mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-24 15:55:14 +00:00
67 lines
1.6 KiB
Go
67 lines
1.6 KiB
Go
package indicator
|
|
|
|
import (
|
|
"encoding/json"
|
|
"testing"
|
|
|
|
"github.com/stretchr/testify/assert"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
/*
|
|
python:
|
|
|
|
import pandas as pd
|
|
s = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
|
|
ma1 = s.ewm(span=16).mean()
|
|
ma2 = ma1.ewm(span=16).mean()
|
|
ma3 = ma2.ewm(span=16).mean()
|
|
ma4 = ma3.ewm(span=16).mean()
|
|
ma5 = ma4.ewm(span=16).mean()
|
|
ma6 = ma5.ewm(span=16).mean()
|
|
square = 0.7 * 0.7
|
|
cube = 0.7 ** 3
|
|
c1 = -cube
|
|
c2 = 3 * square + 3 * cube
|
|
c3 = -6 * square - 3 * 0.7 - 3 * cube
|
|
c4 = 1 + 3 * 0.7 + cube + 3 * square
|
|
result = (c1 * ma6 + c2 * ma5 + c3 * ma4 + c4 * ma3)
|
|
print(result)
|
|
*/
|
|
func Test_TILL(t *testing.T) {
|
|
var Delta = 0.18
|
|
var randomPrices = []byte(`[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, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]`)
|
|
var input []fixedpoint.Value
|
|
if err := json.Unmarshal(randomPrices, &input); err != nil {
|
|
panic(err)
|
|
}
|
|
tests := []struct {
|
|
name string
|
|
kLines []types.KLine
|
|
want float64
|
|
next float64
|
|
all int
|
|
}{
|
|
{
|
|
name: "random_case",
|
|
kLines: buildKLines(input),
|
|
want: 4.528608,
|
|
next: 4.457134,
|
|
all: 50,
|
|
},
|
|
}
|
|
|
|
for _, tt := range tests {
|
|
t.Run(tt.name, func(t *testing.T) {
|
|
till := TILL{IntervalWindow: types.IntervalWindow{Window: 16}}
|
|
till.CalculateAndUpdate(tt.kLines)
|
|
last := till.Last(0)
|
|
assert.InDelta(t, tt.want, last, Delta)
|
|
assert.InDelta(t, tt.next, till.Index(1), Delta)
|
|
assert.Equal(t, tt.all, till.Length())
|
|
})
|
|
}
|
|
}
|