wehub-resource-sync
102 lines
3.4 KiB
C#
102 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 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]
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public class LinearWeightedMovingAverageTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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protected override string TestFileName => "spx_lwma.csv";
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protected override string TestColumnName => "LWMA";
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new LinearWeightedMovingAverage(6);
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}
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[TestCase(1)]
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[TestCase(2)]
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[TestCase(3)]
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[TestCase(4)]
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[TestCase(5)]
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// See http://en.wikipedia.org/wiki/Moving_average
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// for the formula and the numbers in this test.
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public void ComputesCorrectly(int period)
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{
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var values = new[] {77m, 79m, 79m, 81m, 83m};
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var weights = Enumerable.Range(1, period).ToArray();
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var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
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var lwma = new LinearWeightedMovingAverage(period);
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var time = DateTime.UtcNow;
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for (var i = 0; i < period; i++)
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{
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lwma.Update(time.AddSeconds(i), values[i]);
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}
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Assert.AreEqual(current, lwma.Current.Value);
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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 lwma = new LinearWeightedMovingAverage(6);
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foreach (var data in TestHelper.GetDataStream(8))
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{
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lwma.Update(data);
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}
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Assert.IsTrue(lwma.IsReady);
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Assert.AreNotEqual(0m, lwma.Current.Value);
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Assert.AreNotEqual(0, lwma.Samples);
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lwma.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(lwma);
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}
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[TestCase(1)]
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[TestCase(2)]
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[TestCase(3)]
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[TestCase(4)]
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[TestCase(5)]
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// See http://en.wikipedia.org/wiki/Moving_average
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// for the formula and the numbers in this test.
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public void WarmsUpProperly(int period)
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{
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var values = new[] { 77m, 79m, 79m, 81m, 83m };
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var weights = Enumerable.Range(1, period).ToArray();
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var current = weights.Sum(i => i * values[i - 1]) / weights.Sum();
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var lwma = new LinearWeightedMovingAverage(period);
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var time = DateTime.UtcNow;
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var warmUpPeriod = (lwma as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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for (var i = 0; i < warmUpPeriod; i++)
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{
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lwma.Update(time.AddSeconds(i), values[i]);
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Assert.AreEqual(i == warmUpPeriod - 1, lwma.IsReady);
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}
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Assert.AreEqual(current, lwma.Current.Value);
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}
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}
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} |