def testRSubOperator(self):
ma20 = MovingAverage(20, 'close')
sumTotal = Sum('close')
subRes = 5.0 - MovingAverage(20, 'close')
concated = sumTotal - (ma20 ^ sumTotal)
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma20.push(data)
sumTotal.push(data)
subRes.push(data)
concated.push(data)
expected = 5.0 - ma20.result()
calculated = subRes.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (sumTotal.result() - ma20.result(), 0.0)
calculated = concated.result()
self.assertAlmostEqual(calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0],
calculated[0]))
self.assertAlmostEqual(calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1],
calculated[1]))
def testSubOperator(self):
ma5 = MovingAverage(5, 'close')
sumTotal = Sum('open')
subRes = MovingAverage(5, 'close') - Sum('open')
concated = (MovingAverage(5, 'close') ^ Sum('open')) - Sum('open')
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma5.push(data)
sumTotal.push(data)
subRes.push(data)
concated.push(data)
expected = ma5.result() - sumTotal.result()
calculated = subRes.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (ma5.result() - sumTotal.result(), 0.0)
calculated = concated.result()
self.assertAlmostEqual(calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0],
calculated[0]))
self.assertAlmostEqual(calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1],
calculated[1]))
def testRSubOperator(self):
ma20 = MovingAverage(20, 'close')
sumTotal = Sum('close')
subRes = 5.0 - MovingAverage(20, 'close')
concated = sumTotal - (ma20 ^ sumTotal)
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma20.push(data)
sumTotal.push(data)
subRes.push(data)
concated.push(data)
expected = 5.0 - ma20.result()
calculated = subRes.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (sumTotal.result() - ma20.result(), 0.0)
calculated = concated.result()
self.assertAlmostEqual(
calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0], calculated[0]))
self.assertAlmostEqual(
calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1], calculated[1]))
def testSubOperator(self):
ma5 = MovingAverage(5, 'close')
sumTotal = Sum('open')
subRes = MovingAverage(5, 'close') - Sum('open')
concated = (MovingAverage(5, 'close') ^ Sum('open')) - Sum('open')
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma5.push(data)
sumTotal.push(data)
subRes.push(data)
concated.push(data)
expected = ma5.result() - sumTotal.result()
calculated = subRes.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (ma5.result() - sumTotal.result(), 0.0)
calculated = concated.result()
self.assertAlmostEqual(
calculated[0], expected[0], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[0], calculated[0]))
self.assertAlmostEqual(
calculated[1], expected[1], 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected[1], calculated[1]))
def testSum(self):
mm = Sum(dependency='close')
for i, value in enumerate(self.samplesClose):
mm.push(dict(close=value))
expected = np.sum(self.samplesClose[:i + 1])
calculated = mm.result()
self.assertAlmostEqual(expected, calculated, 10, "at index {0:d}\n"
"expected sum: {1:f}\n"
"calculated sum: {2:f}".format(i, expected, calculated))
def testSum(self):
mm = Sum(dependency='close')
for i, value in enumerate(self.samplesClose):
mm.push(dict(close=value))
expected = np.sum(self.samplesClose[:i + 1])
calculated = mm.result()
self.assertAlmostEqual(
expected, calculated, 10, "at index {0:d}\n"
"expected sum: {1:f}\n"
"calculated sum: {2:f}".format(i, expected, calculated))
def testCompoundedOperator(self):
ma5 = MovingAverage(5, 'x')
maxer = Max('close')
max5ma = Max('close') >> MovingAverage(5)
max5ma2 = MovingAverage(5, Max('close'))
average = Average('close')
sumM = Sum('close')
mvTest = Correlation(dependency=('x', 'y'))
mvCorr = (Average('close') ^ Sum('close')) >> Correlation(dependency=('x', 'y'))
for i, close in enumerate(self.sampleClose):
data = {'close': close, 'open': open}
maxer.push(data)
data2 = {'x': maxer.result()}
ma5.push(data2)
max5ma.push(data)
max5ma2.push(data)
average.push(data)
sumM.push(data)
data3 = {'x': average.result(), 'y': sumM.result()}
mvTest.push(data3)
mvCorr.push(data)
expected = ma5.result()
calculated = max5ma.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = max5ma2.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
if i >= 1:
expected = mvTest.result()
calculated = mvCorr.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = Max('close') >> math.sqrt
with self.assertRaises(ValueError):
_ = (Max('close') ^ Minimum('close')) >> MovingCorrelation(20, dependency=('x', 'y', 'z'))
(Max('close') ^ Minimum('close')) >> MovingCorrelation(20, dependency=('x', 'y'))
def testCompoundedOperator(self):
ma5 = MovingAverage(5, 'x')
maxer = Max('close')
max5ma = Max('close') >> MovingAverage(5)
max5ma2 = MovingAverage(5, Max('close'))
average = Average('close')
sumM = Sum('close')
mvTest = Correlation(dependency=('x', 'y'))
mvCorr = (Average('close')
^ Sum('close')) >> Correlation(dependency=('x', 'y'))
for i, close in enumerate(self.sampleClose):
data = {'close': close, 'open': 1.}
maxer.push(data)
data2 = {'x': maxer.result()}
ma5.push(data2)
max5ma.push(data)
max5ma2.push(data)
average.push(data)
sumM.push(data)
data3 = {'x': average.result(), 'y': sumM.result()}
mvTest.push(data3)
mvCorr.push(data)
expected = ma5.result()
calculated = max5ma.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = max5ma2.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
if i >= 1:
expected = mvTest.result()
calculated = mvCorr.result()
self.assertAlmostEqual(
calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = Max('close') >> math.sqrt
with self.assertRaises(ValueError):
_ = (Max('close') ^ Min('close')) >> MovingCorrelation(
20, dependency=('x', 'y', 'z'))
(Max('close') ^ Min('close')) >> MovingCorrelation(
20, dependency=('x', 'y'))
