def test_pearson(self):
"""
case: empty chart
"""
c = Chart( Instrument(4) )
self.assertRaises(Exception, c.pearson, 0, c.get_size() )
"""
case: one candle
"""
# TODO
"""
case: straight line, positive slope
"""
c = Chart(in_instrument=Instrument(4), count=0)
fake_candles = []
fake_timestamp = datetime.utcnow()
fake_price = 100.1234
for i in range(0,10):
fake_candles.append( Candle(
timestamp=fake_timestamp + timedelta(seconds=i),
high_ask=fake_price + i,
low_bid=(fake_price + i / 2)
) )
c._candles = fake_candles
pearson = c.pearson( 0, c.get_size() - 1, 'high_low_avg' )
# Allow some play for float arithmetic
self.assertTrue( pearson > 0.99999 and pearson <= 1 )
"""
case: straight line, negative slope
"""
c = Chart( in_instrument=Instrument(4), count=0 )
fake_candles = []
fake_timestamp = datetime.utcnow()
fake_price = 100.1234
for i in range(0,10):
fake_candles.append( Candle(
timestamp=fake_timestamp - timedelta(seconds=i),
high_ask=fake_price + i,
low_bid=(fake_price + i / 2)
) )
c._candles = fake_candles
pearson = c.pearson( 0, c.get_size() - 1, 'high_low_avg' )
# Allow some play for float arithmetic
self.assertTrue( pearson < -0.99999 and pearson >= -1 )
"""
case: V shape
"""
c = Chart( in_instrument=Instrument(4), count=0 )
fake_candles = []
fake_timestamp = datetime.utcnow()
fake_price = 100.1234
seconds_elapsed = 0
for i in range(9,-1,-1):
fake_candles.append( Candle(
timestamp=fake_timestamp + timedelta(seconds=seconds_elapsed),
high_ask=fake_price + i,
low_bid=(fake_price + i / 2)
) )
seconds_elapsed += 1
for i in range(0,10):
fake_candles.append( Candle(
timestamp=fake_timestamp + timedelta(seconds=seconds_elapsed),
high_ask=fake_price + i,
low_bid=(fake_price + i / 2)
) )
seconds_elapsed += 1
c._candles = fake_candles
pearson = c.pearson( 0, c.get_size() - 1, 'high_low_avg' )
# Allow some play for float arithmetic
self.assertTrue( pearson > -0.000001 and pearson < 0.000001 )
"""
case: random
"""
c = Chart( in_instrument=Instrument(4), count=0 )
fake_candles = []
fake_timestamp = datetime.utcnow()
fake_price = 100
seconds_elapsed = 0
for i in range(0,10000):
offset = random.randrange(1, fake_price)
fake_candles.append( Candle(
timestamp=fake_timestamp + timedelta(seconds=seconds_elapsed),
high_ask=fake_price + offset,
low_bid=(fake_price + offset / 2)
) )
seconds_elapsed += 1
c._candles = fake_candles
pearson = c.pearson( 0, c.get_size() - 1, 'high_low_avg' )
# Allow some play for float rounding
print('pearson of random chart: {}'.format(pearson) )
self.assertTrue( pearson > -0.02 and pearson < 0.02 )
