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 testMinimum(self):
mm = Minimum(dependency='close')
for i, value in enumerate(self.samplesClose):
mm.push(dict(close=value))
expected = min(self.samplesClose[:i + 1])
calculated = mm.result()
self.assertAlmostEqual(expected, calculated, 10, "at index {0:d}\n"
"expected min: {1:f}\n"
"calculated min: {2:f}".format(i, expected, calculated))
def testMinimum(self):
mm = Minimum(dependency='close')
for i, value in enumerate(self.samplesClose):
mm.push(dict(close=value))
expected = min(self.samplesClose[:i + 1])
calculated = mm.result()
self.assertAlmostEqual(
expected, calculated, 10, "at index {0:d}\n"
"expected min: {1:f}\n"
"calculated min: {2:f}".format(i, expected, calculated))
def testMinimumWithAccumulator(self):
mm = Minimum(x=Latest('open'), y=Latest('close'))
for i, value in enumerate(zip(self.samplesOpen, self.samplesClose)):
mm.push(dict(open=value[0], close=value[1]))
expected = min(self.samplesOpen[i], self.samplesClose[i])
calculated = mm.result()
self.assertAlmostEqual(
expected, calculated, 10, "at index {0:d}\n"
"expected max: {1:f}\n"
"calculated max: {2:f}".format(i, expected, calculated))
def testGetItemOperator(self):
listHolder = MovingAverage(20,
'close') ^ Max('open') ^ Minimum('close')
listHolder1 = listHolder[1]
listHolder2 = listHolder[1:3]
maxer = Max('open')
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
listHolder1.push(data)
listHolder2.push(data)
maxer.push(data)
expected = maxer.result()
calculated = listHolder1.result()
self.assertAlmostEqual(
expected, calculated, 12, "at index {0:d}\n"
"expected beta: {1:f}\n"
"calculated beta: {2:f}".format(i, expected, calculated))
calculated = listHolder2.result()[0]
self.assertAlmostEqual(
expected, calculated, 12, "at index {0:d}\n"
"expected beta: {1:f}\n"
"calculated beta: {2:f}".format(i, expected, calculated))
def testDivOperator(self):
mc5 = MovingCorrelation(5, ['open', 'close'])
minum = Minimum('open')
divRes = Minimum('open') / MovingCorrelation(5, ['open', 'close'])
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
mc5.push(data)
minum.push(data)
divRes.push(data)
if i >= 1:
expected = minum.result() / mc5.result()
calculated = divRes.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
def testGreaterOperator(self):
m1 = Max('x')
m2 = Minimum('x')
cmp = m1 > m2
cmp.push(dict(x=1.0))
self.assertEqual(False, cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual(True, cmp.result())
def testLessOrEqualOperators(self):
m1 = Max('x')
m2 = Minimum('x')
cmp = m1 <= m2
cmp.push(dict(x=1.0))
self.assertEqual(True, cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual(False, cmp.result())
def testDivOperator(self):
mc5 = MovingCorrelation(5, ['open', 'close'])
minum = Minimum('open')
divRes = Minimum('open') / MovingCorrelation(5, ['open', 'close'])
concated = (Minimum('open') ^ MovingCorrelation(5, ['open', 'close'])) / MovingCorrelation(5, ['open', 'close'])
concated2 = MovingCorrelation(5, ['open', 'close']) / (
Minimum('open') ^ MovingCorrelation(5, ['open', 'close']))
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
mc5.push(data)
minum.push(data)
divRes.push(data)
concated.push(data)
concated2.push(data)
if i >= 1:
expected = minum.result() / mc5.result()
calculated = divRes.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
expected = (minum.result() / mc5.result(), mc5.result() / mc5.result())
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]))
expected = (mc5.result() / minum.result(), mc5.result() / mc5.result())
calculated = concated2.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 testListedOperator(self):
ma20 = MovingAverage(20, 'close')
maxer = Max('open')
minimumer = Minimum('close')
listHolder = MovingAverage(20, 'close') ^ Max('open') ^ Minimum('close')
listHolder2 = 2.0 ^ MovingAverage(20, 'close')
listHolder3 = MovingAverage(20, 'close') ^ 2.0
for i, (open, close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
maxer.push(data)
minimumer.push(data)
listHolder.push(data)
listHolder2.push(data)
listHolder3.push(data)
expected = (ma20.result(), maxer.result(), minimumer.result())
calculated = listHolder.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (2.0, ma20.result())
calculated = listHolder2.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (ma20.result(), 2.0)
calculated = listHolder3.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
def testGreaterOrEqualOperator(self):
m1 = Minimum('x')
m2 = Max('x')
cmp = m1 >= m2
cmp.push(dict(x=1.0))
self.assertEqual(True, cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual(False, cmp.result())
cmp = (m1 ^ m2) >= m2
cmp.push(dict(x=1.0))
self.assertEqual((True, True), cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual((False, True), cmp.result())
cmp = m1 >= (m1 ^ m2)
cmp.push(dict(x=1.0))
self.assertEqual((True, True), cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual((True, False), cmp.result())
def testLessOperator(self):
m1 = Minimum('x')
m2 = Max('x')
cmp = m1 < m2
cmp.push(dict(x=1.0))
self.assertEqual(False, cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual(True, cmp.result())
cmp = (m1 ^ m2) < m2
cmp.push(dict(x=1.0))
self.assertEqual((False, False), cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual((True, False), cmp.result())
cmp = m1 < (m1 ^ m2)
cmp.push(dict(x=1.0))
self.assertEqual((False, False), cmp.result())
cmp.push(dict(x=2.0))
self.assertEqual((False, True), cmp.result())
def testListedOperator(self):
ma20 = MovingAverage(20, 'close')
maxer = Max('open')
minimumer = Minimum('close')
listHolder = MovingAverage(20,
'close') ^ Max('open') ^ Minimum('close')
listHolder2 = 2.0 ^ MovingAverage(20, 'close')
listHolder3 = MovingAverage(20, 'close') ^ 2.0
for i, (open,
close) in enumerate(zip(self.sampleOpen, self.sampleClose)):
data = {'close': close, 'open': open}
ma20.push(data)
maxer.push(data)
minimumer.push(data)
listHolder.push(data)
listHolder2.push(data)
listHolder3.push(data)
expected = (ma20.result(), maxer.result(), minimumer.result())
calculated = listHolder.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (2.0, ma20.result())
calculated = listHolder2.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
expected = (ma20.result(), 2.0)
calculated = listHolder3.result()
for ev, cv in zip(expected, calculated):
self.assertAlmostEqual(
ev, cv, 12, "at index {0:d}\n"
"expected: {1}\n"
"calculated: {2}".format(i, expected, calculated))
