wehub-resource-sync
85 lines
2.6 KiB
C#
85 lines
2.6 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.Linq;
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using Accord.Math;
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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 TimeSeriesIndicatorTests
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{
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[Test]
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public void DifferencesSeries()
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{
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var test = EvenOddSeries();
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double[] heads;
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var differencer = TimeSeriesIndicator.DifferenceSeries(1, test, out heads);
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Assert.AreEqual(-1, differencer.Sum());
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}
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[Test]
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public void UndifferencesSeries()
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{
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var test = EvenOddSeries();
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double[] heads;
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var differencer = TimeSeriesIndicator.DifferenceSeries(1, test, out heads);
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Assert.AreEqual(test.Sum(), TimeSeriesIndicator.InverseDifferencedSeries(differencer, heads).Sum());
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}
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[Test]
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public void LagsSeriesTest()
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{
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var test = EvenOddSeries(0, 1);
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var lags = TimeSeriesIndicator.LaggedSeries(1, test);
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Assert.AreEqual(50, test.Sum());
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Assert.AreEqual(49d, lags.Sum());
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}
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[Test]
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public void CumulativeSumTest()
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{
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var test = EvenOddSeries(0, 1, 50);
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var sums = TimeSeriesIndicator.CumulativeSum(test.ToList());
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Assert.AreEqual(25, test.Sum());
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Assert.AreEqual(625, sums.Sum()); // From excel
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}
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private static double[] EvenOddSeries(int even = 1, int odd = 2, int len = 100)
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{
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var test = new double[len];
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for (var i = 0; i < test.Length; i++)
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{
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switch (i % 2)
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{
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case 0:
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test[i] = even;
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break;
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default:
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test[i] = odd;
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break;
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}
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}
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return test;
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}
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}
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} |