def testPowFunction(self):
ma5min = MovingAverage(5, 'close') >> Minimum
holder = Pow(ma5min, 3)
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma5min.push(data)
holder.push(data)
expected = math.pow(ma5min.result(), 3)
calculated = holder.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
def testArithmeticFunctionsDeepcopy(self):
data = {'x': 1}
test = Exp('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.exp(data['x']), copied.value)
test = Log('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.log(data['x']), copied.value)
test = Sqrt('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.sqrt(data['x']), copied.value)
data['x'] = -1.
test = Pow('x', 2)
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(data['x']**2, copied.value)
test = Abs('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(abs(data['x']), copied.value)
test = Sign('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(-1., copied.value)
data['x'] = 1.
test = Acos('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.acos(data['x']), copied.value)
test = Asin('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.asin(data['x']), copied.value)
test = Acosh('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.acosh(data['x']), copied.value)
test = Asinh('x')
test.push(data)
copied = copy.deepcopy(test)
self.assertAlmostEqual(math.asinh(data['x']), copied.value)
def testPowFunction(self):
ma5min = MovingAverage(5, 'close') >> Minimum
holder = Pow(ma5min, 3)
holder2 = Pow(ma5min ^ ma5min, 3)
for i, close in enumerate(self.sampleClose):
data = {'close': close}
ma5min.push(data)
holder.push(data)
holder2.push(data)
expected = math.pow(ma5min.result(), 3)
calculated = holder.result()
self.assertAlmostEqual(calculated, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, calculated))
calculated = holder2.result()
for cal in calculated:
self.assertAlmostEqual(cal, expected, 12, "at index {0:d}\n"
"expected: {1:f}\n"
"calculated: {2:f}".format(i, expected, cal))
def testArithmeticFunctionsPickle(self):
data = {'x': 1}
test = Exp('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Log('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Sqrt('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
data['x'] = -1.
test = Pow('x', 2)
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Abs('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Sign('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
data['x'] = 1.
test = Acos('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Asin('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Acosh('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
test = Asinh('x')
test.push(data)
with tempfile.NamedTemporaryFile('w+b', delete=False) as f:
pickle.dump(test, f)
with open(f.name, 'rb') as f2:
pickled = pickle.load(f2)
self.assertAlmostEqual(test.value, pickled.value)
os.unlink(f.name)
def __init__(self, dependency='x'):
super(Kurtosis, self).__init__(dependency)
self._std4 = Pow(Variance(dependency, isPopulation=True), 2)
self._moment4 = CenterMoment(4, dependency)
self._kurtosis = self._moment4 / self._std4
def __init__(self, dependency='x'):
super(Skewness, self).__init__(dependency)
self._std3 = Pow(Variance(dependency, isPopulation=True), 1.5)
self._moment3 = CenterMoment(3, dependency)
self._skewness = self._moment3 / self._std3
def testPowStr(self):
s = Pow('roe', 3)
self.assertEqual("''\\text{roe}'' ^ {3.0}", str(s))
def __init__(self, window, dependency='x'):
super(MovingKurtosis, self).__init__(window, dependency)
self._runningStd4 = Pow(
MovingVariance(window, dependency, isPopulation=True), 2)
self._runningMoment4 = MovingCenterMoment(window, 4, dependency)
self._runningKurtosis = self._runningMoment4 / self._runningStd4
def __init__(self, window, dependency='x'):
super(MovingSkewness, self).__init__(window, dependency)
self._runningStd3 = Pow(
MovingVariance(window, dependency, isPopulation=True), 1.5)
self._runningMoment3 = MovingCenterMoment(window, 3, dependency)
self._runningSkewness = self._runningMoment3 / self._runningStd3
