chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class McClellanOscillatorTests : CommonIndicatorTests<TradeBar>
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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var mcClellanOscillator = new McClellanOscillator(19, 39);
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if (SymbolList.Count > 2)
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{
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SymbolList.Take(3).ToList().ForEach(mcClellanOscillator.Add);
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}
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else
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{
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mcClellanOscillator.Add(Symbols.MSFT);
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mcClellanOscillator.Add(Symbols.GOOG);
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mcClellanOscillator.Add(Symbols.AAPL);
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}
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return mcClellanOscillator;
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}
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protected override List<Symbol> GetSymbols()
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{
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return [Symbols.SPY, Symbols.AAPL, Symbols.IBM];
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var indicator = (McClellanOscillator)CreateIndicator();
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var reference = DateTime.Today;
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for (int i = 1; i <= indicator.WarmUpPeriod; i++)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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}
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Assert.AreEqual(0m, indicator.Current.Value);
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Assert.AreEqual(indicator.WarmUpPeriod * 3, indicator.Samples);
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Assert.IsTrue(indicator.IsReady);
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}
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[Test]
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public override void ResetsProperly()
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{
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var indicator = (McClellanOscillator)CreateIndicator();
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var reference = DateTime.Today;
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for (int i = 1; i <= indicator.WarmUpPeriod; i++)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = i, Volume = 1, Time = reference.AddMinutes(i) });
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}
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Assert.IsTrue(indicator.IsReady);
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indicator.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(indicator);
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}
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[Test]
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public override void ComparesAgainstExternalData()
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{
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var indicator = new TestMcClellanOscillator();
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McClellanIndicatorTestHelper.RunTestIndicator(indicator, TestFileName, TestColumnName);
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}
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[Test]
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public override void ComparesAgainstExternalDataAfterReset()
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{
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var indicator = new TestMcClellanOscillator();
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McClellanIndicatorTestHelper.RunTestIndicator(indicator, TestFileName, TestColumnName);
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indicator.Reset();
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McClellanIndicatorTestHelper.RunTestIndicator(indicator, TestFileName, TestColumnName);
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}
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[Test]
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public override void AcceptsRenkoBarsAsInput()
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{
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var indicator = new TestMcClellanOscillator();
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var renkoConsolidator = new RenkoConsolidator(0.5m);
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renkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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McClellanIndicatorTestHelper.UpdateRenkoConsolidator(renkoConsolidator, TestFileName);
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Assert.AreNotEqual(0, indicator.Samples);
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renkoConsolidator.Dispose();
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}
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[Test]
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public override void AcceptsVolumeRenkoBarsAsInput()
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{
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var indicator = new TestMcClellanOscillator();
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var volumeRenkoConsolidator = new VolumeRenkoConsolidator(0.5m);
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volumeRenkoConsolidator.DataConsolidated += (sender, volumeRenkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(volumeRenkoBar));
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};
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McClellanIndicatorTestHelper.UpdateRenkoConsolidator(volumeRenkoConsolidator, TestFileName);
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Assert.AreNotEqual(0, indicator.Samples);
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volumeRenkoConsolidator.Dispose();
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}
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protected override string TestFileName => "mcclellan_data.csv";
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protected override string TestColumnName => "MO";
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}
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public class TestMcClellanOscillator : McClellanOscillator, ITestMcClellanOscillator
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{
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private Dictionary<Symbol, decimal> _symbols = new();
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private int _dateCount = 1;
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public TestMcClellanOscillator() : base()
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{
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// Maximum A/D difference from the test set is 2527
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for (int i = 1; i <= 2530; i++)
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{
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var symbol = Symbol.Create($"TestSymbol{i}", SecurityType.Equity, Market.USA);
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_symbols.Add(symbol, 0m);
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Add(symbol);
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}
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// Set to the first EMA values to account for past A/D Difference values that we don't have access
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Reset();
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EMAFast.Update(new DateTime(2022, 6, 30), -209.85m);
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EMASlow.Update(new DateTime(2022, 6, 30), -186.41m);
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}
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public void TestUpdate(IndicatorDataPoint input)
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{
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var isTotal2530 = McClellanIndicatorTestHelper.GetAdvanceDeclineNumber(input.Value, out var advance, out var decline);
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var symbols = _symbols.Keys.ToList();
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for (int i = 0; i < advance; i++)
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{
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Update(new TradeBar() { Symbol = symbols[i], Close = _dateCount, Volume = 1, Time = input.Time });
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_symbols[symbols[i]] = _dateCount;
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}
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for (int j = 1; j <= decline; j++)
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{
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Update(new TradeBar() { Symbol = symbols[^j], Close = -_dateCount, Volume = 1, Time = input.Time });
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_symbols[symbols[^j]] = -_dateCount;
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}
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if (!isTotal2530)
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{
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Update(new TradeBar() { Symbol = symbols[advance], Close = _symbols[symbols[advance]], Volume = 1, Time = input.Time });
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}
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_dateCount += 1;
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}
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public override void Reset()
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{
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base.Reset();
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_dateCount = 1;
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foreach (var symbol in _symbols.Keys)
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{
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_symbols[symbol] = 0m;
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}
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}
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}
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}
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