wehub-resource-sync
104 lines
4.0 KiB
C#
104 lines
4.0 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 EaseOfMovementValueTests : CommonIndicatorTests<TradeBar>
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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// Even if the indicator is ready, there may be zero values
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ValueCanBeZero = true;
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RenkoBarSize = 0.5m;
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return new EaseOfMovementValue();
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}
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protected override string TestFileName => "spy_emv.txt";
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protected override string TestColumnName => "EMV";
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[Test]
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public void TestTradeBarsWithVolume()
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{
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var emv = new EaseOfMovementValue();
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foreach (var data in TestHelper.GetDataStream(4))
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{
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var tradeBar = new TradeBar
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{
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Open = data.Value,
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Close = data.Value,
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High = data.Value,
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Low = data.Value,
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Volume = data.Value
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};
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emv.Update(tradeBar);
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}
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}
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protected override Action<IndicatorBase<TradeBar>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 1); }
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}
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[Test]
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public virtual void PeriodSet()
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{
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var emv = new EaseOfMovementValue(period: 3, scale: 1);
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var reference = System.DateTime.Today;
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emv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddMinutes(1) });
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Assert.AreEqual(0, emv.Current.Value);
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Assert.IsFalse(emv.IsReady);
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emv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 3, High = 4, Volume = 200, Time = reference.AddMinutes(2) });
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Assert.AreEqual(0.005, (double)emv.Current.Value, 0.00001);
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Assert.IsFalse(emv.IsReady);
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emv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 5, High = 6, Volume = 300, Time = reference.AddMinutes(3) });
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Assert.AreEqual(0.00556, (double)emv.Current.Value, 0.00001);
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Assert.IsTrue(emv.IsReady);
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emv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 6, High = 7, Volume = 400, Time = reference.AddMinutes(4) });
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Assert.AreEqual(0.00639, (double)emv.Current.Value, 0.00001);
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Assert.IsTrue(emv.IsReady);
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}
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/// <summary>
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/// The final value of this indicator is zero because it uses the Volume of the bars it receives.
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/// Since RenkoBar's don't always have Volume, the final current value is zero. Therefore we
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/// skip this test
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/// </summary>
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/// <param name="indicator"></param>
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protected override void IndicatorValueIsNotZeroAfterReceiveRenkoBars(IndicatorBase indicator)
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{
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}
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/// <summary>
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/// The final value of this indicator is zero because the bars it's receiving are the same.
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/// Therefore we skip this test
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/// </summary>
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/// <param name="indicator"></param>
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protected override void IndicatorValueIsNotZeroAfterReceiveVolumeRenkoBars(IndicatorBase indicator)
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{
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}
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}
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}
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