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Added support for multiple timeframes for coefficient calculation.

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This commit is contained in:
Jamie Cash
2021-03-08 17:50:24 +00:00
parent 15f1ca2288
commit d08fef0cbb
4 changed files with 177 additions and 113 deletions
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test/test_correlation.py
+13 -9
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@@ -198,11 +198,11 @@ class TestCorrelation(unittest.TestCase):
# Patch it in
mock.copy_ticks_range.side_effect = [tick_data_s1, tick_data_s3, tick_data_s4]
# Start the monitor. Run every second. Use ~10 seconds of data. Were not testing the overlap and price data
# quality metrics here as that is set elsewhere so these can be set to not take effect. Set cache level high
# and don't use autosave. Timer runs in a separate thread so test can continue after it has started.
cor.start_monitor(interval=1, from_mins=0.66, min_prices=0, max_set_size_diff_pct=0, overlap_pct=0,
max_p_value=1, cache_time=100, autosave=False)
# Start the monitor. Run every second. Use ~10 and ~5 seconds of data. Were not testing the overlap and price
# data quality metrics here as that is set elsewhere so these can be set to not take effect. Set cache level
# high and don't use autosave. Timer runs in a separate thread so test can continue after it has started.
cor.start_monitor(interval=1, calculate_from=[0.66, 0.33], min_prices=0, max_set_size_diff_pct=0,
overlap_pct=0, max_p_value=1, cache_time=100, autosave=False)
# Wait 2 seconds so timer runs twice
time.sleep(2)
@@ -210,8 +210,12 @@ class TestCorrelation(unittest.TestCase):
# Stop the monitor
cor.stop_monitor()
# We should have 2 coefficients calculated for each symbol pair
self.assertEqual(len(cor.coefficient_history.index), 6)
# We should have 2 coefficients calculated for each symbol pair for each date_from value, so 12 in total.
self.assertEqual(len(cor.coefficient_history.index), 12)
# We should have 2 coefficients calculated for a single symbol pair and timeframe
self.assertEqual(len(cor.get_coefficient_history('SYMBOL1', 'SYMBOL2', 0.66)), 2,
"We should have 2 history records for SYMBOL1:SYMBOL2 using the 0.66 min timeframe.")
@patch('mt5_correlation.mt5.MetaTrader5')
def test_load_and_save(self, mock):
@@ -246,8 +250,8 @@ class TestCorrelation(unittest.TestCase):
# Start monitor and run for a seconds with a 1 second interval to produce some coefficient history. Then stop
# the monitor
cor.start_monitor(interval=1, from_mins=0.66, min_prices=0, max_set_size_diff_pct=0, overlap_pct=0,
max_p_value=1, cache_time=100, autosave=False)
cor.start_monitor(interval=1, calculate_from=0.66, min_prices=0, max_set_size_diff_pct=0,
overlap_pct=0, max_p_value=1, cache_time=100, autosave=False)
time.sleep(2)
cor.stop_monitor()