wehub-resource-sync
82 lines
2.8 KiB
C#
82 lines
2.8 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 TimeSeriesForecastTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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var tsf = new TimeSeriesForecast(5);
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return tsf;
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}
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protected override string TestFileName => "spy_tsf.csv";
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protected override string TestColumnName => "tsf";
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[Test]
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public void ComputesCorrectly()
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{
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var tsf = CreateIndicator();
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const int period = 5;
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// Data source: https://tulipindicators.org/tsf
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var data = new[] {81.59m, 81.06m, 82.87m, 83.00m, 83.61m, 83.15m, 82.84m, 83.99m, 84.55m, 84.36m, 85.53m, 86.54m, 86.89m, 87.77m, 87.29m};
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var output = new [] {0m, 0m, 0m, 0m, 84.22m, 84.21m, 83.12m, 83.68m, 84.44m, 85.02m, 85.98m, 86.82m, 87.63m, 88.67m, 88.23m};
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var reference = DateTime.MinValue;
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for (var i = 0; i < output.Length; i++)
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{
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tsf.Update(reference.AddDays(i + 1), data[i]);
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if (i >= period)
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{
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Assert.AreEqual(output[i], decimal.Round(tsf.Current.Value, 2));
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}
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}
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}
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[Test]
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public override void ResetsProperly()
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{
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const int period = 3;
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var tsf = new TimeSeriesForecast(period);
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var reference = DateTime.MinValue;
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tsf.Update(reference, 1m);
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tsf.Update(reference.AddDays(1), 1m);
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tsf.Update(reference.AddDays(2), 1m);
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Assert.IsTrue(tsf.IsReady);
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tsf.Reset();
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Assert.IsFalse(tsf.IsReady);
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TestHelper.AssertIndicatorIsInDefaultState(tsf);
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}
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[Test]
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public void CorrectPeriodSize()
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{
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Assert.Throws<ArgumentException>(() => new TimeSeriesForecast(1));
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Assert.DoesNotThrow(() => new TimeSeriesForecast(2));
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}
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}
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}
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