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09cc91bab8
bbgo_origin/pkg/indicator/ewma_test.go

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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
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fix unmarshal behavior to gain more precision
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572.74
]`)
improve and fix ewma calculation
2020-12-05 05:04:32 +00:00
fix unmarshal behavior to gain more precision
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func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
improve and fix ewma calculation
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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 KLinePriceMapper
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window int
}
fix go fmt, fix convert.go (the legacy fixedpoint implementation) in all tests
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var input []fixedpoint.Value
fix unmarshal behavior to gain more precision
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if err := json.Unmarshal(ethusdt5m, &input); err != nil {
panic(err)
}
improve and fix ewma calculation
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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{
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allKLines: buildKLines(input),
add fixedpoint json marshaling
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priceF: 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{
fix unmarshal behavior to gain more precision
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allKLines: buildKLines(input),
add fixedpoint json marshaling
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priceF: KLineClosePriceMapper,
window: 25,
},
want: 571.30,
},
{
name: "ETHUSDT EMA 99",
args: args{
fix unmarshal behavior to gain more precision
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allKLines: buildKLines(input),
add fixedpoint json marshaling
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priceF: KLineClosePriceMapper,
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)
improve and fix ewma calculation
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}
})
}
}
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