myTrades.Analytics

A .NET library for technical analysis

myTrades.Analytics is an open source .NET library targeting netstandard1.6. The library provides technical analysis for financial instruments. It is written in F#, but can be consumed from any .NET compatible programming language.

API Overview

Every indicator gets one of these types as a paramter:

• seq<Quote> (If it needs a Value and a Date for the calculation)
• seq<OHCLWithDate> (If it needs a date and one of the OHCL Values for calculation)

And returns:

• seq<Quote> which contains the date and the value for the indicator

Currently implemented indicators:

• Simple Moving Avg
• RSI
• William's %R
• Ultimate Oscillator (wip)

These are the types passed and returnd to/from the functions:

type Quote = { Value: decimal; Date: System.DateTime }     
type OHCL = { Open: decimal; High: decimal; Close: decimal; Low: decimal } 
type OHCLWithDate = { OHCL: OHCL; Date: System.DateTime }

Calculate SMA

open System 
open MyTrades.Analytics 
open MovingAverage 
 
[<EntryPoint>] 
let main argv = 
        let prices = [ {Value = 3m  ; Date =new DateTime(2015, 03, 1)}; 
                       {Value = 4m  ; Date =new DateTime(2015, 03, 2)}; 
                       {Value = 5m  ; Date =new DateTime(2015, 03, 3)}; 
                       {Value = 6m  ; Date =new DateTime(2015, 03, 4)}; 
                       {Value = 7m  ; Date =new DateTime(2015, 03, 5)}; 
                       {Value = 6m  ; Date =new DateTime(2015, 03, 6)}; 
                       {Value = 5m  ; Date =new DateTime(2015, 03, 7)}; 
                       {Value = 9m  ; Date =new DateTime(2015, 03, 8)} ]; 
 
        let smas = SimpleMovingAverage prices 5

Calculate RSI

open System 
open MyTrades.Analytics 
open Rsi 
 
[<EntryPoint>] 
let main argv = 
        let prices  = …//populate prices seq<Quote> 
        let rsi = Rsi.Rsi prices 14; 

Calculate William %R

open System 
open MyTrades.Analytics 
open WilliamsPR 
 
[<EntryPoint>] 
let main argv = 
        let prices  = …//populate prices seq<Quote> 
        let williams = WilliamsPR prices 14

Backtesting

The point of technical analysis is to give buy and sell signals. The back-testing functions in myTrades.Analytics basically looks for buy and sell signals and calculate the return of the transactions created based on the signals on the input data, which is typically a historical data for a given stock.

The return type of every back-testing function is:

type BacktestingResult = { Transactions: seq<TransactionQuote>; ResultInPercent: double } 

where TransactionQuote is:

type TransactionQuote = 
    | Buy of Quote 
    | Sell of Quote * double

Meaning the ResultInPercent stores the overall gain or loss and the the second item of the tuple in the TransactionQuote in Sell case stores the result of every sell transaction.

Backtesting RSI

open System  
open MyTrades.Analytics 
open MyTrades.Analytics.TestData 
 
[<EntryPoint>] 
let main argv = 
    let prices = GetBmwQuotes //Get historical data  
    let rsiData = Rsi prices 14 
    let rsiBackTesingResult = BackTestRsiWithPrice rsiData (prices |> Seq.skip 14)

Similar there are back-testing methods for the other indicators with the same parameters and the same return type.

• BackTestMovingAverageWithPrice: Buys when SMA is in down trend and Price goes over it from below.
• BackTestWilliamsPr: Buys when Williams %R reaches -100 and after 5 days it is still below -85 and sells when it reaches 0 and after 5 days it is still above -15. (This is till WIP)
• BackTestRsiWithPrice: (as already discussed) buys when the RSI is below 30 and sells when it reaches 70

Repository structure

• myTrades.Analytics: The library itself.
• myTrades.Analytics.Test: Test code based on XUnit.
• myTrades.Analytics.Playground: This is a console application project in order to play with the library. During development it is very useful since currently there is no way to debug under CoreCLR with F# and XUnit cannot do printf output either (see xunit/xunit#718).