Table of Contents

Class TimeSeriesExtensions

Namespace
Balsam
Assembly
Balsam.Backtester.dll

A static utility class that provides common indicator extensions to TimeSeries.

public static class TimeSeriesExtensions
Inheritance
TimeSeriesExtensions
Inherited Members

Methods

AddDays(TimeSeries, double, bool)

Adds the specified number of days to each date in the series. A negative number of days subtracts.

public static TimeSeries AddDays(this TimeSeries series, double days, bool businessDays = false)

Parameters

series TimeSeries
days double
businessDays bool

Returns

TimeSeries

AddMonths(TimeSeries, int)

Adds the specified number of months to each date in the series. A negative number of days subtracts.

public static TimeSeries AddMonths(this TimeSeries series, int months)

Parameters

series TimeSeries
months int

Returns

TimeSeries

Avg(TimeSeries)

Returns the average of the specified TimeSeries, starting after MaxBarsBack.

public static double Avg(this TimeSeries series)

Parameters

series TimeSeries

Returns

double

ConvertDatesToFirstOfMonth(TimeSeries)

Converts monthly dats to ahve a day of the 1st.

public static TimeSeries ConvertDatesToFirstOfMonth(this TimeSeries series)

Parameters

series TimeSeries

Returns

TimeSeries

Exceptions

InvalidOperationException

ConvertDatesToMidMonth(TimeSeries)

Converts monthly dates to have a day of the 15th.

public static TimeSeries ConvertDatesToMidMonth(this TimeSeries series)

Parameters

series TimeSeries

Returns

TimeSeries

ConvertDatesToMonthEnd(TimeSeries, bool)

Converts monthly dates to the last day of the month.

public static TimeSeries ConvertDatesToMonthEnd(this TimeSeries series, bool useBusinessDays = false)

Parameters

series TimeSeries
useBusinessDays bool

Set to true to use the last weekday in the month instead of the last calendar day.

Returns

TimeSeries

DataIntegrityReport(TimeSeries, int)

Prints to the Console statistics about trading gaps and other potential data integrity errors.

public static void DataIntegrityReport(this TimeSeries series, int gapsToReport = 5)

Parameters

series TimeSeries
gapsToReport int

Head(TimeSeries, int)

Returns the specified number of records starting from MaxBarsBack.

public static TimeSeries Head(this TimeSeries series, int records)

Parameters

series TimeSeries
records int

Returns

TimeSeries

Max(TimeSeries)

Returns the maximum value found in the specified TimeSeries starting after MaxBarsBack.

public static double Max(this TimeSeries series)

Parameters

series TimeSeries

Returns

double

Min(TimeSeries)

Returns the minimum value found in the specified TimeSeries starting after MaxBarsBack.

public static double Min(this TimeSeries series)

Parameters

series TimeSeries

Returns

double

Skew(TimeSeries)

Returns the skew, starting after MaxBarsBack.

public static double Skew(this TimeSeries series)

Parameters

series TimeSeries

Returns

double

StdDev(TimeSeries)

Returns the sample standard deviation, starting after MaxBarsBack.

public static double StdDev(this TimeSeries series)

Parameters

series TimeSeries

Returns

double

Tail(TimeSeries, int)

Returns the specified number of records starting from the end of the TimeSeries.

public static TimeSeries Tail(this TimeSeries series, int records)

Parameters

series TimeSeries
records int

Returns

TimeSeries

ToTimeSeries(ISeries, Func<object, double>)

Coverts an ISeries object to a TimeSeries using the specified function.

public static TimeSeries ToTimeSeries(this ISeries source, Func<object, double> value)

Parameters

source ISeries
value Func<object, double>

Returns

TimeSeries

ToTimeSeries(CircularBuffer<double>)

Converts a CircularBuffer of type double populated using dates to a TimeSeries.

public static TimeSeries ToTimeSeries(this CircularBuffer<double> buffer)

Parameters

buffer CircularBuffer<double>

Returns

TimeSeries

Exceptions

ArgumentNullException
InvalidOperationException

ToTimeSeriesCollection(IEnumerable<TimeSeries>)

Converts an enumerable to TimeSeries into a TimeSeriesCollection.

public static TimeSeriesCollection ToTimeSeriesCollection(this IEnumerable<TimeSeries> series)

Parameters

series IEnumerable<TimeSeries>

Returns

TimeSeriesCollection

ToTimeSeries<TSource>(IEnumerable<TSource>, Func<TSource, DateTime>, Func<TSource, double>)

Converts an enumerable to a TimeSeries using the specified delegate functions.

public static TimeSeries ToTimeSeries<TSource>(this IEnumerable<TSource> source, Func<TSource, DateTime> date, Func<TSource, double> value)

Parameters

source IEnumerable<TSource>
date Func<TSource, DateTime>
value Func<TSource, double>

Returns

TimeSeries

Type Parameters

TSource