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MaximumTests.cs
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MaximumTests.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 System;
using NUnit.Framework;
using QuantConnect.Indicators;
namespace QuantConnect.Tests.Indicators
{
[TestFixture]
public class MaximumTests : CommonIndicatorTests<IndicatorDataPoint>
{
protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
{
return new Maximum(5);
}
protected override string TestFileName
{
get { return "spy_max.txt"; }
}
protected override string TestColumnName
{
get { return "MAX_5"; }
}
[Test]
public void ComputesCorrectly()
{
var max = new Maximum(3);
var reference = DateTime.MinValue;
max.Update(reference.AddDays(1), 1m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(0, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(2), -1m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(1, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(3), 0m);
Assert.AreEqual(1m, max.Current.Value);
Assert.AreEqual(2, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(4), -2m);
Assert.AreEqual(0m, max.Current.Value);
Assert.AreEqual(1, max.PeriodsSinceMaximum);
max.Update(reference.AddDays(5), -2m);
Assert.AreEqual(0m, max.Current.Value);
Assert.AreEqual(2, max.PeriodsSinceMaximum);
}
[Test]
public void ComputesCorrectlyMaximum()
{
const int period = 5;
var max = new Maximum(period);
Assert.AreEqual(0m, max.Current.Value);
// test an increasing stream of data
for (int i = 0; i < period; i++)
{
max.Update(DateTime.Now.AddDays(i), i);
Assert.AreEqual(i, max.Current.Value);
Assert.AreEqual(0, max.PeriodsSinceMaximum);
}
// test a decreasing stream of data
for (int i = 0; i < period; i++)
{
max.Update(DateTime.Now.AddDays(period + i), period - i - 1);
Assert.AreEqual(period - 1, max.Current.Value);
Assert.AreEqual(i, max.PeriodsSinceMaximum);
}
Assert.AreEqual(max.Period, max.PeriodsSinceMaximum + 1);
}
[Test]
public void ResetsProperlyMaximum()
{
var max = new Maximum(3);
max.Update(DateTime.Today, 1m);
max.Update(DateTime.Today.AddSeconds(1), 2m);
max.Update(DateTime.Today.AddSeconds(2), 1m);
Assert.IsTrue(max.IsReady);
max.Reset();
Assert.AreEqual(0, max.PeriodsSinceMaximum);
TestHelper.AssertIndicatorIsInDefaultState(max);
}
}
}