wehub-resource-sync
78 lines
2.7 KiB
C#
78 lines
2.7 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 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 MeanAbsoluteDeviationTests
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{
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[Test]
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public void ComputesCorrectly()
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{
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// Indicator output was compared against the octave code:
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// mad = @(v) mean(abs(v - mean(v)));
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var mad = new MeanAbsoluteDeviation(3);
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var reference = DateTime.MinValue;
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mad.Update(reference.AddDays(1), 1m);
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Assert.AreEqual(0m, mad.Current.Value);
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mad.Update(reference.AddDays(2), -1m);
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Assert.AreEqual(1m, mad.Current.Value);
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mad.Update(reference.AddDays(3), 1m);
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Assert.AreEqual(0.888888888888889m, decimal.Round(mad.Current.Value, 15));
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mad.Update(reference.AddDays(4), -2m);
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Assert.AreEqual(1.111111111111111m, decimal.Round(mad.Current.Value, 15));
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mad.Update(reference.AddDays(5), 3m);
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Assert.AreEqual(1.777777777777778m, decimal.Round(mad.Current.Value, 15));
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}
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[Test]
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public void ResetsProperly()
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{
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var mad = new MeanAbsoluteDeviation(3);
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mad.Update(DateTime.Today, 1m);
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mad.Update(DateTime.Today.AddSeconds(1), 2m);
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mad.Update(DateTime.Today.AddSeconds(1), 1m);
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Assert.IsTrue(mad.IsReady);
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mad.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(mad);
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TestHelper.AssertIndicatorIsInDefaultState(mad.Mean);
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}
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[Test]
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public void WarmsUpProperly()
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{
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var mad = new MeanAbsoluteDeviation(20);
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var time = DateTime.Today;
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var period = ((IIndicatorWarmUpPeriodProvider)mad).WarmUpPeriod;
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for (var i = 0; i < period; i++)
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{
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mad.Update(time.AddDays(i), i);
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Assert.AreEqual(i == period - 1, mad.IsReady);
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}
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}
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}
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} |