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 NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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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 Accord;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class TomDemarkSequentialTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override string TestFileName => "td_sequential_test_data.csv";
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protected override string TestColumnName => "TDS";
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protected override TomDemarkSequential CreateIndicator()
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{
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return new TomDemarkSequential("ABC");
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}
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[Test]
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public void IsReadyAfterPeriodUpdates()
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{
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var ci = CreateIndicator();
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Assert.IsFalse(ci.IsReady);
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Enumerable.Range(1, 6).DoForEach(t => ci.Update(new TradeBar()));
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Assert.IsTrue(ci.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 ci = CreateIndicator();
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Enumerable.Range(1, 6).DoForEach(t => ci.Update(new TradeBar()));
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Assert.IsTrue(ci.IsReady);
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ci.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(ci);
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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 = CreateIndicator();
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var renkoConsolidator = new RenkoConsolidator(RenkoBarSize);
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var renkoBarCount = 0;
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renkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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renkoBarCount++;
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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foreach (var parts in TestHelper.GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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renkoConsolidator.Update(tradebar);
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}
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Assert.IsTrue(renkoBarCount >= 1, "At least one Renko bars were emitted.");
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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 = CreateIndicator();
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var volumeRenkoConsolidator = new VolumeRenkoConsolidator(VolumeRenkoBarSize);
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var renkoBarCount = 0;
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volumeRenkoConsolidator.DataConsolidated += (sender, volumeRenkoBar) =>
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{
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renkoBarCount++;
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Assert.DoesNotThrow(() => indicator.Update(volumeRenkoBar));
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};
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foreach (var parts in TestHelper.GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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volumeRenkoConsolidator.Update(tradebar);
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}
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Assert.IsTrue(renkoBarCount >= 1, "Atleast one renko bar were emitted.");
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volumeRenkoConsolidator.Dispose();
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}
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[TestCase(TomDemarkSequentialPhase.BuySetup)]
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[TestCase(TomDemarkSequentialPhase.SellSetup)]
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[TestCase(TomDemarkSequentialPhase.BuyCountdown)]
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[TestCase(TomDemarkSequentialPhase.SellCountdown)]
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[TestCase(TomDemarkSequentialPhase.BuySetupPerfect)]
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[TestCase(TomDemarkSequentialPhase.SellSetupPerfect)]
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public void GivenTradeBarsThenValidateExpectedResult(TomDemarkSequentialPhase phase)
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{
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var indicator = CreateIndicator();
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var (prices, time) = SetupData(phase);
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var expectedSetupStepCount = 1;
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var expectedCountdownStepCount = 2;
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var expectedPhase = (decimal)phase;
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for (var index = 0; index < prices.Length; index++)
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{
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var price = prices[index];
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var bar = new TradeBar(time, "ABC", price.Open, price.High, price.Low, price.Close, 1000);
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var isReady = indicator.Update(bar);
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time = time.AddMinutes(1);
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if (index >= 5)
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{
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Assert.IsTrue(isReady);
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if (phase is TomDemarkSequentialPhase.BuyCountdown or TomDemarkSequentialPhase.SellCountdown)
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{
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if (index < 14)
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{
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Assert.AreEqual(expectedSetupStepCount++, indicator.SetupPhaseStepCount);
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}
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else
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{
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Assert.AreEqual(expectedCountdownStepCount++, indicator.CountdownPhaseStepCount);
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Assert.AreEqual(expectedPhase, indicator.Current.Value);
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}
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}
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else
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{
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Assert.AreEqual(expectedSetupStepCount++, indicator.SetupPhaseStepCount);
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expectedPhase = index switch
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{
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< 13 => phase switch
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{
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TomDemarkSequentialPhase.BuySetupPerfect => (decimal)TomDemarkSequentialPhase.BuySetup,
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TomDemarkSequentialPhase.SellSetupPerfect =>
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(decimal)TomDemarkSequentialPhase.SellSetup,
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_ => (decimal)phase
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},
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_ => (decimal)phase
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};
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Assert.AreEqual(expectedPhase, indicator.Current.Value);
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}
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}
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else
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{
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Assert.IsFalse(isReady);
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}
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}
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}
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private struct OCHL
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{
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public decimal Open { get; set; }
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public decimal High { get; set; }
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public decimal Low { get; set; }
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public decimal Close { get; set; }
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}
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private static (OCHL[], DateTime) SetupData(TomDemarkSequentialPhase phase)
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{
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OCHL[] prices = [];
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var time = new DateTime(2023, 1, 1, 9, 30, 0);
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prices = phase switch
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{
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TomDemarkSequentialPhase.BuySetup =>
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[
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// Bar 1 to 9 - Close < Close 4 bars ago
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new OCHL { Open = 110, High = 111, Low = 109, Close = 100 },
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new OCHL { Open = 110, High = 111, Low = 109, Close = 115 },
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new OCHL { Open = 110, High = 111, Low = 109, Close = 114 },
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new OCHL { Open = 110, High = 111, Low = 109, Close = 113 },
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new OCHL { Open = 110, High = 111, Low = 109, Close = 111 },
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new OCHL { Open = 110, High = 111, Low = 109, Close = 110 },
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new OCHL { Open = 108, High = 109, Low = 107, Close = 106 },
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new OCHL { Open = 106, High = 107, Low = 105, Close = 104 },
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new OCHL { Open = 104, High = 105, Low = 103, Close = 102 },
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new OCHL { Open = 102, High = 103, Low = 101, Close = 100 },
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new OCHL { Open = 100, High = 101, Low = 91.5m, Close = 98 },
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new OCHL { Open = 98, High = 99, Low = 95.5m, Close = 96 },
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new OCHL { Open = 96, High = 97, Low = 96, Close = 94 },
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new OCHL { Open = 94, High = 105, Low = 104, Close = 92 }
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],
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TomDemarkSequentialPhase.SellSetup =>
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[
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new OCHL { Open = 90, High = 91, Low = 89, Close = 91 },
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new OCHL { Open = 90, High = 91, Low = 89, Close = 85 },
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new OCHL { Open = 90, High = 91, Low = 89, Close = 87 },
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new OCHL { Open = 90, High = 91, Low = 89, Close = 88 },
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new OCHL { Open = 90, High = 91, Low = 89, Close = 89 },
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new OCHL { Open = 90, High = 91, Low = 89, Close = 90 }, // 1
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new OCHL { Open = 91, High = 92, Low = 90, Close = 91 }, // 2
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new OCHL { Open = 92, High = 93, Low = 91, Close = 92 }, // 3
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new OCHL { Open = 93, High = 94, Low = 92, Close = 93 }, // 4
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new OCHL { Open = 94, High = 95, Low = 93, Close = 94 }, // 5 (Close > Bar1.Close)
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new OCHL { Open = 95, High = 96, Low = 94, Close = 95 }, // 6 (Close > Bar2.Close)
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new OCHL { Open = 96, High = 97, Low = 95, Close = 96 }, // 7 (Close > Bar3.Close)
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new OCHL { Open = 97, High = 94, Low = 95.5m, Close = 97 },
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new OCHL { Open = 98, High = 91.8m, Low = 90.8m, Close = 98 }
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],
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TomDemarkSequentialPhase.SellSetupPerfect => CreateSellSetupPerfect(),
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TomDemarkSequentialPhase.BuySetupPerfect => CreateBuySetupPerfect(),
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TomDemarkSequentialPhase.BuyCountdown => CreateBuyCountdownData(),
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TomDemarkSequentialPhase.SellCountdown => CreateSellCountdownData(),
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_ => prices
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};
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return (prices, time);
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}
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private static OCHL[] CreateSellCountdownData()
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{
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var ochls = new List<OCHL> { new OCHL { Open = 110, High = 90, Low = 90, Close = 110 } };
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ochls.AddRange(Enumerable.Range(100, 25)
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.Select(x => new OCHL { Open = x, High = x, Low = x, Close = x }));
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return ochls.ToArray();
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}
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private static OCHL[] CreateBuyCountdownData()
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{
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var ochls = new List<OCHL> { new OCHL { Open = 90, High = 90, Low = 90, Close = 90 } };
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ochls.AddRange(Enumerable.Range(1, 25).Select(y =>
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{
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var x = (decimal)(100 - y);
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return new OCHL { Open = x, High = x, Low = x, Close = x };
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}));
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return ochls.ToArray();
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}
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private static OCHL[] CreateSellSetupPerfect()
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{
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var ochls = new List<OCHL> { new OCHL { Open = 110, High = 90, Low = 90, Close = 110 } };
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ochls.AddRange(Enumerable.Range(100, 13)
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.Select(x => new OCHL { Open = x, High = x, Low = x, Close = x }));
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return ochls.ToArray();
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}
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private static OCHL[] CreateBuySetupPerfect()
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{
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var ochls = new List<OCHL> { new OCHL { Open = 90, High = 90, Low = 90, Close = 90 } };
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ochls.AddRange(Enumerable.Range(1, 13).Select(y =>
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{
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var x = (decimal)(100 - y);
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return new OCHL { Open = x, High = x, Low = x, Close = x };
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}));
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return ochls.ToArray();
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}
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}
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}
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