def testSecurityMovingDecay(self):
window = 10
ma1 = SecurityMovingDecay(window, ['close'])
def calculate_decay(con, k):
s = k - len(con) + 1
c = (k + s) * (k - s + 1) / 2.
sum_value = 0.
for w in range(s, k + 1):
i = w - s
sum_value += w * con[i]
return sum_value / c
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 = calculate_decay(
self.dataSet[name]['close'][start:(i + 1)], window)
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def MADecay(window, x='x'):
return SecurityMovingDecay(window, x)