class TestIndicator(unittest.TestCase):
def setUp(self):
self.symbol = "eth_usdt"
self.digits = 6
self.interval = kl.KLINE_INTERVAL_1DAY
self.display_count = 10
exchange_name = ex.BINANCE_SPOT_EXCHANGE_NAME
self.md = DBMD(exchange_name)
self.md.tick_time = datetime(2019, 1, 1, 8)
self.klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
self.klines_df = pd.DataFrame(self.klines,
columns=self.md.get_kline_column_names())
self.closeseat = self.md.get_kline_seat_close()
self.highseat = self.md.get_kline_seat_high()
self.lowseat = self.md.get_kline_seat_low()
self.closekey = ex.get_kline_key_close(exchange_name)
self.highkey = ex.get_kline_key_high(exchange_name)
self.lowkey = ex.get_kline_key_low(exchange_name)
self.count = 5000
self.steps = 1
self.td = kl.get_interval_timedelta(
kl.KLINE_INTERVAL_1MINUTE) * self.steps
def tearDown(self):
pass
def test_ma(self):
print_test_title("ma")
period = 55
kls = self.klines
ma_key = ti.MA(kls, self.closekey, period)
print(" ti mas: ", [
round(kl[ma_key], self.digits) for kl in kls[-self.display_count:]
])
tas = talib.MA(self.klines_df[self.closekey], period)
print("TA-Lib mas: ",
[round(a, self.digits) for a in tas][-self.display_count:])
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ma_key] - tas.values[i]) < 0.01)
def test_ema(self):
print_test_title("ema")
period = 55
kls = self.klines
ema_key = ti.EMA(kls, self.closekey, period)
print(" ti emas: ", [
round(kl[ema_key], self.digits) for kl in kls[-self.display_count:]
])
tas = talib.EMA(self.klines_df[self.closekey], period)
print("TA-Lib emas: ",
[round(a, self.digits) for a in tas][-self.display_count:])
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ema_key] - tas.values[i]) < 0.01)
def test_bias(self):
print_test_title("bias")
period_s = 21
period_l = 55
kls = self.klines
ema_s_key = ti.EMA(kls, self.closekey, period_s)
ta_semas = talib.EMA(self.klines_df[self.closekey], period_s)
print(" ti semas(%d): %s" % (period_s, [
round(kl[ema_s_key], self.digits)
for kl in kls[-self.display_count:]
]))
print("TA-Lib semas(%d): %s" %
(period_s, [round(a, self.digits)
for a in ta_semas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ema_s_key] - ta_semas.values[i]) < 0.01)
ema_l_key = ti.EMA(kls, self.closekey, period_l)
ta_lemas = talib.EMA(self.klines_df[self.closekey], period_l)
print(" ti lemas(%d): %s" % (period_l, [
round(kl[ema_l_key], self.digits)
for kl in kls[-self.display_count:]
]))
print("TA-Lib lemas(%d): %s" %
(period_l, [round(a, self.digits)
for a in ta_lemas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ema_l_key] - ta_lemas.values[i]) < 0.01)
bias_sl_key = ti.BIAS_EMA(kls, self.closekey, period_s, period_l)
ta_biases = ic.pd_biases(ta_semas, ta_lemas)
print(" ti biases(%d, %d): %s" % (period_s, period_l, [
round(kl[bias_sl_key], self.digits)
for kl in kls[-self.display_count:]
]))
print("TA-Lib biases(%d, %d): %s" %
(period_s, period_l, [round(a, self.digits)
for a in ta_biases][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(
abs(kls[i][bias_sl_key] - ta_biases.values[i]) < 0.01)
def test_rsi(self):
print_test_title("rsi")
kls = self.klines
rsi_key = ti.RSI(kls, self.closekey)
ta_rsis = talib.RSI(self.klines_df[self.closekey])
print(" ti rsis: ", [
round(kl[rsi_key], self.digits) for kl in kls[-self.display_count:]
])
print("TA-Lib rsis: ",
[round(a, self.digits) for a in ta_rsis][-self.display_count:])
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][rsi_key] - ta_rsis.values[i]) < 0.01)
def test_macd(self):
print_test_title("macd")
kls = self.klines
dif_key, signal_key, hist_key = ti.MACD(kls, self.closekey)
difs, signals, hists = talib.MACD(self.klines_df[self.closekey])
print(" ti macd difs: ", [
round(kl[dif_key], self.digits) for kl in kls[-self.display_count:]
])
print("TA-Lib macd difs: ",
[round(a, self.digits) for a in difs][-self.display_count:])
print(" ti macd signals: ", [
round(kl[signal_key], self.digits)
for kl in kls[-self.display_count:]
])
print("TA-Lib macd signals: ",
[round(a, self.digits) for a in signals][-self.display_count:])
print(" ti macd hists: ", [
round(kl[hist_key], self.digits)
for kl in kls[-self.display_count:]
])
print("TA-Lib macd hists: ",
[round(a, self.digits) for a in hists][-self.display_count:])
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][dif_key] - difs.values[i]) < 0.01)
self.assertTrue(abs(kls[i][signal_key] - signals.values[i]) < 0.01)
self.assertTrue(abs(kls[i][hist_key] - hists.values[i]) < 0.01)
def perf_macd(self):
for i in range(self.count):
kls = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
dif_key, signal_key, hist_key = ti.MACD(kls, self.closekey)
kls_df = pd.DataFrame(kls,
columns=self.md.get_kline_column_names())
difs, signals, hists = talib.MACD(kls_df[self.closekey])
i = -1
self.assertTrue(abs(kls[i][dif_key] - difs.values[i]) < 0.01)
self.assertTrue(abs(kls[i][signal_key] - signals.values[i]) < 0.01)
self.assertTrue(abs(kls[i][hist_key] - hists.values[i]) < 0.01)
self.md.tick_time += self.td
def test_kd(self):
print_test_title("kd")
period = 9
kls = self.klines
kkey, dkey = ti.KD(kls, self.closekey, self.highkey, self.lowkey,
period)
'''
kls_df = self.klines_df
slowk, slowd = talib.STOCH(high=kls_df[self.highkey], low=kls_df[self.lowkey], close=kls_df[self.closekey],
fastk_period=period, slowk_period=3, slowk_matype=0, slowd_period=3, slowd_matype=0)
'''
kds = ic.py_kdj(kls, self.highseat, self.lowseat, self.closeseat)
print(
" ti kd ks: ",
[round(kl[kkey], self.digits) for kl in kls[-self.display_count:]])
#print("TA-Lib kd ks: ", [round(k, self.digits) for k in slowk][-self.display_count:])
print("indicator kd ks: ",
[round(kd[1], self.digits) for kd in kds[-self.display_count:]])
print(
" ti kd ds: ",
[round(kl[dkey], self.digits) for kl in kls[-self.display_count:]])
#print("TA-Lib kd ds: ", [round(d, self.digits) for d in slowd][-self.display_count:])
print("indicator kd ds: ",
[round(kd[2], self.digits) for kd in kds[-self.display_count:]])
for i in range(-self.display_count, 0):
#self.assertTrue(abs(kls[i][kkey] - slowk.values[i]) < 0.01)
#self.assertTrue(abs(kls[i][dkey] - slowd.values[i]) < 0.01)
self.assertTrue(abs(kls[i][kkey] - kds[i][1]) < 0.01)
self.assertTrue(abs(kls[i][dkey] - kds[i][2]) < 0.01)
def _test_atr(self):
name = "atr"
period = 14
print_test_title(name)
kls = self.klines
ti_key = ti._ATR(kls, self.highkey, self.lowkey, self.closekey, period)
tas = talib.ATR(self.klines_df[self.highkey],
self.klines_df[self.lowkey],
self.klines_df[self.closekey],
timeperiod=period)
print(" ti %ss: %s" % (name, [
round(kl[ti_key], self.digits) for kl in kls[-self.display_count:]
]))
print("TA-Lib %ss: %s" %
(name, [round(a, self.digits)
for a in tas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ti_key] - tas.values[i]) < 0.01)
def test_trix(self):
name = "trix"
print_test_title(name)
period = 30
kls = self.klines
ti_key = ti.TRIX(kls, self.closekey, period)
tas = talib.TRIX(self.klines_df[self.closekey], timeperiod=period)
print(" ti %ss: %s" % (name, [
round(kl[ti_key], self.digits) for kl in kls[-self.display_count:]
]))
print("TA-Lib %ss: %s" %
(name, [round(a, self.digits)
for a in tas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(kls[i][ti_key] - tas.values[i]) < 0.01)
class TestIndicator(unittest.TestCase):
def setUp(self):
self.symbol = "eth_usdt"
self.digits = 4
self.interval = kl.KLINE_INTERVAL_1DAY
self.display_count = 10
exchange_name = ex.BINANCE_SPOT_EXCHANGE_NAME
self.md = DBMD(exchange_name)
self.md.tick_time = datetime(2019, 1, 1, 8)
self.klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
self.klines_df = pd.DataFrame(self.klines,
columns=self.md.get_kline_column_names())
self.closeseat = self.md.get_kline_seat_close()
self.closekey = ex.get_kline_key_close(exchange_name)
self.count = 5000
self.steps = 1
self.td = kl.get_interval_timedelta(
kl.KLINE_INTERVAL_1MINUTE) * self.steps
def tearDown(self):
pass
def _test_rsi(self):
print("")
py_rsis = ic.py_rsis(self.klines, self.closeseat)
ta_rsis = talib.RSI(self.klines_df[self.closekey])
#print(" X-Lib rsis: ", [round(a, 6) for a in py_rsis][-self.display_count:])
#print("TA-Lib rsis: ", [round(a, 6) for a in ta_rsis][-self.display_count:])
for i in range(-self.display_count, 0):
#self.assertEqual(py_rsis[i], ta_rsis[i])
self.assertTrue(abs(py_rsis[i] - ta_rsis.values[i]) < 0.01)
def test_ema(self):
print("test ema")
period = 55
pys = ic.py_emas(self.klines, self.closeseat, period)
tas = talib.EMA(self.klines_df[self.closekey], period)
closes = [c for c in pd.to_numeric(self.klines_df[self.closekey])]
xtis = xti.EMA(closes, period)
#kl_xtis = xti.EMA_KL(self.klines, self.closeseat, period)
print(" ic emas: ",
[round(a, 6) for a in pys][-self.display_count:])
print("TA-Lib emas: ",
[round(a, 6) for a in tas][-self.display_count:])
print(" X-Lib emas: ",
[round(a, 6) for a in xtis][-self.display_count:])
#print(" X-Lib kl emas: ", [round(a, 6) for a in kl_xtis][-self.display_count:])
for i in range(-self.display_count, 0):
#self.assertEqual(pys[i], tas[i])
self.assertTrue(abs(pys[i] - tas.values[i]) < 0.01)
self.assertTrue(abs(xtis[i] - tas.values[i]) < 0.01)
#self.assertTrue(abs(kl_xtis[i] - tas.values[i]) < 0.01)
def _test_bias(self):
print("")
period_s = 21
period_l = 55
semas = ic.py_emas(self.klines, self.closeseat, period_s)
ta_semas = talib.EMA(self.klines_df[self.closekey], period_s)
print(" X-Lib semas(%d): %s" %
(period_s, [round(a, self.digits)
for a in semas][-self.display_count:]))
print("TA-Lib semas(%d): %s" %
(period_s, [round(a, self.digits)
for a in ta_semas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(semas[i] - ta_semas.values[i]) < 0.01)
lemas = ic.py_emas(self.klines, self.closeseat, period_l)
ta_lemas = talib.EMA(self.klines_df[self.closekey], period_l)
print(" X-Lib lemas(%d): %s" %
(period_l, [round(a, self.digits)
for a in lemas][-self.display_count:]))
print("TA-Lib lemas(%d): %s" %
(period_l, [round(a, self.digits)
for a in ta_lemas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(lemas[i] - ta_lemas.values[i]) < 0.01)
biases = ic.py_biases(semas, lemas)
ta_biases = ic.pd_biases(ta_semas, ta_lemas)
print(" X-Lib biases(%d, %d): %s" %
(period_s, period_l, [round(a, 4)
for a in biases][-self.display_count:]))
print("TA-Lib biases(%d, %d): %s" %
(period_s, period_l, [round(a, 4)
for a in ta_biases][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(biases[i] - ta_biases.values[i]) < 0.01)
def _test_nbias(self):
print("")
period = 55
closes = [float(k[self.closeseat]) for k in self.klines]
print(" closes: ",
[round(a, self.digits) for a in closes][-self.display_count:])
emas = ic.py_emas(self.klines, self.closeseat, period)
ta_emas = talib.EMA(self.klines_df[self.closekey], period)
print(" X-Lib emas(%d): %s" %
(period, [round(a, self.digits)
for a in emas][-self.display_count:]))
print("TA-Lib emas(%d): %s" %
(period, [round(a, self.digits)
for a in ta_emas][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(emas[i] - ta_emas.values[i]) < 0.01)
nbiases = ic.py_biases(closes, emas)
ta_nbiases = ic.pd_biases(pd.to_numeric(self.klines_df[self.closekey]),
ta_emas)
print(" X-Lib nbiases(%d): %s" %
(period, [round(a, 4) for a in nbiases][-self.display_count:]))
print("TA-Lib nbiases(%d): %s" %
(period, [round(a, 4)
for a in ta_nbiases][-self.display_count:]))
for i in range(-self.display_count, 0):
self.assertTrue(abs(nbiases[i] - ta_nbiases.values[i]) < 0.01)
def _test_perf_xlib_rsi(self):
for i in range(self.count):
klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
py_rsis = ic.py_rsis(klines, self.closeseat)
py_rsis = [round(a, 3) for a in py_rsis][-self.display_count:]
self.md.tick_time += self.td
def _test_perf_talib_rsi(self):
for i in range(self.count):
klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
klines_df = pd.DataFrame(klines,
columns=self.md.get_kline_column_names())
ta_rsis = talib.RSI(klines_df[self.closekey])
ta_rsis = [round(a, 3) for a in ta_rsis][-self.display_count:]
self.md.tick_time += self.td
def perf_py_ema(self):
period = 55
for i in range(self.count):
klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
emas = ic.py_emas(self.klines, self.closeseat, period)
self.md.tick_time += self.td
def perf_xlib_ema(self):
period = 55
for i in range(self.count):
klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
closes = [float(k[self.closeseat]) for k in klines]
emas = xti.EMA(closes, period)
self.md.tick_time += self.td
def perf_xlib_ema_kl(self):
period = 55
for i in range(self.count):
klines = self.md.get_klines(self.symbol, self.interval,
150 + self.display_count)
#emas = xti.EMA_KL(self.klines, self.closeseat, period)
self.md.tick_time += self.td