bbgo_origin/pkg/indicator/ewma_test.go

1080 lines
11 KiB
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package indicator
import (
"encoding/json"
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"math"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
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)
// 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)'
var ethusdt5m = []byte(`[
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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,
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592.33,
593.44,
594.34,
593.89,
594,
590.81,
595.51,
594.08,
596.58,
592.97,
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590.89,
591.9,
589.67,
590.25,
592.53,
594.01,
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588.5,
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589.24,
592,
594.57,
593.98,
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595.57,
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600.3,
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601,
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567.24,
563.9,
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567.49,
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571.31,
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571.36,
572.66,
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570.58,
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571.64,
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]`)
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func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
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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
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priceF types.KLineValueMapper
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window int
}
var input []fixedpoint.Value
if err := json.Unmarshal(ethusdt5m, &input); err != nil {
panic(err)
}
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tests := []struct {
name string
args args
want float64
}{
{
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name: "ETHUSDT EMA 7",
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args: args{
allKLines: buildKLines(input),
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priceF: types.KLineClosePriceMapper,
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window: 7,
},
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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{
allKLines: buildKLines(input),
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priceF: types.KLineClosePriceMapper,
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window: 25,
},
want: 571.30,
},
{
name: "ETHUSDT EMA 99",
args: args{
allKLines: buildKLines(input),
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priceF: types.KLineClosePriceMapper,
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window: 99,
},
want: 577.62, // binance mobile uses 577.58
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},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
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got := CalculateKLinesEMA(tt.args.allKLines, tt.args.priceF, tt.args.window)
got = math.Trunc(got*100.0) / 100.0
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if got != tt.want {
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t.Errorf("CalculateKLinesEMA() = %v, want %v", got, tt.want)
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}
})
}
}