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70 lines
3.1 KiB
Go
70 lines
3.1 KiB
Go
package indicator
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import (
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"encoding/json"
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"testing"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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python:
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import numpy as np
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import pandas as pd
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np.random.seed(1)
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window = 14
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n = 100
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s = pd.Series(10 + np.sin(2 * np.pi * np.arange(n) / n) + np.random.rand(n))
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print(s.tolist())
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std = s.rolling(window).std()
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ma = s.rolling(window).mean()
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boll_up = ma + std
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boll_down = ma - std
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print(boll_up)
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print(boll_down)
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*/
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func TestBOLL(t *testing.T) {
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var Delta = 4e-2
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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]`)
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var input []fixedpoint.Value
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if err := json.Unmarshal(randomPrices, &input); err != nil {
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panic(err)
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}
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tests := []struct {
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name string
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kLines []types.KLine
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window int
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k float64
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up float64
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down float64
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}{
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{
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name: "random_case",
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kLines: buildKLines(input),
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window: 14,
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k: 1,
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up: 10.421434,
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down: 9.772696,
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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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boll := BOLL{IntervalWindow: types.IntervalWindow{Window: tt.window}, K: tt.k}
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boll.CalculateAndUpdate(tt.kLines)
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assert.InDelta(t, tt.up, boll.UpBand.Last(0), Delta)
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assert.InDelta(t, tt.down, boll.DownBand.Last(0), Delta)
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})
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}
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}
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