval[p].Close; + double a = (double)quotesListMrkt[p].Close; + double b = (double)quotesListEval[p].Close; if (type is BetaType.Standard) { @@ -129,13 +129,13 @@ private static void CalcBeta( dataB.Add(b); } else if (type is BetaType.Down - && a < quotesListMrkt[p - 1].Close) + && a < (double)quotesListMrkt[p - 1].Close) { dataA.Add(a); dataB.Add(b); } else if (type is BetaType.Up - && a > quotesListMrkt[p - 1].Close) + && a > (double)quotesListMrkt[p - 1].Close) { dataA.Add(a); dataB.Add(b); @@ -150,7 +150,7 @@ private static void CalcBeta( // calculate beta if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0) { - decimal? beta = c.Covariance / c.VarianceA; + double? beta = c.Covariance / c.VarianceA; if (type == BetaType.Standard) { diff --git a/src/a-d/BollingerBands/BollingerBands.Models.cs b/src/a-d/BollingerBands/BollingerBands.Models.cs index 2c6c37b4f..a19e6cf53 100644 --- a/src/a-d/BollingerBands/BollingerBands.Models.cs +++ b/src/a-d/BollingerBands/BollingerBands.Models.cs @@ -1,4 +1,4 @@ -using System; +using System; namespace Skender.Stock.Indicators { @@ -9,8 +9,8 @@ public class BollingerBandsResult : ResultBase public decimal? UpperBand { get; set; } public decimal? LowerBand { get; set; } - public decimal? PercentB { get; set; } - public decimal? ZScore { get; set; } - public decimal? Width { get; set; } + public double? PercentB { get; set; } + public double? ZScore { get; set; } + public double? Width { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/BollingerBands/BollingerBands.cs b/src/a-d/BollingerBands/BollingerBands.cs index 5ef5550d3..4ab343c9e 100644 --- a/src/a-d/BollingerBands/BollingerBands.cs +++ b/src/a-d/BollingerBands/BollingerBands.cs @@ -12,7 +12,7 @@ public static partial class Indicator public static IEnumerable GetBollingerBands( this IEnumerable quotes, int lookbackPeriods = 20, - decimal standardDeviations = 2) + double standardDeviations = 2) where TQuote : IQuote { @@ -39,29 +39,30 @@ public static IEnumerable GetBollingerBands( if (index >= lookbackPeriods) { double[] periodClose = new double[lookbackPeriods]; - decimal sum = 0m; + double sum = 0; int n = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - periodClose[n] = (double)d.Close; - sum += d.Close; + double close = (double)d.Close; + periodClose[n] = close; + sum += close; n++; } - decimal periodAvg = sum / lookbackPeriods; - decimal stdDev = (decimal)Functions.StdDev(periodClose); + double periodAvg = sum / lookbackPeriods; + double stdDev = Functions.StdDev(periodClose); - r.Sma = periodAvg; - r.UpperBand = periodAvg + standardDeviations * stdDev; - r.LowerBand = periodAvg - standardDeviations * stdDev; + r.Sma = (decimal)periodAvg; + r.UpperBand = (decimal)(periodAvg + standardDeviations * stdDev); + r.LowerBand = (decimal)(periodAvg - standardDeviations * stdDev); r.PercentB = (r.UpperBand == r.LowerBand) ? null - : (q.Close - r.LowerBand) / (r.UpperBand - r.LowerBand); + : (double)((q.Close - r.LowerBand) / (r.UpperBand - r.LowerBand)); - r.ZScore = (stdDev == 0) ? null : (q.Close - r.Sma) / stdDev; - r.Width = (r.Sma == 0) ? null : (r.UpperBand - r.LowerBand) / r.Sma; + r.ZScore = (stdDev == 0) ? null : (double)(q.Close - r.Sma) / stdDev; + r.Width = (periodAvg == 0) ? null : (double)(r.UpperBand - r.LowerBand) / periodAvg; } results.Add(r); @@ -89,7 +90,7 @@ public static IEnumerable RemoveWarmupPeriods( private static void ValidateBollingerBands( IEnumerable quotes, int lookbackPeriods, - decimal standardDeviations) + double standardDeviations) where TQuote : IQuote { diff --git a/src/a-d/Bop/Bop.Models.cs b/src/a-d/Bop/Bop.Models.cs index 33f9cb145..f89db391e 100644 --- a/src/a-d/Bop/Bop.Models.cs +++ b/src/a-d/Bop/Bop.Models.cs @@ -1,10 +1,10 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class BopResult : ResultBase { - public decimal? Bop { get; set; } + public double? Bop { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Bop/Bop.cs b/src/a-d/Bop/Bop.cs index b91b932da..e1cc12da1 100644 --- a/src/a-d/Bop/Bop.cs +++ b/src/a-d/Bop/Bop.cs @@ -25,9 +25,9 @@ public static IEnumerable GetBop( int size = quotesList.Count; List results = new(size); - decimal?[] raw = quotesList + double?[] raw = quotesList .Select(x => (x.High != x.Low) ? - (x.Close - x.Open) / (x.High - x.Low) : (decimal?)null) + (double?)((x.Close - x.Open) / (x.High - x.Low)) : null) .ToArray(); // roll through quotes @@ -40,7 +40,7 @@ public static IEnumerable GetBop( if (i >= smoothPeriods - 1) { - decimal? sum = 0m; + double? sum = 0; for (int p = i - smoothPeriods + 1; p <= i; p++) { sum += raw[p]; diff --git a/src/a-d/Cci/Cci.Models.cs b/src/a-d/Cci/Cci.Models.cs index 5f97e61f8..13f4f9aaf 100644 --- a/src/a-d/Cci/Cci.Models.cs +++ b/src/a-d/Cci/Cci.Models.cs @@ -1,11 +1,13 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class CciResult : ResultBase { - internal decimal? Tp { get; set; } - public decimal? Cci { get; set; } + public double? Cci { get; set; } + + // internal use only + internal double? Tp { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Cci/Cci.cs b/src/a-d/Cci/Cci.cs index 02cb1944d..64fd7cb97 100644 --- a/src/a-d/Cci/Cci.cs +++ b/src/a-d/Cci/Cci.cs @@ -33,32 +33,32 @@ public static IEnumerable GetCci( CciResult result = new() { Date = q.Date, - Tp = (q.High + q.Low + q.Close) / 3 + Tp = (double?)(q.High + q.Low + q.Close) / 3 }; results.Add(result); if (index >= lookbackPeriods) { // average TP over lookback - decimal avgTp = 0; + double avgTp = 0; for (int p = index - lookbackPeriods; p < index; p++) { CciResult d = results[p]; - avgTp += (decimal)d.Tp; + avgTp += (double)d.Tp; } avgTp /= lookbackPeriods; // average Deviation over lookback - decimal avgDv = 0; + double avgDv = 0; for (int p = index - lookbackPeriods; p < index; p++) { CciResult d = results[p]; - avgDv += Math.Abs(avgTp - (decimal)d.Tp); + avgDv += Math.Abs(avgTp - (double)d.Tp); } avgDv /= lookbackPeriods; result.Cci = (avgDv == 0) ? null - : (result.Tp - avgTp) / ((decimal)0.015 * avgDv); + : (result.Tp - avgTp) / (0.015 * avgDv); } } diff --git a/src/a-d/ChaikinOsc/ChaikinOsc.Models.cs b/src/a-d/ChaikinOsc/ChaikinOsc.Models.cs index 6883bb8de..54a065912 100644 --- a/src/a-d/ChaikinOsc/ChaikinOsc.Models.cs +++ b/src/a-d/ChaikinOsc/ChaikinOsc.Models.cs @@ -1,13 +1,13 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class ChaikinOscResult : ResultBase { - public decimal MoneyFlowMultiplier { get; set; } - public decimal MoneyFlowVolume { get; set; } - public decimal Adl { get; set; } - public decimal? Oscillator { get; set; } + public double MoneyFlowMultiplier { get; set; } + public double MoneyFlowVolume { get; set; } + public double Adl { get; set; } + public double? Oscillator { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/ChaikinOsc/ChaikinOsc.cs b/src/a-d/ChaikinOsc/ChaikinOsc.cs index c65240e31..f77c38361 100644 --- a/src/a-d/ChaikinOsc/ChaikinOsc.cs +++ b/src/a-d/ChaikinOsc/ChaikinOsc.cs @@ -31,8 +31,8 @@ public static IEnumerable GetChaikinOsc( .ToList(); // EMA of ADL - List adlBasicData = results - .Select(x => new BasicData { Date = x.Date, Value = x.Adl }) + List adlBasicData = results + .Select(x => new BasicDouble { Date = x.Date, Value = x.Adl }) .ToList(); List adlEmaSlow = CalcEma(adlBasicData, slowPeriods); @@ -46,7 +46,7 @@ public static IEnumerable GetChaikinOsc( EmaResult f = adlEmaFast[i]; EmaResult s = adlEmaSlow[i]; - r.Oscillator = f.Ema - s.Ema; + r.Oscillator = (double)(f.Ema - s.Ema); } return results; diff --git a/src/a-d/Chop/Chop.cs b/src/a-d/Chop/Chop.cs index 63f8e5e98..64d0320d1 100644 --- a/src/a-d/Chop/Chop.cs +++ b/src/a-d/Chop/Chop.cs @@ -22,16 +22,16 @@ public static IEnumerable GetChop( ValidateChop(quotesList, lookbackPeriods); // initialize - decimal sum; - decimal high; - decimal low; - decimal range; + double sum; + double high; + double low; + double range; int size = quotesList.Count; List results = new(size); - decimal[] trueHigh = new decimal[size]; - decimal[] trueLow = new decimal[size]; - decimal[] trueRange = new decimal[size]; + double[] trueHigh = new double[size]; + double[] trueLow = new double[size]; + double[] trueRange = new double[size]; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -44,8 +44,8 @@ public static IEnumerable GetChop( if (i > 0) { - trueHigh[i] = Math.Max(quotesList[i].High, quotesList[i - 1].Close); - trueLow[i] = Math.Min(quotesList[i].Low, quotesList[i - 1].Close); + trueHigh[i] = (double)Math.Max(quotesList[i].High, quotesList[i - 1].Close); + trueLow[i] = (double)Math.Min(quotesList[i].Low, quotesList[i - 1].Close); trueRange[i] = trueHigh[i] - trueLow[i]; // calculate CHOP @@ -70,7 +70,7 @@ public static IEnumerable GetChop( // calculate CHOP if (range != 0) { - r.Chop = (decimal)(100 * (Math.Log((double)(sum / range)) / Math.Log(lookbackPeriods))); + r.Chop = (decimal)(100 * (Math.Log(sum / range) / Math.Log(lookbackPeriods))); } } } diff --git a/src/a-d/Cmf/Cmf.Models.cs b/src/a-d/Cmf/Cmf.Models.cs index 4597a56f7..de94d6813 100644 --- a/src/a-d/Cmf/Cmf.Models.cs +++ b/src/a-d/Cmf/Cmf.Models.cs @@ -1,12 +1,12 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class CmfResult : ResultBase { - public decimal MoneyFlowMultiplier { get; set; } - public decimal MoneyFlowVolume { get; set; } - public decimal? Cmf { get; set; } + public double MoneyFlowMultiplier { get; set; } + public double MoneyFlowVolume { get; set; } + public double? Cmf { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Cmf/Cmf.cs b/src/a-d/Cmf/Cmf.cs index 748ef0dc4..c5798a5af 100644 --- a/src/a-d/Cmf/Cmf.cs +++ b/src/a-d/Cmf/Cmf.cs @@ -40,20 +40,20 @@ public static IEnumerable GetCmf( if (index >= lookbackPeriods) { - decimal sumMfv = 0; - decimal sumVol = 0; + double sumMfv = 0; + double sumVol = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote q = quotesList[p]; - sumVol += q.Volume; + sumVol += (double)q.Volume; AdlResult d = adlResults[p]; - sumMfv += d.MoneyFlowVolume; + sumMfv += (double)d.MoneyFlowVolume; } - decimal avgMfv = sumMfv / lookbackPeriods; - decimal avgVol = sumVol / lookbackPeriods; + double avgMfv = sumMfv / lookbackPeriods; + double avgVol = sumVol / lookbackPeriods; if (avgVol != 0) { diff --git a/src/a-d/ConnorsRsi/ConnorsRsi.Models.cs b/src/a-d/ConnorsRsi/ConnorsRsi.Models.cs index a3fbe0c9a..bebd9a02f 100644 --- a/src/a-d/ConnorsRsi/ConnorsRsi.Models.cs +++ b/src/a-d/ConnorsRsi/ConnorsRsi.Models.cs @@ -1,16 +1,16 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class ConnorsRsiResult : ResultBase { - public decimal? RsiClose { get; set; } - public decimal? RsiStreak { get; set; } - public decimal? PercentRank { get; set; } - public decimal? ConnorsRsi { get; set; } + public double? RsiClose { get; set; } + public double? RsiStreak { get; set; } + public double? PercentRank { get; set; } + public double? ConnorsRsi { get; set; } // internal use only - internal decimal? Streak { get; set; } + internal int? Streak { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/ConnorsRsi/ConnorsRsi.cs b/src/a-d/ConnorsRsi/ConnorsRsi.cs index c89f853c5..8e4d0853b 100644 --- a/src/a-d/ConnorsRsi/ConnorsRsi.cs +++ b/src/a-d/ConnorsRsi/ConnorsRsi.cs @@ -18,7 +18,7 @@ public static IEnumerable GetConnorsRsi( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateConnorsRsi(bdList, rsiPeriods, streakPeriods, rankPeriods); @@ -28,9 +28,9 @@ public static IEnumerable GetConnorsRsi( int startPeriod = Math.Max(rsiPeriods, Math.Max(streakPeriods, rankPeriods)) + 2; // RSI of streak - List bdStreak = results + List bdStreak = results .Where(x => x.Streak != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Streak }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Streak }) .ToList(); List rsiStreakResults = CalcRsi(bdStreak, streakPeriods); @@ -69,44 +69,44 @@ public static IEnumerable RemoveWarmupPeriods( // parameter validation private static List CalcConnorsRsiBaseline( - List bdList, int rsiPeriods, int rankPeriods) + List bdList, int rsiPeriods, int rankPeriods) { // initialize List rsiResults = CalcRsi(bdList, rsiPeriods); int size = bdList.Count; List results = new(size); - decimal?[] gain = new decimal?[size]; + double?[] gain = new double?[size]; - decimal? lastClose = null; - decimal streak = 0; + double? lastClose = null; + int streak = 0; // compose interim results for (int i = 0; i < size; i++) { - BasicData h = bdList[i]; + BasicDouble q = bdList[i]; int index = i + 1; - ConnorsRsiResult result = new() + ConnorsRsiResult r = new() { - Date = h.Date, + Date = q.Date, RsiClose = rsiResults[i].Rsi }; + results.Add(r); // bypass for first record if (lastClose == null) { - lastClose = h.Value; - results.Add(result); + lastClose = q.Value; continue; } // streak of up or down - if (h.Value == lastClose) + if (q.Value == lastClose) { streak = 0; } - else if (h.Value > lastClose) + else if (q.Value > lastClose) { if (streak >= 0) { @@ -129,13 +129,11 @@ private static List CalcConnorsRsiBaseline( } } - result.Streak = streak; + r.Streak = streak; // percentile rank - gain[i] = (lastClose == 0) ? null - : (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose); - - results.Add(result); + gain[i] = (lastClose <= 0) ? null + : (q.Value - lastClose) / lastClose; if (index > rankPeriods) { @@ -148,11 +146,10 @@ private static List CalcConnorsRsiBaseline( } } - result.PercentRank = 100m * qty / rankPeriods; + r.PercentRank = 100 * qty / rankPeriods; } - - lastClose = h.Value; + lastClose = q.Value; } return results; @@ -160,7 +157,7 @@ private static List CalcConnorsRsiBaseline( private static void ValidateConnorsRsi( - IEnumerable quotes, + IEnumerable quotes, int rsiPeriods, int streakPeriods, int rankPeriods) diff --git a/src/a-d/Correlation/Correlation.Models.cs b/src/a-d/Correlation/Correlation.Models.cs index f7f701791..ebc8ca8db 100644 --- a/src/a-d/Correlation/Correlation.Models.cs +++ b/src/a-d/Correlation/Correlation.Models.cs @@ -1,14 +1,14 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class CorrResult : ResultBase { - public decimal? VarianceA { get; set; } - public decimal? VarianceB { get; set; } - public decimal? Covariance { get; set; } - public decimal? Correlation { get; set; } - public decimal? RSquared { get; set; } + public double? VarianceA { get; set; } + public double? VarianceB { get; set; } + public double? Covariance { get; set; } + public double? Correlation { get; set; } + public double? RSquared { get; set; } } -} \ No newline at end of file +} diff --git a/src/a-d/Correlation/Correlation.cs b/src/a-d/Correlation/Correlation.cs index 9f1397263..b6afebac2 100644 --- a/src/a-d/Correlation/Correlation.cs +++ b/src/a-d/Correlation/Correlation.cs @@ -47,14 +47,14 @@ public static IEnumerable GetCorrelation( // calculate correlation if (index >= lookbackPeriods) { - decimal[] dataA = new decimal[lookbackPeriods]; - decimal[] dataB = new decimal[lookbackPeriods]; + double[] dataA = new double[lookbackPeriods]; + double[] dataB = new double[lookbackPeriods]; int z = 0; for (int p = index - lookbackPeriods; p < index; p++) { - dataA[z] = quotesListA[p].Close; - dataB[z] = quotesListB[p].Close; + dataA[z] = (double)quotesListA[p].Close; + dataB[z] = (double)quotesListB[p].Close; z++; } @@ -86,21 +86,21 @@ public static IEnumerable RemoveWarmupPeriods( // calculate correlation private static void CalcCorrelation( this CorrResult r, - decimal[] dataA, - decimal[] dataB + double[] dataA, + double[] dataB ) { int size = dataA.Length; - decimal sumA = 0m; - decimal sumB = 0m; - decimal sumA2 = 0m; - decimal sumB2 = 0m; - decimal sumAB = 0m; + double sumA = 0; + double sumB = 0; + double sumA2 = 0; + double sumB2 = 0; + double sumAB = 0; for (int i = 0; i < size; i++) { - decimal a = dataA[i]; - decimal b = dataB[i]; + double a = dataA[i]; + double b = dataB[i]; sumA += a; sumB += b; @@ -109,11 +109,11 @@ decimal[] dataB sumAB += a * b; } - decimal avgA = sumA / size; - decimal avgB = sumB / size; - decimal avgA2 = sumA2 / size; - decimal avgB2 = sumB2 / size; - decimal avgAB = sumAB / size; + double avgA = sumA / size; + double avgB = sumB / size; + double avgA2 = sumA2 / size; + double avgB2 = sumB2 / size; + double avgAB = sumAB / size; r.VarianceA = avgA2 - avgA * avgA; r.VarianceB = avgB2 - avgB * avgB; @@ -121,7 +121,7 @@ decimal[] dataB double divisor = Math.Sqrt((double)(r.VarianceA * r.VarianceB)); - r.Correlation = (divisor == 0) ? null : r.Covariance / (decimal)divisor; + r.Correlation = (divisor == 0) ? null : r.Covariance / divisor; r.RSquared = r.Correlation * r.Correlation; } diff --git a/src/a-d/DoubleEma/DoubleEma.cs b/src/a-d/DoubleEma/DoubleEma.cs index acb42461e..8fa0813ed 100644 --- a/src/a-d/DoubleEma/DoubleEma.cs +++ b/src/a-d/DoubleEma/DoubleEma.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -16,7 +16,7 @@ public static IEnumerable GetDoubleEma( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateDema(bdList, lookbackPeriods); @@ -25,9 +25,9 @@ public static IEnumerable GetDoubleEma( List results = new(bdList.Count); List emaN = CalcEma(bdList, lookbackPeriods); - List bd2 = emaN + List bd2 = emaN .Where(x => x.Ema != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Ema }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Ema }) .ToList(); // note: ToList seems to be required when changing data List emaN2 = CalcEma(bd2, lookbackPeriods); @@ -72,7 +72,7 @@ public static IEnumerable RemoveWarmupPeriods( // parameter validation private static void ValidateDema( - IEnumerable quotes, + IEnumerable quotes, int lookbackPeriods) { diff --git a/src/e-k/Ema/Ema.cs b/src/e-k/Ema/Ema.cs index 221ac8496..9ab34730b 100644 --- a/src/e-k/Ema/Ema.cs +++ b/src/e-k/Ema/Ema.cs @@ -16,7 +16,7 @@ public static IEnumerable GetEma( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // calculate return bdList.CalcEma(lookbackPeriods); @@ -34,7 +34,7 @@ public static IEnumerable GetEma( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(candlePart); + List bdList = quotes.ConvertToBasicDouble(candlePart); // calculate return bdList.CalcEma(lookbackPeriods); @@ -57,7 +57,7 @@ public static IEnumerable RemoveWarmupPeriods( // standard calculation private static List CalcEma( - this List bdList, int lookbackPeriods) + this List bdList, int lookbackPeriods) { // check parameter arguments @@ -66,8 +66,8 @@ private static List CalcEma( // initialize List results = new(bdList.Count); - decimal k = 2 / (decimal)(lookbackPeriods + 1); - decimal lastEma = 0; + double k = 2d / (lookbackPeriods + 1); + double? lastEma = 0; for (int i = 0; i < lookbackPeriods; i++) { @@ -78,7 +78,7 @@ private static List CalcEma( // roll through quotes for (int i = 0; i < bdList.Count; i++) { - BasicData h = bdList[i]; + BasicDouble h = bdList[i]; int index = i + 1; EmaResult result = new() @@ -88,12 +88,13 @@ private static List CalcEma( if (index > lookbackPeriods) { - result.Ema = lastEma + k * (h.Value - lastEma); - lastEma = (decimal)result.Ema; + double? ema = (lastEma + k * (h.Value - lastEma)); + result.Ema = (decimal?)ema; + lastEma = ema; } else if (index == lookbackPeriods) { - result.Ema = lastEma; + result.Ema = (decimal?)lastEma; } results.Add(result); @@ -105,7 +106,7 @@ private static List CalcEma( // parameter validation private static void ValidateEma( - List quotes, + List quotes, int lookbackPeriods) { diff --git a/src/e-k/Epma/Epma.cs b/src/e-k/Epma/Epma.cs index 190a7fabd..0a3cea077 100644 --- a/src/e-k/Epma/Epma.cs +++ b/src/e-k/Epma/Epma.cs @@ -33,7 +33,7 @@ public static IEnumerable GetEpma( EpmaResult r = new() { Date = s.Date, - Epma = s.Slope * (i + 1) + s.Intercept + Epma = (decimal?)(s.Slope * (i + 1) + s.Intercept) }; results.Add(r); diff --git a/src/e-k/FisherTransform/FisherTransform.Models.cs b/src/e-k/FisherTransform/FisherTransform.Models.cs index 16c8c21d1..042423ff3 100644 --- a/src/e-k/FisherTransform/FisherTransform.Models.cs +++ b/src/e-k/FisherTransform/FisherTransform.Models.cs @@ -1,12 +1,12 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class FisherTransformResult : ResultBase { - public decimal? Fisher { get; set; } - public decimal? Trigger { get; set; } + public double? Fisher { get; set; } + public double? Trigger { get; set; } } } diff --git a/src/e-k/FisherTransform/FisherTransform.cs b/src/e-k/FisherTransform/FisherTransform.cs index 141fdb946..031379aea 100644 --- a/src/e-k/FisherTransform/FisherTransform.cs +++ b/src/e-k/FisherTransform/FisherTransform.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -23,7 +23,7 @@ public static IEnumerable GetFisherTransform( // initialize int size = quotesList.Count; - decimal[] pr = new decimal[size]; // median price + double[] pr = new double[size]; // median price double[] xv = new double[size]; // price transform "value" List results = new(size); @@ -32,10 +32,10 @@ public static IEnumerable GetFisherTransform( for (int i = 0; i < quotesList.Count; i++) { TQuote q = quotesList[i]; - pr[i] = (q.High + q.Low) / 2m; + pr[i] = (double)(q.High + q.Low) / 2; - decimal minPrice = pr[i]; - decimal maxPrice = pr[i]; + double minPrice = pr[i]; + double maxPrice = pr[i]; for (int p = Math.Max(i - lookbackPeriods + 1, 0); p <= i; p++) { @@ -51,15 +51,15 @@ public static IEnumerable GetFisherTransform( if (i > 0) { xv[i] = maxPrice != minPrice - ? 0.33 * 2 * ((double)((pr[i] - minPrice) / (maxPrice - minPrice) - 0.5m)) + ? 0.33 * 2 * ((pr[i] - minPrice) / (maxPrice - minPrice) - 0.5) + 0.67 * xv[i - 1] : 0; xv[i] = (xv[i] > 0.99) ? 0.999 : xv[i]; xv[i] = (xv[i] < -0.99) ? -0.999 : xv[i]; - r.Fisher = 0.5m * (decimal)Math.Log((1 + xv[i]) / (1 - xv[i])) - + 0.5m * results[i - 1].Fisher; + r.Fisher = 0.5 * Math.Log((1 + xv[i]) / (1 - xv[i])) + + 0.5 * results[i - 1].Fisher; r.Trigger = results[i - 1].Fisher; } diff --git a/src/e-k/ForceIndex/ForceIndex.Models.cs b/src/e-k/ForceIndex/ForceIndex.Models.cs index b5617dc79..6259ea1ac 100644 --- a/src/e-k/ForceIndex/ForceIndex.Models.cs +++ b/src/e-k/ForceIndex/ForceIndex.Models.cs @@ -1,10 +1,10 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class ForceIndexResult : ResultBase { - public decimal? ForceIndex { get; set; } + public double? ForceIndex { get; set; } } } diff --git a/src/e-k/ForceIndex/ForceIndex.cs b/src/e-k/ForceIndex/ForceIndex.cs index ea6c86a03..ff3a416fc 100644 --- a/src/e-k/ForceIndex/ForceIndex.cs +++ b/src/e-k/ForceIndex/ForceIndex.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -24,14 +24,15 @@ public static IEnumerable GetForceIndex( // initialize int size = quotesList.Count; List results = new(size); - decimal? prevClose = null, prevFI = null; - decimal k = 2m / (lookbackPeriods + 1), sumRawFI = 0m; + double? prevClose = null, prevFI = null, sumRawFI = 0; + double k = 2d / (lookbackPeriods + 1); // roll through quotes for (int i = 0; i < size; i++) { TQuote q = quotesList[i]; int index = i + 1; + double? close = (double?)q.Close; ForceIndexResult r = new() { @@ -42,13 +43,13 @@ public static IEnumerable GetForceIndex( // skip first period if (i == 0) { - prevClose = q.Close; + prevClose = close; continue; } // raw Force Index - decimal? rawFI = q.Volume * (q.Close - prevClose); - prevClose = q.Close; + double? rawFI = (double?)q.Volume * (close - prevClose); + prevClose = close; // calculate EMA if (index > lookbackPeriods + 1) @@ -59,7 +60,7 @@ public static IEnumerable GetForceIndex( // initialization period else { - sumRawFI += (decimal)rawFI; + sumRawFI += rawFI; // first EMA value if (index == lookbackPeriods + 1) diff --git a/src/e-k/Gator/Gator.Models.cs b/src/e-k/Gator/Gator.Models.cs index 4f28a2e9b..080009f94 100644 --- a/src/e-k/Gator/Gator.Models.cs +++ b/src/e-k/Gator/Gator.Models.cs @@ -5,8 +5,8 @@ namespace Skender.Stock.Indicators [Serializable] public class GatorResult : ResultBase { - public decimal? Upper { get; set; } - public decimal? Lower { get; set; } + public double? Upper { get; set; } + public double? Lower { get; set; } public bool? UpperIsExpanding { get; set; } public bool? LowerIsExpanding { get; set; } diff --git a/src/e-k/Gator/Gator.cs b/src/e-k/Gator/Gator.cs index 81d0b128f..20d6e425b 100644 --- a/src/e-k/Gator/Gator.cs +++ b/src/e-k/Gator/Gator.cs @@ -24,10 +24,10 @@ public static IEnumerable GetGator( Date = x.Date, Upper = ((x.Jaw - x.Teeth) is null) ? null : - Math.Abs(x.Jaw.Value - x.Teeth.Value), + (double)Math.Abs(x.Jaw.Value - x.Teeth.Value), Lower = ((x.Teeth - x.Lips) is null) ? null : - -Math.Abs(x.Teeth.Value - x.Lips.Value) + -(double)Math.Abs(x.Teeth.Value - x.Lips.Value) }) .ToList(); diff --git a/src/e-k/Hma/Hma.cs b/src/e-k/Hma/Hma.cs index 0a30457a5..fb721300e 100644 --- a/src/e-k/Hma/Hma.cs +++ b/src/e-k/Hma/Hma.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -60,7 +60,7 @@ public static IEnumerable GetHma( .ToList(); // calculate final HMA = WMA with period SQRT(n) - List hmaResults = GetWma(synthHistory, sqN) + List hmaResults = synthHistory.GetWma(sqN) .Select(x => new HmaResult { Date = x.Date, diff --git a/src/e-k/Hurst/Hurst.cs b/src/e-k/Hurst/Hurst.cs index 9dc16d900..83dab0b6c 100644 --- a/src/e-k/Hurst/Hurst.cs +++ b/src/e-k/Hurst/Hurst.cs @@ -16,7 +16,8 @@ public static IEnumerable GetHurst( { // sort quotes - List quotesList = quotes.Sort(); + List quotesList = + quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateHurst(quotes, lookbackPeriods); @@ -29,7 +30,7 @@ public static IEnumerable GetHurst( for (int i = 0; i < size; i++) { int index = i + 1; - TQuote q = quotesList[i]; + BasicDouble q = quotesList[i]; HurstResult result = new() { @@ -45,9 +46,9 @@ public static IEnumerable GetHurst( for (int p = index - lookbackPeriods; p < index; p++) { // compile return values - if (quotesList[p - 1].Close != 0) + if (quotesList[p - 1].Value != 0) { - values[x] = (double)(quotesList[p].Close / quotesList[p - 1].Close - 1); + values[x] = quotesList[p].Value / quotesList[p - 1].Value - 1; } x++; diff --git a/src/e-k/Kama/Kama.Models.cs b/src/e-k/Kama/Kama.Models.cs index 8e0643b0f..04a5c4c42 100644 --- a/src/e-k/Kama/Kama.Models.cs +++ b/src/e-k/Kama/Kama.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class KamaResult : ResultBase { - public decimal? ER { get; set; } + public double? ER { get; set; } public decimal? Kama { get; set; } } } diff --git a/src/e-k/Kama/Kama.cs b/src/e-k/Kama/Kama.cs index 0d9da93cd..4f23d6bfa 100644 --- a/src/e-k/Kama/Kama.cs +++ b/src/e-k/Kama/Kama.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -25,8 +25,8 @@ public static IEnumerable GetKama( // initialize List results = new(quotesList.Count); - decimal scFast = 2m / (fastPeriods + 1); - decimal scSlow = 2m / (slowPeriods + 1); + double scFast = 2d / (fastPeriods + 1); + double scSlow = 2d / (slowPeriods + 1); // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -42,23 +42,23 @@ public static IEnumerable GetKama( if (index > erPeriods) { // ER period change - decimal change = Math.Abs(q.Close - quotesList[i - erPeriods].Close); + double change = (double)Math.Abs(q.Close - quotesList[i - erPeriods].Close); // volatility - decimal sumPV = 0m; + double sumPV = 0; for (int p = i - erPeriods + 1; p <= i; p++) { - sumPV += Math.Abs(quotesList[p].Close - quotesList[p - 1].Close); + sumPV += (double)Math.Abs(quotesList[p].Close - quotesList[p - 1].Close); } if (sumPV != 0) { // efficiency ratio - decimal er = change / sumPV; + double er = change / sumPV; r.ER = er; // smoothing constant - decimal sc = er * (scFast - scSlow) + scSlow; // squared later + decimal sc = (decimal)(er * (scFast - scSlow) + scSlow); // squared later // kama calculation decimal? pk = results[i - 1].Kama; // prior KAMA diff --git a/src/e-k/Kvo/Kvo.Models.cs b/src/e-k/Kvo/Kvo.Models.cs index 4b4eac507..fd4855296 100644 --- a/src/e-k/Kvo/Kvo.Models.cs +++ b/src/e-k/Kvo/Kvo.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class KvoResult : ResultBase { - public decimal? Oscillator { get; set; } - public decimal? Signal { get; set; } + public double? Oscillator { get; set; } + public double? Signal { get; set; } } } diff --git a/src/e-k/Kvo/Kvo.cs b/src/e-k/Kvo/Kvo.cs index bd6af6c9e..22af17048 100644 --- a/src/e-k/Kvo/Kvo.cs +++ b/src/e-k/Kvo/Kvo.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -27,18 +27,18 @@ public static IEnumerable GetKvo( int size = quotesList.Count; List results = new(size); - decimal[] hlc = new decimal[size]; // trend basis - decimal[] t = new decimal[size]; // trend direction - decimal[] dm = new decimal[size]; // daily measurement - decimal[] cm = new decimal[size]; // cumulative measurement - decimal?[] vf = new decimal?[size]; // volume force (VF) - decimal?[] vfFastEma = new decimal?[size]; // EMA of VF (short-term) - decimal?[] vfSlowEma = new decimal?[size]; // EMA of VP (long-term) + double[] hlc = new double[size]; // trend basis + double[] t = new double[size]; // trend direction + double[] dm = new double[size]; // daily measurement + double[] cm = new double[size]; // cumulative measurement + double?[] vf = new double?[size]; // volume force (VF) + double?[] vfFastEma = new double?[size]; // EMA of VF (short-term) + double?[] vfSlowEma = new double?[size]; // EMA of VP (long-term) // EMA multipliers - decimal kFast = 2m / (fastPeriods + 1); - decimal kSlow = 2m / (slowPeriods + 1); - decimal kSignal = 2m / (signalPeriods + 1); + double kFast = 2d / (fastPeriods + 1); + double kSlow = 2d / (slowPeriods + 1); + double kSignal = 2d / (signalPeriods + 1); // roll through quotes for (int i = 0; i < size; i++) @@ -53,10 +53,10 @@ public static IEnumerable GetKvo( results.Add(r); // trend basis comparator - hlc[i] = q.High + q.Low + q.Close; + hlc[i] = (double)(q.High + q.Low + q.Close); // daily measurement - dm[i] = q.High - q.Low; + dm[i] = (double)(q.High - q.Low); if (i <= 0) { @@ -78,8 +78,8 @@ public static IEnumerable GetKvo( // volume force (VF) vf[i] = (dm[i] == cm[i] || q.Volume == 0) ? 0 - : (dm[i] == 0) ? q.Volume * 2 * t[i] * 100m - : (cm[i] != 0) ? q.Volume * Math.Abs(2 * (dm[i] / cm[i] - 1)) * t[i] * 100m + : (dm[i] == 0) ? (double)q.Volume * 2 * t[i] * 100d + : (cm[i] != 0) ? (double)q.Volume * Math.Abs(2 * (dm[i] / cm[i] - 1)) * t[i] * 100d : vf[i - 1]; // fast-period EMA of VF @@ -89,7 +89,7 @@ public static IEnumerable GetKvo( } else if (index == fastPeriods + 2) { - decimal? sum = 0m; + double? sum = 0; for (int p = 2; p <= i; p++) { sum += vf[p]; @@ -104,7 +104,7 @@ public static IEnumerable GetKvo( } else if (index == slowPeriods + 2) { - decimal? sum = 0m; + double? sum = 0; for (int p = 2; p <= i; p++) { sum += vf[p]; @@ -125,7 +125,7 @@ public static IEnumerable GetKvo( } else if (index == slowPeriods + signalPeriods + 1) { - decimal? sum = 0m; + double? sum = 0; for (int p = slowPeriods + 1; p <= i; p++) { sum += results[p].Oscillator; diff --git a/src/m-r/Macd/Macd.cs b/src/m-r/Macd/Macd.cs index 17aa812dc..7e7e8dc29 100644 --- a/src/m-r/Macd/Macd.cs +++ b/src/m-r/Macd/Macd.cs @@ -18,7 +18,7 @@ public static IEnumerable GetMacd( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateMacd(quotes, fastPeriods, slowPeriods, signalPeriods); @@ -28,13 +28,13 @@ public static IEnumerable GetMacd( List emaSlow = CalcEma(bdList, slowPeriods); int size = bdList.Count; - List emaDiff = new(); + List emaDiff = new(); List results = new(size); // roll through quotes for (int i = 0; i < size; i++) { - BasicData h = bdList[i]; + BasicDouble h = bdList[i]; EmaResult df = emaFast[i]; EmaResult ds = emaSlow[i]; @@ -48,11 +48,11 @@ public static IEnumerable GetMacd( if (df?.Ema != null && ds?.Ema != null) { - decimal macd = (decimal)df.Ema - (decimal)ds.Ema; - result.Macd = macd; + double macd = (double)(df.Ema - ds.Ema); + result.Macd = (decimal)macd; // temp data for interim EMA of macd - BasicData diff = new() + BasicDouble diff = new() { Date = h.Date, Value = macd diff --git a/src/m-r/Mama/Mama.cs b/src/m-r/Mama/Mama.cs index 33c339b98..ae0f546d6 100644 --- a/src/m-r/Mama/Mama.cs +++ b/src/m-r/Mama/Mama.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -11,8 +11,8 @@ public static partial class Indicator /// public static IEnumerable GetMama( this IEnumerable quotes, - decimal fastLimit = 0.5m, - decimal slowLimit = 0.05m) + double fastLimit = 0.5, + double slowLimit = 0.05) where TQuote : IQuote { @@ -107,14 +107,14 @@ public static IEnumerable GetMama( ph[i] = (i1[i] != 0) ? Math.Atan(q1[i] / i1[i]) * 180 / Math.PI : 0; // change in phase - decimal delta = Math.Max((decimal)(ph[i - 1] - ph[i]), 1m); + double delta = Math.Max((ph[i - 1] - ph[i]), 1d); // adaptive alpha value - decimal alpha = Math.Max(fastLimit / delta, slowLimit); + double alpha = Math.Max(fastLimit / delta, slowLimit); // final indicators - r.Mama = alpha * (decimal)pr[i] + (1m - alpha) * results[i - 1].Mama; - r.Fama = 0.5m * alpha * r.Mama + (1m - 0.5m * alpha) * results[i - 1].Fama; + r.Mama = (decimal)(alpha * pr[i] + (1d - alpha) * (double)results[i - 1].Mama); + r.Fama = (decimal)(0.5d * alpha * (double)r.Mama + (1d - 0.5d * alpha) * (double)results[i - 1].Fama); } // initialization period @@ -163,8 +163,8 @@ public static IEnumerable RemoveWarmupPeriods( // parameter validation private static void ValidateMama( IEnumerable quotes, - decimal fastLimit, - decimal slowLimit) + double fastLimit, + double slowLimit) where TQuote : IQuote { diff --git a/src/m-r/Mfi/Mfi.cs b/src/m-r/Mfi/Mfi.cs index c7bd6b90a..b5810df7b 100644 --- a/src/m-r/Mfi/Mfi.cs +++ b/src/m-r/Mfi/Mfi.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -24,11 +24,11 @@ public static IEnumerable GetMfi( // initialize int size = quotesList.Count; List results = new(size); - decimal[] tp = new decimal[size]; // true price - decimal[] mf = new decimal[size]; // raw MF value + double[] tp = new double[size]; // true price + double[] mf = new double[size]; // raw MF value int[] direction = new int[size]; // direction - decimal? prevTP = null; + double? prevTP = null; // roll through quotes, to get preliminary data for (int i = 0; i < quotesList.Count; i++) @@ -41,10 +41,10 @@ public static IEnumerable GetMfi( }; // true price - tp[i] = (q.High + q.Low + q.Close) / 3; + tp[i] = (double)(q.High + q.Low + q.Close) / 3; // raw money flow - mf[i] = tp[i] * q.Volume; + mf[i] = tp[i] * (double)q.Volume; // direction if (prevTP == null || tp[i] == prevTP) @@ -71,8 +71,8 @@ public static IEnumerable GetMfi( MfiResult r = results[i]; int index = i + 1; - decimal sumPosMFs = 0; - decimal sumNegMFs = 0; + double sumPosMFs = 0; + double sumNegMFs = 0; for (int p = index - lookbackPeriods; p < index; p++) { @@ -94,7 +94,7 @@ public static IEnumerable GetMfi( } // calculate MFI normally - decimal mfRatio = sumPosMFs / sumNegMFs; + decimal mfRatio = (decimal)(sumPosMFs / sumNegMFs); r.Mfi = 100 - (100 / (1 + mfRatio)); } diff --git a/src/m-r/Obv/Obv.Models.cs b/src/m-r/Obv/Obv.Models.cs index 752d88375..6be5df6f1 100644 --- a/src/m-r/Obv/Obv.Models.cs +++ b/src/m-r/Obv/Obv.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class ObvResult : ResultBase { - public decimal Obv { get; set; } - public decimal? ObvSma { get; set; } + public double Obv { get; set; } + public double? ObvSma { get; set; } } -} \ No newline at end of file +} diff --git a/src/m-r/Obv/Obv.cs b/src/m-r/Obv/Obv.cs index 843277e6e..c75b49d0a 100644 --- a/src/m-r/Obv/Obv.cs +++ b/src/m-r/Obv/Obv.cs @@ -25,13 +25,14 @@ public static IEnumerable GetObv( List results = new(quotesList.Count); decimal? prevClose = null; - decimal obv = 0; + double obv = 0; // roll through quotes for (int i = 0; i < quotesList.Count; i++) { TQuote q = quotesList[i]; int index = i + 1; + double volume = (double)q.Volume; if (prevClose == null || q.Close == prevClose) { @@ -39,11 +40,11 @@ public static IEnumerable GetObv( } else if (q.Close > prevClose) { - obv += q.Volume; + obv += volume; } else if (q.Close < prevClose) { - obv -= q.Volume; + obv -= volume; } ObvResult result = new() @@ -58,7 +59,7 @@ public static IEnumerable GetObv( // optional SMA if (smaPeriods != null && index > smaPeriods) { - decimal sumSma = 0m; + double sumSma = 0; for (int p = index - (int)smaPeriods; p < index; p++) { sumSma += results[p].Obv; @@ -82,11 +83,11 @@ public static IEnumerable ConvertToQuotes( .Select(x => new Quote { Date = x.Date, - Open = x.Obv, - High = x.Obv, - Low = x.Obv, - Close = x.Obv, - Volume = x.Obv + Open = (decimal)x.Obv, + High = (decimal)x.Obv, + Low = (decimal)x.Obv, + Close = (decimal)x.Obv, + Volume = (decimal)x.Obv }) .ToList(); } diff --git a/src/m-r/Pmo/Pmo.Models.cs b/src/m-r/Pmo/Pmo.Models.cs index adb810a76..92d7a21a5 100644 --- a/src/m-r/Pmo/Pmo.Models.cs +++ b/src/m-r/Pmo/Pmo.Models.cs @@ -1,14 +1,14 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class PmoResult : ResultBase { - public decimal? Pmo { get; set; } - public decimal? Signal { get; set; } + public double? Pmo { get; set; } + public double? Signal { get; set; } // internal use only - internal decimal? RocEma { get; set; } + internal double? RocEma { get; set; } } -} \ No newline at end of file +} diff --git a/src/m-r/Pmo/Pmo.cs b/src/m-r/Pmo/Pmo.cs index b54cce40d..4f7a208d5 100644 --- a/src/m-r/Pmo/Pmo.cs +++ b/src/m-r/Pmo/Pmo.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -22,8 +22,8 @@ public static IEnumerable GetPmo( // initialize List results = CalcPmoRocEma(quotes, timePeriods); - decimal smoothingConstant = 2m / smoothPeriods; - decimal? lastPmo = null; + double smoothingConstant = 2d / smoothPeriods; + double? lastPmo = null; // calculate PMO int startIndex = timePeriods + smoothPeriods; @@ -39,11 +39,11 @@ public static IEnumerable GetPmo( } else if (index == startIndex) { - decimal sumRocEma = 0; + double? sumRocEma = 0; for (int p = index - smoothPeriods; p < index; p++) { PmoResult d = results[p]; - sumRocEma += (decimal)d.RocEma; + sumRocEma += d.RocEma; } pr.Pmo = sumRocEma / smoothPeriods; } @@ -79,8 +79,8 @@ private static List CalcPmoRocEma( where TQuote : IQuote { // initialize - decimal smoothingMultiplier = 2m / timePeriods; - decimal? lastRocEma = null; + double smoothingMultiplier = 2d / timePeriods; + double? lastRocEma = null; List roc = GetRoc(quotes, 1).ToList(); List results = new(); @@ -102,11 +102,11 @@ private static List CalcPmoRocEma( } else if (index == startIndex) { - decimal sumRoc = 0; + double? sumRoc = 0; for (int p = index - timePeriods; p < index; p++) { RocResult d = roc[p]; - sumRoc += (decimal)d.Roc; + sumRoc += d.Roc; } result.RocEma = sumRoc / timePeriods; } @@ -126,8 +126,8 @@ private static void CalcPmoSignal( int smoothPeriods, int signalPeriods) { - decimal signalConstant = 2m / (signalPeriods + 1); - decimal? lastSignal = null; + double signalConstant = 2d / (signalPeriods + 1); + double? lastSignal = null; int startIndex = timePeriods + smoothPeriods + signalPeriods - 1; @@ -142,11 +142,11 @@ private static void CalcPmoSignal( } else if (index == startIndex) { - decimal sumPmo = 0; + double? sumPmo = 0; for (int p = index - signalPeriods; p < index; p++) { PmoResult d = results[p]; - sumPmo += (decimal)d.Pmo; + sumPmo += d.Pmo; } pr.Signal = sumPmo / signalPeriods; } diff --git a/src/m-r/Prs/Prs.Models.cs b/src/m-r/Prs/Prs.Models.cs index cc935ba6a..69143e1d8 100644 --- a/src/m-r/Prs/Prs.Models.cs +++ b/src/m-r/Prs/Prs.Models.cs @@ -1,12 +1,12 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class PrsResult : ResultBase { - public decimal? Prs { get; set; } - public decimal? PrsSma { get; set; } - public decimal? PrsPercent { get; set; } + public double? Prs { get; set; } + public double? PrsSma { get; set; } + public double? PrsPercent { get; set; } } -} \ No newline at end of file +} diff --git a/src/m-r/Prs/Prs.cs b/src/m-r/Prs/Prs.cs index 772a7852e..b93b9939d 100644 --- a/src/m-r/Prs/Prs.cs +++ b/src/m-r/Prs/Prs.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -43,7 +43,7 @@ public static IEnumerable GetPrs( PrsResult r = new() { Date = ei.Date, - Prs = (bi.Close == 0) ? null : ei.Close / bi.Close // relative strength ratio + Prs = (bi.Close == 0) ? null : (double)(ei.Close / bi.Close) // relative strength ratio }; results.Add(r); @@ -54,8 +54,8 @@ public static IEnumerable GetPrs( if (bo.Close != 0 && eo.Close != 0) { - decimal pctB = (bi.Close - bo.Close) / bo.Close; - decimal pctE = (ei.Close - eo.Close) / eo.Close; + double pctB = (double)((bi.Close - bo.Close) / bo.Close); + double pctE = (double)((ei.Close - eo.Close) / eo.Close); r.PrsPercent = pctE - pctB; } @@ -64,7 +64,7 @@ public static IEnumerable GetPrs( // optional moving average of PRS if (smaPeriods != null && index >= smaPeriods) { - decimal? sumRs = 0m; + double? sumRs = 0; for (int p = index - (int)smaPeriods; p < index; p++) { PrsResult d = results[p]; diff --git a/src/m-r/Pvo/Pvo.cs b/src/m-r/Pvo/Pvo.cs index 83a2c6612..01c4697bc 100644 --- a/src/m-r/Pvo/Pvo.cs +++ b/src/m-r/Pvo/Pvo.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -18,7 +18,7 @@ public static IEnumerable GetPvo( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Volume); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Volume); // check parameter arguments ValidatePvo(quotes, fastPeriods, slowPeriods, signalPeriods); @@ -28,13 +28,13 @@ public static IEnumerable GetPvo( List emaSlow = CalcEma(bdList, slowPeriods); int size = bdList.Count; - List emaDiff = new(); + List emaDiff = new(); List results = new(size); // roll through quotes for (int i = 0; i < size; i++) { - BasicData h = bdList[i]; + BasicDouble h = bdList[i]; EmaResult df = emaFast[i]; EmaResult ds = emaSlow[i]; @@ -46,16 +46,16 @@ public static IEnumerable GetPvo( if (df?.Ema != null && ds?.Ema != null) { - decimal? pvo = (ds.Ema != 0) ? - 100 * (df.Ema - ds.Ema) / ds.Ema : null; + double? pvo = (ds.Ema != 0) ? + 100 * (double)((df.Ema - ds.Ema) / ds.Ema) : null; - result.Pvo = pvo; + result.Pvo = (decimal?)pvo; // temp data for interim EMA of PVO - BasicData diff = new() + BasicDouble diff = new() { Date = h.Date, - Value = (decimal)pvo + Value = (double)pvo }; emaDiff.Add(diff); diff --git a/src/m-r/Roc/Roc.Models.cs b/src/m-r/Roc/Roc.Models.cs index 3e3ca3e28..49dd21dc4 100644 --- a/src/m-r/Roc/Roc.Models.cs +++ b/src/m-r/Roc/Roc.Models.cs @@ -1,20 +1,20 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class RocResult : ResultBase { - public decimal? Roc { get; set; } - public decimal? RocSma { get; set; } + public double? Roc { get; set; } + public double? RocSma { get; set; } } [Serializable] public class RocWbResult : ResultBase { - public decimal? Roc { get; set; } - public decimal? RocEma { get; set; } - public decimal? UpperBand { get; set; } - public decimal? LowerBand { get; set; } + public double? Roc { get; set; } + public double? RocEma { get; set; } + public double? UpperBand { get; set; } + public double? LowerBand { get; set; } } } diff --git a/src/m-r/Roc/Roc.cs b/src/m-r/Roc/Roc.cs index ee19ae02e..8dda05850 100644 --- a/src/m-r/Roc/Roc.cs +++ b/src/m-r/Roc/Roc.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -41,7 +41,7 @@ public static IEnumerable GetRoc( TQuote back = quotesList[index - lookbackPeriods - 1]; result.Roc = (back.Close == 0) ? null - : 100 * (q.Close - back.Close) / back.Close; + : 100 * (double)((q.Close - back.Close) / back.Close); } results.Add(result); @@ -49,7 +49,7 @@ public static IEnumerable GetRoc( // optional SMA if (smaPeriods != null && index >= lookbackPeriods + smaPeriods) { - decimal? sumSma = 0m; + double? sumSma = 0; for (int p = index - (int)smaPeriods; p < index; p++) { sumSma += results[p].Roc; diff --git a/src/m-r/Roc/RocWb.cs b/src/m-r/Roc/RocWb.cs index 4fde8e88c..35fee3491 100644 --- a/src/m-r/Roc/RocWb.cs +++ b/src/m-r/Roc/RocWb.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; @@ -29,8 +29,8 @@ public static IEnumerable GetRocWb( }) .ToList(); - decimal k = 2m / (emaPeriods + 1); - decimal? lastEma = 0; + double k = 2d / (emaPeriods + 1); + double? lastEma = 0; for (int i = lookbackPeriods; i < lookbackPeriods + emaPeriods; i++) { @@ -39,7 +39,7 @@ public static IEnumerable GetRocWb( lastEma /= emaPeriods; double?[] rocSq = results - .Select(x => (double?)(x.Roc * x.Roc)) + .Select(x => (x.Roc * x.Roc)) .ToArray(); // roll through quotes @@ -70,7 +70,7 @@ public static IEnumerable GetRocWb( if (sumSq is not null) { - decimal? rocDev = (decimal?)Math.Sqrt((double)sumSq / stdDevPeriods); + double? rocDev = Math.Sqrt((double)sumSq / stdDevPeriods); r.UpperBand = rocDev; r.LowerBand = -rocDev; diff --git a/src/m-r/Rsi/Rsi.Models.cs b/src/m-r/Rsi/Rsi.Models.cs index fb6feb78e..c797cc91c 100644 --- a/src/m-r/Rsi/Rsi.Models.cs +++ b/src/m-r/Rsi/Rsi.Models.cs @@ -1,10 +1,10 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class RsiResult : ResultBase { - public decimal? Rsi { get; set; } + public double? Rsi { get; set; } } } diff --git a/src/m-r/Rsi/Rsi.cs b/src/m-r/Rsi/Rsi.cs index d2244929d..0210583fb 100644 --- a/src/m-r/Rsi/Rsi.cs +++ b/src/m-r/Rsi/Rsi.cs @@ -16,7 +16,7 @@ public static IEnumerable GetRsi( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // calculate return CalcRsi(bdList, lookbackPeriods); @@ -57,26 +57,26 @@ public static IEnumerable RemoveWarmupPeriods( // internals - private static List CalcRsi(List bdList, int lookbackPeriods) + private static List CalcRsi(List bdList, int lookbackPeriods) { // check parameter arguments ValidateRsi(bdList, lookbackPeriods); // initialize - decimal lastValue = bdList[0].Value; - decimal avgGain = 0m; - decimal avgLoss = 0m; + double lastValue = bdList[0].Value; + double avgGain = 0; + double avgLoss = 0; int size = bdList.Count; List results = new(size); - decimal[] gain = new decimal[size]; // gain - decimal[] loss = new decimal[size]; // loss + double[] gain = new double[size]; // gain + double[] loss = new double[size]; // loss // roll through quotes for (int i = 0; i < bdList.Count; i++) { - BasicData h = bdList[i]; + BasicDouble h = bdList[i]; int index = i + 1; RsiResult r = new() @@ -97,7 +97,7 @@ private static List CalcRsi(List bdList, int lookbackPerio if (avgLoss > 0) { - decimal rs = avgGain / avgLoss; + double rs = avgGain / avgLoss; r.Rsi = 100 - (100 / (1 + rs)); } else @@ -109,8 +109,8 @@ private static List CalcRsi(List bdList, int lookbackPerio // initialize average gain else if (index == lookbackPeriods + 1) { - decimal sumGain = 0; - decimal sumLoss = 0; + double sumGain = 0; + double sumLoss = 0; for (int p = 1; p <= lookbackPeriods; p++) { @@ -130,7 +130,7 @@ private static List CalcRsi(List bdList, int lookbackPerio // parameter validation private static void ValidateRsi( - List quotes, + List quotes, int lookbackPeriods) { diff --git a/src/s-z/Slope/Slope.Models.cs b/src/s-z/Slope/Slope.Models.cs index 73b0ca7db..a88fec04f 100644 --- a/src/s-z/Slope/Slope.Models.cs +++ b/src/s-z/Slope/Slope.Models.cs @@ -1,14 +1,14 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class SlopeResult : ResultBase { - public decimal? Slope { get; set; } - public decimal? Intercept { get; set; } + public double? Slope { get; set; } + public double? Intercept { get; set; } public double? StdDev { get; set; } public double? RSquared { get; set; } public decimal? Line { get; set; } // last line segment only } -} \ No newline at end of file +} diff --git a/src/s-z/Slope/Slope.cs b/src/s-z/Slope/Slope.cs index b887188b6..4a0cfad68 100644 --- a/src/s-z/Slope/Slope.cs +++ b/src/s-z/Slope/Slope.cs @@ -45,31 +45,31 @@ public static IEnumerable GetSlope( } // get averages for period - decimal sumX = 0m; - decimal sumY = 0m; + double sumX = 0; + double sumY = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - sumX += p + 1m; - sumY += d.Close; + sumX += p + 1d; + sumY += (double)d.Close; } - decimal avgX = sumX / lookbackPeriods; - decimal avgY = sumY / lookbackPeriods; + double avgX = sumX / lookbackPeriods; + double avgY = sumY / lookbackPeriods; // least squares method - decimal sumSqX = 0m; - decimal sumSqY = 0m; - decimal sumSqXY = 0m; + double sumSqX = 0; + double sumSqY = 0; + double sumSqXY = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - decimal devX = (p + 1m - avgX); - decimal devY = (d.Close - avgY); + double devX = (p + 1d - avgX); + double devY = ((double)d.Close - avgY); sumSqX += devX * devX; sumSqY += devY * devY; @@ -96,7 +96,7 @@ public static IEnumerable GetSlope( for (int p = size - lookbackPeriods; p < size; p++) { SlopeResult d = results[p]; - d.Line = last.Slope * (p + 1) + last.Intercept; + d.Line = (decimal?)(last.Slope * (p + 1) + last.Intercept); } return results; diff --git a/src/s-z/Sma/Sma.Models.cs b/src/s-z/Sma/Sma.Models.cs index 45f45d18d..ef6a4e891 100644 --- a/src/s-z/Sma/Sma.Models.cs +++ b/src/s-z/Sma/Sma.Models.cs @@ -1,4 +1,4 @@ -using System; +using System; namespace Skender.Stock.Indicators { @@ -11,8 +11,8 @@ public class SmaResult : ResultBase [Serializable] public class SmaExtendedResult : SmaResult { - public decimal? Mad { get; set; } // mean absolute deviation - public decimal? Mse { get; set; } // mean square error - public decimal? Mape { get; set; } // mean absolute percentage error + public double? Mad { get; set; } // mean absolute deviation + public double? Mse { get; set; } // mean square error + public double? Mape { get; set; } // mean absolute percentage error } } diff --git a/src/s-z/Sma/Sma.cs b/src/s-z/Sma/Sma.cs index 3df724d7a..9cdec75ae 100644 --- a/src/s-z/Sma/Sma.cs +++ b/src/s-z/Sma/Sma.cs @@ -19,7 +19,7 @@ public static IEnumerable GetSma( ValidateSma(quotes, lookbackPeriods); // initialize - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // calculate return bdList.CalcSma(lookbackPeriods); @@ -40,7 +40,7 @@ public static IEnumerable GetSma( ValidateSma(quotes, lookbackPeriods); // initialize - List bdList = quotes.ConvertToBasic(candlePart); + List bdList = quotes.ConvertToBasicDouble(candlePart); // calculate return bdList.CalcSma(lookbackPeriods); @@ -63,7 +63,7 @@ public static IEnumerable RemoveWarmupPeriods( // calculate private static IEnumerable CalcSma( - this List bdList, + this List bdList, int lookbackPeriods) { @@ -74,7 +74,7 @@ private static IEnumerable CalcSma( // roll through quotes for (int i = 0; i < bdList.Count; i++) { - BasicData q = bdList[i]; + BasicDouble q = bdList[i]; int index = i + 1; SmaResult result = new() @@ -84,14 +84,14 @@ private static IEnumerable CalcSma( if (index >= lookbackPeriods) { - decimal sumSma = 0m; + double sumSma = 0; for (int p = index - lookbackPeriods; p < index; p++) { - BasicData d = bdList[p]; + BasicDouble d = bdList[p]; sumSma += d.Value; } - result.Sma = sumSma / lookbackPeriods; + result.Sma = (decimal)sumSma / lookbackPeriods; } results.Add(result); diff --git a/src/s-z/Sma/SmaExtended.cs b/src/s-z/Sma/SmaExtended.cs index 85f22eb3b..97bc94274 100644 --- a/src/s-z/Sma/SmaExtended.cs +++ b/src/s-z/Sma/SmaExtended.cs @@ -26,21 +26,24 @@ public static IEnumerable GetSmaExtended( // roll through quotes for (int i = lookbackPeriods - 1; i < results.Count; i++) { - SmaExtendedResult r = results[i]; int index = i + 1; + SmaExtendedResult r = results[i]; + double sma = (double)r.Sma; - decimal sumMad = 0m; - decimal sumMse = 0m; - decimal? sumMape = 0m; + double sumMad = 0; + double sumMse = 0; + double? sumMape = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - sumMad += Math.Abs(d.Close - (decimal)r.Sma); - sumMse += (d.Close - (decimal)r.Sma) * (d.Close - (decimal)r.Sma); + double close = (double)d.Close; + + sumMad += Math.Abs(close - sma); + sumMse += (close - sma) * (close - sma); - sumMape += (d.Close == 0) ? null - : Math.Abs(d.Close - (decimal)r.Sma) / d.Close; + sumMape += (close == 0) ? null + : Math.Abs(close - sma) / close; } // mean absolute deviation diff --git a/src/s-z/Smi/Smi.cs b/src/s-z/Smi/Smi.cs index 0e583e781..ad4c8ff4c 100644 --- a/src/s-z/Smi/Smi.cs +++ b/src/s-z/Smi/Smi.cs @@ -34,15 +34,15 @@ public static IEnumerable GetSmi( int size = quotesList.Count; List results = new(size); - decimal k1 = 2m / (firstSmoothPeriods + 1m); - decimal k2 = 2m / (secondSmoothPeriods + 1m); - decimal kS = 2m / (signalPeriods + 1m); + double k1 = 2d / (firstSmoothPeriods + 1); + double k2 = 2d / (secondSmoothPeriods + 1); + double kS = 2d / (signalPeriods + 1); - decimal lastSmEma1 = 0m; - decimal lastSmEma2 = 0m; - decimal lastHlEma1 = 0m; - decimal lastHlEma2 = 0m; - decimal lastSignal = 0m; + double lastSmEma1 = 0; + double lastSmEma2 = 0; + double lastHlEma1 = 0; + double lastHlEma2 = 0; + double lastSignal = 0; // roll through quotes for (int i = 0; i < size; i++) @@ -75,8 +75,8 @@ public static IEnumerable GetSmi( } } - decimal sm = q.Close - 0.5m * (HH + LL); - decimal hl = HH - LL; + double sm = (double)(q.Close - 0.5m * (HH + LL)); + double hl = (double)(HH - LL); // initialize last EMA values if (index == lookbackPeriods) @@ -88,31 +88,33 @@ public static IEnumerable GetSmi( } // first smoothing - decimal smEma1 = lastSmEma1 + k1 * (sm - lastSmEma1); - decimal hlEma1 = lastHlEma1 + k1 * (hl - lastHlEma1); + double smEma1 = lastSmEma1 + k1 * (sm - lastSmEma1); + double hlEma1 = lastHlEma1 + k1 * (hl - lastHlEma1); // second smoothing - decimal smEma2 = lastSmEma2 + k2 * (smEma1 - lastSmEma2); - decimal hlEma2 = lastHlEma2 + k2 * (hlEma1 - lastHlEma2); + double smEma2 = lastSmEma2 + k2 * (smEma1 - lastSmEma2); + double hlEma2 = lastHlEma2 + k2 * (hlEma1 - lastHlEma2); // stochastic momentum index - r.Smi = 100 * (smEma2 / (0.5m * hlEma2)); + double smi = 100 * (smEma2 / (0.5 * hlEma2)); + r.Smi = (decimal)smi; // initialize signal line if (index == lookbackPeriods) { - lastSignal = (decimal)r.Smi; + lastSignal = smi; } // signal line - r.Signal = lastSignal + kS * (r.Smi - lastSignal); + double signal = (lastSignal + kS * (smi - lastSignal)); + r.Signal = (decimal)signal; // carryover values lastSmEma1 = smEma1; lastSmEma2 = smEma2; lastHlEma1 = hlEma1; lastHlEma2 = hlEma2; - lastSignal = (decimal)r.Signal; + lastSignal = signal; } results.Add(r); } diff --git a/src/s-z/Smma/Smma.cs b/src/s-z/Smma/Smma.cs index 2fe32d673..9734e79d5 100644 --- a/src/s-z/Smma/Smma.cs +++ b/src/s-z/Smma/Smma.cs @@ -22,7 +22,7 @@ public static IEnumerable GetSmma( // initialize List results = new(quotesList.Count); - decimal? prevValue = null; + double? prevValue = null; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -38,23 +38,24 @@ public static IEnumerable GetSmma( // calculate SMMA if (index > lookbackPeriods) { - result.Smma = (prevValue * (lookbackPeriods - 1) + q.Close) / lookbackPeriods; + result.Smma = (decimal)(prevValue * (lookbackPeriods - 1) + (double)q.Close) + / lookbackPeriods; } // first SMMA calculated as simple SMA else if (index == lookbackPeriods) { - decimal sumClose = 0m; + double sumClose = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - sumClose += d.Close; + sumClose += (double)d.Close; } - result.Smma = sumClose / lookbackPeriods; + result.Smma = (decimal)(sumClose / lookbackPeriods); } - prevValue = result.Smma; + prevValue = (double?)result.Smma; results.Add(result); } diff --git a/src/s-z/StdDev/StdDev.Models.cs b/src/s-z/StdDev/StdDev.Models.cs index ee6167eda..debf41538 100644 --- a/src/s-z/StdDev/StdDev.Models.cs +++ b/src/s-z/StdDev/StdDev.Models.cs @@ -1,13 +1,13 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class StdDevResult : ResultBase { - public decimal? StdDev { get; set; } - public decimal? Mean { get; set; } - public decimal? ZScore { get; set; } - public decimal? StdDevSma { get; set; } + public double? StdDev { get; set; } + public double? Mean { get; set; } + public double? ZScore { get; set; } + public double? StdDevSma { get; set; } } -} \ No newline at end of file +} diff --git a/src/s-z/StdDev/StdDev.cs b/src/s-z/StdDev/StdDev.cs index 69b4bd026..6b6d320b0 100644 --- a/src/s-z/StdDev/StdDev.cs +++ b/src/s-z/StdDev/StdDev.cs @@ -63,24 +63,24 @@ private static List CalcStdDev( if (index >= lookbackPeriods) { double[] periodValues = new double[lookbackPeriods]; - decimal sum = 0m; + double sum = 0; int n = 0; for (int p = index - lookbackPeriods; p < index; p++) { BasicData d = bdList[p]; periodValues[n] = (double)d.Value; - sum += d.Value; + sum += (double)d.Value; n++; } - decimal periodAvg = sum / lookbackPeriods; + double periodAvg = sum / lookbackPeriods; - result.StdDev = (decimal)Functions.StdDev(periodValues); + result.StdDev = Functions.StdDev(periodValues); result.Mean = periodAvg; result.ZScore = (result.StdDev == 0) ? null - : (bd.Value - periodAvg) / result.StdDev; + : ((double)bd.Value - periodAvg) / result.StdDev; } results.Add(result); @@ -88,10 +88,10 @@ private static List CalcStdDev( // optional SMA if (smaPeriods != null && index >= lookbackPeriods + smaPeriods - 1) { - decimal sumSma = 0m; + double sumSma = 0; for (int p = index - (int)smaPeriods; p < index; p++) { - sumSma += (decimal)results[p].StdDev; + sumSma += (double)results[p].StdDev; } result.StdDevSma = sumSma / smaPeriods; diff --git a/src/s-z/StdDevChannels/StdDevChannels.cs b/src/s-z/StdDevChannels/StdDevChannels.cs index 0f62b1b19..90a6bddad 100644 --- a/src/s-z/StdDevChannels/StdDevChannels.cs +++ b/src/s-z/StdDevChannels/StdDevChannels.cs @@ -12,7 +12,7 @@ public static partial class Indicator public static IEnumerable GetStdDevChannels( this IEnumerable quotes, int? lookbackPeriods = 20, - decimal standardDeviations = 2) + double standardDeviations = 2) where TQuote : IQuote { @@ -37,6 +37,7 @@ public static IEnumerable GetStdDevChannels( for (int w = size - 1; w >= lookbackPeriods - 1; w -= (int)lookbackPeriods) { SlopeResult s = slopeResults[w]; + decimal? width = (decimal?)(standardDeviations * s.StdDev); // add regression line (y = mx + b) and channels for (int p = w - (int)lookbackPeriods + 1; p <= w; p++) @@ -44,9 +45,7 @@ public static IEnumerable GetStdDevChannels( if (p >= 0) { StdDevChannelsResult d = results[p]; - d.Centerline = s.Slope * (p + 1) + s.Intercept; - - decimal width = standardDeviations * (decimal)s.StdDev; + d.Centerline = (decimal?)(s.Slope * (p + 1) + s.Intercept); d.UpperChannel = d.Centerline + width; d.LowerChannel = d.Centerline - width; @@ -77,7 +76,7 @@ public static IEnumerable RemoveWarmupPeriods( private static void ValidateStdDevChannels( IEnumerable quotes, int? lookbackPeriods, - decimal standardDeviations) + double standardDeviations) where TQuote : IQuote { diff --git a/src/s-z/Stoch/Stoch.cs b/src/s-z/Stoch/Stoch.cs index f6589e005..ab699af17 100644 --- a/src/s-z/Stoch/Stoch.cs +++ b/src/s-z/Stoch/Stoch.cs @@ -30,8 +30,8 @@ public static IEnumerable GetStoch( int lookbackPeriods, int signalPeriods, int smoothPeriods, - int kFactor, - int dFactor, + decimal kFactor, + decimal dFactor, MaType movingAverageType) where TQuote : IQuote { @@ -61,26 +61,26 @@ public static IEnumerable GetStoch( if (index >= lookbackPeriods) { - decimal highHigh = decimal.MinValue; - decimal lowLow = decimal.MaxValue; + double? highHigh = double.MinValue; + double? lowLow = double.MaxValue; for (int p = index - lookbackPeriods; p < index; p++) { TQuote x = quotesList[p]; - if (x.High > highHigh) + if ((double?)x.High > highHigh) { - highHigh = x.High; + highHigh = (double?)x.High; } - if (x.Low < lowLow) + if ((double?)x.Low < lowLow) { - lowLow = x.Low; + lowLow = (double?)x.Low; } } result.Oscillator = lowLow != highHigh - ? 100 * ((q.Close - lowLow) / (highHigh - lowLow)) + ? 100 * (decimal?)(((double?)q.Close - lowLow) / (highHigh - lowLow)) : 0; } results.Add(result); @@ -97,7 +97,7 @@ public static IEnumerable GetStoch( // signal (%D) and %J int signalIndex = lookbackPeriods + smoothPeriods + signalPeriods - 2; - decimal? s = results[lookbackPeriods - 1].Oscillator; + double? s = (double?)results[lookbackPeriods - 1].Oscillator; for (int i = lookbackPeriods - 1; i < size; i++) { @@ -114,23 +114,23 @@ public static IEnumerable GetStoch( // SMA case else if (index >= signalIndex && movingAverageType is MaType.SMA) { - decimal sumOsc = 0m; + double? sumOsc = 0; for (int p = index - signalPeriods; p < index; p++) { StochResult x = results[p]; - sumOsc += (decimal)x.Oscillator; + sumOsc += (double?)x.Oscillator; } - r.Signal = sumOsc / signalPeriods; + r.Signal = (decimal?)(sumOsc / signalPeriods); } // SMMA case else if (i >= lookbackPeriods - 1 && movingAverageType is MaType.SMMA) { - s = (s == null) ? results[i].Oscillator : s; // reset if null + s = (s == null) ? (double?)results[i].Oscillator : s; // reset if null - s = (s * (signalPeriods - 1) + results[i].Oscillator) / signalPeriods; - r.Signal = s; + s = (s * (signalPeriods - 1) + (double?)results[i].Oscillator) / signalPeriods; + r.Signal = (decimal?)s; } // %J @@ -165,7 +165,7 @@ private static List SmoothOscillator( { // temporarily store interim smoothed oscillator - decimal?[] smooth = new decimal?[size]; // smoothed value + double?[] smooth = new double?[size]; // smoothed value if (movingAverageType is MaType.SMA) { @@ -175,10 +175,10 @@ private static List SmoothOscillator( { int index = i + 1; - decimal sumOsc = 0m; + double? sumOsc = 0; for (int p = index - smoothPeriods; p < index; p++) { - sumOsc += (decimal)results[p].Oscillator; + sumOsc += (double?)results[p].Oscillator; } smooth[i] = sumOsc / smoothPeriods; @@ -187,13 +187,13 @@ private static List SmoothOscillator( else if (movingAverageType is MaType.SMMA) { // initialize with unsmoothed value - decimal? k = results[lookbackPeriods - 1].Oscillator; + double? k = (double?)results[lookbackPeriods - 1].Oscillator; for (int i = lookbackPeriods - 1; i < size; i++) { - k = (k == null) ? results[i].Oscillator : k; // reset if null + k = (k == null) ? (double?)results[i].Oscillator : k; // reset if null - k = (k * (smoothPeriods - 1) + results[i].Oscillator) / smoothPeriods; + k = (k * (smoothPeriods - 1) + (double?)results[i].Oscillator) / smoothPeriods; smooth[i] = k; } } @@ -205,7 +205,7 @@ private static List SmoothOscillator( // replace oscillator for (int i = 0; i < size; i++) { - results[i].Oscillator = (smooth[i] != null) ? smooth[i] : null; + results[i].Oscillator = (smooth[i] != null) ? (decimal?)smooth[i] : null; } return results; @@ -218,8 +218,8 @@ private static void ValidateStoch( int lookbackPeriods, int signalPeriods, int smoothPeriods, - int kFactor, - int dFactor, + decimal kFactor, + decimal dFactor, MaType movingAverageType) where TQuote : IQuote { diff --git a/src/s-z/SuperTrend/SuperTrend.cs b/src/s-z/SuperTrend/SuperTrend.cs index f7c12fa73..f90994e62 100644 --- a/src/s-z/SuperTrend/SuperTrend.cs +++ b/src/s-z/SuperTrend/SuperTrend.cs @@ -12,7 +12,7 @@ public static partial class Indicator public static IEnumerable GetSuperTrend( this IEnumerable quotes, int lookbackPeriods = 10, - decimal multiplier = 3) + double multiplier = 3) where TQuote : IQuote { @@ -27,8 +27,8 @@ public static IEnumerable GetSuperTrend( List atrResults = GetAtr(quotes, lookbackPeriods).ToList(); bool isBullish = true; - decimal? upperBand = null; - decimal? lowerBand = null; + double? upperBand = null; + double? lowerBand = null; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -43,18 +43,18 @@ public static IEnumerable GetSuperTrend( if (i >= lookbackPeriods - 1) { - decimal mid = (q.High + q.Low) / 2; - decimal atr = (decimal)atrResults[i].Atr; - decimal prevClose = quotesList[i - 1].Close; + double mid = (double)(q.High + q.Low) / 2; + double atr = (double)atrResults[i].Atr; + double prevClose = (double)quotesList[i - 1].Close; // potential bands - decimal upperEval = mid + multiplier * atr; - decimal lowerEval = mid - multiplier * atr; + double upperEval = mid + multiplier * atr; + double lowerEval = mid - multiplier * atr; // initial values if (i == lookbackPeriods - 1) { - isBullish = (q.Close >= mid); + isBullish = ((double)q.Close >= mid); upperBand = upperEval; lowerBand = lowerEval; @@ -73,16 +73,16 @@ public static IEnumerable GetSuperTrend( } // supertrend - if (q.Close <= ((isBullish) ? lowerBand : upperBand)) + if ((double)q.Close <= ((isBullish) ? lowerBand : upperBand)) { - r.SuperTrend = upperBand; - r.UpperBand = upperBand; + r.SuperTrend = (decimal?)upperBand; + r.UpperBand = (decimal?)upperBand; isBullish = false; } else { - r.SuperTrend = lowerBand; - r.LowerBand = lowerBand; + r.SuperTrend = (decimal?)lowerBand; + r.LowerBand = (decimal?)lowerBand; isBullish = true; } } @@ -112,7 +112,7 @@ public static IEnumerable RemoveWarmupPeriods( private static void ValidateSuperTrend( IEnumerable quotes, int lookbackPeriods, - decimal multiplier) + double multiplier) where TQuote : IQuote { @@ -123,7 +123,7 @@ private static void ValidateSuperTrend( "Lookback periods must be greater than 1 for SuperTrend."); } - if (multiplier <= 0m) + if (multiplier <= 0) { throw new ArgumentOutOfRangeException(nameof(multiplier), multiplier, "Multiplier must be greater than 0 for SuperTrend."); diff --git a/src/s-z/T3/T3.cs b/src/s-z/T3/T3.cs index 56fcde9eb..1b68a94be 100644 --- a/src/s-z/T3/T3.cs +++ b/src/s-z/T3/T3.cs @@ -26,15 +26,15 @@ public static IEnumerable GetT3( int size = quotesList.Count; List results = new(size); - decimal k = 2 / (decimal)(lookbackPeriods + 1); - decimal a = (decimal)volumeFactor; - decimal c1 = -a * a * a; - decimal c2 = 3 * a * a + 3 * a * a * a; - decimal c3 = -6 * a * a - 3 * a - 3 * a * a * a; - decimal c4 = 1 + 3 * a + a * a * a + 3 * a * a; + double k = 2d / (lookbackPeriods + 1); + double a = volumeFactor; + double c1 = -a * a * a; + double c2 = 3 * a * a + 3 * a * a * a; + double c3 = -6 * a * a - 3 * a - 3 * a * a * a; + double c4 = 1 + 3 * a + a * a * a + 3 * a * a; - decimal e1 = 0, e2 = 0, e3 = 0, e4 = 0, e5 = 0, e6 = 0; - decimal sum1 = 0, sum2 = 0, sum3 = 0, sum4 = 0, sum5 = 0, sum6 = 0; + double e1 = 0, e2 = 0, e3 = 0, e4 = 0, e5 = 0, e6 = 0; + double sum1 = 0, sum2 = 0, sum3 = 0, sum4 = 0, sum5 = 0, sum6 = 0; // roll through quotes for (int i = 0; i < size; i++) @@ -48,7 +48,7 @@ public static IEnumerable GetT3( // first smoothing if (i > lookbackPeriods - 1) { - e1 += k * (q.Close - e1); + e1 += k * ((double)q.Close - e1); // second smoothing if (i > 2 * (lookbackPeriods - 1)) @@ -76,7 +76,7 @@ public static IEnumerable GetT3( e6 += k * (e5 - e6); // T3 moving average - r.T3 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3; + r.T3 = (decimal?)(c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3); } // sixth warmup @@ -89,7 +89,7 @@ public static IEnumerable GetT3( e6 = sum6 / lookbackPeriods; // initial T3 moving average - r.T3 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3; + r.T3 = (decimal?)(c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3); } } } @@ -145,7 +145,7 @@ public static IEnumerable GetT3( // first warmup else { - sum1 += q.Close; + sum1 += (double)q.Close; if (i == lookbackPeriods - 1) { diff --git a/src/s-z/TripleEma/TripleEma.cs b/src/s-z/TripleEma/TripleEma.cs index d07245529..2bc20b346 100644 --- a/src/s-z/TripleEma/TripleEma.cs +++ b/src/s-z/TripleEma/TripleEma.cs @@ -16,7 +16,7 @@ public static IEnumerable GetTripleEma( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateTema(bdList, lookbackPeriods); @@ -25,16 +25,16 @@ public static IEnumerable GetTripleEma( List results = new(bdList.Count); List emaN1 = CalcEma(bdList, lookbackPeriods); - List bd2 = emaN1 + List bd2 = emaN1 .Where(x => x.Ema != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Ema }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Ema }) .ToList(); List emaN2 = CalcEma(bd2, lookbackPeriods); - List bd3 = emaN2 + List bd3 = emaN2 .Where(x => x.Ema != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Ema }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Ema }) .ToList(); List emaN3 = CalcEma(bd3, lookbackPeriods); @@ -81,7 +81,7 @@ public static IEnumerable RemoveWarmupPeriods( // parameter validation private static void ValidateTema( - IEnumerable quotes, + IEnumerable quotes, int lookbackPeriods) { diff --git a/src/s-z/Trix/Trix.cs b/src/s-z/Trix/Trix.cs index 1b12c8041..e845f5b3f 100644 --- a/src/s-z/Trix/Trix.cs +++ b/src/s-z/Trix/Trix.cs @@ -17,7 +17,7 @@ public static IEnumerable GetTrix( { // convert quotes to basic format - List bdList = quotes.ConvertToBasic(CandlePart.Close); + List bdList = quotes.ConvertToBasicDouble(CandlePart.Close); // check parameter arguments ValidateTrix(bdList, lookbackPeriods); @@ -28,16 +28,16 @@ public static IEnumerable GetTrix( List emaN1 = CalcEma(bdList, lookbackPeriods); - List bd2 = emaN1 + List bd2 = emaN1 .Where(x => x.Ema != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Ema }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Ema }) .ToList(); List emaN2 = CalcEma(bd2, lookbackPeriods); - List bd3 = emaN2 + List bd3 = emaN2 .Where(x => x.Ema != null) - .Select(x => new BasicData { Date = x.Date, Value = (decimal)x.Ema }) + .Select(x => new BasicDouble { Date = x.Date, Value = (double)x.Ema }) .ToList(); List emaN3 = CalcEma(bd3, lookbackPeriods); @@ -111,7 +111,7 @@ private static void GetTrixSignal( // parameter validation private static void ValidateTrix( - IEnumerable quotes, + IEnumerable quotes, int lookbackPeriods) { diff --git a/src/s-z/Tsi/Tsi.Models.cs b/src/s-z/Tsi/Tsi.Models.cs index ecdd67cbd..649efc296 100644 --- a/src/s-z/Tsi/Tsi.Models.cs +++ b/src/s-z/Tsi/Tsi.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class TsiResult : ResultBase { - public decimal? Tsi { get; set; } - public decimal? Signal { get; set; } + public double? Tsi { get; set; } + public double? Signal { get; set; } } -} \ No newline at end of file +} diff --git a/src/s-z/Tsi/Tsi.cs b/src/s-z/Tsi/Tsi.cs index 8485360b2..8b34e19ea 100644 --- a/src/s-z/Tsi/Tsi.cs +++ b/src/s-z/Tsi/Tsi.cs @@ -25,24 +25,24 @@ public static IEnumerable GetTsi( // initialize int size = quotesList.Count; - decimal mult1 = 2m / (lookbackPeriods + 1); - decimal mult2 = 2m / (smoothPeriods + 1); - decimal multS = 2m / (signalPeriods + 1); - decimal? sumS = 0m; + double mult1 = 2d / (lookbackPeriods + 1); + double mult2 = 2d / (smoothPeriods + 1); + double multS = 2d / (signalPeriods + 1); + double? sumS = 0; List results = new(size); - decimal[] c = new decimal[size]; // price change - decimal[] cs1 = new decimal[size]; // smooth 1 - decimal[] cs2 = new decimal[size]; // smooth 2 - decimal sumC = 0m; - decimal sumC1 = 0m; + double[] c = new double[size]; // price change + double[] cs1 = new double[size]; // smooth 1 + double[] cs2 = new double[size]; // smooth 2 + double sumC = 0; + double sumC1 = 0; - decimal[] a = new decimal[size]; // abs of price change - decimal[] as1 = new decimal[size]; // smooth 1 - decimal[] as2 = new decimal[size]; // smooth 2 - decimal sumA = 0m; - decimal sumA1 = 0m; + double[] a = new double[size]; // abs of price change + double[] as1 = new double[size]; // smooth 1 + double[] as2 = new double[size]; // smooth 2 + double sumA = 0; + double sumA1 = 0; // roll through quotes for (int i = 0; i < size; i++) @@ -63,7 +63,7 @@ public static IEnumerable GetTsi( } // price change - c[i] = q.Close - quotesList[i - 1].Close; + c[i] = (double)(q.Close - quotesList[i - 1].Close); a[i] = Math.Abs(c[i]); // smoothing @@ -79,7 +79,7 @@ public static IEnumerable GetTsi( cs2[i] = (cs1[i] - cs2[i - 1]) * mult2 + cs2[i - 1]; as2[i] = (as1[i] - as2[i - 1]) * mult2 + as2[i - 1]; - r.Tsi = (as2[i] != 0) ? 100 * cs2[i] / as2[i] : null; + r.Tsi = (as2[i] != 0) ? 100d * (cs2[i] / as2[i]) : null; // signal line if (signalPeriods > 0) diff --git a/src/s-z/UlcerIndex/UlcerIndex.Models.cs b/src/s-z/UlcerIndex/UlcerIndex.Models.cs index 5e702c1e0..5c4521dcf 100644 --- a/src/s-z/UlcerIndex/UlcerIndex.Models.cs +++ b/src/s-z/UlcerIndex/UlcerIndex.Models.cs @@ -1,10 +1,10 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class UlcerIndexResult : ResultBase { - public decimal? UI { get; set; } // ulcer index + public double? UI { get; set; } // ulcer index } -} \ No newline at end of file +} diff --git a/src/s-z/UlcerIndex/UlcerIndex.cs b/src/s-z/UlcerIndex/UlcerIndex.cs index e4924fb7a..e9613e3d2 100644 --- a/src/s-z/UlcerIndex/UlcerIndex.cs +++ b/src/s-z/UlcerIndex/UlcerIndex.cs @@ -53,19 +53,18 @@ public static IEnumerable GetUlcerIndex( } } - decimal? percentDrawdown = (maxClose == 0) ? null - : 100 * (d.Close - maxClose) / maxClose; + double? percentDrawdown = (maxClose == 0) ? null + : 100 * (double)((d.Close - maxClose) / maxClose); - sumSquared += (double?)(percentDrawdown * percentDrawdown); + sumSquared += percentDrawdown * percentDrawdown; } result.UI = (sumSquared == null) ? null - : (decimal)Math.Sqrt((double)sumSquared / lookbackPeriods); + : Math.Sqrt((double)sumSquared / lookbackPeriods); } results.Add(result); } - return results; } diff --git a/src/s-z/Ultimate/Ultimate.cs b/src/s-z/Ultimate/Ultimate.cs index e10886deb..c2054f647 100644 --- a/src/s-z/Ultimate/Ultimate.cs +++ b/src/s-z/Ultimate/Ultimate.cs @@ -26,8 +26,8 @@ public static IEnumerable GetUltimate( // initialize int size = quotesList.Count; List results = new(size); - decimal[] bp = new decimal[size]; // buying pressure - decimal[] tr = new decimal[size]; // true range + double[] bp = new double[size]; // buying pressure + double[] tr = new double[size]; // true range decimal priorClose = 0; @@ -45,19 +45,19 @@ public static IEnumerable GetUltimate( if (i > 0) { - bp[i] = q.Close - Math.Min(q.Low, priorClose); - tr[i] = Math.Max(q.High, priorClose) - Math.Min(q.Low, priorClose); + bp[i] = (double)(q.Close - Math.Min(q.Low, priorClose)); + tr[i] = (double)(Math.Max(q.High, priorClose) - Math.Min(q.Low, priorClose)); } if (index >= longPeriods + 1) { - decimal sumBP1 = 0m; - decimal sumBP2 = 0m; - decimal sumBP3 = 0m; + double sumBP1 = 0; + double sumBP2 = 0; + double sumBP3 = 0; - decimal sumTR1 = 0m; - decimal sumTR2 = 0m; - decimal sumTR3 = 0m; + double sumTR1 = 0; + double sumTR2 = 0; + double sumTR3 = 0; for (int p = index - longPeriods; p < index; p++) { @@ -82,11 +82,11 @@ public static IEnumerable GetUltimate( sumTR3 += tr[p]; } - decimal? avg1 = (sumTR1 == 0) ? null : sumBP1 / sumTR1; - decimal? avg2 = (sumTR2 == 0) ? null : sumBP2 / sumTR2; - decimal? avg3 = (sumTR3 == 0) ? null : sumBP3 / sumTR3; + double? avg1 = (sumTR1 == 0) ? null : sumBP1 / sumTR1; + double? avg2 = (sumTR2 == 0) ? null : sumBP2 / sumTR2; + double? avg3 = (sumTR3 == 0) ? null : sumBP3 / sumTR3; - r.Ultimate = 100 * (4m * avg1 + 2m * avg2 + avg3) / 7m; + r.Ultimate = (decimal?)(100 * (4d * avg1 + 2d * avg2 + avg3) / 7d); } priorClose = q.Close; diff --git a/src/s-z/VolatilityStop/VolatilityStop.cs b/src/s-z/VolatilityStop/VolatilityStop.cs index e99464810..02567dcfd 100644 --- a/src/s-z/VolatilityStop/VolatilityStop.cs +++ b/src/s-z/VolatilityStop/VolatilityStop.cs @@ -12,7 +12,7 @@ public static partial class Indicator public static IEnumerable GetVolatilityStop( this IEnumerable quotes, int lookbackPeriods = 7, - decimal multiplier = 3m) + double multiplier = 3) where TQuote : IQuote { @@ -28,13 +28,14 @@ public static IEnumerable GetVolatilityStop( List atrList = quotes.GetAtr(lookbackPeriods).ToList(); // initial trend (guess) - decimal sic = quotesList[0].Close; - bool isLong = (quotesList[lookbackPeriods - 1].Close > sic); + double sic = (double)quotesList[0].Close; + bool isLong = ((double)quotesList[lookbackPeriods - 1].Close > sic); for (int i = 0; i < lookbackPeriods; i++) { TQuote q = quotesList[i]; - sic = isLong ? Math.Max(sic, q.Close) : Math.Min(sic, q.Close); + double close = (double)q.Close; + sic = isLong ? Math.Max(sic, close) : Math.Min(sic, close); results.Add(new VolatilityStopResult() { Date = q.Date }); } @@ -42,16 +43,17 @@ public static IEnumerable GetVolatilityStop( for (int i = lookbackPeriods; i < size; i++) { TQuote q = quotesList[i]; + double close = (double)q.Close; // average true range × multiplier constant - decimal arc = (decimal)atrList[i - 1].Atr * multiplier; + double arc = (double)atrList[i - 1].Atr * multiplier; VolatilityStopResult r = new() { Date = q.Date, // stop and reverse threshold - Sar = isLong ? sic - arc : sic + arc + Sar = (decimal?)(isLong ? sic - arc : sic + arc) }; results.Add(r); @@ -69,7 +71,7 @@ public static IEnumerable GetVolatilityStop( if ((isLong && q.Close < r.Sar) || (!isLong && q.Close > r.Sar)) { r.IsStop = true; - sic = q.Close; + sic = close; isLong = !isLong; } else @@ -78,7 +80,7 @@ public static IEnumerable GetVolatilityStop( // significant close adjustment // extreme favorable close while in trade - sic = isLong ? Math.Max(sic, q.Close) : Math.Min(sic, q.Close); + sic = isLong ? Math.Max(sic, close) : Math.Min(sic, close); } } @@ -126,7 +128,7 @@ public static IEnumerable RemoveWarmupPeriods( private static void ValidateVolatilityStop( IEnumerable quotes, int lookbackPeriods, - decimal multiplier) + double multiplier) where TQuote : IQuote { diff --git a/src/s-z/Vortex/Vortex.Models.cs b/src/s-z/Vortex/Vortex.Models.cs index efdeb056b..19281faef 100644 --- a/src/s-z/Vortex/Vortex.Models.cs +++ b/src/s-z/Vortex/Vortex.Models.cs @@ -1,11 +1,11 @@ -using System; +using System; namespace Skender.Stock.Indicators { [Serializable] public class VortexResult : ResultBase { - public decimal? Pvi { get; set; } - public decimal? Nvi { get; set; } + public double? Pvi { get; set; } + public double? Nvi { get; set; } } } diff --git a/src/s-z/Vortex/Vortex.cs b/src/s-z/Vortex/Vortex.cs index 4f359479e..72b76cd84 100644 --- a/src/s-z/Vortex/Vortex.cs +++ b/src/s-z/Vortex/Vortex.cs @@ -25,9 +25,9 @@ public static IEnumerable GetVortex( int size = quotesList.Count; List results = new(size); - decimal[] tr = new decimal[size]; - decimal[] pvm = new decimal[size]; - decimal[] nvm = new decimal[size]; + double[] tr = new double[size]; + double[] pvm = new double[size]; + double[] nvm = new double[size]; decimal prevHigh = 0; decimal prevLow = 0; @@ -58,9 +58,9 @@ public static IEnumerable GetVortex( decimal highMinusPrevClose = Math.Abs(q.High - prevClose); decimal lowMinusPrevClose = Math.Abs(q.Low - prevClose); - tr[i] = Math.Max((q.High - q.Low), Math.Max(highMinusPrevClose, lowMinusPrevClose)); - pvm[i] = Math.Abs(q.High - prevLow); - nvm[i] = Math.Abs(q.Low - prevHigh); + tr[i] = (double)Math.Max((q.High - q.Low), Math.Max(highMinusPrevClose, lowMinusPrevClose)); + pvm[i] = (double)Math.Abs(q.High - prevLow); + nvm[i] = (double)Math.Abs(q.Low - prevHigh); prevHigh = q.High; prevLow = q.Low; @@ -70,9 +70,9 @@ public static IEnumerable GetVortex( if (index > lookbackPeriods) { - decimal sumTr = 0; - decimal sumPvm = 0; - decimal sumNvm = 0; + double sumTr = 0; + double sumPvm = 0; + double sumNvm = 0; for (int p = index - lookbackPeriods; p < index; p++) { diff --git a/src/s-z/Vwap/Vwap.cs b/src/s-z/Vwap/Vwap.cs index 14018c055..ebace13b6 100644 --- a/src/s-z/Vwap/Vwap.cs +++ b/src/s-z/Vwap/Vwap.cs @@ -26,13 +26,17 @@ public static IEnumerable GetVwap( startDate = (startDate == null) ? quotesList[0].Date : startDate; List results = new(size); - decimal cumVolume = 0m; - decimal cumVolumeTP = 0m; + double? cumVolume = 0; + double? cumVolumeTP = 0; // roll through quotes for (int i = 0; i < size; i++) { TQuote q = quotesList[i]; + double? v = (double?)q.Volume; + double? h = (double?)q.High; + double? l = (double?)q.Low; + double? c = (double?)q.Close; VwapResult r = new() { @@ -41,10 +45,10 @@ public static IEnumerable GetVwap( if (q.Date >= startDate) { - cumVolume += q.Volume; - cumVolumeTP += q.Volume * (q.High + q.Low + q.Close) / 3; + cumVolume += v; + cumVolumeTP += v * (h + l + c) / 3; - r.Vwap = (cumVolume != 0) ? cumVolumeTP / cumVolume : null; + r.Vwap = (cumVolume != 0) ? (decimal?)(cumVolumeTP / cumVolume) : null; } results.Add(r); diff --git a/src/s-z/Wma/Wma.cs b/src/s-z/Wma/Wma.cs index 3892d8cf8..cc28a331a 100644 --- a/src/s-z/Wma/Wma.cs +++ b/src/s-z/Wma/Wma.cs @@ -23,7 +23,7 @@ public static IEnumerable GetWma( // initialize List results = new(quotesList.Count); - decimal divisor = (lookbackPeriods * (lookbackPeriods + 1)) / 2m; + double divisor = (lookbackPeriods * (lookbackPeriods + 1)) / 2d; // roll through quotes for (int i = 0; i < quotesList.Count; i++) @@ -38,14 +38,14 @@ public static IEnumerable GetWma( if (index >= lookbackPeriods) { - decimal wma = 0; + double wma = 0; for (int p = index - lookbackPeriods; p < index; p++) { TQuote d = quotesList[p]; - wma += d.Close * (lookbackPeriods - (decimal)(index - p - 1)) / divisor; + wma += (double)d.Close * (lookbackPeriods - (index - p - 1)) / divisor; } - result.Wma = wma; + result.Wma = (decimal)wma; } results.Add(result); diff --git a/tests/indicators/Tests.Indicators.csproj b/tests/indicators/Tests.Indicators.csproj index 5aa7b0afc..dc2276452 100644 --- a/tests/indicators/Tests.Indicators.csproj +++ b/tests/indicators/Tests.Indicators.csproj @@ -64,6 +64,9 @@ Always + + Always + Always @@ -73,6 +76,9 @@ Always + + Always + diff --git a/tests/indicators/_Initialize.cs b/tests/indicators/_Initialize.cs index 00150fa1a..b99fcc0e2 100644 --- a/tests/indicators/_Initialize.cs +++ b/tests/indicators/_Initialize.cs @@ -20,6 +20,8 @@ public abstract class TestBase internal static readonly IEnumerable quotes = TestData.GetDefault(); internal static readonly IEnumerable otherQuotes = TestData.GetCompare(); internal static readonly IEnumerable badQuotes = TestData.GetBad(); + internal static readonly IEnumerable bigQuotes = TestData.GetTooBig(); + internal static readonly IEnumerable maxQuotes = TestData.GetMax(); internal static readonly IEnumerable longishQuotes = TestData.GetLongish(); internal static readonly IEnumerable longestQuotes = TestData.GetLongest(); 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ToDoubleNull(this string value) + { + return double.TryParse(value, out double d) ? d : null; + } + internal static decimal? NullRound(this decimal? value, int decimals) { return value == null ? value : Math.Round((decimal)value, decimals); } + + internal static double? NullRound(this double? value, int decimals) + { + return value == null + ? value + : Math.Round((double)value, decimals); + } } } diff --git a/tests/indicators/_common/Helper.Importer.cs b/tests/indicators/_common/Helper.Importer.cs index 44613b8ac..84d4039c8 100644 --- a/tests/indicators/_common/Helper.Importer.cs +++ b/tests/indicators/_common/Helper.Importer.cs @@ -93,6 +93,28 @@ internal static IEnumerable GetBad(int days = 502) .ToList(); } + // TOO BIG DATA + internal static IEnumerable GetTooBig(int days = 1246) + { + return File.ReadAllLines("_common/data/toobig.csv") + .Skip(1) + .Select(v => Importer.QuoteFromCsv(v)) + .OrderByDescending(x => x.Date) + .Take(days) + .ToList(); + } + + // MAX SIZE DATA + internal static IEnumerable GetMax(int days = 502) + { + return File.ReadAllLines("_common/data/toobig.csv") + .Skip(1) + .Select(v => Importer.QuoteFromCsv(v)) + .OrderByDescending(x => x.Date) + .Take(days) + .ToList(); + } + // BITCOIN DATA internal static IEnumerable GetBitcoin(int days = 1246) { diff --git a/tests/indicators/_common/data/bad.csv b/tests/indicators/_common/data/bad.csv index fe2ee6aba..c82fa2159 100644 --- a/tests/indicators/_common/data/bad.csv +++ b/tests/indicators/_common/data/bad.csv @@ -1,453 +1,453 @@ date,open,high,low,close,volume -1/3/2017,212.6100000000,213.3500000000,211.5200000000,212.8000000000,96708880.0000000000 -1/4/2017,213.1600000000,214.2200000000,213.1500000000,214.0600000000,83348752.0000000000 -1/5/2017,213.7700000000,214.0600000000,213.0200000000,213.8900000000,82961968.0000000000 -1/6/2017,214.0200000000,215.1700000000,213.4200000000,214.6600000000,75744152.0000000000 -1/9/2017,214.3800000000,214.5300000000,213.9100000000,213.9500000000,49684316.0000000000 -1/10/2017,213.9700000000,214.8900000000,213.5200000000,213.9500000000,67500792.0000000000 -1/11/2017,213.8600000000,214.5500000000,213.1300000000,214.5500000000,79014928.0000000000 -1/12/2017,213.9900000000,214.2200000000,212.5300000000,214.0200000000,76329760.0000000000 -1/13/2017,214.2100000000,214.8400000000,214.1700000000,214.5100000000,66385084.0000000000 -1/17/2017,213.8100000000,214.2500000000,213.3300000000,213.7500000000,64821664.0000000000 -1/18/2017,214.0200000000,214.2700000000,213.4200000000,214.2200000000,57997156.0000000000 -1/19/2017,214.3100000000,214.4600000000,212.9600000000,213.4300000000,70503512.0000000000 -1/20/2017,214.1800000000,214.7500000000,213.4900000000,214.2100000000,136721344.0000000000 -1/23/2017,213.8500000000,214.2800000000,212.8300000000,213.6600000000,79450624.0000000000 -1/24/2017,213.8900000000,215.4800000000,213.7700000000,215.0300000000,101142584.0000000000 -1/25/2017,216.0700000000,216.8900000000,215.8900000000,216.8900000000,89374928.0000000000 -1/26/2017,216.7300000000,217.0200000000,216.3600000000,216.6600000000,63477304.0000000000 -1/27/2017,216.7500000000,216.9100000000,216.1200000000,216.3200000000,63202528.0000000000 -1/30/2017,215.5700000000,215.5900000000,213.9000000000,214.9800000000,84399624.0000000000 -1/31/2017,214.4400000000,215.0300000000,213.8200000000,214.9600000000,80317680.0000000000 -2/1/2017,215.6500000000,215.9600000000,214.4000000000,215.0500000000,83743792.0000000000 -2/2/2017,214.6500000000,215.5000000000,214.2900000000,215.1900000000,73730552.0000000000 -2/3/2017,216.1800000000,216.8700000000,215.8400000000,216.6700000000,85273832.0000000000 -2/6/2017,216.2300000000,216.6600000000,215.9200000000,216.2800000000,61169192.0000000000 -2/7/2017,216.7100000000,216.9700000000,216.0900000000,216.2900000000,61318484.0000000000 -2/8/2017,215.9800000000,216.7200000000,215.7000000000,216.5800000000,54581376.0000000000 -2/9/2017,216.8800000000,218.1900000000,216.8400000000,217.8600000000,69811760.0000000000 -2/10/2017,218.2400000000,218.9700000000,217.8800000000,218.7200000000,69875952.0000000000 -2/13/2017,219.2600000000,220.1900000000,219.2300000000,219.9100000000,58408632.0000000000 -2/14/2017,219.7100000000,220.8000000000,219.3300000000,220.7900000000,75266840.0000000000 -2/15/2017,220.5500000000,222.1500000000,220.5000000000,221.9400000000,91860344.0000000000 -2/16/2017,221.9800000000,222.1600000000,220.9300000000,221.7500000000,89676304.0000000000 -2/17/2017,221.0300000000,222.1000000000,221.0100000000,222.1000000000,81718352.0000000000 -2/21/2017,222.5100000000,223.6200000000,222.5000000000,223.4300000000,94146880.0000000000 -2/22/2017,222.9800000000,223.4700000000,222.8000000000,223.2300000000,65747160.0000000000 -2/23/2017,223.7900000000,223.8100000000,222.5500000000,223.3800000000,78978816.0000000000 -2/24/2017,222.4500000000,223.7100000000,222.4100000000,223.6600000000,87198608.0000000000 -2/27/2017,223.5700000000,224.2000000000,223.2900000000,224.0100000000,59819992.0000000000 -2/28/2017,223.6000000000,223.8600000000,222.9800000000,223.4100000000,102631472.0000000000 -3/1/2017,225.2200000000,227.0400000000,225.2000000000,226.5300000000,157879712.0000000000 -3/2/2017,226.3300000000,226.3400000000,225.0500000000,225.1100000000,74353376.0000000000 -3/3/2017,225.0100000000,225.4300000000,224.6000000000,225.2500000000,86767480.0000000000 -3/6/2017,224.3800000000,224.9700000000,223.9200000000,224.5800000000,58630368.0000000000 -3/7/2017,224.2500000000,224.6400000000,223.6800000000,223.9100000000,68910464.0000000000 -3/8/2017,224.2300000000,224.5100000000,223.3400000000,223.4900000000,82739456.0000000000 -3/9/2017,223.6200000000,224.1300000000,222.7200000000,223.7800000000,95986360.0000000000 -3/10/2017,224.8200000000,224.8700000000,223.5200000000,224.5600000000,86785840.0000000000 -3/13/2017,224.4900000000,224.7200000000,224.1300000000,224.6700000000,60604724.0000000000 -3/14/2017,224.0800000000,224.1300000000,223.1400000000,223.8100000000,63382108.0000000000 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+01/10/2021,381971187896949,383119804193232,304575555552138,354481792218245,2494391097426000 +01/11/2021,354540865057750,366732197526749,325711617280296,340932785675187,1341135200833790 +01/12/2021,340911859872718,378967283946365,324199753082782,374175175057530,1246315913747970 diff --git a/tests/indicators/a-d/Adl/Adl.Tests.cs b/tests/indicators/a-d/Adl/Adl.Tests.cs index d9eebfcbd..44774bf63 100644 --- a/tests/indicators/a-d/Adl/Adl.Tests.cs +++ b/tests/indicators/a-d/Adl/Adl.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -24,15 +24,15 @@ public void Standard() // sample values AdlResult r1 = results[249]; - Assert.AreEqual(0.7778m, Math.Round(r1.MoneyFlowMultiplier, 4)); - Assert.AreEqual(36433792.89m, Math.Round(r1.MoneyFlowVolume, 2)); - Assert.AreEqual(3266400865.74m, Math.Round(r1.Adl, 2)); + Assert.AreEqual(0.7778, Math.Round(r1.MoneyFlowMultiplier, 4)); + Assert.AreEqual(36433792.89, Math.Round(r1.MoneyFlowVolume, 2)); + Assert.AreEqual(3266400865.74, Math.Round(r1.Adl, 2)); Assert.AreEqual(null, r1.AdlSma); AdlResult r2 = results[501]; - Assert.AreEqual(0.8052m, Math.Round(r2.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(r2.MoneyFlowVolume, 2)); - Assert.AreEqual(3439986548.42m, Math.Round(r2.Adl, 2)); + Assert.AreEqual(0.8052, Math.Round(r2.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(r2.MoneyFlowVolume, 2)); + Assert.AreEqual(3439986548.42, Math.Round(r2.Adl, 2)); Assert.AreEqual(null, r2.AdlSma); } @@ -59,6 +59,13 @@ public void BadData() Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = Indicator.GetAdl(bigQuotes); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void WithSma() { @@ -73,10 +80,10 @@ public void WithSma() // sample value AdlResult r = results[501]; - Assert.AreEqual(0.8052m, Math.Round(r.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(r.MoneyFlowVolume, 2)); - Assert.AreEqual(3439986548.42m, Math.Round(r.Adl, 2)); - Assert.AreEqual(3595352721.16m, Math.Round((decimal)r.AdlSma, 2)); + Assert.AreEqual(0.8052, Math.Round(r.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(r.MoneyFlowVolume, 2)); + Assert.AreEqual(3439986548.42, Math.Round(r.Adl, 2)); + Assert.AreEqual(3595352721.16, Math.Round((double)r.AdlSma, 2)); } [TestMethod] diff --git a/tests/indicators/a-d/Adx/Adx.Tests.cs b/tests/indicators/a-d/Adx/Adx.Tests.cs index 4df6deb11..285996507 100644 --- a/tests/indicators/a-d/Adx/Adx.Tests.cs +++ b/tests/indicators/a-d/Adx/Adx.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -25,33 +25,40 @@ public void Standard() // sample values AdxResult r1 = results[19]; - Assert.AreEqual(21.0361m, Math.Round((decimal)r1.Pdi, 4)); - Assert.AreEqual(25.0124m, Math.Round((decimal)r1.Mdi, 4)); + Assert.AreEqual(21.0361, Math.Round((double)r1.Pdi, 4)); + Assert.AreEqual(25.0124, Math.Round((double)r1.Mdi, 4)); Assert.AreEqual(null, r1.Adx); AdxResult r2 = results[29]; - Assert.AreEqual(37.9719m, Math.Round((decimal)r2.Pdi, 4)); - Assert.AreEqual(14.1658m, Math.Round((decimal)r2.Mdi, 4)); - Assert.AreEqual(19.7949m, Math.Round((decimal)r2.Adx, 4)); + Assert.AreEqual(37.9719, Math.Round((double)r2.Pdi, 4)); + Assert.AreEqual(14.1658, Math.Round((double)r2.Mdi, 4)); + Assert.AreEqual(19.7949, Math.Round((double)r2.Adx, 4)); AdxResult r3 = results[248]; - Assert.AreEqual(32.3167m, Math.Round((decimal)r3.Pdi, 4)); - Assert.AreEqual(18.2471m, Math.Round((decimal)r3.Mdi, 4)); - Assert.AreEqual(30.5903m, Math.Round((decimal)r3.Adx, 4)); + Assert.AreEqual(32.3167, Math.Round((double)r3.Pdi, 4)); + Assert.AreEqual(18.2471, Math.Round((double)r3.Mdi, 4)); + Assert.AreEqual(30.5903, Math.Round((double)r3.Adx, 4)); AdxResult r4 = results[501]; - Assert.AreEqual(17.7565m, Math.Round((decimal)r4.Pdi, 4)); - Assert.AreEqual(31.1510m, Math.Round((decimal)r4.Mdi, 4)); - Assert.AreEqual(34.2987m, Math.Round((decimal)r4.Adx, 4)); + Assert.AreEqual(17.7565, Math.Round((double)r4.Pdi, 4)); + Assert.AreEqual(31.1510, Math.Round((double)r4.Mdi, 4)); + Assert.AreEqual(34.2987, Math.Round((double)r4.Adx, 4)); } [TestMethod] public void BadData() { - IEnumerable r = Indicator.GetAdx(badQuotes, 20); + IEnumerable r = badQuotes.GetAdx(20); Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = bigQuotes.GetAdx(200); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -62,9 +69,9 @@ public void Removed() Assert.AreEqual(502 - (2 * 14 + 100), r.Count()); AdxResult last = r.LastOrDefault(); - Assert.AreEqual(17.7565m, Math.Round((decimal)last.Pdi, 4)); - Assert.AreEqual(31.1510m, Math.Round((decimal)last.Mdi, 4)); - Assert.AreEqual(34.2987m, Math.Round((decimal)last.Adx, 4)); + Assert.AreEqual(17.7565, Math.Round((double)last.Pdi, 4)); + Assert.AreEqual(31.1510, Math.Round((double)last.Mdi, 4)); + Assert.AreEqual(34.2987, Math.Round((double)last.Adx, 4)); } [TestMethod] diff --git a/tests/indicators/a-d/Awesome/Awesome.Tests.cs b/tests/indicators/a-d/Awesome/Awesome.Tests.cs index 8729fa3c5..f66cea253 100644 --- a/tests/indicators/a-d/Awesome/Awesome.Tests.cs +++ b/tests/indicators/a-d/Awesome/Awesome.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -29,16 +29,16 @@ public void Standard() Assert.AreEqual(null, r1.Normalized); AwesomeResult r2 = results[33]; - Assert.AreEqual(5.4756m, Math.Round((decimal)r2.Oscillator, 4)); - Assert.AreEqual(2.4548m, Math.Round((decimal)r2.Normalized, 4)); + Assert.AreEqual(5.4756, Math.Round((double)r2.Oscillator, 4)); + Assert.AreEqual(2.4548, Math.Round((double)r2.Normalized, 4)); AwesomeResult r3 = results[249]; - Assert.AreEqual(5.0618m, Math.Round((decimal)r3.Oscillator, 4)); - Assert.AreEqual(1.9634m, Math.Round((decimal)r3.Normalized, 4)); + Assert.AreEqual(5.0618, Math.Round((double)r3.Oscillator, 4)); + Assert.AreEqual(1.9634, Math.Round((double)r3.Normalized, 4)); AwesomeResult r4 = results[501]; - Assert.AreEqual(-17.7692m, Math.Round((decimal)r4.Oscillator, 4)); - Assert.AreEqual(-7.2763m, Math.Round((decimal)r4.Normalized, 4)); + Assert.AreEqual(-17.7692, Math.Round((double)r4.Oscillator, 4)); + Assert.AreEqual(-7.2763, Math.Round((double)r4.Normalized, 4)); } [TestMethod] @@ -59,8 +59,8 @@ public void Removed() Assert.AreEqual(502 - 33, results.Count); AwesomeResult last = results.LastOrDefault(); - Assert.AreEqual(-17.7692m, Math.Round((decimal)last.Oscillator, 4)); - Assert.AreEqual(-7.2763m, Math.Round((decimal)last.Normalized, 4)); + Assert.AreEqual(-17.7692, Math.Round((double)last.Oscillator, 4)); + Assert.AreEqual(-7.2763, Math.Round((double)last.Normalized, 4)); } [TestMethod] diff --git a/tests/indicators/a-d/Beta/Beta.Tests.cs b/tests/indicators/a-d/Beta/Beta.Tests.cs index c019e0b01..4c0efdd4f 100644 --- a/tests/indicators/a-d/Beta/Beta.Tests.cs +++ b/tests/indicators/a-d/Beta/Beta.Tests.cs @@ -29,32 +29,32 @@ public void All() // sample values BetaResult r19 = results[19]; - Assert.AreEqual(7.5476m, Math.Round((decimal)r19.Beta, 4)); + Assert.AreEqual(7.5476, Math.Round((double)r19.Beta, 4)); Assert.IsNull(r19.BetaUp); Assert.IsNull(r19.BetaDown); Assert.IsNull(r19.Ratio); Assert.IsNull(r19.Convexity); BetaResult r20 = results[20]; - Assert.AreEqual(6.7488m, Math.Round((decimal)r20.Beta, 4)); - Assert.AreEqual(8.2407m, Math.Round((decimal)r20.BetaUp, 4)); - Assert.AreEqual(5.9296m, Math.Round((decimal)r20.BetaDown, 4)); - Assert.AreEqual(1.3898m, Math.Round((decimal)r20.Ratio, 4)); - Assert.AreEqual(5.3415m, Math.Round((decimal)r20.Convexity, 4)); + Assert.AreEqual(6.7488, Math.Round((double)r20.Beta, 4)); + Assert.AreEqual(8.2407, Math.Round((double)r20.BetaUp, 4)); + Assert.AreEqual(5.9296, Math.Round((double)r20.BetaDown, 4)); + Assert.AreEqual(1.3898, Math.Round((double)r20.Ratio, 4)); + Assert.AreEqual(5.3415, Math.Round((double)r20.Convexity, 4)); BetaResult r249 = results[249]; - Assert.AreEqual(3.5528m, Math.Round((decimal)r249.Beta, 4)); - Assert.AreEqual(3.1061m, Math.Round((decimal)r249.BetaUp, 4)); - Assert.AreEqual(4.0684m, Math.Round((decimal)r249.BetaDown, 4)); - Assert.AreEqual(0.7635m, Math.Round((decimal)r249.Ratio, 4)); - Assert.AreEqual(0.9260m, Math.Round((decimal)r249.Convexity, 4)); + Assert.AreEqual(3.5528, Math.Round((double)r249.Beta, 4)); + Assert.AreEqual(3.1061, Math.Round((double)r249.BetaUp, 4)); + Assert.AreEqual(4.0684, Math.Round((double)r249.BetaDown, 4)); + Assert.AreEqual(0.7635, Math.Round((double)r249.Ratio, 4)); + Assert.AreEqual(0.9260, Math.Round((double)r249.Convexity, 4)); BetaResult r501 = results[501]; - Assert.AreEqual(1.6759m, Math.Round((decimal)r501.Beta, 4)); - Assert.AreEqual(1.2838m, Math.Round((decimal)r501.BetaUp, 4)); - Assert.AreEqual(2.1034m, Math.Round((decimal)r501.BetaDown, 4)); - Assert.AreEqual(0.6104m, Math.Round((decimal)r501.Ratio, 4)); - Assert.AreEqual(0.6717m, Math.Round((decimal)r501.Convexity, 4)); + Assert.AreEqual(1.6759, Math.Round((double)r501.Beta, 4)); + Assert.AreEqual(1.2838, Math.Round((double)r501.BetaUp, 4)); + Assert.AreEqual(2.1034, Math.Round((double)r501.BetaDown, 4)); + Assert.AreEqual(0.6104, Math.Round((double)r501.Ratio, 4)); + Assert.AreEqual(0.6717, Math.Round((double)r501.Convexity, 4)); } [TestMethod] @@ -74,7 +74,7 @@ public void Standard() // sample value BetaResult r = results[501]; - Assert.AreEqual(1.6759m, Math.Round((decimal)r.Beta, 4)); + Assert.AreEqual(1.6759, Math.Round((double)r.Beta, 4)); } [TestMethod] @@ -94,7 +94,7 @@ public void Up() // sample value BetaResult r = results[501]; - Assert.AreEqual(1.2838m, Math.Round((decimal)r.BetaUp, 4)); + Assert.AreEqual(1.2838, Math.Round((double)r.BetaUp, 4)); } [TestMethod] @@ -114,7 +114,7 @@ public void Down() // sample value BetaResult r = results[501]; - Assert.AreEqual(2.1034m, Math.Round((decimal)r.BetaDown, 4)); + Assert.AreEqual(2.1034, Math.Round((double)r.BetaDown, 4)); } [TestMethod] @@ -133,6 +133,14 @@ public void BadData() Assert.AreEqual(502, r3.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = Indicator + .GetBeta(bigQuotes, bigQuotes, 150, BetaType.All); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -144,7 +152,7 @@ public void Removed() Assert.AreEqual(502 - 19, results.Count); BetaResult last = results.LastOrDefault(); - Assert.AreEqual(1.6759m, Math.Round((decimal)last.Beta, 4)); + Assert.AreEqual(1.6759, Math.Round((double)last.Beta, 4)); } [TestMethod] @@ -163,7 +171,7 @@ public void SameSame() // sample value BetaResult r = results[501]; - Assert.AreEqual(1, Math.Round((decimal)r.Beta, 4)); + Assert.AreEqual(1, Math.Round((double)r.Beta, 4)); } [TestMethod] diff --git a/tests/indicators/a-d/BollingerBands/BollingerBands.Tests.cs b/tests/indicators/a-d/BollingerBands/BollingerBands.Tests.cs index 0fcce0377..c5f451b39 100644 --- a/tests/indicators/a-d/BollingerBands/BollingerBands.Tests.cs +++ b/tests/indicators/a-d/BollingerBands/BollingerBands.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -36,17 +36,17 @@ public void Standard() Assert.AreEqual(255.5500m, Math.Round((decimal)r1.Sma, 4)); Assert.AreEqual(259.5642m, Math.Round((decimal)r1.UpperBand, 4)); Assert.AreEqual(251.5358m, Math.Round((decimal)r1.LowerBand, 4)); - Assert.AreEqual(0.803923m, Math.Round((decimal)r1.PercentB, 6)); - Assert.AreEqual(1.215692m, Math.Round((decimal)r1.ZScore, 6)); - Assert.AreEqual(0.031416m, Math.Round((decimal)r1.Width, 6)); + Assert.AreEqual(0.803923, Math.Round((double)r1.PercentB, 6)); + Assert.AreEqual(1.215692, Math.Round((double)r1.ZScore, 6)); + Assert.AreEqual(0.031416, Math.Round((double)r1.Width, 6)); BollingerBandsResult r2 = results[501]; Assert.AreEqual(251.8600m, Math.Round((decimal)r2.Sma, 4)); Assert.AreEqual(273.7004m, Math.Round((decimal)r2.UpperBand, 4)); Assert.AreEqual(230.0196m, Math.Round((decimal)r2.LowerBand, 4)); - Assert.AreEqual(0.349362m, Math.Round((decimal)r2.PercentB, 6)); - Assert.AreEqual(-0.602552m, Math.Round((decimal)r2.ZScore, 6)); - Assert.AreEqual(0.173433m, Math.Round((decimal)r2.Width, 6)); + Assert.AreEqual(0.349362, Math.Round((double)r2.PercentB, 6)); + Assert.AreEqual(-0.602552, Math.Round((double)r2.ZScore, 6)); + Assert.AreEqual(0.173433, Math.Round((double)r2.Width, 6)); } [TestMethod] @@ -71,9 +71,9 @@ public void Removed() Assert.AreEqual(251.8600m, Math.Round((decimal)last.Sma, 4)); Assert.AreEqual(273.7004m, Math.Round((decimal)last.UpperBand, 4)); Assert.AreEqual(230.0196m, Math.Round((decimal)last.LowerBand, 4)); - Assert.AreEqual(0.349362m, Math.Round((decimal)last.PercentB, 6)); - Assert.AreEqual(-0.602552m, Math.Round((decimal)last.ZScore, 6)); - Assert.AreEqual(0.173433m, Math.Round((decimal)last.Width, 6)); + Assert.AreEqual(0.349362, Math.Round((double)last.PercentB, 6)); + Assert.AreEqual(-0.602552, Math.Round((double)last.ZScore, 6)); + Assert.AreEqual(0.173433, Math.Round((double)last.Width, 6)); } [TestMethod] diff --git a/tests/indicators/a-d/Cci/Cci.Tests.cs b/tests/indicators/a-d/Cci/Cci.Tests.cs index 31690b329..f1d3898c7 100644 --- a/tests/indicators/a-d/Cci/Cci.Tests.cs +++ b/tests/indicators/a-d/Cci/Cci.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -25,7 +25,7 @@ public void Standard() // sample value CciResult r = results[501]; - Assert.AreEqual(-52.9946m, Math.Round((decimal)r.Cci, 4)); + Assert.AreEqual(-52.9946, Math.Round((double)r.Cci, 4)); } [TestMethod] @@ -46,7 +46,7 @@ public void Removed() Assert.AreEqual(502 - 19, results.Count); CciResult last = results.LastOrDefault(); - Assert.AreEqual(-52.9946m, Math.Round((decimal)last.Cci, 4)); + Assert.AreEqual(-52.9946, Math.Round((double)last.Cci, 4)); } [TestMethod] diff --git a/tests/indicators/a-d/ChaikinOsc/ChaikinOsc.Tests.cs b/tests/indicators/a-d/ChaikinOsc/ChaikinOsc.Tests.cs index 38371349d..145451062 100644 --- a/tests/indicators/a-d/ChaikinOsc/ChaikinOsc.Tests.cs +++ b/tests/indicators/a-d/ChaikinOsc/ChaikinOsc.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -28,10 +28,10 @@ public void Standard() // sample value ChaikinOscResult r = results[501]; - Assert.AreEqual(3439986548.42m, Math.Round(r.Adl, 2)); - Assert.AreEqual(0.8052m, Math.Round(r.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(r.MoneyFlowVolume, 2)); - Assert.AreEqual(-19135200.72m, Math.Round((decimal)r.Oscillator, 2)); + Assert.AreEqual(3439986548.42, Math.Round(r.Adl, 2)); + Assert.AreEqual(0.8052, Math.Round(r.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(r.MoneyFlowVolume, 2)); + Assert.AreEqual(-19135200.72, Math.Round((double)r.Oscillator, 2)); } [TestMethod] @@ -55,10 +55,10 @@ public void Removed() Assert.AreEqual(502 - (slowPeriods + 100), results.Count); ChaikinOscResult last = results.LastOrDefault(); - Assert.AreEqual(3439986548.42m, Math.Round(last.Adl, 2)); - Assert.AreEqual(0.8052m, Math.Round(last.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(last.MoneyFlowVolume, 2)); - Assert.AreEqual(-19135200.72m, Math.Round((decimal)last.Oscillator, 2)); + Assert.AreEqual(3439986548.42, Math.Round(last.Adl, 2)); + Assert.AreEqual(0.8052, Math.Round(last.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(last.MoneyFlowVolume, 2)); + Assert.AreEqual(-19135200.72, Math.Round((double)last.Oscillator, 2)); } [TestMethod] diff --git a/tests/indicators/a-d/Cmf/Cmf.Tests.cs b/tests/indicators/a-d/Cmf/Cmf.Tests.cs index fa4f2b3f2..46fecef35 100644 --- a/tests/indicators/a-d/Cmf/Cmf.Tests.cs +++ b/tests/indicators/a-d/Cmf/Cmf.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -23,19 +23,19 @@ public void Standard() // sample values CmfResult r1 = results[49]; - Assert.AreEqual(0.5468m, Math.Round(r1.MoneyFlowMultiplier, 4)); - Assert.AreEqual(55609259m, Math.Round(r1.MoneyFlowVolume, 2)); - Assert.AreEqual(0.350596m, Math.Round((decimal)r1.Cmf, 6)); + Assert.AreEqual(0.5468, Math.Round(r1.MoneyFlowMultiplier, 4)); + Assert.AreEqual(55609259, Math.Round(r1.MoneyFlowVolume, 2)); + Assert.AreEqual(0.350596, Math.Round((double)r1.Cmf, 6)); CmfResult r2 = results[249]; - Assert.AreEqual(0.7778m, Math.Round(r2.MoneyFlowMultiplier, 4)); - Assert.AreEqual(36433792.89m, Math.Round(r2.MoneyFlowVolume, 2)); - Assert.AreEqual(-0.040226m, Math.Round((decimal)r2.Cmf, 6)); + Assert.AreEqual(0.7778, Math.Round(r2.MoneyFlowMultiplier, 4)); + Assert.AreEqual(36433792.89, Math.Round(r2.MoneyFlowVolume, 2)); + Assert.AreEqual(-0.040226, Math.Round((double)r2.Cmf, 6)); CmfResult r3 = results[501]; - Assert.AreEqual(0.8052m, Math.Round(r3.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(r3.MoneyFlowVolume, 2)); - Assert.AreEqual(-0.123754m, Math.Round((decimal)r3.Cmf, 6)); + Assert.AreEqual(0.8052, Math.Round(r3.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(r3.MoneyFlowVolume, 2)); + Assert.AreEqual(-0.123754, Math.Round((double)r3.Cmf, 6)); } [TestMethod] @@ -45,6 +45,13 @@ public void BadData() Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = Indicator.GetCmf(bigQuotes, 150); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -56,9 +63,9 @@ public void Removed() Assert.AreEqual(502 - 19, results.Count); CmfResult last = results.LastOrDefault(); - Assert.AreEqual(0.8052m, Math.Round(last.MoneyFlowMultiplier, 4)); - Assert.AreEqual(118396116.25m, Math.Round(last.MoneyFlowVolume, 2)); - Assert.AreEqual(-0.123754m, Math.Round((decimal)last.Cmf, 6)); + Assert.AreEqual(0.8052, Math.Round(last.MoneyFlowMultiplier, 4)); + Assert.AreEqual(118396116.25, Math.Round(last.MoneyFlowVolume, 2)); + Assert.AreEqual(-0.123754, Math.Round((double)last.Cmf, 6)); } [TestMethod] diff --git a/tests/indicators/a-d/ConnorsRsi/ConnorsRsi.Tests.cs b/tests/indicators/a-d/ConnorsRsi/ConnorsRsi.Tests.cs index 92882b9c7..06be826aa 100644 --- a/tests/indicators/a-d/ConnorsRsi/ConnorsRsi.Tests.cs +++ b/tests/indicators/a-d/ConnorsRsi/ConnorsRsi.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -31,18 +31,18 @@ public void Standard() // sample value ConnorsRsiResult r1 = results1[501]; - Assert.AreEqual(68.8087m, Math.Round((decimal)r1.RsiClose, 4)); - Assert.AreEqual(67.4899m, Math.Round((decimal)r1.RsiStreak, 4)); - Assert.AreEqual(88.0000m, Math.Round((decimal)r1.PercentRank, 4)); - Assert.AreEqual(74.7662m, Math.Round((decimal)r1.ConnorsRsi, 4)); + Assert.AreEqual(68.8087, Math.Round((double)r1.RsiClose, 4)); + Assert.AreEqual(67.4899, Math.Round((double)r1.RsiStreak, 4)); + Assert.AreEqual(88.0000, Math.Round((double)r1.PercentRank, 4)); + Assert.AreEqual(74.7662, Math.Round((double)r1.ConnorsRsi, 4)); // different parameters List results2 = quotes.GetConnorsRsi(14, 20, 10).ToList(); ConnorsRsiResult r2 = results2[501]; - Assert.AreEqual(42.0773m, Math.Round((decimal)r2.RsiClose, 4)); - Assert.AreEqual(52.7386m, Math.Round((decimal)r2.RsiStreak, 4)); - Assert.AreEqual(90.0000m, Math.Round((decimal)r2.PercentRank, 4)); - Assert.AreEqual(61.6053m, Math.Round((decimal)r2.ConnorsRsi, 4)); + Assert.AreEqual(42.0773, Math.Round((double)r2.RsiClose, 4)); + Assert.AreEqual(52.7386, Math.Round((double)r2.RsiStreak, 4)); + Assert.AreEqual(90.0000, Math.Round((double)r2.PercentRank, 4)); + Assert.AreEqual(61.6053, Math.Round((double)r2.ConnorsRsi, 4)); } [TestMethod] @@ -71,10 +71,10 @@ public void Removed() Assert.AreEqual(502 - removePeriods + 1, results.Count); ConnorsRsiResult last = results.LastOrDefault(); - Assert.AreEqual(68.8087m, Math.Round((decimal)last.RsiClose, 4)); - Assert.AreEqual(67.4899m, Math.Round((decimal)last.RsiStreak, 4)); - Assert.AreEqual(88.0000m, Math.Round((decimal)last.PercentRank, 4)); - Assert.AreEqual(74.7662m, Math.Round((decimal)last.ConnorsRsi, 4)); + Assert.AreEqual(68.8087, Math.Round((double)last.RsiClose, 4)); + Assert.AreEqual(67.4899, Math.Round((double)last.RsiStreak, 4)); + Assert.AreEqual(88.0000, Math.Round((double)last.PercentRank, 4)); + Assert.AreEqual(74.7662, Math.Round((double)last.ConnorsRsi, 4)); } [TestMethod] diff --git a/tests/indicators/a-d/Correlation/Correlation.Tests.cs b/tests/indicators/a-d/Correlation/Correlation.Tests.cs index 2e5100190..95fa2e300 100644 --- a/tests/indicators/a-d/Correlation/Correlation.Tests.cs +++ b/tests/indicators/a-d/Correlation/Correlation.Tests.cs @@ -28,16 +28,16 @@ public void Standard() Assert.IsNull(r18.RSquared); CorrResult r19 = results[19]; - Assert.AreEqual(0.6933m, Math.Round((decimal)r19.Correlation, 4)); - Assert.AreEqual(0.4806m, Math.Round((decimal)r19.RSquared, 4)); + Assert.AreEqual(0.6933, Math.Round((double)r19.Correlation, 4)); + Assert.AreEqual(0.4806, Math.Round((double)r19.RSquared, 4)); CorrResult r257 = results[257]; - Assert.AreEqual(-0.1347m, Math.Round((decimal)r257.Correlation, 4)); - Assert.AreEqual(0.0181m, Math.Round((decimal)r257.RSquared, 4)); + Assert.AreEqual(-0.1347, Math.Round((double)r257.Correlation, 4)); + Assert.AreEqual(0.0181, Math.Round((double)r257.RSquared, 4)); CorrResult r501 = results[501]; - Assert.AreEqual(0.8460m, Math.Round((decimal)r501.Correlation, 4)); - Assert.AreEqual(0.7157m, Math.Round((decimal)r501.RSquared, 4)); + Assert.AreEqual(0.8460, Math.Round((double)r501.Correlation, 4)); + Assert.AreEqual(0.7157, Math.Round((double)r501.RSquared, 4)); } [TestMethod] @@ -47,6 +47,13 @@ public void BadData() Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = Indicator.GetCorrelation(bigQuotes, bigQuotes, 150); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -59,8 +66,8 @@ public void Removed() Assert.AreEqual(502 - 19, results.Count); CorrResult last = results.LastOrDefault(); - Assert.AreEqual(0.8460m, Math.Round((decimal)last.Correlation, 4)); - Assert.AreEqual(0.7157m, Math.Round((decimal)last.RSquared, 4)); + Assert.AreEqual(0.8460, Math.Round((double)last.Correlation, 4)); + Assert.AreEqual(0.7157, Math.Round((double)last.RSquared, 4)); } [TestMethod] diff --git a/tests/indicators/e-k/FisherTransform/FisherTransform.Tests.cs b/tests/indicators/e-k/FisherTransform/FisherTransform.Tests.cs index 89019ec3f..7ecc652cb 100644 --- a/tests/indicators/e-k/FisherTransform/FisherTransform.Tests.cs +++ b/tests/indicators/e-k/FisherTransform/FisherTransform.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -28,32 +28,32 @@ public void Standard() Assert.AreEqual(0, results[0].Fisher); Assert.IsNull(results[0].Trigger); - Assert.AreEqual(0.3428m, Math.Round(results[1].Fisher.Value, 4)); + Assert.AreEqual(0.3428, Math.Round(results[1].Fisher.Value, 4)); Assert.AreEqual(0, results[1].Trigger); - Assert.AreEqual(0.6873m, Math.Round(results[2].Fisher.Value, 4)); - Assert.AreEqual(0.3428m, Math.Round(results[2].Trigger.Value, 4)); + Assert.AreEqual(0.6873, Math.Round(results[2].Fisher.Value, 4)); + Assert.AreEqual(0.3428, Math.Round(results[2].Trigger.Value, 4)); - Assert.AreEqual(1.3324m, Math.Round(results[9].Fisher.Value, 4)); - Assert.AreEqual(1.4704m, Math.Round(results[9].Trigger.Value, 4)); + Assert.AreEqual(1.3324, Math.Round(results[9].Fisher.Value, 4)); + Assert.AreEqual(1.4704, Math.Round(results[9].Trigger.Value, 4)); - Assert.AreEqual(0.9790m, Math.Round(results[10].Fisher.Value, 4)); - Assert.AreEqual(1.3324m, Math.Round(results[10].Trigger.Value, 4)); + Assert.AreEqual(0.9790, Math.Round(results[10].Fisher.Value, 4)); + Assert.AreEqual(1.3324, Math.Round(results[10].Trigger.Value, 4)); - Assert.AreEqual(6.1509m, Math.Round(results[35].Fisher.Value, 4)); - Assert.AreEqual(4.7014m, Math.Round(results[35].Trigger.Value, 4)); + Assert.AreEqual(6.1509, Math.Round(results[35].Fisher.Value, 4)); + Assert.AreEqual(4.7014, Math.Round(results[35].Trigger.Value, 4)); - Assert.AreEqual(5.4455m, Math.Round(results[36].Fisher.Value, 4)); - Assert.AreEqual(6.1509m, Math.Round(results[36].Trigger.Value, 4)); + Assert.AreEqual(5.4455, Math.Round(results[36].Fisher.Value, 4)); + Assert.AreEqual(6.1509, Math.Round(results[36].Trigger.Value, 4)); - Assert.AreEqual(1.0349m, Math.Round(results[149].Fisher.Value, 4)); - Assert.AreEqual(0.7351m, Math.Round(results[149].Trigger.Value, 4)); + Assert.AreEqual(1.0349, Math.Round(results[149].Fisher.Value, 4)); + Assert.AreEqual(0.7351, Math.Round(results[149].Trigger.Value, 4)); - Assert.AreEqual(1.3496m, Math.Round(results[249].Fisher.Value, 4)); - Assert.AreEqual(1.4408m, Math.Round(results[249].Trigger.Value, 4)); + Assert.AreEqual(1.3496, Math.Round(results[249].Fisher.Value, 4)); + Assert.AreEqual(1.4408, Math.Round(results[249].Trigger.Value, 4)); - Assert.AreEqual(-1.2876m, Math.Round(results[501].Fisher.Value, 4)); - Assert.AreEqual(-2.0071m, Math.Round(results[501].Trigger.Value, 4)); + Assert.AreEqual(-1.2876, Math.Round(results[501].Fisher.Value, 4)); + Assert.AreEqual(-2.0071, Math.Round(results[501].Trigger.Value, 4)); } diff --git a/tests/indicators/e-k/ForceIndex/ForceIndex.Tests.cs b/tests/indicators/e-k/ForceIndex/ForceIndex.Tests.cs index 5beabf961..fa0fe9189 100644 --- a/tests/indicators/e-k/ForceIndex/ForceIndex.Tests.cs +++ b/tests/indicators/e-k/ForceIndex/ForceIndex.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -25,11 +25,11 @@ public void Standard() // sample values Assert.IsNull(r[12].ForceIndex); - Assert.AreEqual(10668240.778m, Math.Round(r[13].ForceIndex.Value, 3)); - Assert.AreEqual(15883211.364m, Math.Round(r[24].ForceIndex.Value, 3)); - Assert.AreEqual(7598218.196m, Math.Round(r[149].ForceIndex.Value, 3)); - Assert.AreEqual(23612118.994m, Math.Round(r[249].ForceIndex.Value, 3)); - Assert.AreEqual(-16824018.428m, Math.Round(r[501].ForceIndex.Value, 3)); + Assert.AreEqual(10668240.778, Math.Round(r[13].ForceIndex.Value, 3)); + Assert.AreEqual(15883211.364, Math.Round(r[24].ForceIndex.Value, 3)); + Assert.AreEqual(7598218.196, Math.Round(r[149].ForceIndex.Value, 3)); + Assert.AreEqual(23612118.994, Math.Round(r[249].ForceIndex.Value, 3)); + Assert.AreEqual(-16824018.428, Math.Round(r[501].ForceIndex.Value, 3)); } [TestMethod] @@ -50,7 +50,7 @@ public void Removed() Assert.AreEqual(502 - (13 + 100), results.Count); ForceIndexResult last = results.LastOrDefault(); - Assert.AreEqual(-16824018.428m, Math.Round(last.ForceIndex.Value, 3)); + Assert.AreEqual(-16824018.428, Math.Round(last.ForceIndex.Value, 3)); } [TestMethod] diff --git a/tests/indicators/e-k/Gator/Gator.Tests.cs b/tests/indicators/e-k/Gator/Gator.Tests.cs index e9b7f26c5..b7e54d631 100644 --- a/tests/indicators/e-k/Gator/Gator.Tests.cs +++ b/tests/indicators/e-k/Gator/Gator.Tests.cs @@ -33,49 +33,49 @@ public void Standard() GatorResult r12 = results[12]; Assert.IsNull(r12.Upper); - Assert.AreEqual(-0.1402m, Math.Round(r12.Lower.Value, 4)); + Assert.AreEqual(-0.1402, Math.Round(r12.Lower.Value, 4)); Assert.IsNull(r12.UpperIsExpanding); Assert.IsNull(r12.LowerIsExpanding); GatorResult r13 = results[13]; Assert.IsNull(r13.Upper); - Assert.AreEqual(-0.0406m, Math.Round(r13.Lower.Value, 4)); + Assert.AreEqual(-0.0406, Math.Round(r13.Lower.Value, 4)); Assert.IsNull(r13.UpperIsExpanding); Assert.IsFalse(r13.LowerIsExpanding); GatorResult r19 = results[19]; Assert.IsNull(r19.Upper); - Assert.AreEqual(-1.0018m, Math.Round(r19.Lower.Value, 4)); + Assert.AreEqual(-1.0018, Math.Round(r19.Lower.Value, 4)); Assert.IsNull(r19.UpperIsExpanding); Assert.IsTrue(r19.LowerIsExpanding); GatorResult r20 = results[20]; - Assert.AreEqual(0.4004m, Math.Round(r20.Upper.Value, 4)); - Assert.AreEqual(-1.0130m, Math.Round(r20.Lower.Value, 4)); + Assert.AreEqual(0.4004, Math.Round(r20.Upper.Value, 4)); + Assert.AreEqual(-1.0130, Math.Round(r20.Lower.Value, 4)); Assert.IsNull(r20.UpperIsExpanding); Assert.IsTrue(r20.LowerIsExpanding); GatorResult r21 = results[21]; - Assert.AreEqual(0.7298m, Math.Round(r21.Upper.Value, 4)); - Assert.AreEqual(-0.6072m, Math.Round(r21.Lower.Value, 4)); + Assert.AreEqual(0.7298, Math.Round(r21.Upper.Value, 4)); + Assert.AreEqual(-0.6072, Math.Round(r21.Lower.Value, 4)); Assert.IsTrue(r21.UpperIsExpanding); Assert.IsFalse(r21.LowerIsExpanding); GatorResult r99 = results[99]; - Assert.AreEqual(0.5159m, Math.Round(r99.Upper.Value, 4)); - Assert.AreEqual(-0.2320m, Math.Round(r99.Lower.Value, 4)); + Assert.AreEqual(0.5159, Math.Round(r99.Upper.Value, 4)); + Assert.AreEqual(-0.2320, Math.Round(r99.Lower.Value, 4)); Assert.IsFalse(r99.UpperIsExpanding); Assert.IsTrue(r99.LowerIsExpanding); GatorResult r249 = results[249]; - Assert.AreEqual(3.1317m, Math.Round(r249.Upper.Value, 4)); - Assert.AreEqual(-1.8058m, Math.Round(r249.Lower.Value, 4)); + Assert.AreEqual(3.1317, Math.Round(r249.Upper.Value, 4)); + Assert.AreEqual(-1.8058, Math.Round(r249.Lower.Value, 4)); Assert.IsTrue(r249.UpperIsExpanding); Assert.IsFalse(r249.LowerIsExpanding); GatorResult r501 = results[501]; - Assert.AreEqual(7.4538m, Math.Round(r501.Upper.Value, 4)); - Assert.AreEqual(-9.2399m, Math.Round(r501.Lower.Value, 4)); + Assert.AreEqual(7.4538, Math.Round(r501.Upper.Value, 4)); + Assert.AreEqual(-9.2399, Math.Round(r501.Lower.Value, 4)); Assert.IsTrue(r501.UpperIsExpanding); Assert.IsTrue(r501.LowerIsExpanding); } @@ -98,8 +98,8 @@ public void Removed() Assert.AreEqual(502 - 150, results.Count); GatorResult last = results.LastOrDefault(); - Assert.AreEqual(7.4538m, Math.Round(last.Upper.Value, 4)); - Assert.AreEqual(-9.2399m, Math.Round(last.Lower.Value, 4)); + Assert.AreEqual(7.4538, Math.Round(last.Upper.Value, 4)); + Assert.AreEqual(-9.2399, Math.Round(last.Lower.Value, 4)); Assert.IsTrue(last.UpperIsExpanding); Assert.IsTrue(last.LowerIsExpanding); } diff --git a/tests/indicators/e-k/Kama/Kama.Tests.cs b/tests/indicators/e-k/Kama/Kama.Tests.cs index 69dc2722e..f171c60af 100644 --- a/tests/indicators/e-k/Kama/Kama.Tests.cs +++ b/tests/indicators/e-k/Kama/Kama.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -38,23 +38,23 @@ public void Standard() Assert.AreEqual(213.75m, r2.Kama); KamaResult r3 = results[10]; - Assert.AreEqual(0.2465m, Math.Round((decimal)r3.ER, 4)); + Assert.AreEqual(0.2465, Math.Round((double)r3.ER, 4)); Assert.AreEqual(213.7713m, Math.Round((decimal)r3.Kama, 4)); KamaResult r4 = results[24]; - Assert.AreEqual(0.2136m, Math.Round((decimal)r4.ER, 4)); + Assert.AreEqual(0.2136, Math.Round((double)r4.ER, 4)); Assert.AreEqual(214.7423m, Math.Round((decimal)r4.Kama, 4)); KamaResult r5 = results[149]; - Assert.AreEqual(0.3165m, Math.Round((decimal)r5.ER, 4)); + Assert.AreEqual(0.3165, Math.Round((double)r5.ER, 4)); Assert.AreEqual(235.5510m, Math.Round((decimal)r5.Kama, 4)); KamaResult r6 = results[249]; - Assert.AreEqual(0.3182m, Math.Round((decimal)r6.ER, 4)); + Assert.AreEqual(0.3182, Math.Round((double)r6.ER, 4)); Assert.AreEqual(256.0898m, Math.Round((decimal)r6.Kama, 4)); KamaResult r7 = results[501]; - Assert.AreEqual(0.2214m, Math.Round((decimal)r7.ER, 4)); + Assert.AreEqual(0.2214, Math.Round((double)r7.ER, 4)); Assert.AreEqual(240.1138m, Math.Round((decimal)r7.Kama, 4)); } @@ -80,7 +80,7 @@ public void Removed() Assert.AreEqual(502 - Math.Max(erPeriods + 100, erPeriods * 10), results.Count); KamaResult last = results.LastOrDefault(); - Assert.AreEqual(0.2214m, Math.Round((decimal)last.ER, 4)); + Assert.AreEqual(0.2214, Math.Round((double)last.ER, 4)); Assert.AreEqual(240.1138m, Math.Round((decimal)last.Kama, 4)); } diff --git a/tests/indicators/e-k/Kvo/Kvo.Tests.cs b/tests/indicators/e-k/Kvo/Kvo.Tests.cs index 5eff99ff4..c6c405cde 100644 --- a/tests/indicators/e-k/Kvo/Kvo.Tests.cs +++ b/tests/indicators/e-k/Kvo/Kvo.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -32,28 +32,28 @@ public void Standard() Assert.IsNull(r55.Signal); KvoResult r56 = results[56]; - Assert.AreEqual(-2138454001m, Math.Round(r56.Oscillator.Value, 0)); + Assert.AreEqual(-2138454001, Math.Round(r56.Oscillator.Value, 0)); Assert.IsNull(r56.Signal); KvoResult r57 = results[57]; - Assert.AreEqual(-2265495450m, Math.Round(r57.Oscillator.Value, 0)); + Assert.AreEqual(-2265495450, Math.Round(r57.Oscillator.Value, 0)); Assert.IsNull(r57.Signal); KvoResult r68 = results[68]; - Assert.AreEqual(-1241548491m, Math.Round(r68.Oscillator.Value, 0)); - Assert.AreEqual(-1489659254m, Math.Round(r68.Signal.Value, 0)); + Assert.AreEqual(-1241548491, Math.Round(r68.Oscillator.Value, 0)); + Assert.AreEqual(-1489659254, Math.Round(r68.Signal.Value, 0)); KvoResult r149 = results[149]; - Assert.AreEqual(-62800843m, Math.Round(r149.Oscillator.Value, 0)); - Assert.AreEqual(-18678832m, Math.Round(r149.Signal.Value, 0)); + Assert.AreEqual(-62800843, Math.Round(r149.Oscillator.Value, 0)); + Assert.AreEqual(-18678832, Math.Round(r149.Signal.Value, 0)); KvoResult r249 = results[249]; - Assert.AreEqual(-51541005m, Math.Round(r249.Oscillator.Value, 0)); - Assert.AreEqual(135207969m, Math.Round(r249.Signal.Value, 0)); + Assert.AreEqual(-51541005, Math.Round(r249.Oscillator.Value, 0)); + Assert.AreEqual(135207969, Math.Round(r249.Signal.Value, 0)); KvoResult r501 = results[501]; - Assert.AreEqual(-539224047m, Math.Round(r501.Oscillator.Value, 0)); - Assert.AreEqual(-1548306127m, Math.Round(r501.Signal.Value, 0)); + Assert.AreEqual(-539224047, Math.Round(r501.Oscillator.Value, 0)); + Assert.AreEqual(-1548306127, Math.Round(r501.Signal.Value, 0)); } [TestMethod] @@ -75,8 +75,8 @@ public void Removed() Assert.AreEqual(502 - (55 + 150), results.Count); KvoResult last = results.LastOrDefault(); - Assert.AreEqual(-539224047m, Math.Round(last.Oscillator.Value, 0)); - Assert.AreEqual(-1548306127m, Math.Round(last.Signal.Value, 0)); + Assert.AreEqual(-539224047, Math.Round(last.Oscillator.Value, 0)); + Assert.AreEqual(-1548306127, Math.Round(last.Signal.Value, 0)); } [TestMethod] diff --git a/tests/indicators/m-r/Mama/Mama.Tests.cs b/tests/indicators/m-r/Mama/Mama.Tests.cs index eeaf395e9..18f3c5e35 100644 --- a/tests/indicators/m-r/Mama/Mama.Tests.cs +++ b/tests/indicators/m-r/Mama/Mama.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -13,8 +13,8 @@ public class Mama : TestBase [TestMethod] public void Standard() { - decimal fastLimit = 0.5m; - decimal slowLimit = 0.05m; + double fastLimit = 0.5; + double slowLimit = 0.05; List results = quotes.GetMama(fastLimit, slowLimit) .ToList(); @@ -66,8 +66,8 @@ public void BadData() [TestMethod] public void Removed() { - decimal fastLimit = 0.5m; - decimal slowLimit = 0.05m; + double fastLimit = 0.5; + double slowLimit = 0.05; List results = quotes.GetMama(fastLimit, slowLimit) .RemoveWarmupPeriods() @@ -86,15 +86,15 @@ public void Exceptions() { // bad fast period (same as slow period) Assert.ThrowsException(() => - Indicator.GetMama(quotes, 0.5m, 0.5m)); + Indicator.GetMama(quotes, 0.5, 0.5)); // bad fast period (cannot be 1 or more) Assert.ThrowsException(() => - Indicator.GetMama(quotes, 1m, 0.5m)); + Indicator.GetMama(quotes, 1, 0.5)); // bad slow period Assert.ThrowsException(() => - Indicator.GetMama(quotes, 0.5m, 0m)); + Indicator.GetMama(quotes, 0.5, 0)); // insufficient quotes Assert.ThrowsException(() => diff --git a/tests/indicators/m-r/Obv/Obv.Tests.cs b/tests/indicators/m-r/Obv/Obv.Tests.cs index 18ec47583..9fc7794db 100644 --- a/tests/indicators/m-r/Obv/Obv.Tests.cs +++ b/tests/indicators/m-r/Obv/Obv.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -24,11 +24,11 @@ public void Standard() // sample values ObvResult r1 = results[249]; - Assert.AreEqual(1780918888m, r1.Obv); + Assert.AreEqual(1780918888, r1.Obv); Assert.AreEqual(null, r1.ObvSma); ObvResult r2 = results[501]; - Assert.AreEqual(539843504m, r2.Obv); + Assert.AreEqual(539843504, r2.Obv); Assert.AreEqual(null, r2.ObvSma); } @@ -47,7 +47,7 @@ public void WithSma() // sample values ObvResult r1 = results[501]; Assert.AreEqual(539843504, r1.Obv); - Assert.AreEqual(1016208844.40m, r1.ObvSma); + Assert.AreEqual(1016208844.40, r1.ObvSma); } [TestMethod] @@ -70,10 +70,17 @@ public void ConvertToQuotes() [TestMethod] public void BadData() { - IEnumerable r = Indicator.GetObv(badQuotes); + IEnumerable r = badQuotes.GetObv(); Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = bigQuotes.GetObv(); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Exceptions() { diff --git a/tests/indicators/m-r/Pmo/Pmo.Tests.cs b/tests/indicators/m-r/Pmo/Pmo.Tests.cs index de1abe6c6..58f3986e4 100644 --- a/tests/indicators/m-r/Pmo/Pmo.Tests.cs +++ b/tests/indicators/m-r/Pmo/Pmo.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -26,12 +26,12 @@ public void Standard() // sample values PmoResult r1 = results[92]; - Assert.AreEqual(0.6159m, Math.Round((decimal)r1.Pmo, 4)); - Assert.AreEqual(0.5582m, Math.Round((decimal)r1.Signal, 4)); + Assert.AreEqual(0.6159, Math.Round((double)r1.Pmo, 4)); + Assert.AreEqual(0.5582, Math.Round((double)r1.Signal, 4)); PmoResult r2 = results[501]; - Assert.AreEqual(-2.7016m, Math.Round((decimal)r2.Pmo, 4)); - Assert.AreEqual(-2.3117m, Math.Round((decimal)r2.Signal, 4)); + Assert.AreEqual(-2.7016, Math.Round((double)r2.Pmo, 4)); + Assert.AreEqual(-2.3117, Math.Round((double)r2.Signal, 4)); } [TestMethod] @@ -52,8 +52,8 @@ public void Removed() Assert.AreEqual(502 - (35 + 20 + 250), results.Count); PmoResult last = results.LastOrDefault(); - Assert.AreEqual(-2.7016m, Math.Round((decimal)last.Pmo, 4)); - Assert.AreEqual(-2.3117m, Math.Round((decimal)last.Signal, 4)); + Assert.AreEqual(-2.7016, Math.Round((double)last.Pmo, 4)); + Assert.AreEqual(-2.3117, Math.Round((double)last.Signal, 4)); } [TestMethod] diff --git a/tests/indicators/m-r/Prs/Prs.Tests.cs b/tests/indicators/m-r/Prs/Prs.Tests.cs index aadebd820..0bfd89af9 100644 --- a/tests/indicators/m-r/Prs/Prs.Tests.cs +++ b/tests/indicators/m-r/Prs/Prs.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -30,19 +30,19 @@ public void Standard() // sample values PrsResult r1 = results[8]; - Assert.AreEqual(1.108340m, Math.Round((decimal)r1.Prs, 6)); + Assert.AreEqual(1.108340, Math.Round((double)r1.Prs, 6)); Assert.AreEqual(null, r1.PrsSma); Assert.AreEqual(null, r1.PrsPercent); PrsResult r2 = results[249]; - Assert.AreEqual(1.222373m, Math.Round((decimal)r2.Prs, 6)); - Assert.AreEqual(1.275808m, Math.Round((decimal)r2.PrsSma, 6)); - Assert.AreEqual(-0.023089m, Math.Round((decimal)r2.PrsPercent, 6)); + Assert.AreEqual(1.222373, Math.Round((double)r2.Prs, 6)); + Assert.AreEqual(1.275808, Math.Round((double)r2.PrsSma, 6)); + Assert.AreEqual(-0.023089, Math.Round((double)r2.PrsPercent, 6)); PrsResult r3 = results[501]; - Assert.AreEqual(1.356817m, Math.Round((decimal)r3.Prs, 6)); - Assert.AreEqual(1.343445m, Math.Round((decimal)r3.PrsSma, 6)); - Assert.AreEqual(0.037082m, Math.Round((decimal)r3.PrsPercent, 6)); + Assert.AreEqual(1.356817, Math.Round((double)r3.Prs, 6)); + Assert.AreEqual(1.343445, Math.Round((double)r3.PrsSma, 6)); + Assert.AreEqual(0.037082, Math.Round((double)r3.PrsPercent, 6)); } [TestMethod] diff --git a/tests/indicators/m-r/Roc/Roc.Tests.cs b/tests/indicators/m-r/Roc/Roc.Tests.cs index b68f79fb3..4a6276ebd 100644 --- a/tests/indicators/m-r/Roc/Roc.Tests.cs +++ b/tests/indicators/m-r/Roc/Roc.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -25,11 +25,11 @@ public void Standard() // sample values RocResult r1 = results[249]; - Assert.AreEqual(2.4827m, Math.Round((decimal)r1.Roc, 4)); + Assert.AreEqual(2.4827, Math.Round((double)r1.Roc, 4)); Assert.AreEqual(null, r1.RocSma); RocResult r2 = results[501]; - Assert.AreEqual(-8.2482m, Math.Round((decimal)r2.Roc, 4)); + Assert.AreEqual(-8.2482, Math.Round((double)r2.Roc, 4)); Assert.AreEqual(null, r2.RocSma); } @@ -52,12 +52,12 @@ public void WithSma() // sample values RocResult r1 = results[29]; - Assert.AreEqual(3.2936m, Math.Round((decimal)r1.Roc, 4)); - Assert.AreEqual(2.1558m, Math.Round((decimal)r1.RocSma, 4)); + Assert.AreEqual(3.2936, Math.Round((double)r1.Roc, 4)); + Assert.AreEqual(2.1558, Math.Round((double)r1.RocSma, 4)); RocResult r2 = results[501]; - Assert.AreEqual(-8.2482m, Math.Round((decimal)r2.Roc, 4)); - Assert.AreEqual(-8.4828m, Math.Round((decimal)r2.RocSma, 4)); + Assert.AreEqual(-8.2482, Math.Round((double)r2.Roc, 4)); + Assert.AreEqual(-8.4828, Math.Round((double)r2.RocSma, 4)); } [TestMethod] @@ -78,7 +78,7 @@ public void Removed() Assert.AreEqual(502 - 20, results.Count); RocResult last = results.LastOrDefault(); - Assert.AreEqual(-8.2482m, Math.Round((decimal)last.Roc, 4)); + Assert.AreEqual(-8.2482, Math.Round((double)last.Roc, 4)); Assert.AreEqual(null, last.RocSma); } diff --git a/tests/indicators/m-r/Roc/RocWb.Tests.cs b/tests/indicators/m-r/Roc/RocWb.Tests.cs index 92a28d2d9..bfe697909 100644 --- a/tests/indicators/m-r/Roc/RocWb.Tests.cs +++ b/tests/indicators/m-r/Roc/RocWb.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -33,46 +33,46 @@ public void Standard() Assert.IsNull(r19.LowerBand); RocWbResult r20 = results[20]; - Assert.AreEqual(1.0573m, Math.Round(r20.Roc.Value, 4)); + Assert.AreEqual(1.0573, Math.Round(r20.Roc.Value, 4)); Assert.IsNull(r20.RocEma); Assert.IsNull(r20.UpperBand); Assert.IsNull(r20.LowerBand); RocWbResult r22 = results[22]; - Assert.AreEqual(0.9617m, Math.Round(r22.RocEma.Value, 4)); + Assert.AreEqual(0.9617, Math.Round(r22.RocEma.Value, 4)); Assert.IsNull(r22.UpperBand); Assert.IsNull(r22.LowerBand); RocWbResult r23 = results[23]; - Assert.AreEqual(0.8582m, Math.Round(r23.RocEma.Value, 4)); + Assert.AreEqual(0.8582, Math.Round(r23.RocEma.Value, 4)); Assert.IsNull(r23.UpperBand); Assert.IsNull(r23.LowerBand); RocWbResult r38 = results[38]; - Assert.AreEqual(3.6872m, Math.Round(r38.RocEma.Value, 4)); + Assert.AreEqual(3.6872, Math.Round(r38.RocEma.Value, 4)); Assert.IsNull(r38.UpperBand); Assert.IsNull(r38.LowerBand); RocWbResult r39 = results[39]; - Assert.AreEqual(4.5348m, Math.Round(r39.RocEma.Value, 4)); - Assert.AreEqual(3.0359m, Math.Round(r39.UpperBand.Value, 4)); - Assert.AreEqual(-3.0359m, Math.Round(r39.LowerBand.Value, 4)); + Assert.AreEqual(4.5348, Math.Round(r39.RocEma.Value, 4)); + Assert.AreEqual(3.0359, Math.Round(r39.UpperBand.Value, 4)); + Assert.AreEqual(-3.0359, Math.Round(r39.LowerBand.Value, 4)); RocWbResult r49 = results[49]; - Assert.AreEqual(2.3147m, Math.Round(r49.RocEma.Value, 4)); - Assert.AreEqual(3.6761m, Math.Round(r49.UpperBand.Value, 4)); + Assert.AreEqual(2.3147, Math.Round(r49.RocEma.Value, 4)); + Assert.AreEqual(3.6761, Math.Round(r49.UpperBand.Value, 4)); RocWbResult r149 = results[149]; - Assert.AreEqual(1.7377m, Math.Round(r149.UpperBand.Value, 4)); + Assert.AreEqual(1.7377, Math.Round(r149.UpperBand.Value, 4)); RocWbResult r249 = results[249]; - Assert.AreEqual(3.0683m, Math.Round(r249.UpperBand.Value, 4)); + Assert.AreEqual(3.0683, Math.Round(r249.UpperBand.Value, 4)); RocWbResult r501 = results[501]; - Assert.AreEqual(-8.2482m, Math.Round(r501.Roc.Value, 4)); - Assert.AreEqual(-8.3390m, Math.Round(r501.RocEma.Value, 4)); - Assert.AreEqual(6.1294m, Math.Round(r501.UpperBand.Value, 4)); - Assert.AreEqual(-6.1294m, Math.Round(r501.LowerBand.Value, 4)); + Assert.AreEqual(-8.2482, Math.Round(r501.Roc.Value, 4)); + Assert.AreEqual(-8.3390, Math.Round(r501.RocEma.Value, 4)); + Assert.AreEqual(6.1294, Math.Round(r501.UpperBand.Value, 4)); + Assert.AreEqual(-6.1294, Math.Round(r501.LowerBand.Value, 4)); } [TestMethod] @@ -93,10 +93,10 @@ public void Removed() Assert.AreEqual(502 - (20 + 3 + 100), results.Count); RocWbResult last = results.LastOrDefault(); - Assert.AreEqual(-8.2482m, Math.Round(last.Roc.Value, 4)); - Assert.AreEqual(-8.3390m, Math.Round(last.RocEma.Value, 4)); - Assert.AreEqual(6.1294m, Math.Round(last.UpperBand.Value, 4)); - Assert.AreEqual(-6.1294m, Math.Round(last.LowerBand.Value, 4)); + Assert.AreEqual(-8.2482, Math.Round(last.Roc.Value, 4)); + Assert.AreEqual(-8.3390, Math.Round(last.RocEma.Value, 4)); + Assert.AreEqual(6.1294, Math.Round(last.UpperBand.Value, 4)); + Assert.AreEqual(-6.1294, Math.Round(last.LowerBand.Value, 4)); } [TestMethod] diff --git a/tests/indicators/m-r/Rsi/Rsi.Tests.cs b/tests/indicators/m-r/Rsi/Rsi.Tests.cs index 81ad5e374..466b0d6af 100644 --- a/tests/indicators/m-r/Rsi/Rsi.Tests.cs +++ b/tests/indicators/m-r/Rsi/Rsi.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -27,13 +27,13 @@ public void Standard() Assert.AreEqual(null, r1.Rsi); RsiResult r2 = results[14]; - Assert.AreEqual(62.0541m, Math.Round((decimal)r2.Rsi, 4)); + Assert.AreEqual(62.0541, Math.Round((double)r2.Rsi, 4)); RsiResult r3 = results[249]; - Assert.AreEqual(70.9368m, Math.Round((decimal)r3.Rsi, 4)); + Assert.AreEqual(70.9368, Math.Round((double)r3.Rsi, 4)); RsiResult r4 = results[501]; - Assert.AreEqual(42.0773m, Math.Round((decimal)r4.Rsi, 4)); + Assert.AreEqual(42.0773, Math.Round((double)r4.Rsi, 4)); } [TestMethod] @@ -52,10 +52,25 @@ public void SmallLookback() // sample values RsiResult r1 = results[28]; - Assert.AreEqual(100m, Math.Round((decimal)r1.Rsi, 4)); + Assert.AreEqual(100, r1.Rsi); RsiResult r2 = results[52]; - Assert.AreEqual(0m, Math.Round((decimal)r2.Rsi, 4)); + Assert.AreEqual(0, r2.Rsi); + } + + [TestMethod] + public void CrytoData() + { + IEnumerable btc = TestData.GetBitcoin(); + IEnumerable r = btc.GetRsi(1); + Assert.AreEqual(1246, r.Count()); + } + + [TestMethod] + public void BadData() + { + IEnumerable r = badQuotes.GetRsi(20); + Assert.AreEqual(502, r.Count()); } [TestMethod] @@ -79,13 +94,6 @@ public void ConvertToQuotes() Assert.AreEqual(42.0773m, Math.Round(last.Close, 4)); } - [TestMethod] - public void BadData() - { - IEnumerable r = Indicator.GetRsi(badQuotes, 20); - Assert.AreEqual(502, r.Count()); - } - [TestMethod] public void Removed() { @@ -97,7 +105,7 @@ public void Removed() Assert.AreEqual(502 - (10 * 14), results.Count); RsiResult last = results.LastOrDefault(); - Assert.AreEqual(42.0773m, Math.Round((decimal)last.Rsi, 4)); + Assert.AreEqual(42.0773, Math.Round((double)last.Rsi, 4)); } [TestMethod] diff --git a/tests/indicators/s-z/Slope/Slope.Tests.cs b/tests/indicators/s-z/Slope/Slope.Tests.cs index bc638d761..6092fc7a0 100644 --- a/tests/indicators/s-z/Slope/Slope.Tests.cs +++ b/tests/indicators/s-z/Slope/Slope.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -26,34 +26,41 @@ public void Standard() // sample values SlopeResult r1 = results[249]; - Assert.AreEqual(0.312406m, Math.Round((decimal)r1.Slope, 6)); - Assert.AreEqual(180.4164m, Math.Round((decimal)r1.Intercept, 4)); - Assert.AreEqual(0.8056m, Math.Round((decimal)r1.RSquared, 4)); - Assert.AreEqual(2.0071m, Math.Round((decimal)r1.StdDev, 4)); + Assert.AreEqual(0.312406, Math.Round((double)r1.Slope, 6)); + Assert.AreEqual(180.4164, Math.Round((double)r1.Intercept, 4)); + Assert.AreEqual(0.8056, Math.Round((double)r1.RSquared, 4)); + Assert.AreEqual(2.0071, Math.Round((double)r1.StdDev, 4)); Assert.AreEqual(null, r1.Line); SlopeResult r2 = results[482]; - Assert.AreEqual(-0.337015m, Math.Round((decimal)r2.Slope, 6)); - Assert.AreEqual(425.1111m, Math.Round((decimal)r2.Intercept, 4)); - Assert.AreEqual(0.1730m, Math.Round((decimal)r2.RSquared, 4)); - Assert.AreEqual(4.6719m, Math.Round((decimal)r2.StdDev, 4)); + Assert.AreEqual(-0.337015, Math.Round((double)r2.Slope, 6)); + Assert.AreEqual(425.1111, Math.Round((double)r2.Intercept, 4)); + Assert.AreEqual(0.1730, Math.Round((double)r2.RSquared, 4)); + Assert.AreEqual(4.6719, Math.Round((double)r2.StdDev, 4)); Assert.AreEqual(267.9069m, Math.Round((decimal)r2.Line, 4)); SlopeResult r3 = results[501]; - Assert.AreEqual(-1.689143m, Math.Round((decimal)r3.Slope, 6)); - Assert.AreEqual(1083.7629m, Math.Round((decimal)r3.Intercept, 4)); - Assert.AreEqual(0.7955m, Math.Round((decimal)r3.RSquared, 4)); - Assert.AreEqual(10.9202m, Math.Round((decimal)r3.StdDev, 4)); + Assert.AreEqual(-1.689143, Math.Round((double)r3.Slope, 6)); + Assert.AreEqual(1083.7629, Math.Round((double)r3.Intercept, 4)); + Assert.AreEqual(0.7955, Math.Round((double)r3.RSquared, 4)); + Assert.AreEqual(10.9202, Math.Round((double)r3.StdDev, 4)); Assert.AreEqual(235.8131m, Math.Round((decimal)r3.Line, 4)); } [TestMethod] public void BadData() { - IEnumerable r = Indicator.GetSlope(badQuotes, 15); + IEnumerable r = badQuotes.GetSlope(15); Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = bigQuotes.GetSlope(250); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -65,10 +72,10 @@ public void Removed() Assert.AreEqual(502 - 19, results.Count); SlopeResult last = results.LastOrDefault(); - Assert.AreEqual(-1.689143m, Math.Round((decimal)last.Slope, 6)); - Assert.AreEqual(1083.7629m, Math.Round((decimal)last.Intercept, 4)); - Assert.AreEqual(0.7955m, Math.Round((decimal)last.RSquared, 4)); - Assert.AreEqual(10.9202m, Math.Round((decimal)last.StdDev, 4)); + Assert.AreEqual(-1.689143, Math.Round((double)last.Slope, 6)); + Assert.AreEqual(1083.7629, Math.Round((double)last.Intercept, 4)); + Assert.AreEqual(0.7955, Math.Round((double)last.RSquared, 4)); + Assert.AreEqual(10.9202, Math.Round((double)last.StdDev, 4)); Assert.AreEqual(235.8131m, Math.Round((decimal)last.Line, 4)); } diff --git a/tests/indicators/s-z/Sma/SmaExtended.Tests.cs b/tests/indicators/s-z/Sma/SmaExtended.Tests.cs index 0dbe13741..292d57b49 100644 --- a/tests/indicators/s-z/Sma/SmaExtended.Tests.cs +++ b/tests/indicators/s-z/Sma/SmaExtended.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -26,9 +26,9 @@ public void Extended() // sample value SmaExtendedResult r = results[501]; Assert.AreEqual(251.86m, r.Sma); - Assert.AreEqual(9.45m, r.Mad); - Assert.AreEqual(119.2510m, Math.Round((decimal)r.Mse, 4)); - Assert.AreEqual(0.037637m, Math.Round((decimal)r.Mape, 6)); + Assert.AreEqual(9.450000, Math.Round((double)r.Mad, 6)); + Assert.AreEqual(119.25102, Math.Round((double)r.Mse, 6)); + Assert.AreEqual(0.037637, Math.Round((double)r.Mape, 6)); } [TestMethod] diff --git a/tests/indicators/s-z/StdDev/StdDev.Tests.cs b/tests/indicators/s-z/StdDev/StdDev.Tests.cs index a39972367..65c951264 100644 --- a/tests/indicators/s-z/StdDev/StdDev.Tests.cs +++ b/tests/indicators/s-z/StdDev/StdDev.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -32,21 +32,21 @@ public void Standard() Assert.AreEqual(null, r1.StdDevSma); StdDevResult r2 = results[9]; - Assert.AreEqual(0.5020m, Math.Round((decimal)r2.StdDev, 4)); - Assert.AreEqual(214.0140m, Math.Round((decimal)r2.Mean, 4)); - Assert.AreEqual(-0.525917m, Math.Round((decimal)r2.ZScore, 6)); + Assert.AreEqual(0.5020, Math.Round((double)r2.StdDev, 4)); + Assert.AreEqual(214.0140, Math.Round((double)r2.Mean, 4)); + Assert.AreEqual(-0.525917, Math.Round((double)r2.ZScore, 6)); Assert.AreEqual(null, r2.StdDevSma); StdDevResult r3 = results[249]; - Assert.AreEqual(0.9827m, Math.Round((decimal)r3.StdDev, 4)); - Assert.AreEqual(257.2200m, Math.Round((decimal)r3.Mean, 4)); - Assert.AreEqual(0.783563m, Math.Round((decimal)r3.ZScore, 6)); + Assert.AreEqual(0.9827, Math.Round((double)r3.StdDev, 4)); + Assert.AreEqual(257.2200, Math.Round((double)r3.Mean, 4)); + Assert.AreEqual(0.783563, Math.Round((double)r3.ZScore, 6)); Assert.AreEqual(null, r3.StdDevSma); StdDevResult r4 = results[501]; - Assert.AreEqual(5.4738m, Math.Round((decimal)r4.StdDev, 4)); - Assert.AreEqual(242.4100m, Math.Round((decimal)r4.Mean, 4)); - Assert.AreEqual(0.524312m, Math.Round((decimal)r4.ZScore, 6)); + Assert.AreEqual(5.4738, Math.Round((double)r4.StdDev, 4)); + Assert.AreEqual(242.4100, Math.Round((double)r4.Mean, 4)); + Assert.AreEqual(0.524312, Math.Round((double)r4.ZScore, 6)); Assert.AreEqual(null, r4.StdDevSma); } @@ -68,23 +68,30 @@ public void GetStdDevWithSma() // sample values StdDevResult r1 = results[19]; - Assert.AreEqual(1.1642m, Math.Round((decimal)r1.StdDev, 4)); - Assert.AreEqual(-0.065282m, Math.Round((decimal)r1.ZScore, 6)); - Assert.AreEqual(1.1422m, Math.Round((decimal)r1.StdDevSma, 4)); + Assert.AreEqual(1.1642, Math.Round((double)r1.StdDev, 4)); + Assert.AreEqual(-0.065282, Math.Round((double)r1.ZScore, 6)); + Assert.AreEqual(1.1422, Math.Round((double)r1.StdDevSma, 4)); StdDevResult r2 = results[501]; - Assert.AreEqual(5.4738m, Math.Round((decimal)r2.StdDev, 4)); - Assert.AreEqual(0.524312m, Math.Round((decimal)r2.ZScore, 6)); - Assert.AreEqual(7.6886m, Math.Round((decimal)r2.StdDevSma, 4)); + Assert.AreEqual(5.4738, Math.Round((double)r2.StdDev, 4)); + Assert.AreEqual(0.524312, Math.Round((double)r2.ZScore, 6)); + Assert.AreEqual(7.6886, Math.Round((double)r2.StdDevSma, 4)); } [TestMethod] public void BadData() { - IEnumerable r = Indicator.GetStdDev(badQuotes, 15, 3); + IEnumerable r = badQuotes.GetStdDev(15, 3); Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = bigQuotes.GetStdDev(200, 3); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -96,9 +103,9 @@ public void Removed() Assert.AreEqual(502 - 9, results.Count); StdDevResult last = results.LastOrDefault(); - Assert.AreEqual(5.4738m, Math.Round((decimal)last.StdDev, 4)); - Assert.AreEqual(242.4100m, Math.Round((decimal)last.Mean, 4)); - Assert.AreEqual(0.524312m, Math.Round((decimal)last.ZScore, 6)); + Assert.AreEqual(5.4738, Math.Round((double)last.StdDev, 4)); + Assert.AreEqual(242.4100, Math.Round((double)last.Mean, 4)); + Assert.AreEqual(0.524312, Math.Round((double)last.ZScore, 6)); Assert.AreEqual(null, last.StdDevSma); } diff --git a/tests/indicators/s-z/StdDevChannels/StdDevChannels.Tests.cs b/tests/indicators/s-z/StdDevChannels/StdDevChannels.Tests.cs index 7b6bcfd48..fd2698e8c 100644 --- a/tests/indicators/s-z/StdDevChannels/StdDevChannels.Tests.cs +++ b/tests/indicators/s-z/StdDevChannels/StdDevChannels.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -14,7 +14,7 @@ public class StdDevChannels : TestBase public void Standard() { int lookbackPeriods = 20; - decimal standardDeviations = 2; + double standardDeviations = 2; List results = quotes.GetStdDevChannels(lookbackPeriods, standardDeviations) @@ -121,7 +121,7 @@ public void BadData() public void Removed() { int lookbackPeriods = 20; - decimal standardDeviations = 2; + double standardDeviations = 2; List results = quotes.GetStdDevChannels(lookbackPeriods, standardDeviations) diff --git a/tests/indicators/s-z/SuperTrend/SuperTrend.Tests.cs b/tests/indicators/s-z/SuperTrend/SuperTrend.Tests.cs index a53722168..95585dcae 100644 --- a/tests/indicators/s-z/SuperTrend/SuperTrend.Tests.cs +++ b/tests/indicators/s-z/SuperTrend/SuperTrend.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -14,7 +14,7 @@ public class SuperTrend : TestBase public void Standard() { int lookbackPeriods = 14; - decimal multiplier = 3; + double multiplier = 3; List results = quotes.GetSuperTrend(lookbackPeriods, multiplier) .ToList(); @@ -81,7 +81,7 @@ public void BadData() public void Removed() { int lookbackPeriods = 14; - decimal multiplier = 3; + double multiplier = 3; List results = quotes.GetSuperTrend(lookbackPeriods, multiplier) diff --git a/tests/indicators/s-z/Tsi/Tsi.Tests.cs b/tests/indicators/s-z/Tsi/Tsi.Tests.cs index cc0aed205..24f51944e 100644 --- a/tests/indicators/s-z/Tsi/Tsi.Tests.cs +++ b/tests/indicators/s-z/Tsi/Tsi.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -26,28 +26,28 @@ public void Standard() // sample values TsiResult r2 = results[37]; - Assert.AreEqual(53.1204m, Math.Round((decimal)r2.Tsi, 4)); + Assert.AreEqual(53.1204, Math.Round((double)r2.Tsi, 4)); Assert.AreEqual(null, r2.Signal); TsiResult r3a = results[43]; - Assert.AreEqual(46.0960m, Math.Round((decimal)r3a.Tsi, 4)); - Assert.AreEqual(51.6916m, Math.Round((decimal)r3a.Signal, 4)); + Assert.AreEqual(46.0960, Math.Round((double)r3a.Tsi, 4)); + Assert.AreEqual(51.6916, Math.Round((double)r3a.Signal, 4)); TsiResult r3b = results[44]; - Assert.AreEqual(42.5121m, Math.Round((decimal)r3b.Tsi, 4)); - Assert.AreEqual(49.3967m, Math.Round((decimal)r3b.Signal, 4)); + Assert.AreEqual(42.5121, Math.Round((double)r3b.Tsi, 4)); + Assert.AreEqual(49.3967, Math.Round((double)r3b.Signal, 4)); TsiResult r4 = results[149]; - Assert.AreEqual(29.0936m, Math.Round((decimal)r4.Tsi, 4)); - Assert.AreEqual(28.0134m, Math.Round((decimal)r4.Signal, 4)); + Assert.AreEqual(29.0936, Math.Round((double)r4.Tsi, 4)); + Assert.AreEqual(28.0134, Math.Round((double)r4.Signal, 4)); TsiResult r5 = results[249]; - Assert.AreEqual(41.9232m, Math.Round((decimal)r5.Tsi, 4)); - Assert.AreEqual(42.4063m, Math.Round((decimal)r5.Signal, 4)); + Assert.AreEqual(41.9232, Math.Round((double)r5.Tsi, 4)); + Assert.AreEqual(42.4063, Math.Round((double)r5.Signal, 4)); TsiResult r6 = results[501]; - Assert.AreEqual(-28.3513m, Math.Round((decimal)r6.Tsi, 4)); - Assert.AreEqual(-29.3597m, Math.Round((decimal)r6.Signal, 4)); + Assert.AreEqual(-28.3513, Math.Round((double)r6.Tsi, 4)); + Assert.AreEqual(-29.3597, Math.Round((double)r6.Signal, 4)); } [TestMethod] @@ -57,6 +57,13 @@ public void BadData() Assert.AreEqual(502, r.Count()); } + [TestMethod] + public void BigData() + { + IEnumerable r = Indicator.GetTsi(bigQuotes); + Assert.AreEqual(1246, r.Count()); + } + [TestMethod] public void Removed() { @@ -68,8 +75,8 @@ public void Removed() Assert.AreEqual(502 - (25 + 13 + 250), results.Count); TsiResult last = results.LastOrDefault(); - Assert.AreEqual(-28.3513m, Math.Round((decimal)last.Tsi, 4)); - Assert.AreEqual(-29.3597m, Math.Round((decimal)last.Signal, 4)); + Assert.AreEqual(-28.3513, Math.Round((double)last.Tsi, 4)); + Assert.AreEqual(-29.3597, Math.Round((double)last.Signal, 4)); } [TestMethod] diff --git a/tests/indicators/s-z/UlcerIndex/UlcerIndex.Tests.cs b/tests/indicators/s-z/UlcerIndex/UlcerIndex.Tests.cs index 4d03d2b22..e9b55cb0a 100644 --- a/tests/indicators/s-z/UlcerIndex/UlcerIndex.Tests.cs +++ b/tests/indicators/s-z/UlcerIndex/UlcerIndex.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -25,7 +25,7 @@ public void Standard() // sample value UlcerIndexResult r = results[501]; - Assert.AreEqual(5.7255m, Math.Round((decimal)r.UI, 4)); + Assert.AreEqual(5.7255, Math.Round((double)r.UI, 4)); } [TestMethod] @@ -46,7 +46,7 @@ public void Removed() Assert.AreEqual(502 - 13, results.Count); UlcerIndexResult last = results.LastOrDefault(); - Assert.AreEqual(5.7255m, Math.Round((decimal)last.UI, 4)); + Assert.AreEqual(5.7255, Math.Round((double)last.UI, 4)); } diff --git a/tests/indicators/s-z/Vortex/Vortex.Tests.cs b/tests/indicators/s-z/Vortex/Vortex.Tests.cs index 8c2b4e75b..f2bfd6393 100644 --- a/tests/indicators/s-z/Vortex/Vortex.Tests.cs +++ b/tests/indicators/s-z/Vortex/Vortex.Tests.cs @@ -1,4 +1,4 @@ -using System; +using System; using System.Collections.Generic; using System.Linq; using Microsoft.VisualStudio.TestTools.UnitTesting; @@ -28,20 +28,20 @@ public void Standard() Assert.IsNull(r1.Nvi); VortexResult r2 = results[14]; - Assert.AreEqual(1.0460m, Math.Round((decimal)r2.Pvi, 4)); - Assert.AreEqual(0.8119m, Math.Round((decimal)r2.Nvi, 4)); + Assert.AreEqual(1.0460, Math.Round((double)r2.Pvi, 4)); + Assert.AreEqual(0.8119, Math.Round((double)r2.Nvi, 4)); VortexResult r3 = results[29]; - Assert.AreEqual(1.1300m, Math.Round((decimal)r3.Pvi, 4)); - Assert.AreEqual(0.7393m, Math.Round((decimal)r3.Nvi, 4)); + Assert.AreEqual(1.1300, Math.Round((double)r3.Pvi, 4)); + Assert.AreEqual(0.7393, Math.Round((double)r3.Nvi, 4)); VortexResult r4 = results[249]; - Assert.AreEqual(1.1558m, Math.Round((decimal)r4.Pvi, 4)); - Assert.AreEqual(0.6634m, Math.Round((decimal)r4.Nvi, 4)); + Assert.AreEqual(1.1558, Math.Round((double)r4.Pvi, 4)); + Assert.AreEqual(0.6634, Math.Round((double)r4.Nvi, 4)); VortexResult r5 = results[501]; - Assert.AreEqual(0.8712m, Math.Round((decimal)r5.Pvi, 4)); - Assert.AreEqual(1.1163m, Math.Round((decimal)r5.Nvi, 4)); + Assert.AreEqual(0.8712, Math.Round((double)r5.Pvi, 4)); + Assert.AreEqual(1.1163, Math.Round((double)r5.Nvi, 4)); } [TestMethod] @@ -62,8 +62,8 @@ public void Removed() Assert.AreEqual(502 - 14, results.Count); VortexResult last = results.LastOrDefault(); - Assert.AreEqual(0.8712m, Math.Round((decimal)last.Pvi, 4)); - Assert.AreEqual(1.1163m, Math.Round((decimal)last.Nvi, 4)); + Assert.AreEqual(0.8712, Math.Round((double)last.Pvi, 4)); + Assert.AreEqual(1.1163, Math.Round((double)last.Nvi, 4)); } [TestMethod] diff --git a/tests/performance/Perf.Indicators.cs b/tests/performance/Perf.Indicators.cs index e5d3af2f3..efba46a1c 100644 --- a/tests/performance/Perf.Indicators.cs +++ b/tests/performance/Perf.Indicators.cs @@ -390,6 +390,12 @@ public object GetRocWithSma() return h.GetRoc(20, 14); } + [Benchmark] + public object GetRollingPivots() + { + return h.GetRollingPivots(14, 1); + } + [Benchmark] public object GetRsi() { @@ -546,6 +552,12 @@ public object GetVwap() return h.GetVwap(); } + [Benchmark] + public object GetVwma() + { + return h.GetVwma(14); + } + [Benchmark] public object GetWilliamsR() {

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