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SUM, MIDPOINT, MIDPRICE

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Miha Kralj
2022-11-14 09:52:40 -08:00
parent ddfcb6bd99
commit ee11595ffa
7 changed files with 372 additions and 166 deletions
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Tests/Validations/Pandas_TA.cs
+166 -118
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@@ -6,123 +6,171 @@ using Python.Included;
namespace Validations;
public class PandasTA : IDisposable
{
private GBM_Feed bars;
private Random rnd = new();
private int period;
private 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");
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();
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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 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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
{
private GBM_Feed bars;
private Random rnd = new();
private int period;
private 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");
Installer.PipInstallModule("git+https://github.com/twopirllc/pandas-ta@development");
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();
}
[Fact]
void HL2()
{
var pta = df.ta.hl2(high: df.high, low: df.low);
Assert.Equal(Math.Round((double)pta.tail(1), 7), Math.Round(bars.HL2.Last().v, 7));
}
[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), 7), Math.Round(bars.HLC3.Last().v, 7));
}
[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), 7), Math.Round(bars.OHLC4.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
/*
[Fact]
void ALMA()
{
ALMA_Series QL = new(bars.Close, period: period, offset: 0.85, sigma: 6.0, false);
var pta = df.ta.alma(close: df.close, length: period, distribution_offset: 0.85, sigma: 6.0);
Assert.Equal(Math.Round((double)pta.tail(1), 7), Math.Round(QL.Last().v, 7));
}
*/
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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 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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
[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), 7), Math.Round(QL.Last().v, 7));
}
}
Tests/Validations/TA_LIB.cs
+27
View File
@@ -85,6 +85,33 @@ public class TA_LIB
}
[Fact]
public void SUM()
{
SUM_Series QL = new(bars.Close, period, false);
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MIDPRICE()
{
MIDPRICE_Series QL = new(bars, period, false);
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MIDPOINT()
{
MIDPOINT_Series QL = new(bars.Close, period, false);
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void TRIMA()
{
TRIMA_Series QL = new(bars.Close, period, false);