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84b34e0cf7
bbgo_origin/pkg/indicator/ewma_test.go

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11 KiB
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package indicator
import (
"encoding/json"
"math"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
// 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(`[
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,
589.74,
592.33,
593.44,
594.34,
593.89,
594,
590.81,
595.51,
594.08,
596.58,
592.97,
593.3,
590.89,
591.9,
589.67,
590.25,
592.53,
594.01,
591.46,
588.5,
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589.24,
592,
594.57,
593.98,
593.93,
593.46,
594.22,
595.57,
595.81,
595.44,
599.65,
600.3,
599.5,
601,
598.24,
596.56,
596.55,
595.61,
596.91,
593.49,
592.03,
592.56,
592.95,
593.56,
593.78,
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595.62,
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598.02,
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597,
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599.49,
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593,
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577.67,
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577.53,
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570.55,
569.16,
573.56,
573.78,
574.3,
574.69,
575.85,
575.59,
574.36,
571.4,
571.9,
569.9,
571.62,
567.24,
563.9,
564.1,
565.2,
567.49,
567.81,
568.34,
570.68,
571.31,
570.79,
571.36,
572.66,
571.79,
570.58,
570.63,
572.96,
572.04,
571.64,
570.91,
570.17,
570.94,
572.12,
572.18,
569.6,
567.31,
568.21,
570.32,
572.85,
572.21,
572.63,
572.74
]`)
func buildKLines(prices []fixedpoint.Value) (klines []types.KLine) {
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
priceF types.KLineValueMapper
window int
}
var input []fixedpoint.Value
if err := json.Unmarshal(ethusdt5m, &input); err != nil {
panic(err)
}
tests := []struct {
name string
args args
want float64
}{
{
name: "ETHUSDT EMA 7",
args: args{
allKLines: buildKLines(input),
priceF: types.KLineClosePriceMapper,
window: 7,
},
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),
priceF: types.KLineClosePriceMapper,
window: 25,
},
want: 571.30,
},
{
name: "ETHUSDT EMA 99",
args: args{
allKLines: buildKLines(input),
priceF: types.KLineClosePriceMapper,
window: 99,
},
want: 577.62, // binance mobile uses 577.58
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
got := CalculateKLinesEMA(tt.args.allKLines, tt.args.priceF, tt.args.window)
got = math.Trunc(got*100.0) / 100.0
if got != tt.want {
t.Errorf("CalculateKLinesEMA() = %v, want %v", got, tt.want)
}
})
}
}
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