wehub-resource-sync
66 lines
2.1 KiB
C#
66 lines
2.1 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.Collections.Generic;
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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 LogReturnTests : 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 LogReturn(14);
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}
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protected override string TestFileName => "spy_logr14.txt";
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protected override string TestColumnName => "LOGR14";
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[Test]
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public void LOGRComputesCorrectly()
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{
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var period = 4;
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var logr = new LogReturn(period);
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var data = new[] { 1, 10, 100, 1000, 10000, 1234, 56789 };
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var seen = new List<int>();
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var time = DateTime.Now;
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for (var i = 0; i < data.Length; i++)
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{
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var datum = data[i];
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var value0 = 0.0;
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if (seen.Count >= 0 && seen.Count < period)
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{
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value0 = data[0];
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}
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else if (seen.Count >= period)
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{
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value0 = data[i - period];
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}
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var expected = (decimal)Math.Log(datum / value0);
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seen.Add(datum);
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logr.Update(time.AddSeconds(i), datum);
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Assert.AreEqual(expected, logr.Current.Value);
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}
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}
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}
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} |