gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-22 12:38:06 +00:00
Code Issues Packages Projects Releases Wiki Activity

Compatibility with TALIB

Browse Source
This commit is contained in:
Miha Kralj
2022-11-22 18:32:58 -08:00
parent ae168ee345
commit 38d0c08b4e
9 changed files with 644 additions and 119 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Tests/Validations/Pandas_TA.cs
+204 -53
View File
@@ -53,151 +53,302 @@ public class PandasTA : IDisposable
[Fact] void ADL() {
ADL_Series QL = new(bars);
var pta = df.ta.ad(high: df.high, low: df.low, close:df.close, volume:df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i-1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i-1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void ADOSC() {
ADOSC_Series QL = new(bars);
var pta = df.ta.adosc(high: df.high, low: df.low, close: df.close, volume: df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void ATR() {
ATR_Series QL = new(bars, period);
var pta = df.ta.atr(high: df.high, low: df.low, close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void BIAS() {
BIAS_Series QL = new(bars.Close, period, false);
var pta = df.ta.bias(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void DEMA() {
DEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.dema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void EMA() {
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void ENTROPY() {
ENTROPY_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.entropy(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period+1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void HL2() {
var pta = df.ta.hl2(high: df.high, low: df.low);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.HL2.Last().v, digits: digits));
for (int i = bars.HL2.Length; i > 0; i--)
{
double QL_item = Math.Round(bars.HL2[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void HLC3() {
var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.HLC3.Last().v, digits: digits));
}
for (int i = bars.HLC3.Length; i > 0; i--)
{
double QL_item = Math.Round(bars.HLC3[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void HMA() {
HMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.hma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
for (int i = QL.Length; i > period+1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void KAMA() {
KAMA_Series QL = new(bars.Close, period);
var pta = df.ta.kama(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void KURTOSIS() {
KURTOSIS_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.kurtosis(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period+1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void MAD()
{
MAD_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.mad(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void MEDIAN() {
MEDIAN_Series QL = new(bars.Close, period);
var pta = df.ta.median(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void OBV() {
OBV_Series QL = new(bars);
var pta = df.ta.obv(close: df.close, volume: df.volume);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void OHLC4() {
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(bars.OHLC4.Last().v, digits: digits));
for (int i = bars.OHLC4.Length; i > 0; i--)
{
double QL_item = Math.Round(bars.OHLC4[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void RMA() {
RMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.rma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void RSI() {
RSI_Series QL = new(bars.Close, period);
var pta = df.ta.rsi(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void SDEV() {
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void SMA() {
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void SSDEV() {
SSDEV_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void SVARIANCE() {
SVAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void T3() {
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
var pta = df.ta.t3(close: df.close, length: period, a: 0.7);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void TEMA() {
TEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.tema(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void TR() {
TR_Series QL = new(bars);
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void TRIMA() {
// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
TRIMA_Series QL = new(bars.Close, 11);
var pta = df.ta.trima(close: df.close, length: 11);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void VARIANCE() {
VAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof:0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void WMA() {
WMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.wma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void ZLEMA() {
ZLEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.zlma(close: df.close, length: period);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > 0; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
[Fact] void ZSCORE() {
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
Assert.Equal(Math.Round((double)pta.tail(1), digits: digits), Math.Round(QL.Last().v, digits: digits));
}
for (int i = QL.Length; i > period-1; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double PanTA_item = Math.Round((double)pta[i - 1], digits: digits);
Assert.Equal(PanTA_item, QL_item);
}
}
}