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 System;
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using System.Collections.Generic;
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using System.Linq;
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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 SimpleMovingAverageTests : 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 SimpleMovingAverage(14);
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}
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protected override string TestFileName => "spy_with_indicators.txt";
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protected override string TestColumnName => "SMA14";
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protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 1e-2); }
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}
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[Test]
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public void SmaComputesCorrectly()
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{
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var sma = new SimpleMovingAverage(4);
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var data = new[] {1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m};
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var seen = new List<decimal>();
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for (int i = 0; i < data.Length; i++)
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{
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var datum = data[i];
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seen.Add(datum);
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sma.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
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Assert.AreEqual(Enumerable.Reverse(seen).Take(sma.Period).Average(), sma.Current.Value);
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}
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}
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[Test]
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public void IsReadyAfterPeriodUpdates()
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{
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var sma = new SimpleMovingAverage(3);
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sma.Update(DateTime.UtcNow, 1m);
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sma.Update(DateTime.UtcNow, 1m);
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Assert.IsFalse(sma.IsReady);
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sma.Update(DateTime.UtcNow, 1m);
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Assert.IsTrue(sma.IsReady);
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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 sma = new SimpleMovingAverage(3);
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foreach (var data in TestHelper.GetDataStream(4))
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{
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sma.Update(data);
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}
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Assert.IsTrue(sma.IsReady);
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sma.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(sma);
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TestHelper.AssertIndicatorIsInDefaultState(sma.RollingSum);
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sma.Update(DateTime.UtcNow, 2.0m);
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Assert.AreEqual(sma.Current.Value, 2.0m);
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}
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}
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} |