wehub-resource-sync
110 lines
3.9 KiB
C#
110 lines
3.9 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 System;
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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 available at: http://tinyurl.com/o7redso
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/// </summary>
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[TestFixture]
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public class RegressionChannelTests
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{
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[Test]
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public void ComputesCorrectly()
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{
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const int period = 20;
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var indicator = new RegressionChannel(period, 2);
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var stdDev = new StandardDeviation(period);
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var time = DateTime.Now;
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var prices = LeastSquaresMovingAverageTests.Prices;
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var expected = LeastSquaresMovingAverageTests.Expected;
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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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indicator.Update(time.AddMinutes(i), prices[i]);
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stdDev.Update(time, prices[i]);
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actual[i] = Math.Round(indicator.Current.Value, 4);
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}
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Assert.AreEqual(expected, actual);
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var expectedUpper = indicator.Current.Value + stdDev.Current.Value * 2;
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Assert.AreEqual(expectedUpper, indicator.UpperChannel.Current.Value);
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var expectedLower = indicator.Current.Value - stdDev.Current.Value * 2;
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Assert.AreEqual(expectedLower, indicator.LowerChannel.Current.Value);
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}
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[Test]
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public void ResetsProperly()
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{
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const int period = 10;
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var indicator = new RegressionChannel(period, 2);
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var time = DateTime.Now;
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for (var i = 0; i < period + 1; i++)
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{
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indicator.Update(time.AddMinutes(i), 1m);
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}
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Assert.IsTrue(indicator.IsReady, "Regression Channel ready");
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indicator.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(indicator);
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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 indicator = new RegressionChannel(20, 2);
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var period = ((IIndicatorWarmUpPeriodProvider)indicator).WarmUpPeriod;
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var prices = LeastSquaresMovingAverageTests.Prices;
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var time = DateTime.Now;
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for (var i = 0; i < period; i++)
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{
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indicator.Update(time.AddMinutes(i), prices[i]);
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Assert.AreEqual(i == period - 1, indicator.IsReady);
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}
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}
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[Test]
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public void LowerUpperChannelUpdateOnce()
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{
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var regressionChannel = new RegressionChannel(2, 2m);
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var lowerChannelUpdateCount = 0;
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var upperChannelUpdateCount = 0;
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regressionChannel.LowerChannel.Updated += (sender, updated) =>
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{
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lowerChannelUpdateCount++;
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};
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regressionChannel.UpperChannel.Updated += (sender, updated) =>
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{
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upperChannelUpdateCount++;
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};
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Assert.AreEqual(0, lowerChannelUpdateCount);
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Assert.AreEqual(0, upperChannelUpdateCount);
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regressionChannel.Update(DateTime.Today, 1m);
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Assert.AreEqual(1, lowerChannelUpdateCount);
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Assert.AreEqual(1, upperChannelUpdateCount);
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}
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}
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}
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