chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class AverageTrueRangeTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            RenkoBarSize = 1m;
+            VolumeRenkoBarSize = 0.5m;
+            return new AverageTrueRange(14);
+        }
+
+        protected override string TestFileName => "spy_atr_wilder.txt";
+
+        protected override string TestColumnName => "Average True Range 14";
+
+        [Test]
+        public override void ComparesAgainstExternalData()
+        {
+            var atrSimple = new AverageTrueRange(14, MovingAverageType.Simple);
+            TestHelper.TestIndicator(atrSimple, "spy_atr.txt", "Average True Range 14");
+        }
+
+        [Test]
+        public override void ResetsProperly()
+        {
+            var atr = new AverageTrueRange(14, MovingAverageType.Simple);
+            atr.Update(new TradeBar
+            {
+                Time = DateTime.Today,
+                Open = 1m,
+                High = 3m,
+                Low = .5m,
+                Close = 2.75m,
+                Volume = 1234567890
+            });
+
+            atr.Reset();
+
+            TestHelper.AssertIndicatorIsInDefaultState(atr);
+            TestHelper.AssertIndicatorIsInDefaultState(atr.TrueRange);
+        }
+
+        [Test]
+        public void TrueRangePropertyIsReadyAfterTwoUpdates()
+        {
+            var atr = new AverageTrueRange(14, MovingAverageType.Simple);
+            Assert.IsFalse(atr.TrueRange.IsReady);
+
+            atr.Update(new TradeBar
+            {
+                Time = DateTime.Today,
+                Open = 1m,
+                High = 3m,
+                Low = .5m,
+                Close = 2.75m,
+                Volume = 1234567890
+            });
+
+            Assert.IsFalse(atr.TrueRange.IsReady);
+
+            atr.Update(new TradeBar
+            {
+                Time = DateTime.Today,
+                Open = 1m,
+                High = 3m,
+                Low = .5m,
+                Close = 2.75m,
+                Volume = 1234567890
+            });
+
+            Assert.IsTrue(atr.TrueRange.IsReady);
+        }
+    }
+}