kingchenc
9b8e1346ed
* feat(family-16): add ValueArea + InitialBalance + OpeningRange Opens family #16 (Market Profile) with the three OHLCV-compatible scalar / multi-output indicators: - ValueArea(period, bin_count, value_area_pct) -> {poc, vah, val}. Rolling bin-approximation volume profile over the last `period` candles. Each candle's volume is spread uniformly across [low, high]; POC is the bin with highest cumulative volume; the value area expands symmetrically from POC and always absorbs the higher-volume neighbour next, until `value_area_pct` (default 0.70) of total volume is enclosed. Defaults (20, 50, 0.70). - InitialBalance(period) -> {high, low}. Tracks session-opening high and low over the first `period` bars, then locks. Default period = 12 (one-hour IB on 5-minute bars for US equities). Callers MUST invoke reset() at every session boundary, otherwise IB stays fixed for the lifetime of the instance. - OpeningRange(period) -> {high, low, breakout_distance}. Same lock-after-N-bars semantics as IB with a shorter default period (6 = 30 min on 5-minute bars) and a third output that tracks close - or_mid (positive above the range mid, negative below). Histogram-output Market Profile variants (Volume Profile, VPVR, Composite Profile) are deferred because they need a new histogram output API layer rather than fixed-arity scalars. Tick-data-only variants (TPO Profile, Single Print, Order Flow Delta, Cumulative Delta, Volume-Weighted Open) are out of scope because `wickra-data` does not currently expose tick / L2 data. All four bindings (Rust core, Python, Node, WASM) ship the new indicators with parity tests; benches added; fuzz target extended. Counter 71 -> 74 across 8 -> 9 families. cargo check --workspace --all-features green. * fix(family-16): cover cold paths in InitialBalance + ValueArea InitialBalance::value() public getter had no test covering the post-update Some(...) branch — extended accessors_and_metadata to call value() after one update. ValueArea single-print bar path (c.high == c.low) was unreachable in existing tests since the only single-print test used a uniform 100-price window which exits early via the span == 0 guard; added a mixed-window test that triggers the c.high <= c.low branch directly. The (None, None) arm of the expansion match was by-construction unreachable (the loop condition already requires at least one neighbour) and has been folded into an if/else.
1554 lines
52 KiB
Python
1554 lines
52 KiB
Python
"""Streaming-vs-batch, shape and reference-value tests for the F1-F12 families.
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Every indicator added since the original 25 is exercised here. The central
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contract is the same as the rest of the suite: ``batch(...)`` must equal
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repeated streaming ``update(...)`` across the whole warmup -> steady-state
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transition, and batch shapes must match the input length.
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"""
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from __future__ import annotations
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import math
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import numpy as np
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import pytest
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import wickra as ta
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def _eq_nan(a: np.ndarray, b: np.ndarray, tol: float = 1e-9) -> bool:
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"""Compare two float arrays treating NaN positions as equal."""
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a = np.asarray(a, dtype=np.float64)
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b = np.asarray(b, dtype=np.float64)
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if a.shape != b.shape:
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return False
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both_nan = np.isnan(a) & np.isnan(b)
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return bool(np.all(np.where(both_nan, 0.0, np.abs(a - b)) <= tol))
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@pytest.fixture
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def ohlcv() -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
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"""Synthetic high / low / close / volume series, 200 bars."""
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t = np.arange(200, dtype=np.float64)
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close = 100.0 + np.sin(t * 0.15) * 8.0 + np.cos(t * 0.32) * 3.0
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spread = 0.5 + np.abs(np.sin(t * 0.07))
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high = close + spread
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low = close - spread
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volume = 1000.0 + (t % 7) * 50.0
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return high, low, close, volume
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# --- Scalar (f64 -> f64) indicators ---------------------------------------
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SCALAR = [
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(ta.SMMA, (14,)),
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(ta.TRIMA, (20,)),
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(ta.ZLEMA, (14,)),
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(ta.ALMA, (9, 0.85, 6.0)),
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(ta.McGinleyDynamic, (10,)),
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(ta.FRAMA, (16,)),
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(ta.VIDYA, (14, 9)),
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(ta.JMA, (14, 0.0, 2)),
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(ta.T3, (5, 0.7)),
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(ta.MOM, (10,)),
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(ta.CMO, (14,)),
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(ta.TSI, (25, 13)),
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(ta.PMO, (35, 20)),
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(ta.TII, (20, 10)),
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(ta.StochRSI, (14, 14)),
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(ta.PPO, (12, 26)),
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(ta.APO, (12, 26)),
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(ta.CFO, (14,)),
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(ta.ElderImpulse, (13, 12, 26, 9)),
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(ta.STC, (23, 50, 10, 0.5)),
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(ta.DPO, (20,)),
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(ta.Coppock, (14, 11, 10)),
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(ta.StdDev, (20,)),
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(ta.UlcerIndex, (14,)),
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(ta.HistoricalVolatility, (20, 252)),
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(ta.BollingerBandwidth, (20, 2.0)),
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(ta.PercentB, (20, 2.0)),
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(ta.LinearRegression, (14,)),
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(ta.LinRegSlope, (14,)),
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(ta.VerticalHorizontalFilter, (28,)),
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(ta.ZScore, (20,)),
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(ta.LinRegAngle, (14,)),
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(ta.PercentageTrailingStop, (5.0,)),
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(ta.StepTrailingStop, (1.0,)),
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(ta.RenkoTrailingStop, (1.0,)),
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(ta.LaguerreRSI, (0.5,)),
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(ta.ConnorsRSI, (3, 2, 100)),
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(ta.RVIVolatility, (10,)),
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# Family 10 — Ehlers / Cycle scalar indicators
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(ta.SuperSmoother, (10,)),
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(ta.FisherTransform, (10,)),
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(ta.InverseFisherTransform, (1.0,)),
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(ta.Decycler, (20,)),
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(ta.DecyclerOscillator, (10, 30)),
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(ta.RoofingFilter, (10, 48)),
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(ta.CenterOfGravity, (10,)),
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(ta.CyberneticCycle, (10,)),
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(ta.InstantaneousTrendline, (20,)),
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(ta.EhlersStochastic, (20,)),
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(ta.EmpiricalModeDecomposition, (20, 0.5)),
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(ta.HilbertDominantCycle, ()),
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(ta.AdaptiveCycle, ()),
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(ta.SineWave, ()),
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(ta.FAMA, (0.5, 0.05)),
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# Family 12 — Statistik / Regression
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(ta.Variance, (20,)),
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(ta.CoefficientOfVariation, (20,)),
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(ta.Skewness, (20,)),
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(ta.Kurtosis, (20,)),
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(ta.StandardError, (14,)),
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(ta.DetrendedStdDev, (14,)),
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(ta.RSquared, (14,)),
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(ta.MedianAbsoluteDeviation, (20,)),
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(ta.Autocorrelation, (20, 1)),
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(ta.HurstExponent, (40, 4)),
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]
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# Family 05 band/channel indicators with scalar input and multi-output.
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# `cols` is the expected number of band columns from `batch`.
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SCALAR_MULTI = {
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"MaEnvelope": (lambda: ta.MaEnvelope(20, 0.025), 3),
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"LinRegChannel": (lambda: ta.LinRegChannel(20, 2.0), 3),
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"StandardErrorBands": (lambda: ta.StandardErrorBands(21, 2.0), 3),
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"DoubleBollinger": (lambda: ta.DoubleBollinger(20, 1.0, 2.0), 5),
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}
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@pytest.mark.parametrize("cls, args", SCALAR, ids=[c.__name__ for c, _ in SCALAR])
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def test_scalar_streaming_matches_batch(cls, args, sine_prices):
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batch = cls(*args).batch(sine_prices)
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assert batch.shape == sine_prices.shape
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assert batch.dtype == np.float64
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streamer = cls(*args)
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streamed = []
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for p in sine_prices:
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v = streamer.update(float(p))
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streamed.append(math.nan if v is None else float(v))
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assert _eq_nan(batch, np.array(streamed, dtype=np.float64))
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# --- Candle-input, single-output indicators -------------------------------
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#
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# Each entry is (factory, batch-call). Streaming always feeds the full
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# 6-tuple candle; the batch helper takes only the columns it needs.
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CANDLE_SCALAR = {
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"VWMA": (lambda: ta.VWMA(20), lambda ind, h, l, c, v: ind.batch(c, v)),
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"RVI": (
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# extract_candle pulls the open price from index 0 of the tuple; the
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# streaming test below already builds candles with open == close, so
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# match that here by passing close as the open column.
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lambda: ta.RVI(10),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"Inertia": (
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lambda: ta.Inertia(14, 20),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"PGO": (lambda: ta.PGO(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
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"SMI": (lambda: ta.SMI(5, 3, 3), lambda ind, h, l, c, v: ind.batch(h, l, c)),
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"EVWMA": (lambda: ta.EVWMA(20), lambda ind, h, l, c, v: ind.batch(c, v)),
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"UltimateOscillator": (
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lambda: ta.UltimateOscillator(7, 14, 28),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"AroonOscillator": (
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lambda: ta.AroonOscillator(14),
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lambda ind, h, l, c, v: ind.batch(h, l),
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),
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"NATR": (lambda: ta.NATR(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
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"MassIndex": (lambda: ta.MassIndex(9, 25), lambda ind, h, l, c, v: ind.batch(h, l)),
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"ADL": (lambda: ta.ADL(), lambda ind, h, l, c, v: ind.batch(h, l, c, v)),
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"VolumePriceTrend": (
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lambda: ta.VolumePriceTrend(),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"ChaikinMoneyFlow": (
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lambda: ta.ChaikinMoneyFlow(20),
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lambda ind, h, l, c, v: ind.batch(h, l, c, v),
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),
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"ChaikinOscillator": (
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lambda: ta.ChaikinOscillator(3, 10),
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lambda ind, h, l, c, v: ind.batch(h, l, c, v),
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),
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"ForceIndex": (
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lambda: ta.ForceIndex(13),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"EaseOfMovement": (
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lambda: ta.EaseOfMovement(14),
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lambda ind, h, l, c, v: ind.batch(h, l, v),
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),
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"KVO": (
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lambda: ta.KVO(34, 55),
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lambda ind, h, l, c, v: ind.batch(h, l, c, v),
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),
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"VolumeOscillator": (
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lambda: ta.VolumeOscillator(14, 28),
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lambda ind, h, l, c, v: ind.batch(v),
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),
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"NVI": (
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lambda: ta.NVI(),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"PVI": (
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lambda: ta.PVI(),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"WilliamsAD": (
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lambda: ta.WilliamsAD(),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"AnchoredVWAP": (
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lambda: ta.AnchoredVWAP(),
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lambda ind, h, l, c, v: ind.batch(h, l, c, v),
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),
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"DemandIndex": (
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lambda: ta.DemandIndex(10),
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lambda ind, h, l, c, v: ind.batch(h, l, c, v),
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),
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"TSV": (
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lambda: ta.TSV(18),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"VZO": (
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lambda: ta.VZO(14),
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lambda ind, h, l, c, v: ind.batch(c, v),
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),
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"MarketFacilitationIndex": (
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lambda: ta.MarketFacilitationIndex(),
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lambda ind, h, l, c, v: ind.batch(h, l, v),
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),
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"AtrTrailingStop": (
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lambda: ta.AtrTrailingStop(14, 3.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"HiLoActivator": (
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lambda: ta.HiLoActivator(3),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"VoltyStop": (
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lambda: ta.VoltyStop(14, 2.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"YoyoExit": (
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lambda: ta.YoyoExit(14, 2.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"TypicalPrice": (
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lambda: ta.TypicalPrice(),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"MedianPrice": (
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lambda: ta.MedianPrice(),
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lambda ind, h, l, c, v: ind.batch(h, l),
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),
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"WeightedClose": (
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lambda: ta.WeightedClose(),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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||
"AcceleratorOscillator": (
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lambda: ta.AcceleratorOscillator(5, 34, 5),
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lambda ind, h, l, c, v: ind.batch(h, l),
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),
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"AwesomeOscillatorHistogram": (
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lambda: ta.AwesomeOscillatorHistogram(5, 34, 5),
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lambda ind, h, l, c, v: ind.batch(h, l),
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),
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||
"BalanceOfPower": (
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||
# The streaming 6-tuple feeds open == close, so batch matches with
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# the close column standing in for open.
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lambda: ta.BalanceOfPower(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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||
"ChoppinessIndex": (
|
||
lambda: ta.ChoppinessIndex(14),
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||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"TrueRange": (
|
||
lambda: ta.TrueRange(),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"ChaikinVolatility": (
|
||
lambda: ta.ChaikinVolatility(10, 10),
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lambda ind, h, l, c, v: ind.batch(h, l),
|
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),
|
||
"ADXR": (
|
||
lambda: ta.ADXR(7),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"ParkinsonVolatility": (
|
||
lambda: ta.ParkinsonVolatility(20, 252),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
),
|
||
"GarmanKlassVolatility": (
|
||
# The streaming 6-tuple feeds open == close, so batch matches with
|
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# the close column standing in for open.
|
||
lambda: ta.GarmanKlassVolatility(20, 252),
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||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||
),
|
||
"RogersSatchellVolatility": (
|
||
lambda: ta.RogersSatchellVolatility(20, 252),
|
||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||
),
|
||
"YangZhangVolatility": (
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||
lambda: ta.YangZhangVolatility(20, 252),
|
||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||
),
|
||
"TDSetup": (
|
||
lambda: ta.TDSetup(4, 9),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"TDDeMarker": (
|
||
lambda: ta.TDDeMarker(14),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
),
|
||
"TDREI": (
|
||
lambda: ta.TDREI(5),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
),
|
||
"TDCombo": (
|
||
lambda: ta.TDCombo(4, 9, 2, 13),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"TDCountdown": (
|
||
lambda: ta.TDCountdown(4, 9, 2, 13),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
"TDDifferential": (
|
||
lambda: ta.TDDifferential(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
),
|
||
}
|
||
|
||
|
||
@pytest.mark.parametrize("name", list(CANDLE_SCALAR))
|
||
def test_candle_scalar_streaming_matches_batch(name, ohlcv):
|
||
high, low, close, volume = ohlcv
|
||
make, batch_call = CANDLE_SCALAR[name]
|
||
|
||
batch = batch_call(make(), high, low, close, volume)
|
||
assert batch.shape == close.shape
|
||
|
||
streamer = make()
|
||
streamed = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
float(volume[i]),
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
streamed.append(math.nan if v is None else float(v))
|
||
assert _eq_nan(batch, np.array(streamed, dtype=np.float64)), f"{name} mismatch"
|
||
|
||
|
||
# --- Candle-input, multi-output indicators --------------------------------
|
||
|
||
MULTI = {
|
||
"Vortex": (
|
||
lambda: ta.Vortex(14),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"RWI": (
|
||
lambda: ta.RWI(14),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"WaveTrend": (
|
||
lambda: ta.WaveTrend.classic(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"SuperTrend": (
|
||
lambda: ta.SuperTrend(10, 3.0),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"ChandelierExit": (
|
||
lambda: ta.ChandelierExit(22, 3.0),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"ChandeKrollStop": (
|
||
lambda: ta.ChandeKrollStop(10, 1.0, 9),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"ClassicPivots": (
|
||
lambda: ta.ClassicPivots(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
7,
|
||
),
|
||
"FibonacciPivots": (
|
||
lambda: ta.FibonacciPivots(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
7,
|
||
),
|
||
"Camarilla": (
|
||
lambda: ta.Camarilla(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
9,
|
||
),
|
||
"WoodiePivots": (
|
||
lambda: ta.WoodiePivots(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
5,
|
||
),
|
||
"DemarkPivots": (
|
||
# batch needs open; pass close in for open since the synthetic OHLCV
|
||
# streaming feeds open=close as well.
|
||
lambda: ta.DemarkPivots(),
|
||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||
3,
|
||
),
|
||
"WilliamsFractals": (
|
||
lambda: ta.WilliamsFractals(),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
2,
|
||
),
|
||
"ZigZag": (
|
||
lambda: ta.ZigZag(0.02),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
2,
|
||
),
|
||
"DonchianStop": (
|
||
lambda: ta.DonchianStop(10),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
2,
|
||
),
|
||
# Family 05 candle-input bands. Each entry is
|
||
# `(factory, batch_call, output_arity)` where the third element is the
|
||
# tuple shape returned by `update(...)`.
|
||
"TtmSqueeze": (
|
||
lambda: ta.TtmSqueeze(20, 2.0, 1.5),
|
||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||
2,
|
||
),
|
||
"FractalChaosBands": (
|
||
lambda: ta.FractalChaosBands(2),
|
||
lambda ind, h, l, c, v: ind.batch(h, l),
|
||
2,
|
||
),
|
||
}
|
||
|
||
|
||
# Bands with 3 outputs upper/middle/lower from a candle (h, l, c).
|
||
HLC_BAND3 = {
|
||
"AccelerationBands": lambda: ta.AccelerationBands(20, 0.001),
|
||
"StarcBands": lambda: ta.StarcBands(6, 15, 2.0),
|
||
"AtrBands": lambda: ta.AtrBands(14, 3.0),
|
||
"HurstChannel": lambda: ta.HurstChannel(10, 0.5),
|
||
}
|
||
|
||
# --- Scalar-input, multi-output indicators --------------------------------
|
||
#
|
||
# Same shape contract as MULTI (batch returns (n, 2)) but streaming feeds a
|
||
# single float instead of a candle tuple.
|
||
|
||
MULTI_SCALAR_INPUT = {
|
||
"KST": (
|
||
lambda: ta.KST(10, 15, 20, 30, 10, 10, 10, 15, 9),
|
||
lambda ind, c: ind.batch(c),
|
||
),
|
||
"MAMA": (
|
||
lambda: ta.MAMA(0.5, 0.05),
|
||
lambda ind, c: ind.batch(c),
|
||
),
|
||
}
|
||
|
||
|
||
@pytest.mark.parametrize("name", list(MULTI))
|
||
def test_multi_streaming_matches_batch(name, ohlcv):
|
||
high, low, close, volume = ohlcv
|
||
make, batch_call, k = MULTI[name]
|
||
|
||
batch = batch_call(make(), high, low, close, volume)
|
||
assert batch.shape == (close.size, k)
|
||
|
||
streamer = make()
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
float(volume[i]),
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
if v is None:
|
||
rows.append([math.nan] * k)
|
||
else:
|
||
# WilliamsFractals returns (Optional[float], Optional[float]); the
|
||
# batch helper writes NaN for None. Normalise tuple/list entries
|
||
# the same way before the equality check.
|
||
rows.append([math.nan if x is None else float(x) for x in v])
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
|
||
|
||
|
||
# --- Family 05: scalar-input multi-output band/channel indicators ----------
|
||
|
||
|
||
@pytest.mark.parametrize("name", list(SCALAR_MULTI))
|
||
def test_scalar_multi_streaming_matches_batch(name, sine_prices):
|
||
make, cols = SCALAR_MULTI[name]
|
||
batch = make().batch(sine_prices)
|
||
assert batch.shape == (sine_prices.size, cols)
|
||
|
||
streamer = make()
|
||
rows = []
|
||
for p in sine_prices:
|
||
v = streamer.update(float(p))
|
||
rows.append([math.nan] * cols if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
|
||
|
||
|
||
# --- Family 05: 3-band candle-input indicators ------------------------------
|
||
|
||
|
||
@pytest.mark.parametrize("name", list(HLC_BAND3))
|
||
def test_hlc_band3_streaming_matches_batch(name, ohlcv):
|
||
high, low, close, _ = ohlcv
|
||
make = HLC_BAND3[name]
|
||
batch = make().batch(high, low, close)
|
||
assert batch.shape == (close.size, 3)
|
||
|
||
streamer = make()
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
1.0,
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan] * 3 if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
|
||
|
||
|
||
# --- VWAP StdDev Bands (4 outputs, needs volume) ----------------------------
|
||
|
||
|
||
def test_vwap_stddev_bands_streaming_matches_batch(ohlcv):
|
||
high, low, close, volume = ohlcv
|
||
batch = ta.VwapStdDevBands(2.0).batch(high, low, close, volume)
|
||
assert batch.shape == (close.size, 4)
|
||
|
||
streamer = ta.VwapStdDevBands(2.0)
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
float(volume[i]),
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan] * 4 if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
@pytest.mark.parametrize("name", list(MULTI_SCALAR_INPUT))
|
||
def test_multi_scalar_streaming_matches_batch(name, ohlcv):
|
||
_, _, close, _ = ohlcv
|
||
make, batch_call = MULTI_SCALAR_INPUT[name]
|
||
|
||
batch = batch_call(make(), close)
|
||
assert batch.shape == (close.size, 2)
|
||
|
||
streamer = make()
|
||
rows = []
|
||
for p in close:
|
||
v = streamer.update(float(p))
|
||
rows.append([math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
|
||
|
||
|
||
# --- Market Profile (multi-output with variable shapes) ------------------
|
||
|
||
|
||
def test_value_area_shape_and_streaming(ohlcv):
|
||
high, low, _close, volume = ohlcv
|
||
batch = ta.ValueArea(20, 50, 0.70).batch(high, low, volume)
|
||
assert batch.shape == (high.size, 3)
|
||
streamer = ta.ValueArea(20, 50, 0.70)
|
||
rows = []
|
||
for i in range(high.size):
|
||
mid = float((high[i] + low[i]) / 2.0)
|
||
candle = (mid, float(high[i]), float(low[i]), mid, float(volume[i]), i)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
def test_initial_balance_shape_and_streaming(ohlcv):
|
||
high, low, _close, _volume = ohlcv
|
||
batch = ta.InitialBalance(12).batch(high, low)
|
||
assert batch.shape == (high.size, 2)
|
||
streamer = ta.InitialBalance(12)
|
||
rows = []
|
||
for i in range(high.size):
|
||
mid = float((high[i] + low[i]) / 2.0)
|
||
candle = (mid, float(high[i]), float(low[i]), mid, 0.0, i)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
def test_opening_range_shape_and_streaming(ohlcv):
|
||
high, low, close, _volume = ohlcv
|
||
batch = ta.OpeningRange(6).batch(high, low, close)
|
||
assert batch.shape == (high.size, 3)
|
||
streamer = ta.OpeningRange(6)
|
||
rows = []
|
||
for i in range(high.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
0.0,
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
# --- TD Pressure (OHLCV-input) -------------------------------------------
|
||
|
||
|
||
def test_td_pressure_streaming_matches_batch(ohlcv):
|
||
high, low, close, volume = ohlcv
|
||
open_ = close.copy() # TD Pressure needs open; reuse close as the open column.
|
||
batch = ta.TDPressure(5).batch(open_, high, low, close, volume)
|
||
assert batch.shape == close.shape
|
||
|
||
streamer = ta.TDPressure(5)
|
||
streamed = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(open_[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
float(volume[i]),
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
streamed.append(math.nan if v is None else float(v))
|
||
assert _eq_nan(batch, np.array(streamed, dtype=np.float64))
|
||
|
||
|
||
# --- TD Sequential (3-column multi-output) ------------------------------
|
||
|
||
|
||
def test_td_sequential_streaming_matches_batch(ohlcv):
|
||
high, low, close, volume = ohlcv
|
||
batch = ta.TDSequential().batch(high, low, close)
|
||
assert batch.shape == (close.size, 3)
|
||
|
||
streamer = ta.TDSequential()
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
float(volume[i]),
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
# --- ZeroLagMACD (scalar input, 3-tuple output: macd / signal / histogram) -
|
||
|
||
|
||
def test_zero_lag_macd_streaming_matches_batch(ohlcv):
|
||
_, _, close, _ = ohlcv
|
||
batch = ta.ZeroLagMACD(12, 26, 9).batch(close)
|
||
assert batch.shape == (close.size, 3)
|
||
|
||
streamer = ta.ZeroLagMACD(12, 26, 9)
|
||
rows = []
|
||
for p in close:
|
||
v = streamer.update(float(p))
|
||
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), "ZeroLagMACD mismatch"
|
||
|
||
|
||
# --- Alligator (3-tuple output) -------------------------------------------
|
||
|
||
|
||
def test_alligator_streaming_matches_batch(ohlcv):
|
||
high, low, _, _ = ohlcv
|
||
alligator = ta.Alligator(13, 8, 5)
|
||
batch = alligator.batch(high, low)
|
||
assert batch.shape == (high.size, 3)
|
||
|
||
streamer = ta.Alligator(13, 8, 5)
|
||
rows = []
|
||
for i in range(high.size):
|
||
candle = (float(low[i]), float(high[i]), float(low[i]), float(low[i]), 0.0, i)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), "Alligator mismatch"
|
||
|
||
|
||
# --- Reference values -----------------------------------------------------
|
||
|
||
|
||
def test_typical_price_reference():
|
||
# (high + low + close) / 3 = (12 + 6 + 9) / 3 = 9.
|
||
assert ta.TypicalPrice().update((9.0, 12.0, 6.0, 9.0, 1.0, 0)) == pytest.approx(9.0)
|
||
|
||
|
||
def test_median_price_reference():
|
||
# (high + low) / 2 = (12 + 8) / 2 = 10.
|
||
assert ta.MedianPrice().update((10.0, 12.0, 8.0, 11.0, 1.0, 0)) == pytest.approx(10.0)
|
||
|
||
|
||
def test_weighted_close_reference():
|
||
# (high + low + 2*close) / 4 = (12 + 8 + 22) / 4 = 10.5.
|
||
assert ta.WeightedClose().update((10.0, 12.0, 8.0, 11.0, 1.0, 0)) == pytest.approx(
|
||
10.5
|
||
)
|
||
|
||
|
||
def test_nvi_reference():
|
||
# closes [10, 11], volumes [200, 100]: volume contracts -> NVI absorbs +10%.
|
||
# 1000 * (1 + 0.1) = 1100.
|
||
nvi = ta.NVI()
|
||
out = nvi.batch(np.array([10.0, 11.0]), np.array([200.0, 100.0]))
|
||
assert out[0] == pytest.approx(1000.0)
|
||
assert out[1] == pytest.approx(1100.0)
|
||
|
||
|
||
def test_pvi_reference():
|
||
# closes [10, 11], volumes [100, 200]: volume expands -> PVI absorbs +10%.
|
||
pvi = ta.PVI()
|
||
out = pvi.batch(np.array([10.0, 11.0]), np.array([100.0, 200.0]))
|
||
assert out[0] == pytest.approx(1000.0)
|
||
assert out[1] == pytest.approx(1100.0)
|
||
|
||
|
||
def test_volume_oscillator_reference():
|
||
# fast=2, slow=4 over volumes [10, 20, 30, 40, 50]:
|
||
# bar 4 -> fast=(30+40)/2=35, slow=(10+20+30+40)/4=25 -> VO = 100*(35-25)/25 = 40.
|
||
vo = ta.VolumeOscillator(2, 4)
|
||
out = vo.batch(np.array([10.0, 20.0, 30.0, 40.0, 50.0]))
|
||
assert math.isnan(out[2])
|
||
assert out[3] == pytest.approx(40.0)
|
||
assert out[4] == pytest.approx(1000.0 / 35.0)
|
||
|
||
|
||
def test_kvo_constant_series_is_zero():
|
||
# A flat series produces dm with no sign change; vf collapses to 0 every
|
||
# bar and both EMAs hold at 0, so the KVO line stays at 0.
|
||
kvo = ta.KVO(3, 6)
|
||
high = np.full(60, 10.0)
|
||
low = np.full(60, 10.0)
|
||
close = np.full(60, 10.0)
|
||
volume = np.full(60, 100.0)
|
||
out = kvo.batch(high, low, close, volume)
|
||
for v in out[~np.isnan(out)]:
|
||
assert v == pytest.approx(0.0, abs=1e-12)
|
||
|
||
|
||
def test_williams_ad_reference():
|
||
# bar 0 seeds prev_close = 10.
|
||
# bar 1: prev=10, today high=13, low=8, close=12 (up day).
|
||
# TR_l = min(10, 8) = 8 -> delta = 12 - 8 = 4. AD = 4.
|
||
# bar 2: prev=12, today high=11, low=7, close=7 (down day).
|
||
# TR_h = max(12, 11) = 12 -> delta = 7 - 12 = -5. AD = 4 - 5 = -1.
|
||
ad = ta.WilliamsAD()
|
||
high = np.array([11.0, 13.0, 11.0])
|
||
low = np.array([9.0, 8.0, 7.0])
|
||
close = np.array([10.0, 12.0, 7.0])
|
||
out = ad.batch(high, low, close)
|
||
assert math.isnan(out[0])
|
||
assert out[1] == pytest.approx(4.0)
|
||
assert out[2] == pytest.approx(-1.0)
|
||
|
||
|
||
def test_anchored_vwap_reference():
|
||
# Three flat-OHLC bars: typical_price equals price.
|
||
# 10@1, 20@1, 30@1 -> mean = 20.
|
||
avwap = ta.AnchoredVWAP()
|
||
high = np.array([10.0, 20.0, 30.0])
|
||
low = np.array([10.0, 20.0, 30.0])
|
||
close = np.array([10.0, 20.0, 30.0])
|
||
volume = np.array([1.0, 1.0, 1.0])
|
||
out = avwap.batch(high, low, close, volume)
|
||
assert out[2] == pytest.approx(20.0)
|
||
|
||
|
||
def test_anchored_vwap_set_anchor_clears_window():
|
||
# Drive a few flat bars, re-anchor, then drive a high-priced bar:
|
||
# the new running mean must equal the new bar's typical price.
|
||
avwap = ta.AnchoredVWAP()
|
||
for _ in range(3):
|
||
avwap.update((10.0, 10.0, 10.0, 10.0, 1.0, 0))
|
||
assert avwap.is_ready()
|
||
avwap.set_anchor()
|
||
v = avwap.update((100.0, 100.0, 100.0, 100.0, 5.0, 1))
|
||
assert v == pytest.approx(100.0)
|
||
|
||
|
||
def test_tsv_reference():
|
||
# closes = [10, 11, 13, 12, 14, 15]
|
||
# volumes = [50, 100, 200, 150, 50, 200]
|
||
# flows = [None, 1*100=100, 2*200=400, -1*150=-150, 2*50=100, 1*200=200]
|
||
# period=3: first emission at index 3.
|
||
# bar 3 window=[100,400,-150] -> 350
|
||
# bar 4 window=[400,-150,100] -> 350
|
||
# bar 5 window=[-150,100,200] -> 150
|
||
tsv = ta.TSV(3)
|
||
close = np.array([10.0, 11.0, 13.0, 12.0, 14.0, 15.0])
|
||
volume = np.array([50.0, 100.0, 200.0, 150.0, 50.0, 200.0])
|
||
out = tsv.batch(close, volume)
|
||
assert math.isnan(out[0]) and math.isnan(out[1]) and math.isnan(out[2])
|
||
assert out[3] == pytest.approx(350.0)
|
||
assert out[4] == pytest.approx(350.0)
|
||
assert out[5] == pytest.approx(150.0)
|
||
|
||
|
||
def test_vzo_strictly_rising_saturates_to_plus_100():
|
||
# Every bar is an up-day with identical volume -> signed_volume == volume,
|
||
# so the smoothed signed-volume EMA equals the smoothed total-volume EMA,
|
||
# giving a ratio of 1 -> VZO = +100.
|
||
vzo = ta.VZO(5)
|
||
close = np.array([10.0 + i for i in range(60)])
|
||
volume = np.full(60, 100.0)
|
||
out = vzo.batch(close, volume)
|
||
last = out[~np.isnan(out)][-1]
|
||
assert last == pytest.approx(100.0)
|
||
|
||
|
||
def test_market_facilitation_index_reference():
|
||
# (high - low) / volume = (12 - 8) / 200 = 0.02.
|
||
mfi_bw = ta.MarketFacilitationIndex()
|
||
high = np.array([12.0])
|
||
low = np.array([8.0])
|
||
volume = np.array([200.0])
|
||
out = mfi_bw.batch(high, low, volume)
|
||
assert out[0] == pytest.approx(0.02)
|
||
|
||
|
||
def test_demand_index_constant_series_is_zero():
|
||
# Flat close -> pressure = 0 every bar -> EMA stays at 0.
|
||
di = ta.DemandIndex(5)
|
||
high = np.full(60, 10.0)
|
||
low = np.full(60, 10.0)
|
||
close = np.full(60, 10.0)
|
||
volume = np.full(60, 100.0)
|
||
out = di.batch(high, low, close, volume)
|
||
for v in out[~np.isnan(out)]:
|
||
assert v == pytest.approx(0.0, abs=1e-12)
|
||
|
||
|
||
def test_chaikin_money_flow_reference():
|
||
cmf = ta.ChaikinMoneyFlow(2)
|
||
assert cmf.update((8.0, 10.0, 8.0, 10.0, 100.0, 0)) is None
|
||
assert cmf.update((10.0, 12.0, 8.0, 10.0, 100.0, 1)) == pytest.approx(0.5)
|
||
|
||
|
||
def test_linear_regression_reference():
|
||
out = ta.LinearRegression(3).batch(np.array([1.0, 2.0, 9.0]))
|
||
assert math.isnan(out[0]) and math.isnan(out[1])
|
||
assert out[2] == pytest.approx(8.0)
|
||
|
||
|
||
def test_linreg_slope_reference():
|
||
out = ta.LinRegSlope(3).batch(np.array([1.0, 2.0, 9.0]))
|
||
assert math.isnan(out[0]) and math.isnan(out[1])
|
||
assert out[2] == pytest.approx(4.0)
|
||
|
||
|
||
def test_balance_of_power_reference():
|
||
# (close - open) / (high - low) = (12 - 10) / (14 - 10) = 0.5.
|
||
bop = ta.BalanceOfPower()
|
||
assert bop.update((10.0, 14.0, 10.0, 12.0, 1.0, 0)) == pytest.approx(0.5)
|
||
|
||
|
||
def test_true_range_reference():
|
||
tr = ta.TrueRange()
|
||
assert tr.update((11.0, 12.0, 8.0, 11.0, 1.0, 0)) == pytest.approx(4.0)
|
||
assert tr.update((9.5, 10.0, 9.0, 9.5, 1.0, 1)) == pytest.approx(2.0)
|
||
|
||
|
||
def test_linreg_angle_reference():
|
||
# A series rising by 1 per step has slope 1, and atan(1) = 45 degrees.
|
||
out = ta.LinRegAngle(5).batch(np.array([1.0, 2.0, 3.0, 4.0, 5.0, 6.0]))
|
||
assert out[4] == pytest.approx(45.0)
|
||
|
||
|
||
def test_wave_trend_flat_market_yields_zero():
|
||
# On a perfectly flat market the flat-tolerance guard keeps both lines
|
||
# at exactly zero (otherwise the ratio ci = (ap - esa) / (0.015 * d)
|
||
# would explode on the first esa ULP).
|
||
out = ta.WaveTrend.classic().batch(
|
||
np.full(80, 10.0), np.full(80, 10.0), np.full(80, 10.0)
|
||
)
|
||
last = out[~np.isnan(out[:, 0])][-1]
|
||
assert last[0] == 0.0
|
||
assert last[1] == 0.0
|
||
|
||
|
||
def test_kst_classic_constants_yield_zero():
|
||
out = ta.KST.classic().batch(np.full(120, 100.0))
|
||
last_row = out[~np.isnan(out[:, 0])][-1]
|
||
assert last_row[0] == pytest.approx(0.0)
|
||
assert last_row[1] == pytest.approx(0.0)
|
||
|
||
|
||
def test_tii_pure_uptrend_saturates_at_100():
|
||
# On a strictly increasing series every close sits above the lagging
|
||
# SMA, so every deviation is positive and TII reaches 100.
|
||
prices = np.arange(80, dtype=np.float64) + 100.0
|
||
out = ta.TII(10, 5).batch(prices)
|
||
last = out[~np.isnan(out)][-1]
|
||
assert last == pytest.approx(100.0)
|
||
|
||
|
||
def test_tii_flat_market_yields_50():
|
||
out = ta.TII(5, 4).batch(np.full(30, 10.0))
|
||
last = out[~np.isnan(out)][-1]
|
||
assert last == 50.0
|
||
|
||
|
||
def test_rwi_reference_uptrend_dominates_low_line():
|
||
# In a pure linear uptrend RWI_High >> RWI_Low.
|
||
n = 60
|
||
base = np.arange(n, dtype=np.float64) * 2.0 + 100.0
|
||
high = base + 1.0
|
||
low = base - 0.5
|
||
close = base + 0.5
|
||
out = ta.RWI(14).batch(high, low, close)
|
||
last_row = out[~np.isnan(out[:, 0])][-1]
|
||
assert last_row[0] > last_row[1], f"RWI_High {last_row[0]} must dominate RWI_Low {last_row[1]}"
|
||
assert last_row[0] > 1.0
|
||
|
||
|
||
def test_adxr_reference_on_pure_uptrend():
|
||
# On a pure linear uptrend ADX saturates at 100, so ADXR (average of two
|
||
# saturated ADX values period-1 bars apart) also reads 100.
|
||
n = 100
|
||
base = np.arange(n, dtype=np.float64) * 2.0 + 100.0
|
||
high = base + 1.0
|
||
low = base - 0.5
|
||
close = base + 0.5
|
||
out = ta.ADXR(5).batch(high, low, close)
|
||
last = out[~np.isnan(out)][-1]
|
||
assert last == pytest.approx(100.0)
|
||
|
||
|
||
def test_z_score_reference():
|
||
# Window [1, 3]: mean 2, population stddev 1; latest 3 -> z = 1.
|
||
out = ta.ZScore(2).batch(np.array([1.0, 3.0]))
|
||
assert math.isnan(out[0])
|
||
assert out[1] == pytest.approx(1.0)
|
||
|
||
|
||
# --- Family 12: Statistik / Regression reference values ------------------
|
||
|
||
|
||
def test_variance_reference():
|
||
# Variance(3) of [2, 4, 6]: mean 4, variance (4 + 0 + 4) / 3 = 8/3.
|
||
out = ta.Variance(3).batch(np.array([2.0, 4.0, 6.0]))
|
||
assert math.isnan(out[1])
|
||
assert out[2] == pytest.approx(8.0 / 3.0)
|
||
|
||
|
||
def test_coefficient_of_variation_reference():
|
||
# CV(3) of [2, 4, 6]: sd / mean = sqrt(8/3) / 4.
|
||
out = ta.CoefficientOfVariation(3).batch(np.array([2.0, 4.0, 6.0]))
|
||
assert out[2] == pytest.approx(math.sqrt(8.0 / 3.0) / 4.0)
|
||
|
||
|
||
def test_skewness_symmetric_window_is_zero():
|
||
# Symmetric window has zero Pearson skewness.
|
||
out = ta.Skewness(5).batch(np.array([-2.0, -1.0, 0.0, 1.0, 2.0]))
|
||
assert out[4] == pytest.approx(0.0, abs=1e-9)
|
||
|
||
|
||
def test_kurtosis_two_point_distribution_minimum():
|
||
# Alternating {-1, 1} has m4/m2² = 1, so excess kurtosis = -2.
|
||
out = ta.Kurtosis(4).batch(np.array([-1.0, 1.0, -1.0, 1.0]))
|
||
assert out[3] == pytest.approx(-2.0, abs=1e-9)
|
||
|
||
|
||
def test_standard_error_perfect_line_is_zero():
|
||
# Residuals are zero on a perfectly linear series.
|
||
out = ta.StandardError(5).batch(np.linspace(1.0, 20.0, num=20, dtype=np.float64))
|
||
finite = out[~np.isnan(out)]
|
||
assert np.allclose(finite, 0.0, atol=1e-9)
|
||
|
||
|
||
def test_detrended_std_dev_perfect_line_is_zero():
|
||
out = ta.DetrendedStdDev(5).batch(np.linspace(1.0, 20.0, num=20, dtype=np.float64))
|
||
finite = out[~np.isnan(out)]
|
||
assert np.allclose(finite, 0.0, atol=1e-9)
|
||
|
||
|
||
def test_r_squared_perfect_line_is_one():
|
||
out = ta.RSquared(5).batch(np.linspace(1.0, 20.0, num=20, dtype=np.float64))
|
||
finite = out[~np.isnan(out)]
|
||
assert np.allclose(finite, 1.0, atol=1e-9)
|
||
|
||
|
||
def test_median_absolute_deviation_ignores_single_outlier():
|
||
# 9 equal values + 1 huge outlier: MAD is still 0 (more than half agree).
|
||
prices = np.array([5.0] * 9 + [1000.0], dtype=np.float64)
|
||
out = ta.MedianAbsoluteDeviation(10).batch(prices)
|
||
assert out[9] == pytest.approx(0.0, abs=1e-12)
|
||
|
||
|
||
def test_autocorrelation_alternating_series_negative():
|
||
# ±1 alternating: lag-1 ACF must be strongly negative.
|
||
prices = np.array([-1.0 if i % 2 == 0 else 1.0 for i in range(20)], dtype=np.float64)
|
||
out = ta.Autocorrelation(10, 1).batch(prices)
|
||
assert out[-1] < -0.5
|
||
|
||
|
||
def test_hurst_exponent_trending_above_half():
|
||
# A clean monotone ramp is the textbook persistent series.
|
||
prices = np.arange(200, dtype=np.float64)
|
||
out = ta.HurstExponent(100, 4).batch(prices)
|
||
assert out[-1] > 0.5
|
||
|
||
|
||
def test_pearson_correlation_perfect_positive_is_one():
|
||
x = np.arange(10, dtype=np.float64)
|
||
y = 2.0 * x + 3.0
|
||
out = ta.PearsonCorrelation(5).batch(x, y)
|
||
assert out[-1] == pytest.approx(1.0, abs=1e-9)
|
||
|
||
|
||
def test_beta_perfect_two_to_one():
|
||
benchmark = np.arange(10, dtype=np.float64)
|
||
asset = 2.0 * benchmark
|
||
out = ta.Beta(5).batch(asset, benchmark)
|
||
assert out[-1] == pytest.approx(2.0, abs=1e-9)
|
||
|
||
|
||
def test_spearman_correlation_monotone_nonlinear_is_one():
|
||
# y = x^3 is monotone non-linear; Spearman = 1 (Pearson would not be).
|
||
x = np.arange(1.0, 11.0, dtype=np.float64)
|
||
y = x**3
|
||
out = ta.SpearmanCorrelation(5).batch(x, y)
|
||
assert out[-1] == pytest.approx(1.0, abs=1e-9)
|
||
|
||
|
||
def test_pair_indicators_streaming_matches_batch():
|
||
rng = np.linspace(0.0, 10.0, num=60, dtype=np.float64)
|
||
x = np.sin(rng) + 0.1 * rng
|
||
y = np.cos(rng * 0.3) + 0.05 * rng
|
||
|
||
for cls, args in [(ta.PearsonCorrelation, (14,)), (ta.Beta, (14,)), (ta.SpearmanCorrelation, (14,))]:
|
||
batch = cls(*args).batch(x, y)
|
||
streamer = cls(*args)
|
||
streamed = []
|
||
for i in range(x.size):
|
||
v = streamer.update(float(x[i]), float(y[i]))
|
||
streamed.append(math.nan if v is None else float(v))
|
||
assert _eq_nan(batch, np.array(streamed, dtype=np.float64)), f"{cls.__name__} mismatch"
|
||
|
||
|
||
# --- Family 10 — Ehlers / Cycle ---
|
||
|
||
|
||
def test_mama_batch_shape_and_streaming_equivalence(sine_prices):
|
||
batch = ta.MAMA().batch(sine_prices)
|
||
assert batch.shape == (sine_prices.size, 2)
|
||
|
||
streamer = ta.MAMA()
|
||
rows = []
|
||
for p in sine_prices:
|
||
v = streamer.update(float(p))
|
||
rows.append([math.nan, math.nan] if v is None else list(v))
|
||
streamed = np.array(rows, dtype=np.float64)
|
||
assert _eq_nan(batch, streamed)
|
||
|
||
|
||
def test_inverse_fisher_transform_zero_input_yields_zero():
|
||
out = ta.InverseFisherTransform(1.0).batch(np.array([0.0, 0.0, 0.0]))
|
||
np.testing.assert_allclose(out, [0.0, 0.0, 0.0], atol=1e-12)
|
||
|
||
|
||
def test_fisher_transform_flat_series_is_zero():
|
||
# Zero range -> the normaliser yields 0, and tanh(0) chain stays at 0.
|
||
out = ta.FisherTransform(5).batch(np.full(20, 42.0))
|
||
ready = out[~np.isnan(out)]
|
||
assert np.all(np.abs(ready) < 1e-6)
|
||
|
||
|
||
def test_decycler_flat_series_passes_through():
|
||
# High-pass of a flat input is zero, so the decycler equals the input.
|
||
out = ta.Decycler(20).batch(np.full(30, 100.0))
|
||
ready = out[~np.isnan(out)]
|
||
np.testing.assert_allclose(ready, 100.0, atol=1e-9)
|
||
|
||
|
||
def test_center_of_gravity_flat_series_is_zero():
|
||
out = ta.CenterOfGravity(5).batch(np.full(20, 7.0))
|
||
ready = out[~np.isnan(out)]
|
||
np.testing.assert_allclose(ready, 0.0, atol=1e-12)
|
||
|
||
|
||
def test_super_smoother_first_two_outputs_equal_inputs():
|
||
out = ta.SuperSmoother(10).batch(np.array([100.0, 101.0, 102.0]))
|
||
# The 2-pole filter is seeded with raw values for the first two bars.
|
||
assert out[0] == pytest.approx(100.0)
|
||
assert out[1] == pytest.approx(101.0)
|
||
|
||
|
||
def test_td_setup_pure_uptrend_reaches_minus_9():
|
||
# Every close is strictly greater than four bars ago -> sell-setup -9.
|
||
h = np.arange(2.0, 22.0)
|
||
l = h - 1.0
|
||
c = h - 0.5
|
||
out = ta.TDSetup(4, 9).batch(h, l, c)
|
||
# Setup completes at index 12 (warmup is 5 -> first emit at index 4 with
|
||
# value -1, increments to -9 at index 12).
|
||
assert out[12] == pytest.approx(-9.0)
|
||
|
||
|
||
def test_td_demarker_uptrend_pegs_at_one():
|
||
# Strictly higher highs, strictly higher lows -> DeMax > 0, DeMin == 0
|
||
# -> indicator == 1 after warmup.
|
||
h = np.arange(11.0, 31.0)
|
||
l = h - 2.0
|
||
out = ta.TDDeMarker(5).batch(h, l)
|
||
assert out[-1] == pytest.approx(1.0)
|
||
|
||
|
||
def test_td_demarker_flat_market_emits_05():
|
||
# All highs and lows equal -> denominator is zero -> neutral fallback 0.5.
|
||
h = np.full(20, 11.0)
|
||
l = np.full(20, 9.0)
|
||
out = ta.TDDeMarker(5).batch(h, l)
|
||
assert out[-1] == pytest.approx(0.5)
|
||
|
||
|
||
def test_td_pressure_pure_bullish_yields_100():
|
||
# Every bar closes at its high (close == high, open == low) -> per-bar
|
||
# pressure ratio is +1 -> indicator == 100.
|
||
n = 20
|
||
open_ = np.full(n, 9.0)
|
||
high = np.full(n, 11.0)
|
||
low = np.full(n, 9.0)
|
||
close = np.full(n, 11.0)
|
||
volume = np.full(n, 100.0)
|
||
out = ta.TDPressure(5).batch(open_, high, low, close, volume)
|
||
assert out[-1] == pytest.approx(100.0)
|
||
|
||
|
||
def test_td_combo_uptrend_saturates_at_minus_13():
|
||
# Strictly increasing closes -> sell setup completes; combo conditions
|
||
# (close >= high[i-2], high[i] >= high[i-1], close > close[i-1]) all
|
||
# hold so combo saturates at -13.
|
||
n = 40
|
||
high = np.arange(1.0, 1.0 + n) + 0.5
|
||
low = high - 1.0
|
||
close = high - 0.5
|
||
out = ta.TDCombo().batch(high, low, close)
|
||
assert out[-1] == pytest.approx(-13.0)
|
||
|
||
|
||
def test_td_countdown_uptrend_saturates_at_minus_13():
|
||
n = 40
|
||
high = np.arange(1.0, 1.0 + n) + 0.5
|
||
low = high - 1.0
|
||
close = high - 0.5
|
||
out = ta.TDCountdown().batch(high, low, close)
|
||
assert out[-1] == pytest.approx(-13.0)
|
||
|
||
|
||
def test_td_lines_uptrend_sets_support_at_first_run_low():
|
||
# Strictly rising closes -> sell setup completes at idx 12; the
|
||
# lowest low among the setup bars (idx 4..=12) is the low at idx 4.
|
||
n = 20
|
||
high = np.arange(1.0, 1.0 + n) + 0.5
|
||
low = high - 1.0
|
||
close = high - 0.5
|
||
out = ta.TDLines().batch(high, low, close)
|
||
# support is column 1; resistance is NaN at -1.
|
||
assert math.isnan(out[-1, 0])
|
||
# low at idx 4 = 5 + 0.5 - 1.0 = 4.5.
|
||
assert out[-1, 1] == pytest.approx(4.5)
|
||
|
||
|
||
def test_td_range_projection_bullish_bar_reference():
|
||
# open=10, high=12, low=9, close=11 (close > open) ->
|
||
# pivot_sum = 2*12 + 9 + 11 = 44; half = 22.
|
||
# projHigh = 22 - 9 = 13; projLow = 22 - 12 = 10.
|
||
out = ta.TDRangeProjection().batch(
|
||
np.array([10.0]), np.array([12.0]), np.array([9.0]), np.array([11.0])
|
||
)
|
||
assert out[0, 0] == pytest.approx(13.0)
|
||
assert out[0, 1] == pytest.approx(10.0)
|
||
|
||
|
||
def test_td_differential_buy_signal_reference():
|
||
# Bar 0: high=10, low=8, close=9 -> warmup, returns None.
|
||
# Bar 1: high=9, low=7, close=8.5 -> close < prev.close, more buying
|
||
# pressure (1.5 > 1), less selling pressure (0.5 < 1) -> +1.
|
||
td = ta.TDDifferential()
|
||
assert td.update((9.0, 10.0, 8.0, 9.0, 1.0, 0)) is None
|
||
assert td.update((8.5, 9.0, 7.0, 8.5, 1.0, 1)) == pytest.approx(1.0)
|
||
|
||
|
||
def test_td_open_buy_signal_reference():
|
||
# Prev bar low=10. Curr open=9 < 10, curr high=11 > 10 -> +1.
|
||
td = ta.TDOpen()
|
||
assert td.update((10.0, 11.0, 10.0, 10.5, 1.0, 0)) is None
|
||
assert td.update((9.0, 11.0, 8.5, 9.5, 1.0, 1)) == pytest.approx(1.0)
|
||
|
||
|
||
def test_td_risk_level_uptrend_sets_sell_risk():
|
||
# Strictly rising closes -> sell setup completes at idx 12.
|
||
# The highest high is at idx 12 (= 13.5) with true range 1.5 ->
|
||
# sell_risk = 13.5 + 1.5 = 15.0. Subsequent setups re-ratchet the level
|
||
# so we check the first emission at idx 12.
|
||
n = 20
|
||
high = np.arange(1.0, 1.0 + n) + 0.5
|
||
low = high - 1.0
|
||
close = high - 0.5
|
||
out = ta.TDRiskLevel().batch(high, low, close)
|
||
# buy_risk is column 0; sell_risk is column 1.
|
||
assert math.isnan(out[12, 0])
|
||
assert out[12, 1] == pytest.approx(15.0)
|
||
|
||
|
||
def test_classic_pivots_reference():
|
||
# H=110, L=90, C=105 -> PP = 305/3, R1 = 2·PP − L, S1 = 2·PP − H.
|
||
cp = ta.ClassicPivots()
|
||
pp, r1, r2, r3, s1, s2, s3 = cp.update((105.0, 110.0, 90.0, 105.0, 1.0, 0))
|
||
expected_pp = 305.0 / 3.0
|
||
assert pp == pytest.approx(expected_pp)
|
||
assert r1 == pytest.approx(2 * expected_pp - 90.0)
|
||
assert s1 == pytest.approx(2 * expected_pp - 110.0)
|
||
assert r2 == pytest.approx(expected_pp + 20.0)
|
||
assert s2 == pytest.approx(expected_pp - 20.0)
|
||
assert r3 > r2 and s3 < s2
|
||
|
||
|
||
def test_fibonacci_pivots_reference():
|
||
# H=110, L=90, C=100 -> PP=100, range=20, R1=PP+0.382·range, etc.
|
||
fp = ta.FibonacciPivots()
|
||
pp, r1, r2, r3, s1, s2, s3 = fp.update((100.0, 110.0, 90.0, 100.0, 1.0, 0))
|
||
assert pp == pytest.approx(100.0)
|
||
assert r1 == pytest.approx(100.0 + 0.382 * 20.0)
|
||
assert r2 == pytest.approx(100.0 + 0.618 * 20.0)
|
||
assert r3 == pytest.approx(100.0 + 20.0)
|
||
assert s1 == pytest.approx(100.0 - 0.382 * 20.0)
|
||
assert s3 == pytest.approx(100.0 - 20.0)
|
||
|
||
|
||
def test_camarilla_pivots_reference():
|
||
# H=110, L=90, C=105 -> R4 = C + range · 1.1 / 2 = 105 + 11 = 116.
|
||
cm = ta.Camarilla()
|
||
pp, r1, r2, r3, r4, s1, s2, s3, s4 = cm.update((105.0, 110.0, 90.0, 105.0, 1.0, 0))
|
||
range_ = 20.0
|
||
assert r1 == pytest.approx(105.0 + range_ * 1.1 / 12.0)
|
||
assert r4 == pytest.approx(105.0 + range_ * 1.1 / 2.0)
|
||
assert s4 == pytest.approx(105.0 - range_ * 1.1 / 2.0)
|
||
assert pp == pytest.approx(305.0 / 3.0)
|
||
# Strict widening with index.
|
||
assert r4 > r3 > r2 > r1
|
||
assert s4 < s3 < s2 < s1
|
||
|
||
|
||
def test_woodie_pivots_reference():
|
||
# H=110, L=90, C=108 -> PP = (110 + 90 + 216) / 4 = 104.
|
||
wp = ta.WoodiePivots()
|
||
pp, r1, r2, s1, s2 = wp.update((108.0, 110.0, 90.0, 108.0, 1.0, 0))
|
||
assert pp == pytest.approx(104.0)
|
||
assert r1 == pytest.approx(2 * 104.0 - 90.0)
|
||
assert s1 == pytest.approx(2 * 104.0 - 110.0)
|
||
assert r2 == pytest.approx(104.0 + 20.0)
|
||
assert s2 == pytest.approx(104.0 - 20.0)
|
||
|
||
|
||
def test_demark_pivots_up_bar_reference():
|
||
# Up bar: O=100, H=120, L=80, C=110 -> X = H + 2L + C = 390, PP = 97.5.
|
||
dp = ta.DemarkPivots()
|
||
pp, r1, s1 = dp.update((100.0, 120.0, 80.0, 110.0, 1.0, 0))
|
||
assert pp == pytest.approx(97.5)
|
||
assert r1 == pytest.approx(195.0 - 80.0)
|
||
assert s1 == pytest.approx(195.0 - 120.0)
|
||
|
||
|
||
def test_williams_fractals_isolated_peak():
|
||
# Highs 1, 2, 5, 2, 1; the centre is strictly above both neighbours.
|
||
wf = ta.WilliamsFractals()
|
||
last = None
|
||
for i, h in enumerate([1.0, 2.0, 5.0, 2.0, 1.0]):
|
||
last = wf.update((h, h, h - 0.5, h, 1.0, i))
|
||
assert last is not None
|
||
up, down = last
|
||
assert up == pytest.approx(5.0)
|
||
assert down is None
|
||
|
||
|
||
def test_zigzag_confirms_after_threshold_reversal():
|
||
# 100 -> 120 (uptrend pivot) -> 100 (16.7% drop confirms swing high).
|
||
zz = ta.ZigZag(0.10)
|
||
assert zz.update((100.0, 100.5, 99.5, 100.0, 1.0, 0)) is None
|
||
assert zz.update((120.0, 120.5, 119.5, 120.0, 1.0, 1)) is None
|
||
confirmed = zz.update((100.0, 100.5, 99.5, 100.0, 1.0, 2))
|
||
assert confirmed is not None
|
||
swing, direction = confirmed
|
||
assert swing == pytest.approx(120.5)
|
||
assert direction == 1.0
|
||
|
||
|
||
# --- Family 05 reference values ---------------------------------------------
|
||
|
||
|
||
def test_ma_envelope_reference():
|
||
# SMA([10, 20, 30]) = 20; with percent = 0.10: upper = 22, lower = 18.
|
||
out = ta.MaEnvelope(3, 0.10).batch(np.array([10.0, 20.0, 30.0]))
|
||
assert math.isnan(out[0, 0]) and math.isnan(out[1, 0])
|
||
assert out[2, 0] == pytest.approx(22.0) # upper
|
||
assert out[2, 1] == pytest.approx(20.0) # middle
|
||
assert out[2, 2] == pytest.approx(18.0) # lower
|
||
|
||
|
||
def test_acceleration_bands_reference():
|
||
# Single bar: high=12, low=8, close=10, factor=0.5, period=1.
|
||
# ratio = 4/20 = 0.2; raw_up = 12·1.1 = 13.2; raw_lo = 8·0.9 = 7.2.
|
||
v = ta.AccelerationBands(1, 0.5).update((10.0, 12.0, 8.0, 10.0, 1.0, 0))
|
||
assert v == pytest.approx((13.2, 10.0, 7.2))
|
||
|
||
|
||
def test_atr_bands_reference():
|
||
# Five identical bars (h=11, l=9, c=10) → ATR=2, close=10, mult=3:
|
||
# upper=16, middle=10, lower=4.
|
||
out = ta.AtrBands(5, 3.0).batch(
|
||
np.array([11.0] * 5), np.array([9.0] * 5), np.array([10.0] * 5)
|
||
)
|
||
assert math.isnan(out[3, 0])
|
||
assert out[4, 0] == pytest.approx(16.0)
|
||
assert out[4, 1] == pytest.approx(10.0)
|
||
assert out[4, 2] == pytest.approx(4.0)
|
||
|
||
|
||
def test_hurst_channel_reference():
|
||
# Five identical (h=12, l=8, c=10): SMA(close)=10, range=4, mult=0.5.
|
||
out = ta.HurstChannel(5, 0.5).batch(
|
||
np.array([12.0] * 5), np.array([8.0] * 5), np.array([10.0] * 5)
|
||
)
|
||
assert out[4, 0] == pytest.approx(12.0)
|
||
assert out[4, 1] == pytest.approx(10.0)
|
||
assert out[4, 2] == pytest.approx(8.0)
|
||
|
||
|
||
def test_linreg_channel_reference():
|
||
# period 3 over [1, 2, 9]: line y=4x, endpoint=8, residuals=[1, -2, 1],
|
||
# population sigma=sqrt(2); mult=2 → upper=8+2√2, lower=8-2√2.
|
||
out = ta.LinRegChannel(3, 2.0).batch(np.array([1.0, 2.0, 9.0]))
|
||
s = math.sqrt(2.0)
|
||
assert out[2, 0] == pytest.approx(8.0 + 2.0 * s)
|
||
assert out[2, 1] == pytest.approx(8.0)
|
||
assert out[2, 2] == pytest.approx(8.0 - 2.0 * s)
|
||
|
||
|
||
def test_standard_error_bands_reference():
|
||
# Same [1, 2, 9] with n=3: SSE=6, n-2=1, stderr=sqrt(6); mult=2 →
|
||
# upper=8+2√6, lower=8-2√6.
|
||
out = ta.StandardErrorBands(3, 2.0).batch(np.array([1.0, 2.0, 9.0]))
|
||
s = math.sqrt(6.0)
|
||
assert out[2, 0] == pytest.approx(8.0 + 2.0 * s)
|
||
assert out[2, 1] == pytest.approx(8.0)
|
||
assert out[2, 2] == pytest.approx(8.0 - 2.0 * s)
|
||
|
||
|
||
def test_double_bollinger_orders_bands():
|
||
# On a non-trivial dispersion, outer >= inner >= middle >= -inner >= -outer.
|
||
out = ta.DoubleBollinger(5, 1.0, 2.0).batch(
|
||
np.array([1.0, 5.0, 2.0, 4.0, 3.0, 6.0])
|
||
)
|
||
v = out[5]
|
||
assert v[0] >= v[1] >= v[2] >= v[3] >= v[4]
|
||
|
||
|
||
def test_vwap_stddev_bands_reference():
|
||
# Two equal-volume bars with tp=8, tp=12: vwap=10, σ=2, mult=1.5 →
|
||
# upper=13, lower=7.
|
||
v = ta.VwapStdDevBands(1.5)
|
||
v.update((8.0, 8.0, 8.0, 8.0, 1.0, 0))
|
||
out = v.update((12.0, 12.0, 12.0, 12.0, 1.0, 1))
|
||
assert out[0] == pytest.approx(13.0)
|
||
assert out[1] == pytest.approx(10.0)
|
||
assert out[2] == pytest.approx(7.0)
|
||
assert out[3] == pytest.approx(2.0)
|
||
|
||
|
||
def test_ttm_squeeze_flat_market():
|
||
# Zero volatility: BB and KC both collapse to a point → squeeze=1.0,
|
||
# momentum=0.0.
|
||
candles_h = np.array([10.0] * 25)
|
||
out = ta.TtmSqueeze(20, 2.0, 1.5).batch(candles_h, candles_h, candles_h)
|
||
assert out[24, 0] == pytest.approx(1.0)
|
||
assert out[24, 1] == pytest.approx(0.0)
|
||
|
||
|
||
def test_fractal_chaos_bands_detects_peak_and_trough():
|
||
# Sequence that creates one fractal high (i=2) and one low (i=3).
|
||
h = np.array([1.0, 2.0, 5.0, 3.0, 2.0, 1.0, 2.0])
|
||
l = np.array([1.0, 2.0, 3.0, 0.5, 2.0, 1.0, 2.0])
|
||
out = ta.FractalChaosBands(2).batch(h, l)
|
||
# First bar with both bands set is index 5.
|
||
assert math.isnan(out[4, 0])
|
||
assert out[5, 0] == pytest.approx(5.0)
|
||
assert out[5, 1] == pytest.approx(0.5)
|
||
|
||
|
||
# --- Lifecycle ------------------------------------------------------------
|
||
|
||
|
||
def test_new_indicators_expose_lifecycle():
|
||
instances = [make() for make, _ in CANDLE_SCALAR.values()]
|
||
instances += [t[0]() for t in MULTI.values()]
|
||
instances += [make() for make, _ in MULTI_SCALAR_INPUT.values()]
|
||
instances += [cls(*args) for cls, args in SCALAR]
|
||
instances += [make() for make, _ in SCALAR_MULTI.values()]
|
||
instances += [make() for make in HLC_BAND3.values()]
|
||
instances += [ta.VwapStdDevBands(2.0)]
|
||
instances.append(ta.Alligator(13, 8, 5))
|
||
instances.append(ta.ZeroLagMACD(12, 26, 9))
|
||
instances += [
|
||
ta.TDPressure(5),
|
||
ta.TDSequential(),
|
||
ta.TDLines(),
|
||
ta.TDRiskLevel(),
|
||
ta.TDRangeProjection(),
|
||
ta.TDOpen(),
|
||
]
|
||
for ind in instances:
|
||
assert ind.is_ready() is False
|
||
assert ind.warmup_period() >= 1
|
||
ind.reset()
|
||
assert ind.is_ready() is False
|
||
|
||
|
||
# --- Ichimoku & Heikin-Ashi (Family 13) -----------------------------------
|
||
|
||
|
||
def test_ichimoku_batch_shape_and_warmup(ohlcv):
|
||
high, low, close, _ = ohlcv
|
||
ichi = ta.Ichimoku()
|
||
out = ichi.batch(high, low, close)
|
||
assert out.shape == (close.size, 5)
|
||
# Warmup is 77 for the classic (9, 26, 52, 26) configuration.
|
||
assert ichi.warmup_period() == 77
|
||
# Tenkan emits from bar 9; before that, the entire column is NaN.
|
||
assert np.all(np.isnan(out[:8, 0]))
|
||
assert not math.isnan(out[8, 0])
|
||
|
||
|
||
def test_ichimoku_streaming_matches_batch(ohlcv):
|
||
high, low, close, _ = ohlcv
|
||
batch = ta.Ichimoku().batch(high, low, close)
|
||
|
||
streamer = ta.Ichimoku()
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(close[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
0.0,
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
if v is None:
|
||
rows.append([math.nan] * 5)
|
||
else:
|
||
rows.append([math.nan if x is None else float(x) for x in v])
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
def test_ichimoku_chikou_is_close_displacement_back():
|
||
# A constant series makes Chikou trivially equal to the close.
|
||
n = 60
|
||
close = np.full(n, 100.0)
|
||
high = close + 1.0
|
||
low = close - 1.0
|
||
out = ta.Ichimoku().batch(high, low, close)
|
||
# Displacement = 26, so chikou is defined from bar 25 onwards.
|
||
for i in range(25, n):
|
||
assert out[i, 4] == pytest.approx(100.0)
|
||
|
||
|
||
def test_heikin_ashi_seed_and_recursion():
|
||
ha = ta.HeikinAshi()
|
||
# Bar 1: ha_open = (open + close) / 2, ha_close = (O+H+L+C)/4.
|
||
first = ha.update((10.0, 12.0, 9.0, 11.0, 0.0, 0))
|
||
assert first == pytest.approx(
|
||
(
|
||
(10.0 + 11.0) / 2.0,
|
||
max(12.0, (10.0 + 11.0) / 2.0, (10.0 + 12.0 + 9.0 + 11.0) / 4.0),
|
||
min(9.0, (10.0 + 11.0) / 2.0, (10.0 + 12.0 + 9.0 + 11.0) / 4.0),
|
||
(10.0 + 12.0 + 9.0 + 11.0) / 4.0,
|
||
)
|
||
)
|
||
# Bar 2: ha_open = (prev_ha_open + prev_ha_close) / 2.
|
||
second = ha.update((11.5, 13.0, 10.5, 12.0, 0.0, 1))
|
||
assert second[0] == pytest.approx((first[0] + first[3]) / 2.0)
|
||
assert second[3] == pytest.approx((11.5 + 13.0 + 10.5 + 12.0) / 4.0)
|
||
|
||
|
||
def test_heikin_ashi_streaming_matches_batch(ohlcv):
|
||
high, low, close, _ = ohlcv
|
||
open_ = (high + low) / 2.0
|
||
batch = ta.HeikinAshi().batch(open_, high, low, close)
|
||
|
||
streamer = ta.HeikinAshi()
|
||
rows = []
|
||
for i in range(close.size):
|
||
candle = (
|
||
float(open_[i]),
|
||
float(high[i]),
|
||
float(low[i]),
|
||
float(close[i]),
|
||
0.0,
|
||
i,
|
||
)
|
||
v = streamer.update(candle)
|
||
rows.append([math.nan] * 4 if v is None else list(v))
|
||
assert _eq_nan(batch, np.array(rows, dtype=np.float64))
|
||
|
||
|
||
def test_heikin_ashi_lifecycle_and_reset():
|
||
ha = ta.HeikinAshi()
|
||
assert ha.is_ready() is False
|
||
assert ha.warmup_period() == 1
|
||
ha.update((10.0, 11.0, 9.0, 10.5, 0.0, 0))
|
||
assert ha.is_ready() is True
|
||
ha.reset()
|
||
assert ha.is_ready() is False
|