wehub-resource-sync
88 lines
2.9 KiB
C#
88 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 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 RelativeVigorIndexTests : 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 = 10000000m;
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return new RelativeVigorIndex("RVI", 10);
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}
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protected override string TestFileName => "spy_rvi.txt";
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protected override string TestColumnName => "RVI";
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[Test]
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public void ComparesWithExternalDataRviSignal()
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{
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var rvi = CreateIndicator();
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TestHelper.TestIndicator(rvi, TestFileName, "RVI_S",
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(ind, expected) => Assert.AreEqual(expected,
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(double)((RelativeVigorIndex)ind).Signal.Current.Value, 0.06));
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}
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[Test]
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public void TestDivByZero() // Should give 0 (default) to avoid div by zero errors.
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{
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var rvi = CreateIndicator();
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for (int i = 0; i < 13; i++)
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{
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var tradeBar = new TradeBar
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{
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Open = 0m,
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Close = 0m,
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High = 0m,
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Low = 0m,
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Volume = 1
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};
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rvi.Update(tradeBar);
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}
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Assert.AreEqual(rvi.Current.Value, 0m);
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Assert.AreEqual(((RelativeVigorIndex)rvi).Signal.Current.Value, 0m);
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}
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[Test]
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public void SignalUpdatesOnFlatMarket()
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{
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var rvi = new RelativeVigorIndex("RVI", 10);
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var referenceTime = System.DateTime.Today;
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for (int i = 0; i < 30; i++)
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{
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rvi.Update(new TradeBar
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{
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Time = referenceTime.AddMinutes(i),
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Open = 105m,
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High = 105m,
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Low = 105m,
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Close = 105m,
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Volume = 1000
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});
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}
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var signalSamples = rvi.Signal.Samples;
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Assert.AreEqual(18, signalSamples);
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}
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}
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}
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