def test_compare_against_oneoff_calculation(self):
rw = np.cumsum(np.random.normal(0, 2, 1000)) + 100
close = DataSeries(time_series=ModelFactory.build_time_series(
series_id="close"))
close.start(self.app_context)
t = 1
sma = SMA(inputs=close, input_keys='close', length=50)
sma.start(self.app_context)
result = []
for x in rw:
close.add(timestamp=t, data={"close": x})
result.append(sma.now('value'))
t = t + 3
result = np.array(result)
# either apply or direct call is equivalent
target = close.apply('close',
start=None,
end=None,
func=talib.SMA,
timeperiod=50)
# target = talib.SMA(np.array(close.get_series('close')), timeperiod=50)
result[np.isnan(result)] = 0
target[np.isnan(target)] = 0
try:
np.testing.assert_almost_equal(target, result, 5)
except AssertionError as e:
self.fail(e.message)
def test_compare_against_oneoff_calculation(self):
rw = np.cumsum(np.random.normal(0, 2, 1000)) + 100
close = DataSeries("close")
close.start(self.app_context)
t = datetime.datetime.now()
sma = SMA(close, input_key='close', length=50)
sma.start(self.app_context)
result = []
for x in rw:
close.add({"timestamp": t, "close": x})
result.append(sma.now('value'))
t = t + datetime.timedelta(0, 3)
result = np.array(result)
# either apply or direct call is equivalent
target = close.apply('close', start=None, end=None, func=talib.SMA, timeperiod=50)
# target = talib.SMA(np.array(close.get_series('close')), timeperiod=50)
result[np.isnan(result)] = 0
target[np.isnan(target)] = 0
try:
np.testing.assert_almost_equal(target, result, 5)
except AssertionError as e:
self.fail(e.message)
def test_moving_average_calculation(self):
bar = self.app_context.inst_data_mgr.get_series("bar")
bar.start(self.app_context)
sma = SMA(inputs=bar, input_keys='close', length=3)
sma.start(self.app_context)
t1 = 1
t2 = t1 + 3
t3 = t2 + 3
t4 = t3 + 3
t5 = t4 + 3
bar.add(timestamp=t1, data={"close": 2.0, "open": 0})
self.assertTrue(math.isnan(sma.now('value')))
bar.add(timestamp=t2, data={"close": 2.4, "open": 1.4})
self.assertTrue(math.isnan(sma.now('value')))
bar.add(timestamp=t3, data={"close": 2.8, "open": 1.8})
self.assertEquals(2.4, sma.now('value'))
bar.add(timestamp=t4, data={"close": 3.2, "open": 2.2})
# self.assertEquals(2.8, sma.now('value'))
self.assertAlmostEqual(2.8, sma.now('value'), places=3)
bar.add(timestamp=t5, data={"close": 3.6, "open": 2.6})
self.assertAlmostEqual(3.2, sma.now('value'), places=3)
# self.assertEquals(3.2, sma.now('value'))
self.assertTrue(math.isnan(sma.get_by_idx(0, 'value')))
self.assertTrue(math.isnan(sma.get_by_idx(1, 'value')))
self.assertAlmostEqual(2.4, sma.get_by_idx(2, 'value'), places=3)
self.assertAlmostEquals(2.8, sma.get_by_idx(3, 'value'), places=3)
self.assertAlmostEquals(3.2, sma.get_by_idx(4, 'value'), places=3)
self.assertTrue(math.isnan(sma.get_by_time(t1, 'value')))
self.assertTrue(math.isnan(sma.get_by_time(t2, 'value')))
self.assertAlmostEquals(2.4, sma.get_by_time(t3, 'value'), places=3)
self.assertAlmostEquals(2.8, sma.get_by_time(t4, 'value'), places=3)
self.assertAlmostEquals(3.2, sma.get_by_time(t5, 'value'), places=3)
def test_moving_average_calculation(self):
bar = self.app_context.inst_data_mgr.get_series("bar")
bar.start(self.app_context)
sma = SMA(bar, input_key='close', length=3)
sma.start(self.app_context)
t1 = datetime.datetime.now()
t2 = t1 + datetime.timedelta(0, 3)
t3 = t2 + datetime.timedelta(0, 3)
t4 = t3 + datetime.timedelta(0, 3)
t5 = t4 + datetime.timedelta(0, 3)
bar.add({"timestamp": t1, "close": 2.0, "open": 0})
self.assertTrue(math.isnan(sma.now('value')))
bar.add({"timestamp": t2, "close": 2.4, "open": 1.4})
self.assertTrue(math.isnan(sma.now('value')))
bar.add({"timestamp": t3, "close": 2.8, "open": 1.8})
self.assertEquals(2.4, sma.now('value'))
bar.add({"timestamp": t4, "close": 3.2, "open": 2.2})
# self.assertEquals(2.8, sma.now('value'))
self.assertAlmostEqual(2.8, sma.now('value'), places=3)
bar.add({"timestamp": t5, "close": 3.6, "open": 2.6})
self.assertAlmostEqual(3.2, sma.now('value'), places=3)
# self.assertEquals(3.2, sma.now('value'))
self.assertTrue(math.isnan(sma.get_by_idx(0, 'value')))
self.assertTrue(math.isnan(sma.get_by_idx(1, 'value')))
self.assertAlmostEqual(2.4, sma.get_by_idx(2, 'value'), places=3)
self.assertAlmostEquals(2.8, sma.get_by_idx(3, 'value'), places=3)
self.assertAlmostEquals(3.2, sma.get_by_idx(4, 'value'), places=3)
self.assertTrue(math.isnan(sma.get_by_time(t1, 'value')))
self.assertTrue(math.isnan(sma.get_by_time(t2, 'value')))
self.assertAlmostEquals(2.4, sma.get_by_time(t3, 'value'), places=3)
self.assertAlmostEquals(2.8, sma.get_by_time(t4, 'value'), places=3)
self.assertAlmostEquals(3.2, sma.get_by_time(t5, 'value'), places=3)
