mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-27 01:05:15 +00:00
88 lines
2.5 KiB
Go
88 lines
2.5 KiB
Go
package indicator
|
|
|
|
import (
|
|
"encoding/json"
|
|
"fmt"
|
|
"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 = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
|
|
|
|
high = pd.Series([100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109])
|
|
|
|
low = pd.Series([80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89])
|
|
|
|
close = pd.Series([90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99])
|
|
|
|
result = ta.adx(high, low, close, 5, 14)
|
|
print(result['ADX_14'])
|
|
|
|
print(result['DMP_5'])
|
|
print(result['DMN_5'])
|
|
*/
|
|
func Test_DMI(t *testing.T) {
|
|
var Delta = 0.001
|
|
var highb = []byte(`[100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109]`)
|
|
var lowb = []byte(`[80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89]`)
|
|
var clozeb = []byte(`[90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99]`)
|
|
|
|
buildKLines := func(h, l, c []byte) (klines []types.KLine) {
|
|
var hv, cv, lv []fixedpoint.Value
|
|
_ = json.Unmarshal(h, &hv)
|
|
_ = json.Unmarshal(l, &lv)
|
|
_ = json.Unmarshal(c, &cv)
|
|
if len(hv) != len(lv) || len(lv) != len(cv) {
|
|
panic(fmt.Sprintf("length not equal %v %v %v", len(hv), len(lv), len(cv)))
|
|
}
|
|
for i, hh := range hv {
|
|
kline := types.KLine{High: hh, Low: lv[i], Close: cv[i]}
|
|
klines = append(klines, kline)
|
|
}
|
|
return klines
|
|
}
|
|
|
|
type output struct {
|
|
dip float64
|
|
dim float64
|
|
adx float64
|
|
}
|
|
|
|
tests := []struct {
|
|
name string
|
|
klines []types.KLine
|
|
want output
|
|
next output
|
|
total int
|
|
}{
|
|
{
|
|
name: "test_dmi",
|
|
klines: buildKLines(highb, lowb, clozeb),
|
|
want: output{dip: 4.85114, dim: 1.339736, adx: 37.857156},
|
|
next: output{dip: 4.813853, dim: 1.67532, adx: 36.111434},
|
|
},
|
|
}
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
dmi := &DMI{
|
|
IntervalWindow: types.IntervalWindow{Window: 5},
|
|
ADXSmoothing: 14,
|
|
}
|
|
dmi.calculateAndUpdate(tt.klines)
|
|
assert.InDelta(t, dmi.GetDIPlus().Last(), tt.want.dip, Delta)
|
|
assert.InDelta(t, dmi.GetDIMinus().Last(), tt.want.dim, Delta)
|
|
assert.InDelta(t, dmi.GetADX().Last(), tt.want.adx, Delta)
|
|
})
|
|
}
|
|
|
|
}
|