/
KeltnerChannelsTests.cs
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/
KeltnerChannelsTests.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using NUnit.Framework;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
namespace QuantConnect.Tests.Indicators
{
[TestFixture]
public class KeltnerChannelsTests : CommonIndicatorTests<IBaseDataBar>
{
protected override IndicatorBase<IBaseDataBar> CreateIndicator()
{
RenkoBarSize = 1m;
VolumeRenkoBarSize = 0.5m;
return new KeltnerChannels(20, 1.5m);
}
protected override string TestFileName => "spy_with_keltner.csv";
protected override string TestColumnName => "Middle Band";
[Test]
public void ComparesWithExternalDataUpperBand()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Keltner Channels 20 Top",
(ind, expected) => Assert.AreEqual(
expected,
(double) ((KeltnerChannels) ind).UpperBand.Current.Value,
1e-3
)
);
}
[Test]
public void ComparesWithExternalDataLowerBand()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Keltner Channels 20 Bottom",
(ind, expected) => Assert.AreEqual(
expected,
(double) ((KeltnerChannels) ind).LowerBand.Current.Value,
1e-3
)
);
}
[Test]
public void ComparesTimeStampBetweenKeltnerChannelAndMiddleBand()
{
TestHelper.TestIndicator(
CreateIndicator(),
TestFileName,
"Middle Band",
(ind, expected) => Assert.AreEqual(
((KeltnerChannels)ind).Current.EndTime,
((KeltnerChannels)ind).MiddleBand.Current.EndTime
)
);
}
[Test]
public override void ResetsProperly()
{
var kch = CreateIndicator() as KeltnerChannels;
foreach (var data in TestHelper.GetTradeBarStream(TestFileName, false))
{
kch.Update(data);
}
Assert.IsTrue(kch.IsReady);
Assert.IsTrue(kch.UpperBand.IsReady);
Assert.IsTrue(kch.LowerBand.IsReady);
Assert.IsTrue(kch.MiddleBand.IsReady);
Assert.IsTrue(kch.AverageTrueRange.IsReady);
kch.Reset();
TestHelper.AssertIndicatorIsInDefaultState(kch);
TestHelper.AssertIndicatorIsInDefaultState(kch.UpperBand);
TestHelper.AssertIndicatorIsInDefaultState(kch.LowerBand);
TestHelper.AssertIndicatorIsInDefaultState(kch.AverageTrueRange);
}
}
}