wehub-resource-sync
112 lines
4.2 KiB
C#
112 lines
4.2 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.Indicators;
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using System;
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namespace QuantConnect.Tests.Indicators
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{
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/// <summary>
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/// Result tested vs. Python available at: http://tinyurl.com/o7redso
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/// </summary>
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[TestFixture]
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public class LeastSquaresMovingAverageTests : 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 LeastSquaresMovingAverage(20);
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}
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protected override string TestFileName => string.Empty;
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protected override string TestColumnName => string.Empty;
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#region Array input
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// Real AAPL minute data rounded to 2 decimals.
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public static decimal[] Prices =
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{
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125.99m, 125.91m, 125.75m, 125.62m, 125.54m, 125.45m, 125.47m,
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125.4m , 125.43m, 125.45m, 125.42m, 125.36m, 125.23m, 125.32m,
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125.26m, 125.31m, 125.41m, 125.5m , 125.51m, 125.41m, 125.54m,
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125.51m, 125.61m, 125.43m, 125.42m, 125.42m, 125.46m, 125.43m,
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125.4m , 125.35m, 125.3m , 125.28m, 125.21m, 125.37m, 125.32m,
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125.34m, 125.37m, 125.26m, 125.28m, 125.16m
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};
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#endregion Array input
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#region Array expected
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public static decimal[] Expected =
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{
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125.99m , 125.91m , 125.75m , 125.62m , 125.54m , 125.45m ,
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125.47m , 125.4m , 125.43m , 125.45m , 125.42m , 125.36m ,
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125.23m , 125.32m , 125.26m , 125.31m , 125.41m , 125.5m ,
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125.51m , 125.2679m , 125.328m , 125.381m , 125.4423m, 125.4591m,
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125.4689m, 125.4713m, 125.4836m, 125.4834m, 125.4803m, 125.4703m,
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125.4494m, 125.4206m, 125.3669m, 125.3521m, 125.3214m, 125.2986m,
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125.2909m, 125.2723m, 125.2619m, 125.2224m,
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};
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#endregion Array input
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protected override void RunTestIndicator(IndicatorBase<IndicatorDataPoint> indicator)
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{
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var time = DateTime.Now;
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for (var i = 0; i < Prices.Length; i++)
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{
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indicator.Update(time.AddMinutes(i), Prices[i]);
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Assert.AreEqual(Expected[i], Math.Round(indicator.Current.Value, 4));
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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 indicator = CreateIndicator();
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var time = DateTime.Now;
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for (var i = 0; i < 20; i++)
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{
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indicator.Update(time.AddMinutes(i), Prices[i]);
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Assert.AreEqual(Expected[i], Math.Round(indicator.Current.Value, 4));
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}
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Assert.IsTrue(indicator.IsReady, "LeastSquaresMovingAverage Ready");
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indicator.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(indicator);
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var indicator = CreateIndicator();
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var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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if (!period.HasValue) return;
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var time = DateTime.Now;
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for (var i = 1; i < period.Value; i++)
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{
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indicator.Update(time.AddMinutes(i - 1), Prices[i - 1]);
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Assert.AreEqual(Expected[i - 1], Math.Round(indicator.Current.Value, 4));
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Assert.IsFalse(indicator.IsReady);
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}
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indicator.Update(time.AddMinutes(period.Value - 1), Prices[period.Value - 1]);
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Assert.IsTrue(indicator.IsReady);
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}
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}
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} |