Financial: ATR indicator minor cleanup

src/Numerics/Financial/Bar.cs

@@ -1,19 +1,44 @@
-using System;
+// <copyright file="Bar.cs" company="Math.NET">
-using System.Collections.Generic;
+// Math.NET Numerics, part of the Math.NET Project
-using System.Linq;
+// http://numerics.mathdotnet.com
-using System.Text;
+// http://github.com/mathnet/mathnet-numerics
+// http://mathnetnumerics.codeplex.com
+//
+// Copyright (c) 2009-2015 Math.NET
+//
+// Permission is hereby granted, free of charge, to any person
+// obtaining a copy of this software and associated documentation
+// files (the "Software"), to deal in the Software without
+// restriction, including without limitation the rights to use,
+// copy, modify, merge, publish, distribute, sublicense, and/or sell
+// copies of the Software, and to permit persons to whom the
+// Software is furnished to do so, subject to the following
+// conditions:
+//
+// The above copyright notice and this permission notice shall be
+// included in all copies or substantial portions of the Software.
+//
+// THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+// EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES
+// OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+// NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT
+// HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
+// WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+// FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
+// OTHER DEALINGS IN THE SOFTWARE.
+// </copyright>
 
 namespace MathNet.Numerics.Financial
 {
     /// <summary>
-    /// Repressentation of a stock bar 
+    /// Representation of a stock bar
     /// </summary>
     public struct Bar
     {
-        private readonly double _high;
+        readonly double _high;
-        private readonly double _low;
+        readonly double _low;
-        private readonly double _open;
+        readonly double _open;
-        private readonly double _close;
+        readonly double _close;
 
         /// <summary>
         /// High of the bar
@@ -46,14 +71,12 @@ namespace MathNet.Numerics.Financial
         {
             get { return _close; }
         }
-        /// <summary>
+
-        /// ctor
-        /// </summary>
         /// <param name="high"> High of the bar</param>
         /// <param name="low"> Low of the bar</param>
         /// <param name="open"> Open of the bar</param>
         /// <param name="close"> Close of the bar</param>
-        public Bar(double high,double low,double open,double close)
+        public Bar(double high, double low, double open, double close)
         {
             _high = high;
             _low = low;

src/Numerics/Financial/Indicators.cs

@@ -27,10 +27,10 @@
 // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
 // OTHER DEALINGS IN THE SOFTWARE.
 // </copyright>
+
 using System;
 using System.Collections.Generic;
 using System.Linq;
-using System.Text;
 using MathNet.Numerics.Statistics;
 
 namespace MathNet.Numerics.Financial
@@ -41,29 +41,27 @@ namespace MathNet.Numerics.Financial
     public static class Indicators
     {
         /// <summary>
-        /// Evaluates the sample mean over a moving window, for each samples.
+        /// Calculate the Simple Moving Average (SMA).
-        /// Returns NaN if no data is empty or if any entry is NaN.
         /// </summary>
-        /// <param name="samples">The sample stream to calculate the mean of.</param>
+        /// <param name="samples">Input samples</param>
-        /// <param name="period">The number of last samples to consider.</param>
+        /// <param name="period">Period of calculation</param>
-        /// <returns>The SMA for samples</returns>
         public static IEnumerable<double> SMA(this IEnumerable<double> samples, int period)
         {
             return samples.MovingAverage(period);
         }
+
         /// <summary>
-        /// Calculate the Average True Range (ATR)
+        /// Calculate the Average True Range (ATR).
         /// </summary>
         /// <param name="samples">Input samples</param>
         /// <param name="period">Period of calculation</param>
-        /// <returns></returns>
         public static IEnumerable<double> ATR(this IEnumerable<Bar> samples, int period)
         {
-            if (period<=0)
+            if (period <= 0)
-                throw new ArgumentException("period should be greater than 0","period");
+                throw new ArgumentException("period should be greater than 0", "period");
-            if(samples==null)
+            if (samples == null)
                 throw new ArgumentNullException("samples", "samples should not be null");
-            if (period > (samples.Count() +1))
+            if (period > (samples.Count()))
                 throw new ArgumentException("samples", "samples should be greater than period");
 
             var trList = new List<double>();
@@ -77,11 +75,11 @@ namespace MathNet.Numerics.Financial
             {
                 var currentBar = enumerator.Current;
 
-                var hl = Math.Round(currentBar.High - currentBar.Low,10);
+                var hl = Math.Round(currentBar.High - currentBar.Low, 10);
                 hl = Math.Abs(hl);
-                var pdch = Math.Round(lastBar.Close - currentBar.High,10);
+                var pdch = Math.Round(lastBar.Close - currentBar.High, 10);
                 pdch = Math.Abs(pdch);
-                var pdcl = Math.Round(lastBar.Close - currentBar.Low,10);
+                var pdcl = Math.Round(lastBar.Close - currentBar.Low, 10);
                 pdcl = Math.Abs(pdcl);
                 double tr = Math.Max(hl, Math.Max(pdch, pdcl));
 
@@ -98,7 +96,7 @@ namespace MathNet.Numerics.Financial
             //remove first tr, this is not valid
             trList.RemoveAt(0);
 
-            while (trList.Count>=period)
+            while (trList.Count >= period)
             {
                 var mean = trList.Take(period).Mean();
                 var meanRounded = Math.Round(mean, 2);
@@ -108,6 +106,5 @@ namespace MathNet.Numerics.Financial
 
             return atrList;
         }
-
     }
 }

src/UnitTests/FinancialTests/IndicatorsTests.cs

@@ -27,12 +27,10 @@
 // FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR
 // OTHER DEALINGS IN THE SOFTWARE.
 // </copyright>
+
 using System;
 using System.Collections.Generic;
-using System.Diagnostics;
 using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
 using MathNet.Numerics.Financial;
 using NUnit.Framework;
 
@@ -57,7 +55,7 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
             var expectedValueAtBar20 = 132.33;
             var actual = atr.ElementAt(20);
             Assert.AreEqual(expectedValueAtBar20, actual);
-     
+
         }
 
         [Test]
@@ -79,12 +77,11 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
             Assert.That(() => inputBars.ATR(period), Throws.Exception.TypeOf<ArgumentException>());
         }
 
-
         private IEnumerable<Bar> GenerateValidBars()
         {
             StockDataReader reader = new StockDataReader();
             var data = reader.ReadFile("./data/Finance/DaxHistoricalData.dat");
-           
+
             List<Bar> inputBars = new List<Bar>();
 
             foreach (var stockData in data)
@@ -95,5 +92,4 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
             return inputBars;
         }
     }
-
 }

src/UnitTests/FinancialTests/StockDataReader.cs

@@ -2,26 +2,26 @@
 using System.Collections.Generic;
 using System.Globalization;
 using System.IO;
-using System.Linq;
-using System.Text;
-using System.Threading.Tasks;
 
 namespace MathNet.Numerics.UnitTests.FinancialTests
 {
     /// <summary>
-    /// Class reads a file with stockdata
+    /// Class reads a file with stock data
     /// </summary>
     internal class StockDataReader
     {
         /// <summary>
-        /// Reads a file with stockquotes
+        /// Reads a file with stock quotes
         /// </summary>
         /// <param name="filePath">Path of the file</param>
-        /// <returns>Stockdata</returns>
+        /// <returns>StockData</returns>
         public IEnumerable<StockData> ReadFile(string filePath)
         {
             List<StockData> resultList = new List<StockData>();
 
+            var dateFormat = new CultureInfo("de-DE", false).DateTimeFormat;
+            var numberFormat = CultureInfo.InvariantCulture.NumberFormat;
+
             using (var reader = new StreamReader(filePath))
             {
                 var firstLine = reader.ReadLine();
@@ -40,13 +40,12 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
 
                     var stringValues = line.Split(';');
 
-                    //first Datetime:
+                    DateTime date = DateTime.Parse(stringValues[0], dateFormat);
-                    DateTime date = DateTime.Parse(stringValues[0]);
+                    double open = double.Parse(stringValues[1], numberFormat);
-                    double open = double.Parse(stringValues[1], CultureInfo.InvariantCulture);
+                    double high = double.Parse(stringValues[2], numberFormat);
-                    double high = double.Parse(stringValues[2], CultureInfo.InvariantCulture);
+                    double low = double.Parse(stringValues[3], numberFormat);
-                    double low = double.Parse(stringValues[3], CultureInfo.InvariantCulture);
+                    double close = double.Parse(stringValues[4], numberFormat);
-                    double close = double.Parse(stringValues[4], CultureInfo.InvariantCulture);
+                    int volume = int.Parse(stringValues[5], numberFormat);
-                    int volume = int.Parse(stringValues[5], CultureInfo.InvariantCulture);
 
                     StockData stockData = new StockData(date, open, close, high, low, volume);
                     resultList.Add(stockData);
@@ -57,13 +56,10 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
         }
     }
     /// <summary>
-    /// Entity class for holding stockdata
+    /// Entity class for holding stock data
     /// </summary>
     internal class StockData
     {
-        /// <summary>
-        /// Ctor
-        /// </summary>
         /// <param name="dateTime">Date</param>
         /// <param name="open">Open quote</param>
         /// <param name="close">Open quote</param>
@@ -104,7 +100,4 @@ namespace MathNet.Numerics.UnitTests.FinancialTests
         /// </summary>
         public int Volume { get; private set; }
     }
-
-
 }
-