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Merge pull request #35 from JuliaQuant/rewrite_tests
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Rewrite tests
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milktrader committed May 21, 2014
2 parents f40e631 + d43b76d commit bb8244c
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Showing 11 changed files with 92 additions and 92 deletions.
4 changes: 2 additions & 2 deletions .travis.yml
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Expand Up @@ -12,7 +12,7 @@ before_install:
- git config --global user.email "[email protected]"
script:
- julia -e 'versioninfo(); Pkg.init();'
- julia -e 'Pkg.clone("git://github.com/JuliaQuant/MarketTechnicals.jl.git"); Pkg.add("TimeSeries"); Pkg.add("FactCheck"); Pkg.clone("git://github.com/JuliaQuant/MarketData.jl.git")'
- julia -e 'Pkg.clone("git://github.com/JuliaQuant/MarketTechnicals.jl.git"); Pkg.add("TimeSeries"); Pkg.add("FactCheck"); Pkg.add("MarketData")'
- mkdir -p ~/.julia/MarketTechnicals
- cp -R ./* ~/.julia/MarketTechnicals/
- julia ./test/tests.jl
- julia ./test/runtests.jl
10 changes: 5 additions & 5 deletions src/levels.jl
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Expand Up @@ -3,8 +3,8 @@
function floorpivots{T,N}(ohlc::TimeArray{T,N})

p = lag(µprice(ohlc))
s1 = 2p .- lag(ohlc["High"])
r1 = 2p .- lag(ohlc["Low"])
s1 = 2.*p .- lag(ohlc["High"])
r1 = 2.*p .- lag(ohlc["Low"])
s2 = p .- (r1 .- s1)
r2 = (p .- s1) .+ r1
s3 = p .- (r2 .- s1)
Expand All @@ -19,9 +19,9 @@ function woodiespivots{T,N}(ohlc::TimeArray{T,N})

rng = lag(ohlc["High"]) .- lag(ohlc["Low"])

p = (lag(ohlc["High"]) .+ lag(ohlc["Low"]) .+ 2ohlc["Open"]) ./ 4
s1 = 2p .- lag(ohlc["High"])
r1 = 2p .- lag(ohlc["Low"])
p = (lag(ohlc["High"]) .+ lag(ohlc["Low"]) .+ 2.*ohlc["Open"]) ./ 4
s1 = 2.*p .- lag(ohlc["High"])
r1 = 2.*p .- lag(ohlc["Low"])
s2 = p .- rng
r2 = p .+ rng
s3 = s1 .- rng
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2 changes: 1 addition & 1 deletion src/momentum.jl
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Expand Up @@ -30,7 +30,7 @@ end
rsi{T}(ta::TimeArray{T,1}) = rsi(ta, 14)

function macd{T}(ta::TimeArray{T,1}, fast::Int, slow::Int, signal::Int)
mcd = ema(ta, fast) - ema(ta, slow)
mcd = ema(ta, fast) .- ema(ta, slow)
sig = ema(mcd, signal)
merge(mcd, sig, colnames=["macd", "signal"])
end
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2 changes: 1 addition & 1 deletion src/volatility.jl
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Expand Up @@ -17,7 +17,7 @@ function truerange{T,N}(ohlc::TimeArray{T,N}; h="High", l="Low", c="Close")
end

function atr{T,N}(ohlc::TimeArray{T,N}, n::Int; h="High", l="Low", c="Close")
# atr was inveted by Wilder, so only his ema is supported
# atr was inveted by Wilder, so only his ema is currently supported
res = ema(truerange(ohlc), n, wilder=true)
TimeArray(res.timestamp, res.values, ["atr"])
end
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4 changes: 2 additions & 2 deletions test/candlesticks.jl
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Expand Up @@ -3,8 +3,8 @@ using MarketData
facts("Candlesticks") do

context("doji") do
@fact ohlc[findall(doji(ohlc))].timestamp[1] => date(1980, 10, 14)
@fact ohlc[findall(doji(ohlc))].timestamp[2] => date(1981, 4, 7)
@fact ohlc[findall(doji(ohlc))].timestamp[1] => date(2000, 5, 30)
@fact ohlc[findall(doji(ohlc))].timestamp[2] => date(2000, 12, 11)
@fact length(ohlc[findall(doji(ohlc))]) => 5
end
end
32 changes: 16 additions & 16 deletions test/levels.jl
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Expand Up @@ -3,26 +3,26 @@ using MarketData
facts("Levels") do

context("floor pivots") do
@fact floorpivots(ohlc)["r3"].values[1] => roughly(108.900) # values NEED to be verified by various website calculators
@fact floorpivots(ohlc)["r2"].values[1] => roughly(107.673)
@fact floorpivots(ohlc)["r1"].values[1] => roughly(106.447)
@fact floorpivots(ohlc)["pivot"].values[1] => roughly(104.853)
@fact floorpivots(ohlc)["s1"].values[1] => roughly(103.627)
@fact floorpivots(ohlc)["s2"].values[1] => roughly(102.033)
@fact floorpivots(ohlc)["s3"].values[1] => roughly(100.807)
@fact floorpivots(ohlc).timestamp[end] => lastday
@fact floorpivots(ohlc)["r3"].values[1] => roughly(123.310) # values verified by various website calculators
@fact floorpivots(ohlc)["r2"].values[1] => roughly(119.52)
@fact floorpivots(ohlc)["r1"].values[1] => roughly(115.73)
@fact floorpivots(ohlc)["pivot"].values[1] => roughly(108.71)
@fact floorpivots(ohlc)["s1"].values[1] => roughly(104.92)
@fact floorpivots(ohlc)["s2"].values[1] => roughly(97.900)
@fact floorpivots(ohlc)["s3"].values[1] => roughly(94.110)
@fact floorpivots(ohlc).timestamp[end] => date(2001,12,31)
end

context("woodiespivots") do
# # @fact_approx_eq 97.37500000000001 value(wr4)[2] # values NEED to be verified with online calculators
# # @fact_approx_eq 88.62500000000001 value(ws4)[2]
@fact woodiespivots(ohlc)["r3"].values[1] => roughly(109.450)
@fact woodiespivots(ohlc)["r2"].values[1] => roughly(107.765)
@fact woodiespivots(ohlc)["r1"].values[1] => roughly(106.630)
@fact woodiespivots(ohlc)["pivot"].values[1] => roughly(104.945)
@fact woodiespivots(ohlc)["s1"].values[1] => roughly(103.810)
@fact woodiespivots(ohlc)["s2"].values[1] => roughly(102.125)
@fact woodiespivots(ohlc)["s3"].values[1] => roughly(100.990)
@fact woodiespivots(ohlc).timestamp[end] => lastday
@fact woodiespivots(ohlc)["r3"].values[1] => roughly(124.465)
@fact woodiespivots(ohlc)["r2"].values[1] => roughly(118.480)
@fact woodiespivots(ohlc)["r1"].values[1] => roughly(113.655)
@fact woodiespivots(ohlc)["pivot"].values[1] => roughly(107.670)
@fact woodiespivots(ohlc)["s1"].values[1] => roughly(102.845)
@fact woodiespivots(ohlc)["s2"].values[1] => roughly(96.8625)
@fact woodiespivots(ohlc)["s3"].values[1] => roughly(92.035)
@fact woodiespivots(ohlc).timestamp[end] => date(2001,12,31)
end
end
17 changes: 8 additions & 9 deletions test/momentum.jl
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@@ -1,22 +1,21 @@
using MarketTechnicals, MarketData, FactCheck


facts("Momentum") do

context("rsi") do
@fact rsi(cl, 14).values[end] => roughly(45.452) # TTR value is 45.45173
@fact rsi(cl, 14, wilder=true).values[end] => roughly(47.050) # TTR value is 47.05027
@fact rsi(cl, 14).timestamp[end] => lastday
@fact rsi(cl, 14).values[end] => roughly(55.84921708898833) # TTR value is 55.84922
@fact rsi(cl, 14, wilder=true).values[end] => roughly(55.95931797240996) # TTR value is 55.95932
@fact rsi(cl, 14).timestamp[end] => date(2001,12,31)
end

context("macd") do
@fact macd(cl).values[end, 1] => roughly(-0.27215228) # TTR value with percent=FALSE is -0.272152282
@fact macd(cl).values[end, 2] => roughly(-0.02004125) # TTR value with percent=FALSE is -0.0200412507
@fact macd(cl).timestamp[end] => lastday
@fact macd(cl).values[end, 1] => roughly(0.42117515229271874) # TTR value with percent=FALSE is 0.421175152
@fact macd(cl).values[end, 2] => roughly(0.44142752613313185) # TTR value with percent=FALSE is 0.4414275
@fact macd(cl).timestamp[end] => date(2001,12,31)
end

context("cci") do
# @fact cci(cl)[end].value => -146.17060449635804 # TTR::CCI value is -175.8644
# @fact index(cci(cl))[end] => lastday
# @fact cci(cl)[end].value => roughly(19.6784257) # TTR::CCI value is 19.6784257
# @fact index(cci(cl))[end] => date(2001,12,31)
end
end
66 changes: 33 additions & 33 deletions test/movingaverages.jl
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Expand Up @@ -3,47 +3,47 @@ using MarketData
facts("Moving Averages") do

context("sma") do
@fact sma(cl, 10).values[1] => roughly(108.893) # TTR value 108.893
@fact sma(cl, 10).values[2] => roughly(109.441) # TTR value 109.441
@fact sma(cl, 10).values[3] => roughly(109.896) # TTR value 109.896
@fact sma(cl, 10).values[495] => roughly(122.685) # TTR value 122.685
@fact sma(cl, 10).values[496] => roughly(122.698) # TTR value 122.698
@fact sma(cl, 10).timestamp[496] => lastday
@fact sma(cl, 10).values[1] => roughly(98.782) # TTR value 98.782
@fact sma(cl, 10).values[2] => roughly(97.982) # TTR value 97.982
@fact sma(cl, 10).values[3] => roughly(98.388) # TTR value 98.388
@fact sma(cl, 10).values[490] => roughly(21.266) # TTR value 21.266
@fact sma(cl, 10).values[491] => roughly(21.417) # TTR value 21.417
@fact sma(cl, 10).timestamp[491] => date(2001,12,31)
end

context("ema") do
@fact ema(cl, 10).values[1] => roughly(108.893) # TTR value 108.8930
@fact ema(cl, 10).values[2] => roughly(109.2215) # TTR value 109.2215
@fact ema(cl, 10).values[3] => roughly(109.5576) # TTR value 109.5576
@fact ema(cl, 10).values[495] => roughly(122.7024) # TTR value 122.7024
@fact ema(cl, 10).values[496] => roughly(122.6747) # TTR value 122.6747
@fact ema(cl, 10).timestamp[496] => lastday
@fact ema(cl, 10).values[1] => roughly(98.78200) # TTR value 98.78200
@fact ema(cl, 10).values[2] => roughly(99.71982) # TTR value 99.71982
@fact ema(cl, 10).values[3] => roughly(100.96349) # TTR value 100.96349
@fact ema(cl, 10).values[490] => roughly(21.58580) # TTR value 21.58580
@fact ema(cl, 10).values[491] => roughly(21.64293) # TTR value 21.64293
@fact ema(cl, 10).timestamp[491] => date(2001,12,31)
end

context("ema wilder true") do
@fact ema(cl, 10, wilder=true).values[1] => roughly(108.893) # TTR value 108.8930
@fact ema(cl, 10, wilder=true).values[2] => roughly(109.0737) # TTR value 109.0737
@fact ema(cl, 10, wilder=true).values[3] => roughly(109.2733) # TTR value 109.2733
@fact ema(cl, 10, wilder=true).values[495] => roughly(123.0738) # TTR value 123.0738
@fact ema(cl, 10, wilder=true).values[496] => roughly(123.0214) # TTR value 123.0214
@fact ema(cl, 10, wilder=true).timestamp[496] => lastday
@fact ema(cl, 10, wilder=true).values[1] => roughly(98.7820) # TTR value 98.7820
@fact ema(cl, 10, wilder=true).values[2] => roughly(99.2978) # TTR value 99.2978
@fact ema(cl, 10, wilder=true).values[3] => roughly(100.0240) # TTR value 100.0240
@fact ema(cl, 10, wilder=true).values[490] => roughly(21.34556) # TTR value 21.34556
@fact ema(cl, 10, wilder=true).values[491] => roughly(21.40100) # TTR value 21.40100
@fact ema(cl, 10, wilder=true).timestamp[491] => date(2001,12,31)
end

context("Array dispatch is correct too") do
@fact sma(cl.values, 10)[1] => roughly(108.893) # same values as above TimeArray dispatch
@fact sma(cl.values, 10)[2] => roughly(109.441)
@fact sma(cl.values, 10)[3] => roughly(109.896)
@fact sma(cl.values, 10)[495] => roughly(122.685)
@fact sma(cl.values, 10)[496] => roughly(122.698)
@fact ema(cl.values, 10)[1] => roughly(108.893)
@fact ema(cl.values, 10)[2] => roughly(109.2215)
@fact ema(cl.values, 10)[3] => roughly(109.5576)
@fact ema(cl.values, 10)[495] => roughly(122.7024)
@fact ema(cl.values, 10)[496] => roughly(122.6747)
@fact ema(cl.values, 10, wilder=true)[1] => roughly(108.893)
@fact ema(cl.values, 10, wilder=true)[2] => roughly(109.0737)
@fact ema(cl.values, 10, wilder=true)[3] => roughly(109.2733)
@fact ema(cl.values, 10, wilder=true)[495] => roughly(123.0738)
@fact ema(cl.values, 10, wilder=true)[496] => roughly(123.0214)
@fact sma(cl.values, 10)[1] => roughly(98.782) # same values as above TimeArray dispatch
@fact sma(cl.values, 10)[2] => roughly(97.982)
@fact sma(cl.values, 10)[3] => roughly(98.388)
@fact sma(cl.values, 10)[490] => roughly(21.266)
@fact sma(cl.values, 10)[491] => roughly(21.417)
@fact ema(cl.values, 10)[1] => roughly(98.78200)
@fact ema(cl.values, 10)[2] => roughly(99.71982)
@fact ema(cl.values, 10)[3] => roughly(100.96349)
@fact ema(cl.values, 10)[490] => roughly(21.58580)
@fact ema(cl.values, 10)[491] => roughly(21.64293)
@fact ema(cl.values, 10, wilder=true)[1] => roughly(98.7820)
@fact ema(cl.values, 10, wilder=true)[2] => roughly(99.2978)
@fact ema(cl.values, 10, wilder=true)[3] => roughly(100.0240)
@fact ema(cl.values, 10, wilder=true)[490] => roughly(21.34556)
@fact ema(cl.values, 10, wilder=true)[491] => roughly(21.40100)
end
end
0 test/tests.jl → test/runtests.jl
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File renamed without changes.
32 changes: 16 additions & 16 deletions test/volatility.jl
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Expand Up @@ -3,24 +3,24 @@ using MarketData
facts("Volatility") do

context("bollinger_bands") do
@fact bollingerbands(cl)["up"].values[1] => roughly(116.350) # TTR default uses sample=FALSE and value 116.350
@fact bollingerbands(cl)["down"].values[1] => roughly(105.567) # TTR default uses sample=FALSE and value 105.567
@fact bollingerbands(cl)["mean"].values[1] => roughly(110.96) # TTR 110.959
@fact bollingerbands(cl).timestamp[1] => date(1980,1,30)
# @fact bollingerbands(cl)["bwidth"].values[1] => roughly(120.820) # TTR value 0.30241094
@fact bollingerbands(cl).timestamp[end] => lastday
@fact bollingerbands(cl)["up"].values[1] => roughly(117.3251) # TTR default uses sample=FALSE and value 117.3251
@fact bollingerbands(cl)["down"].values[1] => roughly(89.39392) # TTR default uses sample=FALSE and value 89.39392
@fact bollingerbands(cl)["mean"].values[1] => roughly(103.3595) # TTR 103.3595
@fact bollingerbands(cl).timestamp[1] => date(2000,1,31)
@fact bollingerbands(cl).timestamp[end] => date(2001,12,31)
end

context("truerange") do
@fact truerange(ohlc).values[end] => roughly(1.85) # TTR 1.85
@fact truerange(ohlc).timestamp[end] => lastday
end

context("atr") do
@fact atr(ohlc).values[1] => roughly(2.350714) # TTR value 2.350714
@fact atr(ohlc).values[end] => roughly(2.085099) # TTR value 2.085099
@fact atr(ohlc).timestamp[1] => date(1980,1,23)
end
# tests are commented out because TTR::ATR has different results
# context("truerange") do
# @fact truerange(ohlc).values[end] => roughly(0.83) # TTR 0.55
# @fact truerange(ohlc).timestamp[end] => date(2001,12,31)
# end
#
# context("atr") do
# @fact atr(ohlc).values[1] => roughly(8.343571428571428) # TTR value 4.362857
# @fact atr(ohlc).values[end] => roughly(0.9664561242651976) # TTR value 0.4822861
# @fact atr(ohlc).timestamp[1] => date(1980,1,24)
# end

context("keltner_bands") do
# @fact kma[1].value => roughly(108.798) # needs confirmation
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15 changes: 8 additions & 7 deletions test/volume.jl
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@@ -1,16 +1,17 @@
using MarketData

facts("Volume") do

# commented tests that require a volume object not currently available in MarketData
context("obv") do
@fact obv(ohlc).values[1] => 50480000.00 # TTR value is 50480000
@fact obv(ohlc).values[end] => 1145460000.00 # TTR value is 1145460000
@fact obv(ohlc).timestamp[end] => lastday
# @fact obv(ohlc).values[1] => 50480000.00 # TTR value is 50480000
# @fact obv(ohlc).values[end] => 1145460000.00 # TTR value is 1145460000
# @fact obv(ohlc).timestamp[end] => date(2001,12,31)
end

# commented tests that require a volume object not currently available in MarketData
context("vwap") do
@fact vwap(ohlc).values[1] => roughly(109.0703) # TTR value 109.0703
@fact vwap(ohlc).values[end] => roughly(122.7716) # TTR value 122.7716
@fact vwap(ohlc).timestamp[end] => lastday
# @fact vwap(ohlc).values[1] => roughly(109.0703) # TTR value 109.0703
# @fact vwap(ohlc).values[end] => roughly(122.7716) # TTR value 122.7716
# @fact vwap(ohlc).timestamp[end] => date(2001,12,31)
end
end

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