Variable Transformations in C# QuickStart Sample
Illustrates how to perform a range of transformations on statistical data in C#.
View this sample in: Visual Basic F# IronPython
using System;
using Extreme.Data.Text;
using Extreme.Mathematics;
using Extreme.DataAnalysis;
namespace Extreme.Numerics.QuickStart.CSharp
{
/// <summary>
/// Illustrates various kinds of transformations of numerical variables
/// by showing how to compute several financial indicators.
/// </summary>
class VariableTransforms
{
static void Main(string[] args)
{
// The license is verified at runtime. We're using
// a demo license here. For more information, see
// https://numerics.net/trial-key
Extreme.License.Verify("Demo license");
// We load the data into a data frame with a DateTime row index:
var timeSeries = DelimitedTextFile.ReadDataFrame<DateTime>(
@"..\..\..\..\Data\MicrosoftStock.csv", "Date");
// The following are all equivalent ways of getting
// a strongly typed vector from a data frame:
var open = timeSeries["Open"].As<double>();
var close = timeSeries.GetColumn("Close");
var high = timeSeries.GetColumn<double>("High");
var low = (Vector<double>)timeSeries["Low"];
var volume = timeSeries["Volume"].As<double>();
//
// Arithmetic operations
//
// The NumericalVariable class defines the standard
// arithmetic operators. Operands can be either
// numerical variables or constants.
// The Typical Price (TP) is the average of the day's high, low and close:
var TP = (high + low + close) / 3;
// Exponentiation is available through the Power method:
var inverseVolume = Vector.ElementwisePow(volume, -1);
//
// Simple transformations
//
// By including the Extreme.Statistics namespace,
// we've enabled a number of extension methods
// on vectors that compute common transformations.
// The Lag method returns a variable whose observations
// are moved ahead by the specified amount:
var close1 = close.Lag(1);
// You can get cumulative sums and products:
var cumVolume = volume.CumulativeSum();
//
// Indicators of change
//
// You can get the absolute change, percent change,
// or (exponential) growth rate of a variable. The optional
// parameter is the number of periods to go back.
// The default is 1.
var closeChange = close.Change(10);
// You can extrapolate the change to a longer number of periods.
// The additional argument is the number of large periods.
var monthyChange = close.ExtrapolatedChange(10, 20);
//
// Moving averages
//
// You can get simple, exponential, and weighted moving averages.
var MA20 = close.MovingAverage(20);
// Weighted moving averages can use either a fixed array or vector
// to specify the weight. The weights are automatically normalized.
double[] weights = { 1.0, 2.0, 3.0 };
var WMA3 = close.WeightedMovingAverage(weights);
// You can also specify another variable for the weights.
// In this case, the corresponding observations are used.
// For example, to obtain the volume weighted average
// of the close price over a 14 day period, you can write:
var VWA14 = close.WeightedMovingAverage(14, volume);
// Other statistics, such as maximum, minimum and standard
// deviation are also available.
//
// Misc. transforms
//
// The Box-Cox transform is often used to reduce the effects
// of non-normality of a variable. It takes one parameter,
// which must be between 0 and 1.
var bcVolume = volume.BoxCoxTransform(0.4);
//
// Creating more complicated indicators
//
// All these transformations can be combined to create
// more complicated transformations. We give some examples
// of common Technical Analysis indicators.
// The Accumulation Distribution is a leading indicator of price movements.
// It is used in many other indicators.
// The formula uses only arithmetic operations:
var AD = Vector.ElementwiseMultiply(volume,
Vector.ElementwiseDivide(close - open, high - low));
// The Chaikin oscillator is used to monitor the flow of money into
// and out of a market. It is the difference between a 3 day and a 10 day
// moving average of the Accumulation Distribution.
// We use the GetExponentialMovingAverage method for this purpose.
var CO = AD.ExponentialMovingAverage(3) - AD.ExponentialMovingAverage(10);
// Bollinger bands provide an envelope around the price that indicates
// whether the current price level is relatively high or low.
// It uses a 20 day simple average as a central line:
var TPMA20 = TP.MovingAverage(20);
// The actual bands are at 2 standard deviations (over the same period)
// from the central line. We have to pass the moving average
// over the same period as the second parameter.
var SD20 = TP.MovingStandardDeviation(20, TPMA20);
var BOLU = MA20 + 2 * SD20;
var BOLD = MA20 - 2 * SD20;
// The Relative Strength Index is an index that compares
// the average price gain to the average loss.
// The GetPositiveToNegativeIndex method performs this
// calculation in one operation. The first argument is the period.
// The second argument is the variable that determines
// if an observation counts towards the plus or the minus side.
var change = close.Change(1);
var RSI = change.PositiveToNegativeIndex(14, change);
// Finally, let's print some of our results:
int index = timeSeries.RowIndex.Lookup(new DateTime(2002, 9, 17));
Console.WriteLine("Data for September 17, 2002:");
Console.WriteLine("Accumulation Distribution (in millions): {0:F2}",
AD[index] / 1000000);
Console.WriteLine("Chaikin Oscillator (in millions): {0:F2}",
CO[index] / 1000000);
Console.WriteLine("Bollinger Band (Upper): {0:F2}", BOLU[index]);
Console.WriteLine("Bollinger Band (Central): {0:F2}", TPMA20[index]);
Console.WriteLine("Bollinger Band (Lower): {0:F2}", BOLD[index]);
Console.WriteLine("Relative Strength Index: {0:F2}", RSI[index]);
Console.Write("Press any key to exit.");
Console.ReadLine();
}
}
}