Technical analysis examples

This topic contains the following sections:

Simple moving average
Exponential moving average
Bollinger bands
MACD
Linear and polynomial regression
Momentum oscilator
Two systems and EMAs chart

Following examples show how to use technical analysis (TA) functions.

TA functions work with time series. You can use any time series Series<DateTime,double> or Series<DateTime,decimal>, but we just use trading systems equity in these examples.

Used equity data include commission and subscription fees.

Simple moving average

Simple moving averages chart.

Simple moving averages

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Int64 systemId = ENTER_SOME_TRADING_SYSTEM_ID_HERE;

// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity);

// Moving averages
var ma10 = C2TALib.MA(equity, 10);
var ma30 = C2TALib.MA(equity, 30);

// Create a chart object
ITimeSeriesChart chart = new TimeSeriesChart();
chart.Name = "Simple moving averages example";

// Add equity to the chart
chart.Add(equity, "Equity", Color.Blue);

// Add simple moving averages to the chart
chart.Add(ma10, "MA(10)", Color.Red);
chart.Add(ma30, "MA(30)", Color.Green);

CHART = chart;

MA(10), MA(30)

Exponential moving average

Exponential moving averages chart.

Exponential moving averages

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Int64 systemId = ENTER_SOME_TRADING_SYSTEM_ID_HERE;

// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity);

// Moving averages
var ema10 = C2TALib.EMA(equity, 10);
var ema30 = C2TALib.EMA(equity, 30);

// Create a chart object
ITimeSeriesChart chart = new TimeSeriesChart();
chart.Name = "Exponential moving average example";

// Add equity to the chart
chart.Add(equity, "Equity", Color.Blue);

// Add exponential moving averages to the chart
chart.Add(ema10, "EMA(10)", Color.Red);
chart.Add(ema30, "EMA(30)", Color.Green);

CHART = chart;

EMA(10), EMA(30)

Bollinger bands

Bollinger bands chart.

Bollinger bands

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Int64 systemId = ENTER_SOME_TRADING_SYSTEM_ID_HERE;

// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity);

// Calculate Bollinger bands
var bbtop = C2TALib.BBandTop(equity, 15, 2.0);
var bbbot = C2TALib.BBandBot(equity, 15, 2.0);

// Create a chart object
ITimeSeriesChart chart = new TimeSeriesChart();
chart.Name = "Bollinger bands example";

// Add equity to the chart
chart.Add(equity, "Equity", Color.Blue);

// Add upper BBand 
chart.Add(bbtop, "BBTop", Color.Red);

// Add lower BBand 
chart.Add(bbbot, "BBBot", Color.Red);

CHART = chart;

BollingerBands(15, 2.0)

MACD

MACD chart.

MACD

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Int64 systemId = ENTER_SOME_TRADING_SYSTEM_ID_HERE;

// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity).AsDoubles();

// macdResults is a tuple of <macd,signal,histogram> series
var macdResults = C2TALib.MACD(equity);

// Create a chart object
ITimeSeriesChart chart = new TimeSeriesChart();
chart.Name = "MACD example";

// Add MACD
chart.Add(macdResults.Item1, "MACD", Color.Red);

// Add Signal
chart.Add(macdResults.Item2, "Signal", Color.Blue);

// Add equity divided by 10 to have it in the same chart
chart.Add(equity / 10, "Equity", Color.Green);

CHART = chart;

MACD

Linear and polynomial regression

Linear trend line and a polynomial regression of the 4th order.

MACD

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// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity);

// Linear regression line 
var linearRegLine = C2TALib.LinearRegLine(equity);

// Polynomial regression line 
var polynomialRegLine = C2TALib.PolynomialReg(equity, 4);

// Create a chart object
ITimeSeriesChart timeSeriesChart = new TimeSeriesChart();
timeSeriesChart.Name = "Linear and polynomial regression";

timeSeriesChart.Add(equity, "Equity", Color.Blue);
timeSeriesChart.Add(linearRegLine, "Trend line", Color.Red);
timeSeriesChart.Add(polynomialRegLine, "PolynomialReg", Color.Green);

CHART = timeSeriesChart;

H5 = "Tabular data";

var eq_lin_zip = from z in equity.Zip(linearRegLine).Observations
                 select new
                 {
                     Date = z.Key,
                     Equity = z.Value.Item1.Value,
                     Linear = Math.Round(z.Value.Item2.Value, 0)
                 };
TABLE = eq_lin_zip;

var eq_poly_zip = from z in equity.Zip(polynomialRegLine).Observations
                  select new
                  {
                      Date = z.Key,
                      Equity = z.Value.Item1.Value,
                      Polynomial = Math.Round(z.Value.Item2.Value, 0)
                  };
TABLE = eq_poly_zip;

Regression

Momentum oscilator

Momentum oscilator chart. Equity divided by 10 and placed to the same chart.

Systems and EMAs

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Int64 systemId = ENTER_SOME_TRADING_SYSTEM_ID_HERE;

// Daily equity data with commissions and fees
ITimeSheet timeSheet = TimeSheetFactory(systemId, TimeInterval.Day);

// Let TimeSheet run
timeSheet.EquitiesSheet();

// Extract equity data. 
var equity = timeSheet.GetColumn(systemId, EquityType.Equity).AsDoubles();

// Momentum oscilator
var momentum = C2TALib.MOM(equity, 20);

// Create a chart object
ITimeSeriesChart chart = new TimeSeriesChart();
chart.Name = "Momentum example";

// Add equity (divided by 10) to the same chart
chart.Add(equity / 10, "Equity/10", Color.Blue);

// Add momentum to the chart
chart.Add(momentum, "MOM(20)", Color.Green);

CHART = chart;

Momentum oscilator

Two systems and EMAs chart

This example shows how to add two systems and their EMAs to the chart.

Systems and EMAs

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// Systems we want to see in the chart
Int64[] systemsIds = { 102387110, 102196708 };

// Create a chart object
ITimeSeriesChart timeSeriesChart = new TimeSeriesChart();
timeSeriesChart.Name = "Systems and EMAs example";

foreach (var id in systemsIds)
{
    var system = GetC2SYSTEM(id);

    // Daily equity data with commissions and fees
    ITimeSheet timeSheet = TimeSheetFactory(id, TimeInterval.Day);

    // Let TimeSheet run
    timeSheet.EquitiesSheet();

    // Extract equity data. 
    var equity = timeSheet.GetColumn(id, EquityType.Equity);

    // Add equity to the chart
    timeSeriesChart.Add(equity, system.Name, Color.Green);

    // Add equity EMA(15) to the chart
    timeSeriesChart.Add(C2TALib.EMA(equity, 15), system.Name + " (EMA)", Color.Red);
}

CHART = timeSeriesChart;

Two systems and their EMAs