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

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
IEnumerable<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

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

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