bbgo/pkg/indicator/dmi_test.go

88 lines
2.5 KiB
Go

package indicator
import (
"encoding/json"
"fmt"
"testing"
"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
"github.com/stretchr/testify/assert"
)
/*
python:
import pandas as pd
import pandas_ta as ta
data = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
high = pd.Series([100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109])
low = pd.Series([80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89])
close = pd.Series([90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99])
result = ta.adx(high, low, close, 5, 14)
print(result['ADX_14'])
print(result['DMP_5'])
print(result['DMN_5'])
*/
func Test_DMI(t *testing.T) {
var Delta = 0.001
var highb = []byte(`[100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109]`)
var lowb = []byte(`[80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89]`)
var clozeb = []byte(`[90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99]`)
buildKLines := func(h, l, c []byte) (klines []types.KLine) {
var hv, cv, lv []fixedpoint.Value
_ = json.Unmarshal(h, &hv)
_ = json.Unmarshal(l, &lv)
_ = json.Unmarshal(c, &cv)
if len(hv) != len(lv) || len(lv) != len(cv) {
panic(fmt.Sprintf("length not equal %v %v %v", len(hv), len(lv), len(cv)))
}
for i, hh := range hv {
kline := types.KLine{High: hh, Low: lv[i], Close: cv[i]}
klines = append(klines, kline)
}
return klines
}
type output struct {
dip float64
dim float64
adx float64
}
tests := []struct {
name string
klines []types.KLine
want output
next output
total int
}{
{
name: "test_dmi",
klines: buildKLines(highb, lowb, clozeb),
want: output{dip: 4.85114, dim: 1.339736, adx: 37.857156},
next: output{dip: 4.813853, dim: 1.67532, adx: 36.111434},
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
dmi := &DMI{
IntervalWindow: types.IntervalWindow{Window: 5},
ADXSmoothing: 14,
}
dmi.CalculateAndUpdate(tt.klines)
assert.InDelta(t, dmi.GetDIPlus().Last(0), tt.want.dip, Delta)
assert.InDelta(t, dmi.GetDIMinus().Last(0), tt.want.dim, Delta)
assert.InDelta(t, dmi.GetADX().Last(0), tt.want.adx, Delta)
})
}
}