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QuickStart Samples

Variable Transformations QuickStart Sample (Visual Basic)

Illustrates how to perform a range of transformations on statistical data in Visual Basic.

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Option Infer On

Imports System.Data
Imports System.Data.OleDb

Imports Extreme.DataAnalysis
Imports Extreme.Mathematics
Imports Extreme.Statistics
Imports Extreme.Statistics.TimeSeriesAnalysis

Namespace Extreme.Numerics.QuickStart.VB
    ' Illustrates various kinds of transformations of numerical variables
    ' by showing how to compute several financial indicators.
    Module VariableTransforms

        Sub Main()
            ' We use a TimeSeriesCollection to load the data.
            Dim seriesTable As DataTable = LoadTimeSeriesData()
            Dim timeSeries = DataFrame.FromDataTable(Of DateTime)(seriesTable, "date")

            Dim open = timeSeries("Open").As(Of Double)
            Dim close = timeSeries("Close").As(Of Double)
            Dim high = timeSeries("High").As(Of Double)
            Dim low = timeSeries("Low").As(Of Double)
            Dim volume = timeSeries("Volume").As(Of 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:
            Dim TP = (high + low + close) / 3.0

            ' Exponentiation is available through the ElementwisePow method,
            ' with special cases for square roots and reciprocals:
            Dim inverseVolume = volume.Reciprocal

            ' Simple transformations

            ' The Transforms property of a numerical variable gives access
            ' to a large number of transformations.

            ' The GetLag method returns a variable whose observations 
            ' are moved ahead by the specified amount:
            Dim close1 = close.Lag(1)
            ' You can get cumulative sums and products:
            Dim 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.
            Dim closeChange = close.Change(10)

            ' You can extrapolate the change to a longer number of periods.
            ' The additional argument is the number of large periods.
            Dim monthyChange = close.ExtrapolatedChange(10, 20)

            ' Moving averages

            ' You can get simple, exponential, and weighted moving averages.
            Dim MA20 = close.MovingAverage(20)

            ' Weighted moving averages can use either a fixed array or vector
            ' to specify the weight. The weights are automatically normalized.
            Dim weights As Double() = {1.0, 2.0, 3.0}
            Dim 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:
            Dim 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.
            Dim 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:
            Dim AD = Vector.ElementwiseMultiply(
                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.
            Dim 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:
            Dim 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.
            Dim SD20 = TP.MovingStandardDeviation(20, TPMA20)
            Dim BOLU = MA20 + 2 * SD20
            Dim 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.
            Dim change = close.Change(1)
            Dim RSI = change.PositiveToNegativeIndex(14, change)

            ' Finally, let's print some of our results:
            Dim index As Integer = timeSeries.RowIndex.Lookup(New DateTime(2002, 9, 17))
            Console.WriteLine("Data for September 17, 2002:")
            Console.WriteLine("Acumulation 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.WriteLine("Press Enter key to continue.")
        End Sub

        Private Function LoadTimeSeriesData() As DataTable
            Dim filename As String = "..\..\..\Data\MicrosoftStock.xls"
            Dim connectionString As String = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" + filename + ";Extended Properties=""Excel 8.0;HDR=Yes;IMEX=1"""
            Dim cnn As OleDbConnection = Nothing
            Dim ds As DataSet = New DataSet
                cnn = New OleDbConnection(connectionString)
                Dim adapter As OleDbDataAdapter = New OleDbDataAdapter("Select * from [MicrosoftStock$]", cnn)
            Catch ex As OleDbException

                If Not (cnn Is Nothing) Then
                End If
            end try
            Return ds.Tables(0)
        End Function

    End Module

End Namespace