82 lines
2.6 KiB
Go
82 lines
2.6 KiB
Go
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package indicatorv2
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import (
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"encoding/json"
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"math"
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"testing"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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/*
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python
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import pandas as pd
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import pandas_ta as ta
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data = {
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"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
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"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
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"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,
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39693.79, 39827.96, 40074.94, 40059.84]
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}
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high = pd.Series(data['high'])
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low = pd.Series(data['low'])
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close = pd.Series(data['close'])
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result = ta.atr(high, low, close, length=14)
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print(result)
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*/
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func Test_ATR2(t *testing.T) {
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var bytes = []byte(`{
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"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
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"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
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"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
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}`)
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var buildKLines = func(bytes []byte) (kLines []types.KLine) {
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var prices map[string][]fixedpoint.Value
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_ = json.Unmarshal(bytes, &prices)
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for i, h := range prices["high"] {
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kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
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kLines = append(kLines, kLine)
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}
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return kLines
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}
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tests := []struct {
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name string
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kLines []types.KLine
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window int
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want float64
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}{
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{
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name: "test_binance_btcusdt_1h",
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kLines: buildKLines(bytes),
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window: 14,
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want: 367.913903,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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stream := &types.StandardStream{}
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kLines := KLines(stream, "", "")
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atr := ATR2(kLines, tt.window)
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for _, k := range tt.kLines {
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stream.EmitKLineClosed(k)
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}
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got := atr.Last(0)
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diff := math.Trunc((got-tt.want)*100) / 100
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if diff != 0 {
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t.Errorf("ATR2() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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