wehub-resource-sync
110 lines
3.5 KiB
C#
110 lines
3.5 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Indicators;
|
|
|
|
namespace QuantConnect.Tests.Indicators
|
|
{
|
|
[TestFixture]
|
|
public class MaximumTests : CommonIndicatorTests<IndicatorDataPoint>
|
|
{
|
|
protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
|
|
{
|
|
return new Maximum(5);
|
|
}
|
|
|
|
protected override string TestFileName
|
|
{
|
|
get { return "spy_max.txt"; }
|
|
}
|
|
|
|
protected override string TestColumnName
|
|
{
|
|
get { return "MAX_5"; }
|
|
}
|
|
|
|
[Test]
|
|
public void ComputesCorrectly()
|
|
{
|
|
var max = new Maximum(3);
|
|
|
|
var reference = DateTime.MinValue;
|
|
|
|
max.Update(reference.AddDays(1), 1m);
|
|
Assert.AreEqual(1m, max.Current.Value);
|
|
Assert.AreEqual(0, max.PeriodsSinceMaximum);
|
|
|
|
max.Update(reference.AddDays(2), -1m);
|
|
Assert.AreEqual(1m, max.Current.Value);
|
|
Assert.AreEqual(1, max.PeriodsSinceMaximum);
|
|
|
|
max.Update(reference.AddDays(3), 0m);
|
|
Assert.AreEqual(1m, max.Current.Value);
|
|
Assert.AreEqual(2, max.PeriodsSinceMaximum);
|
|
|
|
max.Update(reference.AddDays(4), -2m);
|
|
Assert.AreEqual(0m, max.Current.Value);
|
|
Assert.AreEqual(1, max.PeriodsSinceMaximum);
|
|
|
|
max.Update(reference.AddDays(5), -2m);
|
|
Assert.AreEqual(0m, max.Current.Value);
|
|
Assert.AreEqual(2, max.PeriodsSinceMaximum);
|
|
}
|
|
|
|
[Test]
|
|
public void ComputesCorrectlyMaximum()
|
|
{
|
|
const int period = 5;
|
|
var max = new Maximum(period);
|
|
|
|
Assert.AreEqual(0m, max.Current.Value);
|
|
|
|
// test an increasing stream of data
|
|
for (int i = 0; i < period; i++)
|
|
{
|
|
max.Update(DateTime.Now.AddDays(i), i);
|
|
Assert.AreEqual(i, max.Current.Value);
|
|
Assert.AreEqual(0, max.PeriodsSinceMaximum);
|
|
}
|
|
|
|
// test a decreasing stream of data
|
|
for (int i = 0; i < period; i++)
|
|
{
|
|
max.Update(DateTime.Now.AddDays(period + i), period - i - 1);
|
|
Assert.AreEqual(period - 1, max.Current.Value);
|
|
Assert.AreEqual(i, max.PeriodsSinceMaximum);
|
|
}
|
|
|
|
Assert.AreEqual(max.Period, max.PeriodsSinceMaximum + 1);
|
|
}
|
|
|
|
[Test]
|
|
public void ResetsProperlyMaximum()
|
|
{
|
|
var max = new Maximum(3);
|
|
max.Update(DateTime.Today, 1m);
|
|
max.Update(DateTime.Today.AddSeconds(1), 2m);
|
|
max.Update(DateTime.Today.AddSeconds(2), 1m);
|
|
Assert.IsTrue(max.IsReady);
|
|
|
|
max.Reset();
|
|
Assert.AreEqual(0, max.PeriodsSinceMaximum);
|
|
TestHelper.AssertIndicatorIsInDefaultState(max);
|
|
}
|
|
}
|
|
}
|