wehub-resource-sync
104 lines
3.4 KiB
C#
104 lines
3.4 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 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 KeltnerChannelsTests : 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 KeltnerChannels(20, 1.5m);
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}
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protected override string TestFileName => "spy_with_keltner.csv";
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protected override string TestColumnName => "Middle Band";
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[Test]
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public void ComparesWithExternalDataUpperBand()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"Keltner Channels 20 Top",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double) ((KeltnerChannels) ind).UpperBand.Current.Value,
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1e-3
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)
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);
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}
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[Test]
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public void ComparesWithExternalDataLowerBand()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"Keltner Channels 20 Bottom",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double) ((KeltnerChannels) ind).LowerBand.Current.Value,
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1e-3
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)
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);
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}
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[Test]
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public void ComparesTimeStampBetweenKeltnerChannelAndMiddleBand()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"Middle Band",
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(ind, expected) => Assert.AreEqual(
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((KeltnerChannels)ind).Current.EndTime,
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((KeltnerChannels)ind).MiddleBand.Current.EndTime
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)
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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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var kch = CreateIndicator() as KeltnerChannels;
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foreach (var data in TestHelper.GetTradeBarStream(TestFileName, false))
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{
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kch.Update(data);
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}
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Assert.IsTrue(kch.IsReady);
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Assert.IsTrue(kch.UpperBand.IsReady);
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Assert.IsTrue(kch.LowerBand.IsReady);
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Assert.IsTrue(kch.MiddleBand.IsReady);
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Assert.IsTrue(kch.AverageTrueRange.IsReady);
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kch.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(kch);
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TestHelper.AssertIndicatorIsInDefaultState(kch.UpperBand);
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TestHelper.AssertIndicatorIsInDefaultState(kch.LowerBand);
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TestHelper.AssertIndicatorIsInDefaultState(kch.AverageTrueRange);
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}
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}
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}
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