def testValueHolderCompounding(self):
window = 10
ma1 = SecurityMovingAverage(window, 'close')
compounded1 = SecurityMovingMax(2, ma1)
compounded2 = SecurityMovingAverage(2, ma1)
self.assertEqual(compounded1.window, window + 2)
container = [np.nan, np.nan]
for i in range(len(self.aapl['close'])):
data = {
'aapl': {
'close': self.aapl['close'][i],
'open': self.aapl['open'][i]
}
}
ma1.push(data)
compounded1.push(data)
compounded2.push(data)
container[i % 2] = ma1.value['aapl']
if i >= 1:
self.assertAlmostEqual(max(container),
compounded1.value['aapl'], 12)
self.assertAlmostEqual(np.mean((container)),
compounded2.value['aapl'], 12)
def testSecurityMovingMax(self):
window = 10
ma1 = SecurityMovingMax(window, ['close'], ['aapl', 'ibm'])
for i in range(len(self.aapl['close'])):
data = {
'aapl': {
'close': self.aapl['close'][i],
'open': self.aapl['open'][i]
}
}
data['ibm'] = {
'close': self.ibm['close'][i],
'open': self.ibm['open'][i]
}
ma1.push(data)
if i < 10:
start = 0
else:
start = i + 1 - window
value = ma1.value
for name in value:
expected = np.max(self.dataSet[name]['close'][start:(i + 1)])
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = SecurityMovingMax(window, ['close', 'open'], ['aapl', 'ibm'])
def testSecurityMovingMax(self):
window = 10
ma1 = SecurityMovingMax(window, ['close'])
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 = np.max(self.dataSet[name]['close'][start:(i + 1)])
calculated = value[name]
self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = SecurityMovingMax(window, ['close', 'open'])
def testDependencyCalculationOnCompoundedValueHolder(self):
h = SecurityMovingMax(5, SecurityMovingAverage(10, 'close') + SecurityMovingAverage(20, 'open'))
h.push({'aapl': {'close': 5}})
expected = {'aapl': ['close', 'open']}
calculated = h.dependency
for name in expected:
self.assertEqual(set(calculated[name]), set(expected[name]))
def testDependencyCalculationOnCompoundedValueHolder(self):
h = SecurityMovingMax(
5,
SecurityMovingAverage(10, 'close') +
SecurityMovingAverage(20, 'open'))
h.push({'aapl': {'close': 5}})
expected = {'aapl': ['close', 'open']}
calculated = h.dependency
for name in expected:
self.assertEqual(set(calculated[name]), set(expected[name]))
def testSecurityValueHolderIsFull(self):
test = SecurityMovingMax(2, x='close')
data = {'aapl': {'close': 1.0}, 'ibm': {'close': 2.0}}
test.push(data)
self.assertEqual(test.isFull, False)
data = {'aapl': {'close': 1.0}, 'ibm': {'close': 13.0}}
test.push(data)
self.assertEqual(test.isFull, True)
def testValueHolderCompounding(self):
window = 10
ma1 = SecurityMovingAverage(window, 'close')
compounded1 = SecurityMovingMax(2, ma1)
compounded2 = SecurityMovingAverage(2, ma1)
self.assertEqual(compounded1.window, window + 1)
container = [np.nan, np.nan]
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.aapl['close'][i], 'open': self.aapl['open'][i]}}
ma1.push(data)
compounded1.push(data)
compounded2.push(data)
container[i % 2] = ma1.value['aapl']
if i >= 1:
self.assertAlmostEqual(max(container), compounded1.value['aapl'], 12)
self.assertAlmostEqual(np.mean((container)), compounded2.value['aapl'], 12)
def testSecurityMovingMax(self):
window = 10
ma1 = SecurityMovingMax(window, ['close'])
for i in range(len(self.aapl['close'])):
data = {'aapl': {'close': self.aapl['close'][i], 'open': self.aapl['open'][i]}}
data['ibm'] = {'close': self.ibm['close'][i], 'open': self.ibm['open'][i]}
ma1.push(data)
if i < 10:
start = 0
else:
start = i + 1 - window
value = ma1.value
for name in value.index:
expected = np.max(self.dataSet[name]['close'][start:(i + 1)])
calculated = value[name]
self.assertAlmostEqual(expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
with self.assertRaises(ValueError):
_ = SecurityMovingMax(window, ['close', 'open'])