Class IndicatorsMarket

Collection of market indicators.

Inheritance
object
IndicatorsMarket
Inherited Members
object.Equals(object)
object.Equals(object, object)
object.GetHashCode()
object.GetType()
object.MemberwiseClone()
object.ReferenceEquals(object, object)
object.ToString()
Namespace: TuringTrader.Indicators
Assembly: TuringTrader.Simulator.dll
Syntax
public static class IndicatorsMarket

Methods

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Benchmark(IEnumerable<Instrument>, CacheId, string, int)

Calculate equally-weighted market benchmark.

Declaration
public static ITimeSeries<double> Benchmark(this IEnumerable<Instrument> market, CacheId parentId = null, string memberName = "", int lineNumber = 0)
Parameters
Type Name Description
System.Collections.Generic.IEnumerable<T><Instrument> market

enumerable of instruments making up market
CacheId parentId

caller cache id, optional
string memberName

caller's member name, optional
int lineNumber

caller line number, optional
Returns
Type Description
ITimeSeries<double>

benchmark time series
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CAPM(Instrument, Instrument, int, CacheId, string, int)

Calculate Capital Asset Pricing Model parameters. http://en.wikipedia.org/wiki/Capital_asset_pricing_model This indicator uses an exponentially-weighted, incremental method of calculation, based on Tony Finch, which is very fast and efficient. ///

Declaration
public static IndicatorsMarket._CAPM CAPM(this Instrument series, Instrument benchmark, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)
Parameters
Type Name Description
Instrument series

input instrument
Instrument benchmark

benchmark time series
int n

length of observation window
CacheId parentId

caller cache id, optional
string memberName

caller's member name, optional
int lineNumber

caller line number, optional
Returns
Type Description
IndicatorsMarket._CAPM

container w/ CAPM parameters
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CAPM(ITimeSeries<double>, ITimeSeries<double>, int, CacheId, string, int)

Calculate Capital Asset Pricing Model parameters. http://en.wikipedia.org/wiki/Capital_asset_pricing_model This indicator uses an exponentially-weighted, incremental method of calculation, based on Tony Finch, which is very fast and efficient. ///

Declaration
public static IndicatorsMarket._CAPM CAPM(this ITimeSeries<double> series, ITimeSeries<double> benchmark, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)
Parameters
Type Name Description
ITimeSeries<double> series

input time series
ITimeSeries<double> benchmark

benchmark time series
int n

length of observation window
CacheId parentId

caller cache id, optional
string memberName

caller's member name, optional
int lineNumber

caller line number, optional
Returns
Type Description
IndicatorsMarket._CAPM

container w/ CAPM parameters