Examples with ClosePriceIndicator org.ta4j.core.indicators.helpers.ClosePriceIndicator used on opensource projects

Example 31 with ClosePriceIndicator

use of org.ta4j.core.indicators.helpers.ClosePriceIndicator in project ta4j by ta4j.

the class RSIIndicatorTest method onlineExampleTest.

@Test
public void onlineExampleTest() throws Exception {
    // from http://cns.bu.edu/~gsc/CN710/fincast/Technical%20_indicators/Relative%20Strength%20Index%20(RSI).htm
    // which uses a different calculation of RSI than ta4j
    TimeSeries series = new MockTimeSeries(46.1250, 47.1250, 46.4375, 46.9375, 44.9375, 44.2500, 44.6250, 45.7500, 47.8125, 47.5625, 47.0000, 44.5625, 46.3125, 47.6875, 46.6875, 45.6875, 43.0625, 43.5625, 44.8750, 43.6875);
    // ta4j RSI uses MMA for average gain and loss
    // then uses simple division of the two for RS
    Indicator<Decimal> indicator = getIndicator(new ClosePriceIndicator(series), 14);
    Indicator<Decimal> close = new ClosePriceIndicator(series);
    Indicator<Decimal> gain = new GainIndicator(close);
    Indicator<Decimal> loss = new LossIndicator(close);
    // this site uses SMA for average gain and loss
    // then uses ratio of MMAs for RS (except for first calculation)
    Indicator<Decimal> avgGain = new SMAIndicator(gain, 14);
    Indicator<Decimal> avgLoss = new SMAIndicator(loss, 14);
    // first online calculation is simple division
    double onlineRs = avgGain.getValue(14).dividedBy(avgLoss.getValue(14)).doubleValue();
    assertEquals(0.5848, avgGain.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    assertEquals(0.5446, avgLoss.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    assertEquals(1.0738, onlineRs, TATestsUtils.TA_OFFSET);
    double onlineRsi = 100d - (100d / (1d + onlineRs));
    // difference in RSI values:
    assertEquals(51.779, onlineRsi, 0.001);
    assertEquals(52.1304, indicator.getValue(14).doubleValue(), TATestsUtils.TA_OFFSET);
    // strange, online average gain and loss is not a simple moving average!
    // but they only use them for the first RS calculation
    // assertEquals(0.5430, avgGain.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
    // assertEquals(0.5772, avgLoss.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
    // second online calculation uses MMAs
    // MMA of average gain
    double dividend = avgGain.getValue(14).multipliedBy(13d).plus(gain.getValue(15)).dividedBy(14d).doubleValue();
    // MMA of average loss
    double divisor = avgLoss.getValue(14).multipliedBy(13d).plus(loss.getValue(15)).dividedBy(14d).doubleValue();
    onlineRs = dividend / divisor;
    assertEquals(0.9409, onlineRs, TATestsUtils.TA_OFFSET);
    onlineRsi = 100d - (100d / (1d + onlineRs));
    // difference in RSI values:
    assertEquals(48.477, onlineRsi, 0.001);
    assertEquals(47.3710, indicator.getValue(15).doubleValue(), TATestsUtils.TA_OFFSET);
}

Example 32 with ClosePriceIndicator

use of org.ta4j.core.indicators.helpers.ClosePriceIndicator in project ta4j by ta4j.

the class WMAIndicatorTest method wmaWithTimeFrameGreaterThanSeriesSize.

@Test
public void wmaWithTimeFrameGreaterThanSeriesSize() {
    MockTimeSeries series = new MockTimeSeries(1d, 2d, 3d, 4d, 5d, 6d);
    Indicator<Decimal> close = new ClosePriceIndicator(series);
    Indicator<Decimal> wmaIndicator = new WMAIndicator(close, 55);
    assertDecimalEquals(wmaIndicator.getValue(0), 1);
    assertDecimalEquals(wmaIndicator.getValue(1), 1.6667);
    assertDecimalEquals(wmaIndicator.getValue(2), 2.3333);
    assertDecimalEquals(wmaIndicator.getValue(3), 3);
    assertDecimalEquals(wmaIndicator.getValue(4), 3.6666);
    assertDecimalEquals(wmaIndicator.getValue(5), 4.3333);
}

Example 33 with ClosePriceIndicator

use of org.ta4j.core.indicators.helpers.ClosePriceIndicator in project ta4j by ta4j.

the class WilliamsRIndicatorTest method williamsRUsingTimeFrame5UsingClosePrice.

@Test
public void williamsRUsingTimeFrame5UsingClosePrice() {
    WilliamsRIndicator wr = new WilliamsRIndicator(new ClosePriceIndicator(data), 5, new MaxPriceIndicator(data), new MinPriceIndicator(data));
    assertDecimalEquals(wr.getValue(4), -47.2222);
    assertDecimalEquals(wr.getValue(5), -54.5454);
    assertDecimalEquals(wr.getValue(6), -78.5714);
    assertDecimalEquals(wr.getValue(7), -47.6190);
    assertDecimalEquals(wr.getValue(8), -25d);
    assertDecimalEquals(wr.getValue(9), -5.2632);
    assertDecimalEquals(wr.getValue(10), -13.9535);
}

Example 34 with ClosePriceIndicator

use of org.ta4j.core.indicators.helpers.ClosePriceIndicator in project ta4j by ta4j.

the class ZLEMAIndicatorTest method ZLEMAUsingTimeFrame10UsingClosePrice.

@Test
public void ZLEMAUsingTimeFrame10UsingClosePrice() {
    ZLEMAIndicator zlema = new ZLEMAIndicator(new ClosePriceIndicator(data), 10);
    assertDecimalEquals(zlema.getValue(9), 11.9091);
    assertDecimalEquals(zlema.getValue(10), 8.8347);
    assertDecimalEquals(zlema.getValue(11), 5.7739);
}

Example 35 with ClosePriceIndicator

use of org.ta4j.core.indicators.helpers.ClosePriceIndicator in project ta4j by ta4j.

the class ZLEMAIndicatorTest method smallTimeFrame.

@Test
public void smallTimeFrame() {
    ZLEMAIndicator zlema = new ZLEMAIndicator(new ClosePriceIndicator(data), 1);
    assertDecimalEquals(zlema.getValue(0), "10");
}