wehub-resource-sync
75 lines
2.7 KiB
C#
75 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 StandardDeviationTests : CommonIndicatorTests<IndicatorDataPoint>
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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 following function in Julia
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// stdpop(v) = sqrt(sum((v - mean(v)).^2) / length(v))
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var std = new StandardDeviation(3);
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var reference = DateTime.MinValue;
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std.Update(reference.AddDays(1), 1m);
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Assert.AreEqual(0m, std.Current.Value);
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std.Update(reference.AddDays(2), -1m);
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Assert.AreEqual(1m, std.Current.Value);
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std.Update(reference.AddDays(3), 1m);
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Assert.AreEqual(0.942809041582063m, std.Current.Value);
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std.Update(reference.AddDays(4), -2m);
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Assert.AreEqual(1.24721912892465m, std.Current.Value);
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std.Update(reference.AddDays(5), 3m);
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Assert.AreEqual(2.05480466765633m, std.Current.Value);
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}
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[Test]
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public void ResetsProperlyStandardDeviation()
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{
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var std = new StandardDeviation(3);
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std.Update(DateTime.Today, 1m);
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std.Update(DateTime.Today.AddSeconds(1), 5m);
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std.Update(DateTime.Today.AddSeconds(2), 1m);
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Assert.IsTrue(std.IsReady);
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std.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(std);
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}
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new StandardDeviation(10);
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}
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protected override string TestFileName => "spy_var.txt";
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protected override string TestColumnName => "Var";
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protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion =>
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(indicator, expected) =>
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Assert.AreEqual(Math.Sqrt(expected), (double) indicator.Current.Value, 1e-6);
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}
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} |