def testSecurityMovingStandardDeviation(self):
window = 10
std = SecurityMovingStandardDeviation(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]))
std.push(data)
if i <= 1:
continue
if i < window:
start = 0
else:
start = i + 1 - window
value = std.value
for name in value.index():
expected = math.sqrt(
np.var(self.dataSet[name]['close'][start:(i + 1)]) *
(i + 1. - start) / (i - start))
calculated = value[name]
self.assertAlmostEqual(
expected, calculated, 12, 'at index {0}\n'
'expected: {1:.12f}\n'
'calculated: {2:.12f}'.format(i, expected, calculated))
def MSTD(window, x='x', closed="right"):
if isinstance(window, int):
return SecurityMovingStandardDeviation(window, x)
elif isinstance(window, str):
return SecurityTimeMovingStandardDeviation(window, x, closed)
else:
raise ValueError("wrong window format <{0}>".format(window))
def MSTD(window, x='x'):
return SecurityMovingStandardDeviation(window, x)
def MSTD(window, dependency='x'):
return SecurityMovingStandardDeviation(window, dependency)