wehub-resource-sync
130 lines
4.6 KiB
C#
130 lines
4.6 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 MovingAverageConvergenceDivergenceTests : 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 MovingAverageConvergenceDivergence(fastPeriod: 12, slowPeriod: 26, signalPeriod: 9);
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}
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protected override string TestFileName => "spy_with_macd.txt";
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protected override string TestColumnName => "MACD";
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[Test]
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public void FastPeriodLessThanSlowPeriod()
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{
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var a = new MovingAverageConvergenceDivergence(fastPeriod: 2, slowPeriod: 3, signalPeriod: 2);
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Assert.Throws<ArgumentException>(() => new MovingAverageConvergenceDivergence(fastPeriod: 3, slowPeriod: 3, signalPeriod: 2));
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Assert.Throws<ArgumentException>(() => new MovingAverageConvergenceDivergence(fastPeriod: 4, slowPeriod: 3, signalPeriod: 2));
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}
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[Test]
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public void ComparesWithExternalDataMacdHistogram()
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{
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var macd = CreateIndicator();
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TestHelper.TestIndicator(
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macd,
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TestFileName,
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"Histogram",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double) ((MovingAverageConvergenceDivergence) ind).Histogram.Current.Value,
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delta: 1e-4
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)
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);
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}
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[Test]
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public void ComparesWithExternalDataMacdSignal()
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{
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var macd = CreateIndicator();
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TestHelper.TestIndicator(
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macd,
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TestFileName,
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"Signal",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double) ((MovingAverageConvergenceDivergence) ind).Signal.Current.Value,
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delta: 1e-4
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)
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);
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}
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[Test]
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public void ComparesWithExternalDataMacdValue()
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{
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var macd = CreateIndicator();
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TestHelper.TestIndicator(
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macd,
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TestFileName,
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"MACD",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double)((MovingAverageConvergenceDivergence)ind).Current.Value,
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delta: 1e-4
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)
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);
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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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int fastPeriod = 3,
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slowPeriod = 4,
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signalPeriod = 2;
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var macd = new MovingAverageConvergenceDivergence(fastPeriod: fastPeriod, slowPeriod: slowPeriod, signalPeriod: signalPeriod);
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Assert.IsFalse(macd.Signal.IsReady);
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Assert.IsFalse(macd.Histogram.IsReady);
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Assert.IsFalse(macd.IsReady);
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for (var i = 0; i < fastPeriod; i++)
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{
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Assert.IsFalse(macd.Fast.IsReady);
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macd.Update(new IndicatorDataPoint(DateTime.Today.AddSeconds(i), i));
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}
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Assert.IsTrue(macd.Fast.IsReady);
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for (var i = fastPeriod; i < slowPeriod; i++)
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{
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Assert.IsFalse(macd.Slow.IsReady);
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macd.Update(new IndicatorDataPoint(DateTime.Today.AddSeconds(i), i));
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}
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Assert.IsTrue(macd.Slow.IsReady);
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for (var i = slowPeriod; i < macd.WarmUpPeriod; i++)
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{
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Assert.IsFalse(macd.Signal.IsReady);
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Assert.IsFalse(macd.Histogram.IsReady);
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Assert.IsFalse(macd.IsReady);
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macd.Update(new IndicatorDataPoint(DateTime.Today.AddSeconds(i), i));
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}
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Assert.IsTrue(macd.Signal.IsReady);
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Assert.IsTrue(macd.Histogram.IsReady);
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Assert.IsTrue(macd.IsReady);
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}
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}
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} |