wehub-resource-sync
114 lines
4.1 KiB
C#
114 lines
4.1 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 NUnit.Framework;
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using QuantConnect.Indicators;
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using QuantConnect.Logging;
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using System;
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using System.Collections;
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using System.Linq;
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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 and Excel available in http://tinyurl.com/ob5tslj
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/// </summary>
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[TestFixture]
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public class MomersionTests
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{
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#region Array input
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// Real AAPL minute data rounded to 2 decimals.
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private readonly decimal[] _prices = {
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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
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};
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private readonly decimal[] _expectedMinPeriod = {
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50.00m, 50.00m, 50.00m, 50.00m, 50.00m, 50.00m, 50.00m, 50.00m, 57.14m, 62.50m,
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55.56m, 60.00m, 63.64m, 58.33m, 53.85m, 50.00m, 53.33m, 56.25m, 58.82m, 55.56m,
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52.63m, 50.00m, 45.00m, 40.00m, 40.00m, 36.84m, 38.89m, 38.89m, 44.44m, 44.44m
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};
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private readonly decimal[] _expectedFullPeriod = {
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50m, 50m , 50m , 50m, 50m, 50m , 50m, 50m,
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50m, 50m , 50m , 50m, 60m, 50m , 40m, 30m,
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40m, 50m , 60m , 50m, 50m, 40m , 30m, 30m,
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40m, 44.44m, 37.5m, 25m, 25m, 37.5m,
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};
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#endregion Array input
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[TestCase(7, 20)]
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[TestCase(null, 10)]
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public void ComputesCorrectly(int? minPeriod, int fullPeriod)
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{
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var momersion = new Momersion(minPeriod, fullPeriod);
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var expected = minPeriod.HasValue ? _expectedMinPeriod : _expectedFullPeriod;
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RunTestIndicator(momersion, expected);
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}
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[TestCase(7, 20)]
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[TestCase(null, 10)]
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public void ResetsProperly(int? minPeriod, int fullPeriod)
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{
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var momersion = new Momersion(minPeriod, fullPeriod);
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var expected = minPeriod.HasValue ? _expectedMinPeriod : _expectedFullPeriod;
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RunTestIndicator(momersion, expected);
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Assert.IsTrue(momersion.IsReady);
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momersion.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(momersion);
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}
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[TestCase(7, 20)]
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[TestCase(null, 10)]
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public void WarmsUpProperly(int? minPeriod, int fullPeriod)
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{
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var momersion = new Momersion(minPeriod, fullPeriod);
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var period = ((IIndicatorWarmUpPeriodProvider)momersion).WarmUpPeriod;
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var dataStream = TestHelper.GetDataStream(period).ToArray();
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for (var i = 0; i < period; i++)
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{
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momersion.Update(dataStream[i]);
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Assert.AreEqual(i == period - 1, momersion.IsReady);
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}
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}
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private void RunTestIndicator(Momersion momersion, IEnumerable expected)
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{
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var time = DateTime.Now;
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var actual = new decimal[_prices.Length];
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for (var i = 0; i < _prices.Length; i++)
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{
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momersion.Update(time.AddMinutes(i), _prices[i]);
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actual[i] = Math.Round(momersion.Current.Value, 2);
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Log.Trace($"Bar : {i} | {momersion}, Is ready? {momersion.IsReady}");
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}
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Assert.AreEqual(expected, actual);
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}
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}
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}
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