Merge pull request #1357 from c9s/narumi/rma-test-cases

FIX: Fix duplicate RMA values and add test cases

pkg/indicator/rma_test.go

@@ -0,0 +1,72 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+/*
+python
+
+import pandas as pd
+import pandas_ta as ta
+
+data = [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
+
+close = pd.Series(data)
+result = ta.rma(close, length=14)
+print(result)
+*/
+func Test_RMA(t *testing.T) {
+	var bytes = []byte(`[40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]`)
+	var values []fixedpoint.Value
+	err := json.Unmarshal(bytes, &values)
+	assert.NoError(t, err)
+
+	var kLines []types.KLine
+	for _, p := range values {
+		kLines = append(kLines, types.KLine{High: p, Low: p, Close: p})
+	}
+
+	tests := []struct {
+		name   string
+		window int
+		want   []float64
+	}{
+		{
+			name:   "test_binance_btcusdt_1h",
+			window: 14,
+			want: []float64{
+				40129.841000,
+				40041.830291,
+				39988.157743,
+				39958.803719,
+				39946.115094,
+				39958.296741,
+				39967.681562,
+			},
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			rma := RMA{
+				IntervalWindow: types.IntervalWindow{Window: tt.window},
+				Adjust:         true,
+			}
+			rma.CalculateAndUpdate(kLines)
+
+			if assert.Equal(t, len(tt.want), len(rma.Values)-tt.window+1) {
+				for i, v := range tt.want {
+					j := tt.window - 1 + i
+					got := rma.Values[j]
+					assert.InDelta(t, v, got, 0.01, "Expected rma.slice[%d] to be %v, but got %v", j, v, got)
+				}
+			}
+		})
+	}
+}

pkg/indicator/v2/rma.go

@@ -34,23 +34,20 @@ func RMA2(source types.Float64Source, window int, adjust bool) *RMAStream {
 
 func (s *RMAStream) Calculate(x float64) float64 {
 	lambda := 1 / float64(s.window)
-	tmp := 0.0
 	if s.counter == 0 {
 		s.sum = 1
-		tmp = x
+		s.previous = x
 	} else {
 		if s.Adjust {
 			s.sum = s.sum*(1-lambda) + 1
-			tmp = s.previous + (x-s.previous)/s.sum
+			s.previous = s.previous + (x-s.previous)/s.sum
 		} else {
-			tmp = s.previous*(1-lambda) + x*lambda
+			s.previous = s.previous*(1-lambda) + x*lambda
 		}
 	}
 	s.counter++
 
-	s.Slice.Push(tmp)
-	s.previous = tmp
-	return tmp
+	return s.previous
 }
 
 func (s *RMAStream) Truncate() {

pkg/indicator/v2/rma_test.go

@@ -0,0 +1,65 @@
+package indicatorv2
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+/*
+python
+
+import pandas as pd
+import pandas_ta as ta
+
+data = [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
+
+close = pd.Series(data)
+result = ta.rma(close, length=14)
+print(result)
+*/
+func Test_RMA2(t *testing.T) {
+	var bytes = []byte(`[40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]`)
+	var values []float64
+	err := json.Unmarshal(bytes, &values)
+	assert.NoError(t, err)
+
+	prices := ClosePrices(nil)
+	for _, v := range values {
+		prices.Push(v)
+	}
+
+	tests := []struct {
+		name   string
+		window int
+		want   []float64
+	}{
+		{
+			name:   "test_binance_btcusdt_1h",
+			window: 14,
+			want: []float64{
+				40129.841000,
+				40041.830291,
+				39988.157743,
+				39958.803719,
+				39946.115094,
+				39958.296741,
+				39967.681562,
+			},
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			rma := RMA2(prices, tt.window, true)
+			if assert.Equal(t, len(tt.want), len(rma.Slice)-tt.window+1) {
+				for i, v := range tt.want {
+					j := tt.window - 1 + i
+					got := rma.Slice[j]
+					assert.InDelta(t, v, got, 0.01, "Expected rma.slice[%d] to be %v, but got %v", j, v, got)
+				}
+			}
+		})
+	}
+}