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cleaned-up GBM, removed Python tests

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This commit is contained in:
Miha Kralj
2022-11-05 18:35:35 -07:00
parent c8ec1d1294
commit 4137ef22fd
7 changed files with 227 additions and 143 deletions
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Tests/Tests.csproj
+7 -14
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@@ -28,24 +28,17 @@
</PropertyGroup>
<ItemGroup>
<None Remove="Validations\Pandas_TA.cstemp" />
</ItemGroup>
<ItemGroup>
<Compile Include="Validations\Pandas_TA.cstemp" />
</ItemGroup>
<ItemGroup>
<PackageReference Include="JetBrains.dotCover.CommandLineTools" Version="2022.1.0-eap10">
<PackageReference Include="JetBrains.dotCover.CommandLineTools" Version="2022.3.0-eap07">
<PrivateAssets>all</PrivateAssets>
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
</PackageReference>
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.2.0-preview-20220401-08" />
<PackageReference Include="Python.Included" Version="3.7.3.13" />
<PackageReference Include="Microsoft.JSInterop.WebAssembly" Version="7.0.0-rc.2.22476.2" />
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.5.0-preview-20221003-04" />
<PackageReference Include="Python.Included" Version="3.10.0-preview5" />
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
<PackageReference Include="Skender.Stock.Indicators" Version="1.23.0" />
<PackageReference Include="xunit" Version="2.4.2-pre.12" />
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.3">
<PackageReference Include="Skender.Stock.Indicators" Version="2.4.0" />
<PackageReference Include="xunit" Version="2.4.2" />
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.5">
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
<PrivateAssets>all</PrivateAssets>
</PackageReference>
Tests/Validations/Pandas_TA.cstemp → Tests/Validations/Pandas_TA.cs
+124 -120
View File
@@ -1,120 +1,124 @@
using Xunit;
using System;
using QuanTAlib;
using Python.Runtime;
using Python.Included;
namespace Validation;
public class PandasTA
{
private readonly RND_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly dynamic ta;
private readonly dynamic df;
public PandasTA()
{
this.bars = new(1000);
this.period = this.rnd.Next(28) + 3;
Installer.SetupPython().Wait();
Installer.TryInstallPip();
Installer.PipInstallModule("numpy");
Installer.PipInstallModule("pandas");
Installer.PipInstallModule("pandas-ta");
PythonEngine.Initialize();
this.ta = Py.Import("pandas_ta");
this.df = this.ta.DataFrame(this.bars.Close.v);
}
~PandasTA()
{
PythonEngine.Shutdown();
}
[Fact]
void SMA()
{
SMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.sma(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
/*
[Fact]
void EMA()
{
EMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.ema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void TEMA()
{
TEMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.tema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void ENTP()
{
ENTP_Series QL = new(this.bars.Close, this.period, useNaN:false);
var pta = this.ta.entropy(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void WMA()
{
WMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.wma(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void DEMA()
{
DEMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.dema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void BIAS()
{
BIAS_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.bias(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void KURT()
{
KURT_Series QL = new(this.bars.Close, this.period, useNaN: false);
var pta = this.ta.kurtosis(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void MAD()
{
MAD_Series QL = new(this.bars.Close, this.period, useNaN: false);
var pta = this.ta.mad(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
*/
}
/*
using Xunit;
using System;
using QuanTAlib;
using Python.Runtime;
using Python.Included;
namespace Validation;
public class PandasTA
{
private readonly RND_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly dynamic ta;
private readonly dynamic df;
public PandasTA()
{
this.bars = new(1000);
this.period = this.rnd.Next(28) + 3;
Installer.SetupPython().Wait();
Installer.TryInstallPip();
Installer.PipInstallModule("numpy");
Installer.PipInstallModule("pandas");
Installer.PipInstallModule("pandas-ta");
PythonEngine.Initialize();
this.ta = Py.Import("pandas_ta");
this.df = this.ta.DataFrame(this.bars.Close.v);
}
~PandasTA()
{
PythonEngine.Shutdown();
}
[Fact]
void SMA()
{
SMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.sma(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void EMA()
{
EMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.ema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void TEMA()
{
TEMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.tema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void ENTP()
{
ENTP_Series QL = new(this.bars.Close, this.period, useNaN:false);
var pta = this.ta.entropy(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void WMA()
{
WMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.wma(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void DEMA()
{
DEMA_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.dema(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void BIAS()
{
BIAS_Series QL = new(this.bars.Close, this.period, false);
var pta = this.ta.bias(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
[Fact]
void KURT()
{
KURT_Series QL = new(this.bars.Close, this.period, useNaN: false);
var pta = this.ta.kurtosis(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
}
[Fact]
void MAD()
{
MAD_Series QL = new(this.bars.Close, this.period, useNaN: false);
var pta = this.ta.mad(close: this.df[0], length: this.period);
Assert.Equal(System.Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
}
*/
Tests/Validations/Skender_Stock.cs
+6 -6
View File
@@ -7,7 +7,7 @@ using Xunit;
namespace Validation;
public class Skender_Stock
{
private readonly RND_Feed bars;
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly IEnumerable<Quote> quotes;
@@ -32,7 +32,7 @@ public class Skender_Stock
public void SMA()
{
SMA_Series QL = new(this.bars.Close, this.period, false);
var SK = this.quotes.GetSma(this.period, CandlePart.Close);
var SK = this.quotes.GetSma(this.period);
Assert.Equal(Math.Round((double)SK.Last().Sma!, 8), Math.Round(QL.Last().v, 8));
}
@@ -41,7 +41,7 @@ public class Skender_Stock
public void EMA()
{
EMA_Series QL = new(this.bars.Close, this.period, false);
var SK = this.quotes.GetEma(this.period, CandlePart.Close);
var SK = this.quotes.GetEma(this.period);
Assert.Equal(Math.Round((double)SK.Last().Ema!, 8), Math.Round(QL.Last().v, 8));
}
@@ -49,7 +49,7 @@ public class Skender_Stock
public void WMA()
{
WMA_Series QL = new(this.bars.Close, this.period, false);
var SK = this.quotes.GetWma(this.period, CandlePart.Close);
var SK = this.quotes.GetWma(this.period);
Assert.Equal(Math.Round((double)SK.Last().Wma!, 8), Math.Round(QL.Last().v, 8));
}
@@ -76,7 +76,7 @@ public class Skender_Stock
public void MAD()
{
MAD_Series QL = new(this.bars.Close, this.period, false);
var SK = this.quotes.GetSmaExtended(this.period);
var SK = this.quotes.GetSmaAnalysis(this.period);
Assert.Equal(Math.Round((double)SK.Last().Mad!, 8), Math.Round(QL.Last().v, 8));
}
@@ -85,7 +85,7 @@ public class Skender_Stock
public void MAPE()
{
MAPE_Series QL = new(this.bars.Close, this.period, false);
var SK = this.quotes.GetSmaExtended(this.period);
var SK = this.quotes.GetSmaAnalysis(this.period);
Assert.Equal(Math.Round((double)SK.Last().Mape!, 8), Math.Round(QL.Last().v, 8));
}
Tests/Validations/TA_LIB.cs
+1 -1
View File
@@ -6,7 +6,7 @@ using QuanTAlib;
namespace Validation;
public class TA_LIB
{
private readonly RND_Feed bars;
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly double[] TALIB;