indicator: add test case for boll

2024-11-22 06:53:52 +00:00 · 2022-05-03 22:23:37 +08:00 · 2022-05-03 22:23:37 +08:00 · aa29fde9e3
commit aa29fde9e3
parent 463c6ee01f
1 changed files with 68 additions and 0 deletions
--- a/pkg/indicator/boll_test.go
+++ b/pkg/indicator/boll_test.go
@ -0,0 +1,68 @@
+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 numpy as np
+import pandas as pd
+
+np.random.seed(1)
+
+window = 14
+n = 100
+
+s = pd.Series(10 + np.sin(2 * np.pi * np.arange(n) / n) + np.random.rand(n))
+print(s.tolist())
+
+std = s.rolling(window).std()
+ma = s.rolling(window).mean()
+
+boll_up = ma + std
+boll_down = ma - std
+print(boll_up)
+print(boll_down)
+*/
+func TestBOLL(t *testing.T) {
+	var Delta = 4e-2
+	var randomPrices = []byte(`[10.417022004702574, 10.783115012971471, 10.12544760838165, 10.489713887217565, 10.395445777981967, 10.401355589143744, 10.55438476406235, 10.77134001860812, 10.878521148332386, 11.074643528982353, 11.006979766695768, 11.322643490145449, 10.888999355660205, 11.607086063812357, 10.797900835973715, 11.47948450455335, 11.261632727869141, 11.434996508489617, 11.045213991061253, 11.12787797497313, 11.75180108497069, 11.936844736848029, 11.295711428887932, 11.684437316983791, 11.87441588072431, 11.894606663503847, 11.08307093979805, 11.03116948454736, 11.152117670293258, 11.846725664558043, 11.049403350128204, 11.350884110893302, 11.862716582616521, 11.40947196501688, 11.536205039452488, 11.12453262538101, 11.457014170457374, 11.563594299318783, 10.70283538327288, 11.387568304693657, 11.576646341198968, 11.283992449358836, 10.76219766616612, 11.215058620016562, 10.471350559262321, 10.756910520550854, 11.157285390257952, 10.480995462959404, 10.413108572150653, 10.192819091647591, 10.019366957870297, 10.616045013410577, 10.086294882435753, 10.078165344786502, 10.242883272115485, 9.744345550742134, 10.205993052807335, 9.720949283340737, 10.107551862801568, 10.163931565041935, 9.514549176535352, 9.776631998070878, 10.009853051799057, 9.685210642105492, 9.279440216170297, 9.726879411540565, 9.819466719717774, 9.638582432014445, 10.039767703524793, 9.656778554613743, 9.95234539899273, 9.168891543017606, 9.15698909652207, 9.815276587395047, 9.399650108557262, 9.165354197116933, 9.929481851967761, 9.355651158431028, 9.768524852407467, 9.75741482422182, 9.932249574910657, 9.693895721167358, 9.846115381561317, 9.47259166193398, 9.425599966263011, 10.086869223821118, 9.657577947095504, 10.235871419726973, 9.97889439188976, 9.984271730460431, 9.526960720660902, 10.413662463728075, 9.968158459378225, 10.152610322822058, 10.040012250076602, 9.92800998586808, 10.654689633397398, 10.386298172086562, 9.877537093466854, 10.55435439409141]`)
+	var input []fixedpoint.Value
+	if err := json.Unmarshal(randomPrices, &input); err != nil {
+		panic(err)
+	}
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		window int
+		k      float64
+		up     float64
+		down   float64
+	}{
+		{
+			name:   "random_case",
+			kLines: buildKLines(input),
+			window: 14,
+			k:      1,
+			up:     10.421434,
+			down:   9.772696,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
+			boll.calculateAndUpdate(tt.kLines)
+			assert.InDelta(t, tt.up, boll.LastUpBand(), Delta)
+			assert.InDelta(t, tt.down, boll.LastDownBand(), Delta)
+		})
+	}
+
+}