mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 03:58:04 +00:00
COVAR
semver fix VAR test fix new: COVAR, ZSCORE, CORR, LINREG versioning refactoring
This commit is contained in:
Miha Kralj
+264
-256
@@ -1,198 +1,206 @@
|
||||
using Xunit;
|
||||
using System;
|
||||
using QuanTAlib;
|
||||
using Python.Runtime;
|
||||
using Python.Included;
|
||||
|
||||
namespace Validations;
|
||||
public class PandasTA : IDisposable
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly string OStype;
|
||||
private dynamic np;
|
||||
private dynamic ta;
|
||||
private dynamic df;
|
||||
|
||||
public PandasTA()
|
||||
{
|
||||
bars = new(5000);
|
||||
period = rnd.Next(28) + 3;
|
||||
|
||||
// Checking the host OS and setting PythonDLL accordingly
|
||||
OStype = Environment.OSVersion.ToString();
|
||||
if (OStype == "Unix 13.1.0")
|
||||
{
|
||||
OStype = @"/usr/local/Cellar/python@3.10/3.10.8/Frameworks/Python.framework/Versions/3.10/lib/libpython3.10.dylib";
|
||||
}
|
||||
else
|
||||
{
|
||||
OStype = Path.GetFullPath(".") + @"\python-3.10.0-embed-amd64\python310.dll";
|
||||
}
|
||||
|
||||
Installer.InstallPath = Path.GetFullPath(".");
|
||||
Installer.SetupPython().Wait();
|
||||
Installer.TryInstallPip();
|
||||
Installer.PipInstallModule("pandas-ta");
|
||||
//alternative: git+https://github.com/twopirllc/pandas-ta
|
||||
|
||||
Runtime.PythonDLL = OStype;
|
||||
PythonEngine.Initialize();
|
||||
np = Py.Import("numpy");
|
||||
ta = Py.Import("pandas_ta");
|
||||
|
||||
string[] cols = { "open", "high", "low", "close", "volume" };
|
||||
double[,] ary = new double[bars.Count, 5];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
ary[i, 0] = bars.Open[i].v;
|
||||
ary[i, 1] = bars.High[i].v;
|
||||
ary[i, 2] = bars.Low[i].v;
|
||||
ary[i, 3] = bars.Close[i].v;
|
||||
ary[i, 4] = bars.Volume[i].v;
|
||||
}
|
||||
df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
using Xunit;
|
||||
using System;
|
||||
using QuanTAlib;
|
||||
using Python.Runtime;
|
||||
using Python.Included;
|
||||
|
||||
namespace Validations;
|
||||
public class PandasTA : IDisposable
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly string OStype;
|
||||
private readonly dynamic np;
|
||||
private readonly dynamic ta;
|
||||
private readonly dynamic df;
|
||||
|
||||
public PandasTA()
|
||||
{
|
||||
bars = new(5000);
|
||||
period = rnd.Next(28) + 3;
|
||||
|
||||
// Checking the host OS and setting PythonDLL accordingly
|
||||
OStype = Environment.OSVersion.ToString();
|
||||
if (OStype == "Unix 13.1.0")
|
||||
{
|
||||
OStype = @"/usr/local/Cellar/python@3.10/3.10.8/Frameworks/Python.framework/Versions/3.10/lib/libpython3.10.dylib";
|
||||
}
|
||||
else
|
||||
{
|
||||
OStype = Path.GetFullPath(".") + @"\python-3.10.0-embed-amd64\python310.dll";
|
||||
}
|
||||
|
||||
Installer.InstallPath = Path.GetFullPath(".");
|
||||
Installer.SetupPython().Wait();
|
||||
Installer.TryInstallPip();
|
||||
Installer.PipInstallModule("pandas-ta");
|
||||
//alternative: git+https://github.com/twopirllc/pandas-ta
|
||||
|
||||
Runtime.PythonDLL = OStype;
|
||||
PythonEngine.Initialize();
|
||||
np = Py.Import("numpy");
|
||||
ta = Py.Import("pandas_ta");
|
||||
|
||||
string[] cols = { "open", "high", "low", "close", "volume" };
|
||||
double[,] ary = new double[bars.Count, 5];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
ary[i, 0] = bars.Open[i].v;
|
||||
ary[i, 1] = bars.High[i].v;
|
||||
ary[i, 2] = bars.Low[i].v;
|
||||
ary[i, 3] = bars.Close[i].v;
|
||||
ary[i, 4] = bars.Volume[i].v;
|
||||
}
|
||||
df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
PythonEngine.Shutdown();
|
||||
GC.SuppressFinalize(this);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void HL2()
|
||||
{
|
||||
var pta = df.ta.hl2(high: df.high, low: df.low);
|
||||
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(bars.HL2.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(bars.HLC3.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(bars.OHLC4.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void MEDIAN()
|
||||
{
|
||||
MED_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.median(close: df.close, length: period);
|
||||
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[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), 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void TRIMA()
|
||||
{
|
||||
//TODO: return length to variable length (period) when Pandas-TA fixes trima
|
||||
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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 7), Math.Round(QL.Last().v, 7));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void HL2()
|
||||
{
|
||||
var pta = df.ta.hl2(high: df.high, low: df.low);
|
||||
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(bars.HL2.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(bars.HLC3.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(bars.OHLC4.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[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), 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void TRIMA()
|
||||
{
|
||||
//TODO: return length to variable length (period) when Pandas-TA fixes trima
|
||||
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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 7), Math.Round(QL.Last().v, 7));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
@@ -219,67 +227,67 @@ public class PandasTA : IDisposable
|
||||
Assert.Equal(Math.Round((double)pta.tail(1), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void ENTP()
|
||||
{
|
||||
ENTP_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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
void KURT()
|
||||
{
|
||||
KURT_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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[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), 4), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
}
|
||||
+309
-300
@@ -5,305 +5,314 @@ using Xunit;
|
||||
|
||||
namespace Validations;
|
||||
public class Skender_Stock
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
public Skender_Stock()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
||||
period = rnd.Next(28) + 3;
|
||||
quotes = bars.Select(
|
||||
q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetDema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period);
|
||||
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
||||
Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
var SK = quotes.GetAdl();
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LINREG()
|
||||
{
|
||||
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, useNaN: false);
|
||||
var SK = quotes.GetTr();
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
public Skender_Stock()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
|
||||
period = rnd.Next(28) + 3;
|
||||
quotes = bars.Select(
|
||||
q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetDema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void COVAR()
|
||||
{
|
||||
COVAR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Covariance!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period);
|
||||
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
|
||||
Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars, false);
|
||||
var SK = quotes.GetAdl();
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LINREG()
|
||||
{
|
||||
LINREG_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
|
||||
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars, useNaN: false);
|
||||
var SK = quotes.GetTr();
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
|
||||
|
||||
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
|
||||
|
||||
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
|
||||
}
|
||||
}
|
||||
|
||||
+11
-10
@@ -1,10 +1,10 @@
|
||||
using Xunit;
|
||||
using System;
|
||||
using TALib;
|
||||
using QuanTAlib;
|
||||
|
||||
namespace Validations;
|
||||
public class TA_LIB
|
||||
using Xunit;
|
||||
using System;
|
||||
using TALib;
|
||||
using QuanTAlib;
|
||||
|
||||
namespace Validations;
|
||||
public class TA_LIB
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
@@ -118,7 +118,7 @@ public class TA_LIB
|
||||
VAR_Series QL = new(bars.Close, period, false);
|
||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 5, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 5));
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 4, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 4));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
@@ -314,5 +314,6 @@ public class TA_LIB
|
||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
|
||||
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user