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84 lines
2.4 KiB
Go
84 lines
2.4 KiB
Go
package indicator
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import (
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"encoding/json"
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"testing"
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"fmt"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/stretchr/testify/assert"
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)
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/*
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python:
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import pandas as pd
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import pandas_ta as ta
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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])
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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])
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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])
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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])
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result = ta.adx(high, low, close, 5, 14)
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print(result['ADX_14'])
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print(result['DMP_5'])
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print(result['DMN_5'])
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*/
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func Test_DMI(t *testing.T) {
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var Delta = 0.001
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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]`)
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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]`)
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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]`)
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buildKLines := func(h, l, c []byte) (klines []types.KLine) {
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var hv, cv, lv []fixedpoint.Value
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_ = json.Unmarshal(h, &hv)
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_ = json.Unmarshal(l, &lv)
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_ = json.Unmarshal(c, &cv)
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if len(hv) != len(lv) || len(lv) != len(cv) {
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panic(fmt.Sprintf("length not equal %v %v %v", len(hv), len(lv), len(cv)))
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}
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for i, hh := range hv {
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kline := types.KLine{High: hh, Low: lv[i], Close: cv[i]}
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klines = append(klines, kline)
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}
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return klines
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}
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type output struct{dip float64; dim float64; adx float64}
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tests := []struct {
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name string
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klines []types.KLine
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want output
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next output
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total int
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}{
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{
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name: "test_dmi",
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klines: buildKLines(highb, lowb, clozeb),
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want: output{dip: 4.85114, dim: 1.339736, adx: 37.857156},
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next: output{dip: 4.813853, dim: 1.67532, adx: 36.111434},
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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dmi := &DMI{
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IntervalWindow: types.IntervalWindow{Window: 5},
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ADXSmoothing: 14,
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}
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dmi.calculateAndUpdate(tt.klines)
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assert.InDelta(t, dmi.GetDIPlus().Last(), tt.want.dip, Delta)
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assert.InDelta(t, dmi.GetDIMinus().Last(), tt.want.dim, Delta)
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assert.InDelta(t, dmi.GetADX().Last(), tt.want.adx, Delta)
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})
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}
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}
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