def test_input_validation(self, arg):
window_length = 52
with pytest.raises(
ValueError,
match=f"{arg} must be <= the window_length: 53 > 52"):
IchimokuKinkoHyo(**{arg: window_length + 1})
def test_input_validation(self, arg):
window_length = 52
with self.assertRaises(ValueError) as e:
IchimokuKinkoHyo(**{arg: window_length + 1})
assert_equal(
str(e.exception),
'%s must be <= the window_length: 53 > 52' % arg,
)
def test_ichimoku_kinko_hyo(self):
window_length = 52
today = pd.Timestamp('2014', tz='utc')
nassets = 5
assets = pd.Index(np.arange(nassets))
days_col = np.arange(window_length)[:, np.newaxis]
highs = np.arange(nassets) + 2 + days_col
closes = np.arange(nassets) + 1 + days_col
lows = np.arange(nassets) + days_col
tenkan_sen_length = 9
kijun_sen_length = 26
chikou_span_length = 26
ichimoku_kinko_hyo = IchimokuKinkoHyo(
window_length=window_length,
tenkan_sen_length=tenkan_sen_length,
kijun_sen_length=kijun_sen_length,
chikou_span_length=chikou_span_length,
)
dtype = [
('tenkan_sen', 'f8'),
('kijun_sen', 'f8'),
('senkou_span_a', 'f8'),
('senkou_span_b', 'f8'),
('chikou_span', 'f8'),
]
out = np.recarray(
shape=(nassets,),
dtype=dtype,
buf=np.empty(shape=(nassets,), dtype=dtype),
)
ichimoku_kinko_hyo.compute(
today,
assets,
out,
highs,
lows,
closes,
tenkan_sen_length,
kijun_sen_length,
chikou_span_length,
)
expected_tenkan_sen = np.array([
(53 + 43) / 2,
(54 + 44) / 2,
(55 + 45) / 2,
(56 + 46) / 2,
(57 + 47) / 2,
])
expected_kijun_sen = np.array([
(53 + 26) / 2,
(54 + 27) / 2,
(55 + 28) / 2,
(56 + 29) / 2,
(57 + 30) / 2,
])
expected_senkou_span_a = (expected_tenkan_sen + expected_kijun_sen) / 2
expected_senkou_span_b = np.array([
(53 + 0) / 2,
(54 + 1) / 2,
(55 + 2) / 2,
(56 + 3) / 2,
(57 + 4) / 2,
])
expected_chikou_span = np.array([
27.0,
28.0,
29.0,
30.0,
31.0,
])
assert_equal(
out.tenkan_sen,
expected_tenkan_sen,
msg='tenkan_sen',
)
assert_equal(
out.kijun_sen,
expected_kijun_sen,
msg='kijun_sen',
)
assert_equal(
out.senkou_span_a,
expected_senkou_span_a,
msg='senkou_span_a',
)
assert_equal(
out.senkou_span_b,
expected_senkou_span_b,
msg='senkou_span_b',
)
assert_equal(
out.chikou_span,
expected_chikou_span,
msg='chikou_span',
)
