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54 lines
1.8 KiB
Go
54 lines
1.8 KiB
Go
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package indicator
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import (
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"encoding/json"
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"testing"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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/*
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import pandas as pd
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import pandas_ta as ta
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high = pd.Series([1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7])
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low = pd.Series([0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5])
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close = pd.Series([1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6])
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vol = pd.Series([300., 200., 200., 150., 150., 200., 200., 150., 300., 350.])
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# kvo = ta.kvo(high, low, close, vol, fast=3, slow=5, signal=1)
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# print(kvo)
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# # The implementation of kvo in pandas_ta is different from the one defined in investopedia
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# # VF is not simply multipying trend
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# # Also the value is not multiplied by 100 in pandas_ta
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*/
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func Test_KlingerOscillator(t *testing.T) {
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var high, low, cloze, vResult, vol []fixedpoint.Value
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if err := json.Unmarshal([]byte(`[1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7]`), &high); err != nil {
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panic(err)
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}
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if err := json.Unmarshal([]byte(`[0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5]`), &low); err != nil {
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panic(err)
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}
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if err := json.Unmarshal([]byte(`[1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6]`), &cloze); err != nil {
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panic(err)
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}
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if err := json.Unmarshal([]byte(`[300.0, 200.0, 200.0, 150.0, 150.0, 200.0, 200.0, 150.0, 300.0, 350.0]`), &vol); err != nil {
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panic(err)
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}
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if err := json.Unmarshal([]byte(`[300.0, 0.0, -28.5, -83, -95, -138, -146.7, 0, 100, 175]`), &vResult); err != nil {
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panic(err)
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}
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k := KlingerOscillator{
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Fast: &EWMA{IntervalWindow: types.IntervalWindow{Window: 3}},
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Slow: &EWMA{IntervalWindow: types.IntervalWindow{Window: 5}},
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}
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var Delta = 0.5
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for i := 0; i < len(high); i++ {
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k.Update(high[i].Float64(), low[i].Float64(), cloze[i].Float64(), vol[i].Float64())
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assert.InDelta(t, k.VF.Value, vResult[i].Float64(), Delta)
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}
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}
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