update Stochastic RSI with more parameters (#68)

* update Stochastic Oscillator unit tests and history requirements
* disuse float due to rounding errors in several indicators
* update Stochastic RSI to use more parameters

GUIDE.md

@@ -43,7 +43,7 @@ Historical quotes should be of consistent time frequency (e.g. per minute, hour,
 | `Close` | decimal | Close price
 | `Volume` | long | Volume
 
-There is also a public read-only `Index` property in this class that is set internally, so **do not try to set the Index value**.  We set this `Index` property to `public` visibility in case you want to use it in your own wrapper code.  See [Cleaning History](#cleaning-history)) section below if you want to pre-clean the history and get `Index` values in your `IEnumerable<Quote> history` data (optional).  You can also derive and extend classes (optional), see the [Using Derived Classes](#using-derived-classes) section below.
+There is also a public read-only `Index` property in this class that is set internally, so **do not try to set the Index value**.  We set this `Index` property to `public` visibility in case you want to use it in your own wrapper code.  See [Cleaning History](#cleaning-history) section below if you want to pre-clean the history and get `Index` values in your `IEnumerable<Quote> history` data (optional).  You can also derive and extend classes (optional), see the [Using Derived Classes](#using-derived-classes) section below.
 
 ## Cleaning history
 

Indicators/ConnorsRsi/ConnorsRsi.Models.cs

@@ -3,14 +3,14 @@
 
     public class ConnorsRsiResult : ResultBase
     {
-        public float? RsiClose { get; set; }
-        public float? RsiStreak { get; set; }
-        public float? PercentRank { get; set; }
-        public float? ConnorsRsi { get; set; }
+        public decimal? RsiClose { get; set; }
+        public decimal? RsiStreak { get; set; }
+        public decimal? PercentRank { get; set; }
+        public decimal? ConnorsRsi { get; set; }
 
         // internal use only
-        internal float? Streak { get; set; }
-        internal float? PeriodGain { get; set; }
+        internal decimal? Streak { get; set; }
+        internal decimal? PeriodGain { get; set; }
     }
 
 }

Indicators/ConnorsRsi/ConnorsRsi.cs

@@ -23,7 +23,7 @@ public static IEnumerable<ConnorsRsiResult> GetConnorsRsi(
             int startPeriod = Math.Max(rsiPeriod, Math.Max(streakPeriod, rankPeriod)) + 2;
 
             decimal? lastClose = null;
-            float streak = 0;
+            decimal streak = 0;
 
             // compose interim results
             foreach (BasicData h in bd)
@@ -74,14 +74,14 @@ public static IEnumerable<ConnorsRsiResult> GetConnorsRsi(
                 result.Streak = streak;
 
                 // percentile rank
-                result.PeriodGain = (float)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
+                result.PeriodGain = (decimal)((lastClose <= 0) ? null : (h.Value - lastClose) / lastClose);
 
                 if (h.Index > rankPeriod)
                 {
                     IEnumerable<ConnorsRsiResult> period = results
                         .Where(x => x.Index >= (h.Index - rankPeriod) && x.Index < h.Index);
 
-                    result.PercentRank = (float)100 * period
+                    result.PercentRank = (decimal)100 * period
                         .Where(x => x.PeriodGain < result.PeriodGain).Count() / rankPeriod;
                 }
 

Indicators/ConnorsRsi/README.md

@@ -35,10 +35,10 @@ The first `N-1` periods will have `null` values since there's not enough data to
 | -- |-- |--
 | `Index` | int | Sequence of dates
 | `Date` | DateTime | Date
-| `RsiClose` | float | RSI(`R`) of the Close price.
-| `RsiStreak` | float | RSI(`S`) of the Streak.
-| `PercentRank` | float | Percentile rank of the period gain value.
-| `ConnorsRsi` | float | ConnorsRSI
+| `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
 
 ## Example
 

Indicators/Indicators.csproj

@@ -28,10 +28,6 @@ Please contribute to help us get to v1.0.0.  Feedback appreciated.
   </PropertyGroup>
 
   <ItemGroup>
-    <PackageReference Include="GitVersionTask" Version="5.3.7">
-      <PrivateAssets>all</PrivateAssets>
-      <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
-    </PackageReference>
     <PackageReference Include="Microsoft.CodeAnalysis.FxCopAnalyzers" Version="3.0.0">
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>

Indicators/Rsi/README.md

@@ -30,7 +30,7 @@ The first `N-1` periods will have `null` values since there's not enough data to
 | -- |-- |--
 | `Index` | int | Sequence of dates
 | `Date` | DateTime | Date
-| `Rsi` | float | RSI over prior `N` lookback periods
+| `Rsi` | decimal | RSI over prior `N` lookback periods
 | `IsIncreasing` | bool | Direction since last period (e.g. up or down).  Persists for no change.
 
 ## Example

Indicators/Rsi/Rsi.Models.cs

@@ -3,12 +3,12 @@
 
     public class RsiResult : ResultBase
     {
-        public float? Rsi { get; set; }
+        public decimal? Rsi { get; set; }
         public bool? IsIncreasing { get; set; }
 
         // internal use only
-        internal float Gain { get; set; } = 0;
-        internal float Loss { get; set; } = 0;
+        internal decimal Gain { get; set; } = 0;
+        internal decimal Loss { get; set; } = 0;
     }
 
 }

Indicators/Rsi/Rsi.cs

@@ -38,31 +38,34 @@ private static IEnumerable<RsiResult> CalcRsi(IEnumerable<BasicData> basicData,
                 {
                     Index = (int)h.Index,
                     Date = h.Date,
-                    Gain = (lastValue < h.Value) ? (float)(h.Value - lastValue) : 0,
-                    Loss = (lastValue > h.Value) ? (float)(lastValue - h.Value) : 0
+                    Gain = (h.Value > lastValue) ? h.Value - lastValue : 0,
+                    Loss = (h.Value < lastValue) ? lastValue - h.Value : 0
                 };
                 results.Add(result);
 
                 lastValue = h.Value;
             }
 
             // initialize average gain
-            float avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
-            float avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
+            decimal avgGain = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Gain).Average();
+            decimal avgLoss = results.Where(x => x.Index <= lookbackPeriod).Select(g => g.Loss).Average();
 
-            // initial RSI for trend analysis
-            float lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
+            // initial first record
+            decimal lastRSI = (avgLoss > 0) ? 100 - (100 / (1 + (avgGain / avgLoss))) : 100;
             bool? lastIsIncreasing = null;
 
+            RsiResult first = results.Where(x => x.Index == lookbackPeriod + 1).FirstOrDefault();
+            first.Rsi = lastRSI;
+
             // calculate RSI
-            foreach (RsiResult r in results.Where(x => x.Index >= lookbackPeriod).OrderBy(d => d.Index))
+            foreach (RsiResult r in results.Where(x => x.Index > (lookbackPeriod + 1)).OrderBy(d => d.Index))
             {
                 avgGain = (avgGain * (lookbackPeriod - 1) + r.Gain) / lookbackPeriod;
                 avgLoss = (avgLoss * (lookbackPeriod - 1) + r.Loss) / lookbackPeriod;
 
                 if (avgLoss > 0)
                 {
-                    float rs = avgGain / avgLoss;
+                    decimal rs = avgGain / avgLoss;
                     r.Rsi = 100 - (100 / (1 + rs));
                 }
                 else
@@ -84,7 +87,7 @@ private static IEnumerable<RsiResult> CalcRsi(IEnumerable<BasicData> basicData,
                     r.IsIncreasing = lastIsIncreasing;
                 }
 
-                lastRSI = (float)r.Rsi;
+                lastRSI = (decimal)r.Rsi;
                 lastIsIncreasing = r.IsIncreasing;
             }
 

Indicators/Stochastic/README.md

@@ -12,27 +12,27 @@ IEnumerable<StochResult> results = Indicator.GetStoch(history, lookbackPeriod, s
 
 | name | type | notes
 | -- |-- |--
-| `history` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least `N` periods of `history`.
+| `history` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least `N+S` periods of `history`.
 | `lookbackPeriod` | int | Lookback period (`N`) for the oscillator (%K).  Must be greater than 0.  Default is 14.
 | `signalPeriod` | int | Lookback period for the signal (%D).  Must be greater than 0.  Default is 3.
-| `smoothingPeriod` | int | Smoothes the Oscillator (%K).  "Slow" stochastic uses 3, "Fast" stochastic uses 1.  You can specify as needed here.  Must be greater than or equal to 1.  Default is 3.
+| `smoothingPeriod` | int | Smoothing period `S` for the Oscillator (%K).  "Slow" stochastic uses 3, "Fast" stochastic uses 1.  You can specify as needed here.  Must be greater than or equal to 1.  Default is 3.
 
 ## Response
 
 ```csharp
 IEnumerable<StochResult>
 ```
 
-The first `N-1` periods will have `null` Oscillator values since there's not enough data to calculate.  We always return the same number of elements as there are in the historical quotes.
+The first `N+S-1` periods will have `null` Oscillator values since there's not enough data to calculate.  We always return the same number of elements as there are in the historical quotes.
 
 ### StochResult
 
 | name | type | notes
 | -- |-- |--
 | `Index` | int | Sequence of dates
 | `Date` | DateTime | Date
-| `Oscillator` | float | %K Oscillator over prior `N` lookback periods
-| `Signal` | float | %D Simple moving average of Oscillator
+| `Oscillator` | decimal | %K Oscillator over prior `N` lookback periods
+| `Signal` | decimal | %D Simple moving average of Oscillator
 | `IsIncreasing` | bool | Direction since last period (e.g. up or down).  Persists for no change.
 
 ## Example

Indicators/Stochastic/Stoch.Models.cs

@@ -3,12 +3,12 @@
 
     public class StochResult : ResultBase
     {
-        public float? Oscillator { get; set; }
-        public float? Signal { get; set; }
+        public decimal? Oscillator { get; set; }
+        public decimal? Signal { get; set; }
         public bool? IsIncreasing { get; set; }
 
         // internal use only
-        internal float? Smooth { get; set; }
+        internal decimal? Smooth { get; set; }
     }
 
 }

Indicators/Stochastic/Stoch.cs

@@ -40,7 +40,7 @@ public static IEnumerable<StochResult> GetStoch(IEnumerable<Quote> history, int
 
                     if (lowLow != highHigh)
                     {
-                        result.Oscillator = 100 * (float)((h.Close - lowLow) / (highHigh - lowLow));
+                        result.Oscillator = 100 * ((h.Close - lowLow) / (highHigh - lowLow));
                     }
                     else
                     {
@@ -58,17 +58,23 @@ public static IEnumerable<StochResult> GetStoch(IEnumerable<Quote> history, int
             }
 
 
-            // new signal and trend info
-            float lastOsc = 0;
+            // signal and period direction info
+            decimal? lastOsc = null;
             bool? lastIsIncreasing = null;
             foreach (StochResult r in results
-                .Where(x => x.Index >= (lookbackPeriod + signalPeriod + smoothPeriod) && x.Oscillator != null))
+                .Where(x => x.Index >= (lookbackPeriod + smoothPeriod - 1))
+                .OrderBy(x => x.Index))
             {
-                r.Signal = results.Where(x => x.Index > (r.Index - signalPeriod) && x.Index <= r.Index)
-                                 .Select(v => v.Oscillator)
-                                 .Average();
+                // add signal
+                if (r.Index >= lookbackPeriod + smoothPeriod + signalPeriod - 2)
+                {
+                    r.Signal = results.Where(x => x.Index > (r.Index - signalPeriod) && x.Index <= r.Index)
+                                     .Select(v => v.Oscillator)
+                                     .Average();
+                }
 
-                if (r.Index >= (lookbackPeriod + signalPeriod + smoothPeriod) + 1)
+                // add direction
+                if (lastOsc != null)
                 {
                     if (r.Oscillator > lastOsc)
                     {
@@ -85,7 +91,7 @@ public static IEnumerable<StochResult> GetStoch(IEnumerable<Quote> history, int
                     }
                 }
 
-                lastOsc = (float)r.Oscillator;
+                lastOsc = (decimal)r.Oscillator;
                 lastIsIncreasing = r.IsIncreasing;
             }
 
@@ -97,7 +103,7 @@ private static List<StochResult> SmoothOscillator(List<StochResult> results, int
         {
 
             // temporarily store interim smoothed oscillator
-            foreach (StochResult r in results.Where(x => x.Index >= (lookbackPeriod + smoothPeriod)))
+            foreach (StochResult r in results.Where(x => x.Index >= (lookbackPeriod + smoothPeriod - 1)))
             {
                 r.Smooth = results.Where(x => x.Index > (r.Index - smoothPeriod) && x.Index <= r.Index)
                                  .Select(v => v.Oscillator)
@@ -109,7 +115,7 @@ private static List<StochResult> SmoothOscillator(List<StochResult> results, int
             {
                 if (r.Smooth != null)
                 {
-                    r.Oscillator = (float)r.Smooth;
+                    r.Oscillator = (decimal)r.Smooth;
                 }
                 else
                 {
@@ -142,7 +148,7 @@ private static void ValidateStoch(IEnumerable<Quote> history, int lookbackPeriod
 
             // check history
             int qtyHistory = history.Count();
-            int minHistory = lookbackPeriod;
+            int minHistory = lookbackPeriod + smoothPeriod;
             if (qtyHistory < minHistory)
             {
                 throw new BadHistoryException("Insufficient history provided for Stochastic.  " +

Indicators/StochasticRsi/README.md

@@ -6,31 +6,37 @@ It is different from, and often confused with the more traditional [Stochastic O
 
 ```csharp
 // usage
-IEnumerable<StochRsiResult> results = Indicator.GetStochRsi(history, lookbackPeriod);  
+IEnumerable<StochRsiResult> results = Indicator.GetStochRsi(history, rsiPeriod, stochPeriod, signalPeriod, smoothPeriod);
 ```
 
 ## Parameters
 
 | name | type | notes
 | -- |-- |--
-| `history` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least 2×`N` periods of `history`.  Since this uses a smoothing technique in the underlying RSI value, we recommend you use at least 250 data points prior to the intended usage date for maximum precision.
-| `lookbackPeriod` | int | Number of periods (`N`) in the lookback period.  Must be greater than 0.  Default is 14.
+| `history` | IEnumerable\<[Quote](/GUIDE.md#Quote)\> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).  You must supply at least `R+S` periods of `history`.  Since this uses a smoothing technique in the underlying RSI value, we recommend you use at least 250 data points prior to the intended usage date for maximum precision.
+| `rsiPeriod` | int | Number of periods (`R`) in the lookback period.  Must be greater than 0.  Standard is 14.
+| `stochPeriod` | int | Number of periods (`S`) in the lookback period.  Must be greater than 0.  Typically the same value as `rsiPeriod`.
+| `signalPeriod` | int | Number of periods (`G`) in the signal line (SMA of the StochRSI).  Must be greater than 0.  Typically 3-5.
+| `smoothPeriod` | int | Smoothing periods (`M`) for the Stochastic.  Must be greater than 0.  Default is 1 (Fast variant).
+
+The original Stochasic RSI formula uses a the Fast variant of the Stochastic calculation (`smoothPeriod=1`).  For a standard period of 14, the original formula would be `GetStochRSI(history,14,14,3,1)`; though, the "3" here is just for the Signal, which is not present in the original formula, but useful for additional smoothing of the Stochastic RSI.
 
 ## Response
 
 ```csharp
 IEnumerable<StochRsiResult>
 ```
 
-The first `2×N-1` periods will have `null` values since there's not enough data to calculate.  We always return the same number of elements as there are in the historical quotes.
+The first `R+S-1` periods will have `null` values for `StochRsi` since there's not enough data to calculate.  We always return the same number of elements as there are in the historical quotes.
 
 ### StochRsiResult
 
 | name | type | notes
 | -- |-- |--
 | `Index` | int | Sequence of dates
 | `Date` | DateTime | Date
-| `StochRsi` | float | StochRSI over prior `N` lookback periods
+| `StochRsi` | decimal | %K Oscillator = Stochastic RSI = Stoch(`S`,`G`,`M`) of RSI(`R`) of Close price
+| `Signal` | decimal | %D Signal Line = Simple moving average of %K based on `G` periods
 | `IsIncreasing` | bool | Direction since last period (e.g. up or down).  Persists for no change.
 
 ## Example
@@ -40,7 +46,7 @@ The first `2×N-1` periods will have `null` values since there's not enough data
 IEnumerable<Quote> history = GetHistoryFromFeed("SPY");
 
 // calculate StochRSI(14)
-IEnumerable<StochRsiResult> results = Indicator.GetStochRsi(history,14);
+IEnumerable<StochRsiResult> results = Indicator.GetStochRsi(history,14,14,1,1);
 
 // use results as needed
 DateTime evalDate = DateTime.Parse("12/31/2018");

Indicators/StochasticRsi/StochRsi.Models.cs

@@ -3,7 +3,8 @@
 
     public class StochRsiResult : ResultBase
     {
-        public float? StochRsi { get; set; }
+        public decimal? StochRsi { get; set; }
+        public decimal? Signal { get; set; }
         public bool? IsIncreasing { get; set; }
     }