wehub-resource-sync
105 lines
3.6 KiB
C#
105 lines
3.6 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.Data.Market;
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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 StochasticTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override IndicatorBase<IBaseDataBar> CreateIndicator()
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{
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RenkoBarSize = 1m;
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VolumeRenkoBarSize = 0.5m;
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return new Stochastic(12, 3, 5);
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}
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protected override string TestFileName => "spy_with_stoch12k3.txt";
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protected override string TestColumnName => "%D 5";
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protected override Action<IndicatorBase<IBaseDataBar>, double> Assertion =>
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(indicator, expected) =>
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Assert.AreEqual(expected, (double)((Stochastic)indicator).StochD.Current.Value, 1e-3);
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[Test]
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public void ComparesAgainstExternalDataOnStochasticsK()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"Stochastics 12 %K 3",
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(ind, expected) => Assert.AreEqual(
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expected,
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(double) ((Stochastic) ind).StochK.Current.Value,
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1e-3
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)
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);
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}
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[Test]
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public void PrimaryOutputIsFastStochProperty()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"Stochastics 12 %K 3",
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(ind, expected) => Assert.AreEqual(
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(double) ((Stochastic) ind).FastStoch.Current.Value,
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ind.Current.Value
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)
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);
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}
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[Test]
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public new void ResetsProperly()
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{
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var stochastics = CreateIndicator() as Stochastic;
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foreach (var bar in TestHelper.GetTradeBarStream(TestFileName, false))
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{
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stochastics.Update(bar);
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}
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Assert.IsTrue(stochastics.IsReady);
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Assert.IsTrue(stochastics.FastStoch.IsReady);
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Assert.IsTrue(stochastics.StochK.IsReady);
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Assert.IsTrue(stochastics.StochD.IsReady);
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stochastics.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(stochastics);
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TestHelper.AssertIndicatorIsInDefaultState(stochastics.FastStoch);
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TestHelper.AssertIndicatorIsInDefaultState(stochastics.StochK);
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TestHelper.AssertIndicatorIsInDefaultState(stochastics.StochD);
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}
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[Test]
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public void HandlesEqualMinAndMax()
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{
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var reference = DateTime.Now;
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var stochastics = new Stochastic("sto", 2, 2, 2);
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for (var i = 0; i < 4; i++)
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{
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var bar = new TradeBar(reference.AddSeconds(i), Symbols.SPY, 1, 1, 1, 1, 1);
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stochastics.Update(bar);
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Assert.AreEqual(0m, stochastics.Current.Value);
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}
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}
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}
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} |