wehub-resource-sync
83 lines
2.9 KiB
C#
83 lines
2.9 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 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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[TestFixture]
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public class HilbertTransformTests : 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 HilbertTransform();
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}
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protected override string TestFileName => "spy_with_hilbert.csv";
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protected override string TestColumnName => "Close";
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[Test]
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public void ComparesAgainstExternalDataInPhase()
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{
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var hilbertTransform = new HilbertTransform();
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TestHelper.TestIndicator(
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hilbertTransform,
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TestFileName,
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"InPhase",
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(_, expected) =>
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Assert.AreEqual(expected, (double)hilbertTransform.InPhase.Current.Value, 1e-3));
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}
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[Test]
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public void ComparesAgainstExternalDataQuadrature()
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{
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var hilbertTransform = new HilbertTransform();
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TestHelper.TestIndicator(
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hilbertTransform,
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TestFileName,
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"Quadrature",
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(actual, expected) =>
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Assert.AreEqual(expected, (double)hilbertTransform.Quadrature.Current.Value, 1e-3));
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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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var hti = new HilbertTransform(length: 2);
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TestHelper.AssertIndicatorIsInDefaultState(hti);
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TestHelper.AssertIndicatorIsInDefaultState(hti.Quadrature);
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TestHelper.AssertIndicatorIsInDefaultState(hti.InPhase);
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hti.Update(DateTime.Today, 1m);
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hti.Update(DateTime.Today.AddSeconds(1), 2m);
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hti.Update(DateTime.Today.AddSeconds(2), 3m);
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hti.Update(DateTime.Today.AddSeconds(3), 1m);
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hti.Update(DateTime.Today.AddSeconds(4), 2m);
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hti.Update(DateTime.Today.AddSeconds(5), 3m);
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hti.Update(DateTime.Today.AddSeconds(6), 1m);
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hti.Update(DateTime.Today.AddSeconds(7), 2m);
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hti.Update(DateTime.Today.AddSeconds(8), 3m);
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Assert.IsTrue(hti.IsReady);
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hti.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(hti);
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TestHelper.AssertIndicatorIsInDefaultState(hti.Quadrature);
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TestHelper.AssertIndicatorIsInDefaultState(hti.InPhase);
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}
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}
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