lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-23 23:35:14 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity
fix/trade-stats-for-live
bbgo_origin/pkg/indicator/ewma_test.go

1080 lines
10 KiB
Go
Raw Permalink Normal View History

improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
package indicator
import (
fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests
2022-02-15 05:55:19 +00:00
"encoding/json"
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
"math"
"testing"
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
"github.com/c9s/bbgo/pkg/fixedpoint"
fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests
2022-02-15 05:55:19 +00:00
"github.com/c9s/bbgo/pkg/types"
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
)
// generated from:
// 2020/12/05 10:25
// curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map({ closePrice: (.[4] | tonumber), openTime: .[0] })'
// curl -s 'https://www.binance.com/api/v3/klines?symbol=ETHUSDT&interval=5m&endTime=1607135400000&limit=1000' | jq '. | map(.[4] | tonumber)'
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
var ethusdt5m = []byte(`[
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
614.36,
613.62,
611.68,
614.7,
607.69,
606.82,
602.91,
606.35,
606.04,
603.94,
607.37,
599.72,
597.77,
594.36,
595.18,
592.65,
595.44,
595.08,
595.82,
596.31,
592.47,
594.19,
590.71,
586.77,
589.74,
592.33,
593.44,
594.34,
593.89,
594,
590.81,
595.51,
594.08,
596.58,
592.97,
593.3,
590.89,
591.9,
589.67,
590.25,
592.53,
594.01,
591.46,
588.5,
591.34,
589.24,
592,
594.57,
593.98,
593.93,
593.46,
594.22,
595.57,
595.81,
595.44,
599.65,
600.3,
599.5,
601,
598.24,
596.56,
596.55,
595.61,
596.91,
593.49,
592.03,
592.56,
592.95,
593.56,
593.78,
594.69,
594.17,
595.62,
596.06,
595.83,
598.51,
598.29,
596.94,
597.87,
598.02,
595.13,
594.87,
597,
599.89,
599.49,
599.32,
598.82,
597.26,
597.46,
593.32,
592.69,
589.42,
590.39,
589.91,
586.83,
586.53,
588.85,
589.44,
584.95,
584.06,
588.99,
588.75,
588.62,
589.61,
589.27,
585.26,
582.06,
577.06,
583.13,
588.01,
589.25,
589.42,
591.03,
590.99,
592.33,
593.86,
592.12,
593.21,
592.4,
590.86,
590.1,
592.32,
590.79,
592.01,
592.07,
596.66,
595.63,
595.76,
594.8,
594.21,
592.58,
592.19,
592.6,
591.29,
591.89,
590.03,
590.33,
588.53,
589.26,
587.18,
589.03,
587.49,
590.83,
590.63,
587.13,
584.86,
584.86,
584,
587.95,
589.48,
589.31,
586.96,
584.29,
585.68,
587.57,
582.19,
580.7,
580.01,
580.83,
578.84,
578.97,
582.23,
581.45,
582,
582.69,
582.68,
581.54,
581.32,
584.95,
582.57,
580.75,
579.58,
580.13,
582.42,
582.85,
585.5,
584.87,
586.1,
585.39,
587.32,
587.83,
590.11,
589.84,
589.78,
592.13,
590.5,
589.54,
589.01,
590.7,
592.73,
593.54,
591.56,
591.32,
590.49,
590.64,
591.43,
591.94,
593.12,
593.97,
595.47,
596.23,
597.63,
595.06,
595,
594.88,
597.61,
596.67,
600.23,
599.22,
596.36,
597.75,
596.34,
596.05,
595.9,
595.8,
596.33,
597.31,
598.82,
603.56,
602.33,
599.58,
598.7,
598.41,
596.14,
596.21,
595.13,
596.47,
595.81,
594.36,
595.78,
594.66,
596,
597.95,
597.77,
597.57,
598.43,
597.99,
598.4,
600.05,
597.81,
596.52,
597.04,
598.86,
600.16,
601.05,
600.3,
599.6,
597.42,
598.49,
598.62,
589.69,
591.62,
592.73,
593.15,
593.62,
593.77,
592.34,
592.54,
588.71,
591.31,
593.5,
593.36,
593.49,
593.63,
593.62,
593.37,
596.52,
597.04,
597.59,
596.94,
596.09,
595.51,
595.13,
593.1,
594.48,
594.61,
596.8,
595.36,
593.32,
593.58,
593,
591.84,
590.61,
592.27,
591.81,
590.27,
587.59,
587.96,
591.07,
591.86,
589.61,
588.16,
588.08,
585.46,
586.69,
588.21,
588.7,
589.51,
585.28,
586.27,
589.88,
590.97,
590.92,
590.7,
590.09,
589.38,
588.51,
586.69,
585.33,
584.32,
585.42,
586.3,
586.08,
587.32,
587.55,
587.31,
587.07,
587.57,
587.44,
588.56,
588.91,
589.13,
591.17,
594.2,
593.36,
595.75,
596.29,
596.78,
596.82,
596.39,
596.31,
595.77,
595.95,
594.09,
596.86,
595.64,
595.41,
592.67,
594,
594.42,
594.92,
595,
596.46,
596.5,
596.98,
596.57,
599.27,
596.93,
596.47,
596.59,
595.8,
596.01,
596.38,
598.19,
598.72,
598.13,
596.83,
596.36,
597.12,
597.95,
596.02,
596,
596.33,
594.97,
595.82,
596.58,
596.37,
597.88,
598.5,
598.06,
599.71,
599.97,
600.7,
601.44,
599.72,
597.62,
597.24,
597.7,
597.67,
599.85,
599.43,
596.28,
596.21,
597.68,
597.75,
597.35,
598.18,
598.39,
598.54,
599.73,
600.1,
598.7,
597.96,
596.89,
598.8,
599.57,
598.4,
598.12,
597.39,
597.64,
594.69,
595.61,
595.82,
595.97,
596.71,
596,
592.87,
592.94,
591.5,
591.81,
592.02,
593.01,
591.34,
590.34,
590.27,
591.48,
591.92,
591.87,
592.07,
592.43,
592.79,
592.25,
591.28,
591.18,
592,
592.73,
593.61,
592.93,
592.61,
592.68,
593.84,
594.28,
595.41,
595.17,
594.8,
594.67,
595.99,
596.16,
597.58,
596.63,
596.06,
595.24,
595.17,
595.69,
596.51,
596.5,
595.56,
594.47,
593.49,
593.47,
593.81,
593.93,
594,
592.85,
593.04,
593.88,
593.78,
593.16,
594.9,
594.99,
593.91,
591.28,
588.23,
589.01,
589.12,
588.28,
589.36,
589.94,
589.6,
589.77,
590.36,
590.85,
590.18,
590.01,
590.77,
589.97,
590.78,
590.99,
588.95,
588.9,
588.02,
590.51,
592.01,
591.8,
596.14,
595.68,
595.72,
598.47,
598.1,
598.47,
597.27,
595.94,
596.43,
602.8,
607.08,
606.03,
605.98,
603.91,
604.5,
604.19,
604.98,
605.25,
606.41,
599.67,
601.87,
603.85,
603.18,
602.31,
602.5,
603.02,
603.84,
605.19,
605.29,
606.56,
605.54,
605.36,
605.11,
609.64,
608.82,
610.79,
609.74,
612.51,
614.67,
614.8,
613.42,
612.79,
614.4,
610.96,
610.57,
612.19,
613.22,
614.24,
612.67,
612.4,
611.6,
610.69,
611.5,
613.6,
610.99,
611.22,
610.54,
607.53,
608.7,
608.98,
608.4,
608.72,
609.35,
609.84,
608.5,
609.27,
611.71,
610.67,
611.18,
610.87,
612.38,
611.53,
610.7,
610.08,
609,
609.51,
608.16,
609.17,
611.02,
612.63,
612.25,
612.71,
613.27,
612.47,
611.12,
611.34,
611.14,
610.58,
610.01,
610.64,
610.07,
609.73,
610.85,
611.75,
612.76,
612.51,
613.12,
613.03,
614.49,
615.24,
617.37,
618.92,
621.61,
618.66,
608.37,
609.37,
612.48,
614.14,
616.23,
615.57,
615.53,
613.25,
614.73,
614.2,
615.19,
612.99,
609.91,
610.28,
611.5,
612.55,
613.21,
612.74,
611.8,
612.18,
612.2,
612.56,
614.05,
614.67,
614.45,
614.46,
614.16,
614.22,
615.62,
614.73,
614.56,
613.89,
613.38,
614.12,
612.24,
612.39,
611.83,
611.83,
611.24,
611.62,
611.44,
612.21,
612.12,
613.14,
613.53,
613.76,
613.38,
612.76,
613.31,
613.19,
613.71,
613.89,
613.52,
612.32,
611.39,
610.82,
611.03,
611.33,
611.52,
612.69,
612.63,
612.9,
613.25,
612.92,
613.35,
614.23,
614.66,
615.71,
615.39,
614.95,
614.74,
614.84,
615.27,
615.41,
615.74,
615.99,
615.22,
615.22,
614.99,
614.43,
614.7,
616.13,
616.78,
618.41,
618.35,
618.02,
615.89,
616.52,
617.12,
617.46,
616.88,
616.67,
616.9,
615.85,
614.86,
614.16,
614.95,
615.19,
615.17,
615.61,
617.79,
619.39,
618.27,
618.25,
617.81,
617.36,
617.22,
614.3,
613.67,
613.7,
613.79,
614.07,
612.17,
613.29,
612.94,
612.8,
613.1,
611.32,
612.93,
612.42,
611.86,
611.16,
609.93,
610.95,
610.16,
603.83,
606.02,
606.72,
604.39,
604.26,
607,
606.84,
607.84,
607.8,
605.64,
604.26,
605.22,
605.08,
606.01,
605.48,
604.73,
602.64,
604.64,
605.7,
605.58,
605.68,
606.05,
606.2,
606.62,
606.16,
607.36,
606.38,
605.48,
606.12,
607.16,
607.51,
607.4,
607.27,
606.66,
607.21,
606.1,
606.66,
605.73,
605.29,
603.52,
603.46,
604.73,
605.57,
606.04,
606.05,
607.02,
608.31,
607.69,
607.68,
607.45,
607.36,
607.18,
606.89,
605.9,
605.03,
604.85,
604.16,
604.49,
604.43,
604.94,
606.74,
606.51,
606.44,
605.03,
604.28,
606.71,
608.23,
609.64,
611.5,
611.6,
612.57,
611.81,
612.12,
611.87,
610.47,
611.22,
610.86,
609.75,
609.76,
609.06,
609.52,
607.76,
608.81,
609.2,
608.17,
607.88,
608.37,
609.27,
608.69,
608.33,
603.37,
600.33,
592.31,
592.43,
592.5,
591.56,
592.21,
594.3,
594.29,
593.4,
593.25,
594.53,
594.85,
597.23,
596.2,
595.5,
593.74,
591.08,
594.12,
595,
591.83,
590.93,
585.57,
588.02,
587.75,
584.22,
583.38,
586.86,
587.51,
589.39,
589.98,
591.01,
590.7,
591.73,
592.09,
590.98,
591.22,
591.04,
590.08,
588.41,
590.28,
590.95,
589.63,
591.09,
591.04,
590.03,
590.92,
589.92,
589.77,
587.7,
589.1,
591.42,
595.3,
594.44,
593.91,
593.85,
593.08,
592.17,
591.94,
592.46,
591.24,
590.66,
590.42,
590.24,
589.58,
589.38,
590.48,
590,
589.55,
589.3,
586.89,
584.95,
588.32,
583.45,
586.51,
586.6,
586.03,
584.14,
583.92,
585.94,
584.76,
587.6,
588.47,
589.39,
588.17,
588.99,
588.52,
589.23,
589.61,
590.62,
589.68,
589.88,
590.22,
589.78,
589.34,
588.11,
588.63,
588.27,
588.8,
587.96,
589.45,
589.99,
591,
590.82,
591.62,
591.17,
591.14,
590.68,
590.78,
591.87,
591.02,
590.61,
589.85,
589.66,
589.83,
591.09,
589.6,
590.89,
590.83,
589.29,
588.84,
588.51,
588.56,
588.26,
588.83,
587.95,
587.32,
588.3,
588.96,
588.54,
588.87,
589.12,
589.01,
587.54,
585.49,
584.81,
584.11,
584.77,
584.68,
585.07,
582.69,
580.38,
580.83,
580.53,
577.67,
582.09,
579.3,
578.17,
575.88,
576.2,
577.53,
572.94,
572.63,
570.55,
569.16,
573.56,
573.78,
574.3,
574.69,
575.85,
575.59,
574.36,
571.4,
571.9,
569.9,
571.62,
567.24,
563.9,
564.1,
565.2,
567.49,
567.81,
568.34,
570.68,
571.31,
570.79,
571.36,
572.66,
571.79,
570.58,
570.63,
572.96,
572.04,
571.64,
570.91,
570.17,
570.94,
572.12,
572.18,
569.6,
567.31,
568.21,
570.32,
572.85,
572.21,
572.63,
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
572.74
]`)
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
for _, p := range prices {
klines = append(klines, types.KLine{Close: p})
}
return klines
}
func Test_calculateEWMA(t *testing.T) {
type args struct {
allKLines []types.KLine
indicator: rename KLinePriceMapper to KLineValueMapper
2022-08-24 09:53:22 +00:00
priceF KLineValueMapper
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
window int
}
fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests
2022-02-15 05:55:19 +00:00
var input []fixedpoint.Value
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
if err := json.Unmarshal(ethusdt5m, &input); err != nil {
panic(err)
}
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
tests := []struct {
name string
args args
want float64
}{
{
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
name: "ETHUSDT EMA 7",
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
args: args{
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
allKLines: buildKLines(input),
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
priceF: KLineClosePriceMapper,
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
window: 7,
},
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
want: 571.72, // with open price, binance desktop returns 571.45, trading view returns 570.8957, for close price, binance mobile returns 571.72
},
{
name: "ETHUSDT EMA 25",
args: args{
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
allKLines: buildKLines(input),
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
priceF: KLineClosePriceMapper,
window: 25,
},
want: 571.30,
},
{
name: "ETHUSDT EMA 99",
args: args{
fix unmarshal behavior to gain more precision
2022-02-08 04:41:24 +00:00
allKLines: buildKLines(input),
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
priceF: KLineClosePriceMapper,
window: 99,
},
want: 577.62, // binance mobile uses 577.58
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
got := CalculateKLinesEMA(tt.args.allKLines, tt.args.priceF, tt.args.window)
got = math.Trunc(got*100.0) / 100.0
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
if got != tt.want {
add fixedpoint json marshaling
2020-12-07 15:03:06 +00:00
t.Errorf("CalculateKLinesEMA() = %v, want %v", got, tt.want)
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
}
})
}
}
Reference in New Issue Copy Permalink