wehub-resource-sync
81 lines
2.9 KiB
C#
81 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 System.Linq;
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using NUnit.Framework;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class ExponentialMovingAverageTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new ExponentialMovingAverage(14);
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}
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protected override string TestFileName => "spy_ema.csv";
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protected override string TestColumnName => "EMA14";
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[Test]
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public void EmaComputesCorrectly()
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{
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const int period = 4;
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decimal[] values = { 1m, 10m, 100m, 1000m, 2000m, 3000m, 4000m, 5000m, 6000m, 7000m, 8000m, 9000m, 10000m };
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const decimal expFactor = 2m/(1m + period);
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var ema4 = new ExponentialMovingAverage(period);
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decimal expectedCurrent = 0m;
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for (int i = 0; i < values.Length; i++)
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{
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ema4.Update(new IndicatorDataPoint(DateTime.UtcNow.AddSeconds(i), values[i]));
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if (i == period - 1)
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{
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// The indicator is ready after the first full period, the first value should be a SMA of the first period
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expectedCurrent = values.Take(period).Sum() / period;
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}
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if (i >= period)
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{
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expectedCurrent = values[i] * expFactor + (1 - expFactor) * expectedCurrent;
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}
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Assert.AreEqual(expectedCurrent, ema4.Current.Value, $"Index: {i}");
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}
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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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// ema reset is just setting the value and samples back to 0
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var ema = new ExponentialMovingAverage(3);
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foreach (var data in TestHelper.GetDataStream(5))
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{
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ema.Update(data);
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}
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Assert.IsTrue(ema.IsReady);
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Assert.AreNotEqual(0m, ema.Current.Value);
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Assert.AreNotEqual(0, ema.Samples);
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ema.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(ema);
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}
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}
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}
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