wehub-resource-sync
63 lines
2.9 KiB
Python
63 lines
2.9 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting the behavior of the indicator history api
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### </summary>
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class IndicatorHistoryRegressionAlgorithm(QCAlgorithm):
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'''Regression algorithm asserting the behavior of the indicator history api'''
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def initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2013, 1, 1)
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self.set_end_date(2014, 12, 31)
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self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
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def on_data(self, slice: Slice):
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self.bollinger_bands = BollingerBands("BB", 20, 2.0, MovingAverageType.SIMPLE)
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if self.bollinger_bands.window.is_ready:
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raise ValueError("Unexpected ready bollinger bands state")
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indicatorHistory = self.indicator_history(self.bollinger_bands, self._symbol, 50)
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self.debug(f"indicatorHistory: {indicatorHistory}")
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self.debug(f"data_frame: {indicatorHistory.data_frame}")
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if not self.bollinger_bands.window.is_ready:
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raise ValueError("Unexpected not ready bollinger bands state")
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# we ask for 50 data points
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if indicatorHistory.count != 50:
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raise ValueError(f"Unexpected indicators values {indicatorHistory.count}")
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for indicatorDataPoints in indicatorHistory:
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middle_band = indicatorDataPoints["middle_band"]
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self.debug(f"BB @{indicatorDataPoints.current}: middle_band: {middle_band} upper_band: {indicatorDataPoints.upper_band}")
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if indicatorDataPoints == 0:
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raise ValueError(f"Unexpected indicators point {indicatorDataPoints}")
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currentValues = indicatorHistory.current
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if len(currentValues) != 50 or len([x for x in currentValues if x.value == 0]) > 0:
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raise ValueError(f"Unexpected indicators current values {len(currentValues)}")
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upperBandPoints = indicatorHistory["upper_band"]
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if len(upperBandPoints) != 50 or len([x for x in upperBandPoints if x.value == 0]) > 0:
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raise ValueError(f"Unexpected indicators upperBandPoints values {len(upperBandPoints)}")
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# We are done now!
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self.quit()
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