/* * 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.Indicators; namespace QuantConnect.Tests.Indicators { [TestFixture] public class SwissArmyKnifeTests : CommonIndicatorTests { protected override IndicatorBase CreateIndicator() { return new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Gauss); } protected override string TestFileName => "spy_swiss.txt"; protected override string TestColumnName => "Gauss"; protected override Action, double> Assertion => (indicator, expected) => Assert.AreEqual(expected, (double) indicator.Current.Value, 0.01); [Test] public override void ResetsProperly() { var sak = new SwissArmyKnife(4, 0.1, SwissArmyKnifeTool.BandPass); foreach (var data in TestHelper.GetDataStream(5)) { sak.Update(data); } Assert.IsTrue(sak.IsReady); Assert.AreNotEqual(0m, sak.Current.Value); Assert.AreNotEqual(0, sak.Samples); sak.Reset(); TestHelper.AssertIndicatorIsInDefaultState(sak); } [Test] public void ComparesBandPassAgainstExternalData() { var indicator = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.BandPass); RunTestIndicator(indicator, "BP", 0.043m); } [Test] public void Compares2PHPAgainstExternalData() { var indicator = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.TwoPoleHighPass); RunTestIndicator(indicator, "2PHP", 0.01m); } [Test] public void ComparesHPAgainstExternalData() { var indicator = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.HighPass); RunTestIndicator(indicator, "HP", 0.01m); } [Test] public void ComparesButterAgainstExternalData() { var indicator = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Butter); RunTestIndicator(indicator, "Butter", 0.01m); } [Test] public void SubIndicatorsComputeAllToolsSimultaneously() { var sak = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Gauss); var gaussStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Gauss); var butterStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Butter); var hpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.HighPass); var tphpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.TwoPoleHighPass); var bpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.BandPass); foreach (var data in TestHelper.GetDataStream(25)) { sak.Update(data); gaussStandalone.Update(data); butterStandalone.Update(data); hpStandalone.Update(data); tphpStandalone.Update(data); bpStandalone.Update(data); Assert.AreEqual(gaussStandalone.Current.Value, sak.Gauss.Current.Value); Assert.AreEqual(butterStandalone.Current.Value, sak.Butter.Current.Value); Assert.AreEqual(hpStandalone.Current.Value, sak.HighPass.Current.Value); Assert.AreEqual(tphpStandalone.Current.Value, sak.TwoPoleHighPass.Current.Value); Assert.AreEqual(bpStandalone.Current.Value, sak.BandPass.Current.Value); } } [Test] public void SubIndicatorsResetProperly() { var sak = new SwissArmyKnife(4, 0.1, SwissArmyKnifeTool.Gauss); foreach (var data in TestHelper.GetDataStream(5)) { sak.Update(data); } Assert.IsTrue(sak.Gauss.IsReady); Assert.IsTrue(sak.Butter.IsReady); Assert.IsTrue(sak.HighPass.IsReady); Assert.IsTrue(sak.TwoPoleHighPass.IsReady); Assert.IsTrue(sak.BandPass.IsReady); sak.Reset(); Assert.IsFalse(sak.Gauss.IsReady); Assert.IsFalse(sak.Butter.IsReady); Assert.IsFalse(sak.HighPass.IsReady); Assert.IsFalse(sak.TwoPoleHighPass.IsReady); Assert.IsFalse(sak.BandPass.IsReady); } [Test] public void PrimaryToolMatchesCurrentValue() { foreach (SwissArmyKnifeTool tool in Enum.GetValues(typeof(SwissArmyKnifeTool))) { var sak = new SwissArmyKnife(20, 0.1, tool); foreach (var data in TestHelper.GetDataStream(25)) { sak.Update(data); switch (tool) { case SwissArmyKnifeTool.Gauss: Assert.AreEqual(sak.Gauss.Current.Value, sak.Current.Value); break; case SwissArmyKnifeTool.Butter: Assert.AreEqual(sak.Butter.Current.Value, sak.Current.Value); break; case SwissArmyKnifeTool.HighPass: Assert.AreEqual(sak.HighPass.Current.Value, sak.Current.Value); break; case SwissArmyKnifeTool.TwoPoleHighPass: Assert.AreEqual(sak.TwoPoleHighPass.Current.Value, sak.Current.Value); break; case SwissArmyKnifeTool.BandPass: Assert.AreEqual(sak.BandPass.Current.Value, sak.Current.Value); break; } } } } private void RunTestIndicator(IndicatorBase indicator, string field, decimal variance) { TestHelper.TestIndicator(indicator, TestFileName, field, (actual, expected) => { AssertResult(expected, actual.Current.Value, variance); }); } private static void AssertResult(double expected, decimal actual, decimal variance) { System.Diagnostics.Debug.WriteLine(expected + "," + actual + "," + Math.Abs((decimal)expected - actual)); Assert.IsTrue(Math.Abs((decimal)expected - actual) < variance); } } }