def testValueHolderCompounding(self): window = 10 ma1 = SecurityMovingAverage(window, 'close') compounded1 = SecurityMovingMax(2, ma1) compounded2 = SecurityMovingAverage(2, ma1) self.assertEqual(compounded1.window, window + 2) container = [np.nan, np.nan] for i in range(len(self.aapl['close'])): data = { 'aapl': { 'close': self.aapl['close'][i], 'open': self.aapl['open'][i] } } ma1.push(data) compounded1.push(data) compounded2.push(data) container[i % 2] = ma1.value['aapl'] if i >= 1: self.assertAlmostEqual(max(container), compounded1.value['aapl'], 12) self.assertAlmostEqual(np.mean((container)), compounded2.value['aapl'], 12)
def testSecurityMovingMax(self): window = 10 ma1 = SecurityMovingMax(window, ['close'], ['aapl', 'ibm']) for i in range(len(self.aapl['close'])): data = { 'aapl': { 'close': self.aapl['close'][i], 'open': self.aapl['open'][i] } } data['ibm'] = { 'close': self.ibm['close'][i], 'open': self.ibm['open'][i] } ma1.push(data) if i < 10: start = 0 else: start = i + 1 - window value = ma1.value for name in value: expected = np.max(self.dataSet[name]['close'][start:(i + 1)]) calculated = value[name] self.assertAlmostEqual( expected, calculated, 12, 'at index {0}\n' 'expected: {1:.12f}\n' 'calculated: {2:.12f}'.format(i, expected, calculated)) with self.assertRaises(ValueError): _ = SecurityMovingMax(window, ['close', 'open'], ['aapl', 'ibm'])
def testSecurityMovingMax(self): window = 10 ma1 = SecurityMovingMax(window, ['close']) for i in range(len(self.aapl['close'])): data = dict(aapl=dict(close=self.aapl['close'][i], open=self.aapl['open'][i]), ibm=dict(close=self.ibm['close'][i], open=self.ibm['open'][i])) ma1.push(data) if i < window: start = 0 else: start = i + 1 - window value = ma1.value for name in value.index(): expected = np.max(self.dataSet[name]['close'][start:(i + 1)]) calculated = value[name] self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n' 'expected: {1:.12f}\n' 'calculated: {2:.12f}'.format(i, expected, calculated)) with self.assertRaises(ValueError): _ = SecurityMovingMax(window, ['close', 'open'])
def testDependencyCalculationOnCompoundedValueHolder(self): h = SecurityMovingMax(5, SecurityMovingAverage(10, 'close') + SecurityMovingAverage(20, 'open')) h.push({'aapl': {'close': 5}}) expected = {'aapl': ['close', 'open']} calculated = h.dependency for name in expected: self.assertEqual(set(calculated[name]), set(expected[name]))
def testDependencyCalculationOnCompoundedValueHolder(self): h = SecurityMovingMax( 5, SecurityMovingAverage(10, 'close') + SecurityMovingAverage(20, 'open')) h.push({'aapl': {'close': 5}}) expected = {'aapl': ['close', 'open']} calculated = h.dependency for name in expected: self.assertEqual(set(calculated[name]), set(expected[name]))
def testSecurityValueHolderIsFull(self): test = SecurityMovingMax(2, x='close') data = {'aapl': {'close': 1.0}, 'ibm': {'close': 2.0}} test.push(data) self.assertEqual(test.isFull, False) data = {'aapl': {'close': 1.0}, 'ibm': {'close': 13.0}} test.push(data) self.assertEqual(test.isFull, True)
def testValueHolderCompounding(self): window = 10 ma1 = SecurityMovingAverage(window, 'close') compounded1 = SecurityMovingMax(2, ma1) compounded2 = SecurityMovingAverage(2, ma1) self.assertEqual(compounded1.window, window + 1) container = [np.nan, np.nan] for i in range(len(self.aapl['close'])): data = {'aapl': {'close': self.aapl['close'][i], 'open': self.aapl['open'][i]}} ma1.push(data) compounded1.push(data) compounded2.push(data) container[i % 2] = ma1.value['aapl'] if i >= 1: self.assertAlmostEqual(max(container), compounded1.value['aapl'], 12) self.assertAlmostEqual(np.mean((container)), compounded2.value['aapl'], 12)
def testSecurityMovingMax(self): window = 10 ma1 = SecurityMovingMax(window, ['close']) for i in range(len(self.aapl['close'])): data = {'aapl': {'close': self.aapl['close'][i], 'open': self.aapl['open'][i]}} data['ibm'] = {'close': self.ibm['close'][i], 'open': self.ibm['open'][i]} ma1.push(data) if i < 10: start = 0 else: start = i + 1 - window value = ma1.value for name in value.index: expected = np.max(self.dataSet[name]['close'][start:(i + 1)]) calculated = value[name] self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n' 'expected: {1:.12f}\n' 'calculated: {2:.12f}'.format(i, expected, calculated)) with self.assertRaises(ValueError): _ = SecurityMovingMax(window, ['close', 'open'])