wehub-resource-sync
96 lines
2.9 KiB
C#
96 lines
2.9 KiB
C#
/*
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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 NUnit.Framework;
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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]
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public class AverageTrueRangeTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override IndicatorBase<IBaseDataBar> CreateIndicator()
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{
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RenkoBarSize = 1m;
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VolumeRenkoBarSize = 0.5m;
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return new AverageTrueRange(14);
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}
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protected override string TestFileName => "spy_atr_wilder.txt";
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protected override string TestColumnName => "Average True Range 14";
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[Test]
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public override void ComparesAgainstExternalData()
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{
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var atrSimple = new AverageTrueRange(14, MovingAverageType.Simple);
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TestHelper.TestIndicator(atrSimple, "spy_atr.txt", "Average True Range 14");
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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 atr = new AverageTrueRange(14, MovingAverageType.Simple);
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atr.Update(new TradeBar
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{
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Time = DateTime.Today,
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Open = 1m,
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High = 3m,
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Low = .5m,
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Close = 2.75m,
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Volume = 1234567890
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});
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atr.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(atr);
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TestHelper.AssertIndicatorIsInDefaultState(atr.TrueRange);
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}
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[Test]
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public void TrueRangePropertyIsReadyAfterTwoUpdates()
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{
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var atr = new AverageTrueRange(14, MovingAverageType.Simple);
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Assert.IsFalse(atr.TrueRange.IsReady);
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atr.Update(new TradeBar
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{
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Time = DateTime.Today,
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Open = 1m,
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High = 3m,
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Low = .5m,
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Close = 2.75m,
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Volume = 1234567890
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});
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Assert.IsFalse(atr.TrueRange.IsReady);
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atr.Update(new TradeBar
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{
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Time = DateTime.Today,
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Open = 1m,
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High = 3m,
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Low = .5m,
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Close = 2.75m,
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Volume = 1234567890
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});
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Assert.IsTrue(atr.TrueRange.IsReady);
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}
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}
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}
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