wehub-resource-sync
97 lines
3.4 KiB
C#
97 lines
3.4 KiB
C#
/*
|
|
* 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 NUnit.Framework;
|
|
using QuantConnect.Indicators;
|
|
using System;
|
|
|
|
namespace QuantConnect.Tests.Indicators;
|
|
|
|
[TestFixture]
|
|
public class DerivativeOscillatorIndicatorTests : CommonIndicatorTests<IndicatorDataPoint>
|
|
{
|
|
protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
|
|
{
|
|
return new DerivativeOscillator("D014", 14, 5, 3, 9);
|
|
}
|
|
|
|
protected override string TestFileName => "spy_do.csv";
|
|
|
|
protected override string TestColumnName => "DO";
|
|
|
|
[Test]
|
|
public override void ResetsProperly()
|
|
{
|
|
var derivativeOscillator = new DerivativeOscillator("D014", 14, 5, 3, 9);
|
|
var period = derivativeOscillator.WarmUpPeriod;
|
|
|
|
// Generate a stream of random data and calculate the derivative oscillator
|
|
var seed = 14;
|
|
Random rand = new Random(seed);
|
|
var reference = DateTime.Today;
|
|
for(int i = 0; i < period; i++)
|
|
{
|
|
var data = new IndicatorDataPoint(reference.AddSeconds(i), rand.Next());
|
|
derivativeOscillator.Update(data);
|
|
}
|
|
|
|
var expected = derivativeOscillator.Current.Value;
|
|
|
|
Assert.IsTrue(derivativeOscillator.IsReady);
|
|
Assert.AreNotEqual(0m, derivativeOscillator.Current.Value);
|
|
Assert.AreNotEqual(0, derivativeOscillator.Samples);
|
|
|
|
// Now do some partial updates
|
|
for(int i = 0; i < 5; i++)
|
|
{
|
|
var data = new IndicatorDataPoint(reference.AddSeconds(i), rand.Next());
|
|
derivativeOscillator.Update(data);
|
|
}
|
|
|
|
// Check if reset functionality works
|
|
derivativeOscillator.Reset();
|
|
TestHelper.AssertIndicatorIsInDefaultState(derivativeOscillator);
|
|
|
|
// Update using the exact same random data stream again to verify if internals were reset properly
|
|
// But now insert data until it is ready.
|
|
rand = new Random(seed);
|
|
reference = DateTime.Today;
|
|
int j = 0;
|
|
while (!derivativeOscillator.IsReady)
|
|
{
|
|
var data = new IndicatorDataPoint(reference.AddSeconds(j), rand.Next());
|
|
derivativeOscillator.Update(data);
|
|
j++;
|
|
}
|
|
|
|
Assert.IsTrue(derivativeOscillator.IsReady);
|
|
Assert.AreNotEqual(0m, derivativeOscillator.Current.Value);
|
|
Assert.AreNotEqual(0, derivativeOscillator.Samples);
|
|
|
|
// If they are not equal, the internal indicators were not reset properly
|
|
Assert.AreEqual(expected, derivativeOscillator.Current.Value);
|
|
}
|
|
|
|
[Test]
|
|
public void ComparesWithExternalData()
|
|
{
|
|
TestHelper.TestIndicator(
|
|
CreateIndicator(),
|
|
TestFileName,
|
|
TestColumnName,
|
|
(ind, expected) => Assert.AreEqual(expected, (double)((DerivativeOscillator)ind).Current.Value, 1e-9)
|
|
);
|
|
}
|
|
}
|