robocom-zero/test/Test/RoboCom/Indicators.hs

{-# LANGUAGE OverloadedStrings #-}

module Test.RoboCom.Indicators
(
  unitTests
) where

import           Test.Tasty
import           Test.Tasty.HUnit
import           Test.Tasty.QuickCheck     as QC
import           Test.Tasty.SmallCheck     as SC

import           ATrade.Types
import qualified Data.Text                 as T
import           Data.Time.Calendar
import           Data.Time.Clock

import           ATrade.RoboCom.Indicators

unitTests = testGroup "RoboCom.Indicators" [
  testEma,
  testRsi,
  testRsi2,
  testAtr,
  testCci,
  testBbandUpper,
  testPercentRank
  ]

newbar b = Bar { barSecurity = T.pack "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = 0, barHigh = 0, barLow = 0, barClose = b, barVolume = 0}
assertEqualWithEpsilon eps one two = assertBool ("|" ++ show one ++ " - " ++ show two ++ "| < " ++ show eps) $ abs (one - two) < eps

testEma = testCase "EMA calculation" $ assertEqualWithEpsilon 1 (ema 4 bars) 1256.19
  where
    bars = reverse [1243.0, 1226.3, 1231.5, 1249, 1257.4, 1246.2, 1242.5, 1245.1, 1256.1, 1248.5, 1245, 1267.1]

testRsi = testCase "RSI calculation" $ assertEqualWithEpsilon 0.1 (rsi 2 bars) 96.94
  where
    bars = reverse [1, 3, 5, 7, 4, 2, 7, 4, 2, 12, 13, 11, 15, 32]

testRsi2 = testCase "RSI calculation" $ assertEqualWithEpsilon 1 (rsi 6 bars) 18.11
  where
    bars = reverse [1156.2, 1158.8, 1158.3, 1160.3, 1160.9, 1159.8, 1163.0, 1156.3, 1156.0, 1155.3, 1153.8,
      1156.2, 1154.1, 1155.9, 1158.1, 1155.8, 1155.9, 1154.5, 1149.8, 1146.5, 1152.1, 1154.0, 1150.2, 1139.5, 1132.6]

testAtr = testCase "ATR calculation" $ assertEqualWithEpsilon 0.1 (atr 14 bars) 1.32
  where
    bars = reverse [bar 48.70 47.79 48.16,
      bar 48.72 48.14 48.61,
      bar 48.90 48.39 48.75,
      bar 48.87 48.37 48.63,
      bar 48.82 48.24 48.74,
      bar 49.05 48.64 49.03,
      bar 49.20 48.94 49.07,
      bar 49.35 48.86 49.32,
      bar 49.92 49.50 49.91,
      bar 50.19 49.87 50.13,
      bar 50.12 49.20 49.53,
      bar 49.66 48.90 49.50,
      bar 49.88 49.43 49.75,
      bar 50.19 49.73 50.03,
      bar 50.36 49.26 50.31,
      bar 50.57 50.09 50.52,
      bar 50.65 50.30 50.41,
      bar 50.43 49.21 49.34,
      bar 49.63 48.98 49.37,
      bar 50.33 49.61 50.23,
      bar 50.29 49.20 49.24,
      bar 50.17 49.43 49.93,
      bar 49.32 48.08 48.43,
      bar 48.50 47.64 48.18,
      bar 48.32 41.55 46.57,
      bar 46.80 44.28 45.41,
      bar 47.80 47.31 47.77,
      bar 48.39 47.20 47.72,
      bar 48.66 47.90 48.62,
      bar 48.79 47.73 47.85 ]
    bar h l c = Bar { barSecurity = "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = 0, barHigh = h, barLow = l, barClose = c, barVolume = 0}

testCci = testCase "CCI calculation" $ do
  assertEqualWithEpsilon 0.1 (cci 12 bars) 212.39
  where
    bars = reverse [
        bar 195.2900000 194.3900000 195.1200000,
        bar 195.2100000 194.7200000 195.0600000,
        bar 195.8800000 195.0000000 195.7600000,
        bar 196.3000000 195.6600000 196.0600000,
        bar 196.4900000 195.8400000 196.0000000,
        bar 196.6000000 195.9700000 196.5500000,
        bar 197.0500000 196.5400000 196.7000000,
        bar 196.8200000 196.3000000 196.4700000,
        bar 196.4800000 196.0500000 196.2000000,
        bar 196.3700000 195.8900000 196.1500000,
        bar 196.8500000 196.0600000 196.5500000,
        bar 196.7100000 196.2000000 196.7100000,
        bar 196.9900000 196.4600000 196.5100000,
        bar 196.5900000 195.8400000 195.9700000,
        bar 196.2800000 195.4500000 195.6700000,
        bar 195.6300000 194.0000000 194.0000000,
        bar 194.6500000 193.3300000 194.4500000,
        bar 194.5100000 194.0000000 194.0500000,
        bar 193.7700000 192.3800000 193.0900000,
        bar 193.5000000 192.5600000 192.9700000,
        bar 193.9500000 192.7600000 193.8400000,
        bar 194.5000000 193.7600000 194.2600000,
        bar 194.8700000 193.8800000 194.6800000,
        bar 194.7800000 194.1100000 194.4900000,
        bar 194.7300000 194.1300000 194.2700000,
        bar 194.8300000 194.1200000 194.6700000,
        bar 195.1200000 193.8800000 193.8900000,
        bar 194.2800000 193.7700000 194.0200000,
        bar 194.1600000 193.8000000 194.0300000,
        bar 194.0100000 193.4500000 193.8000000,
        bar 193.9900000 193.6500000 193.9100000,
        bar 194.9000000 193.5700000 194.1600000,
        bar 194.2000000 193.1500000 193.4500000,
        bar 193.8900000 193.1800000 193.4700000,
        bar 194.1000000 193.1000000 193.1300000,
        bar 193.8500000 193.1000000 193.8500000,
        bar 194.9200000 194.1500000 194.1700000,
        bar 194.7000000 193.9500000 194.6100000,
        bar 195.2000000 194.5000000 194.5200000,
        bar 195.6800000 194.5200000 195.5200000,
        bar 195.7500000 195.0700000 195.2700000,
        bar 195.4000000 194.7100000 194.9000000,
        bar 195.1600000 193.9400000 194.0600000,
        bar 194.1900000 193.3300000 193.3800000,
        bar 193.8200000 193.2000000 193.7200000,
        bar 193.6900000 193.2500000 193.6600000,
        bar 194.1700000 193.3700000 194.0800000,
        bar 194.4300000 193.7600000 194.1900000,
        bar 194.4200000 194.0100000 194.3100000,
        bar 194.3600000 193.8300000 194.2900000,
        bar 194.3500000 193.5100000 193.9400000,
        bar 194.2500000 193.7500000 194.1200000,
        bar 194.1700000 193.8000000 193.8400000,
        bar 194.2700000 193.8000000 193.8000000,
        bar 197.1400000 195.5600000 196.6100000,
        bar 197.0400000 196.5500000 197.0000000,
        bar 198.6900000 196.8500000 198.6800000,
        bar 199.4700000 198.5600000 199.4300000,
        bar 201.7100000 199.4300000 199.8900000,
        bar 200.1500000 199.1100000 200.1300000,
        bar 200.7300000 199.1200000 199.7100000,
        bar 200.5000000 199.6000000 200.3800000,
        bar 201.9500000 200.2500000 201.9500000,
        bar 204.0000000 201.8900000 203.2000000,
        bar 203.9900000 203.0700000 203.5800000,
        bar 206.7000000 203.5000000 205.6500000,
        bar 206.5000000 204.8900000 206.5000000,
        bar 206.5000000 204.5500000 206.0000000,
        bar 206.1000000 203.2500000 203.6600000,
        bar 205.4400000 203.5000000 205.1200000,
        bar 205.9100000 203.7000000 204.2800000,
        bar 205.9600000 204.1300000 205.9600000,
        bar 208.0000000 204.0600000 206.8300000,
        bar 207.5600000 206.5300000 207.2300000,
        bar 209.3500000 207.1000000 208.9700000,
        bar 209.8000000 208.8200000 209.7000000,
        bar 209.9700000 209.0500000 209.4200000,
        bar 209.7300000 209.2800000 209.6600000,
        bar 211.7700000 209.6600000 211.2300000,
        bar 211.3000000 210.0000000 210.4900000,
        bar 211.1000000 210.4500000 211.0000000,
        bar 211.0000000 209.6200000 210.0100000,
        bar 210.2300000 209.6600000 210.1000000,
        bar 210.5600000 209.1600000 209.5000000,
        bar 209.9100000 209.0900000 209.7100000,
        bar 210.1900000 209.2900000 210.0500000,
        bar 210.3000000 209.8000000 209.8600000,
        bar 210.0200000 208.8900000 209.3100000,
        bar 210.0800000 209.2100000 209.9700000,
        bar 209.9500000 209.0900000 209.0900000,
        bar 210.9600000 209.1200000 210.1900000,
        bar 210.6500000 209.4000000 210.3700000,
        bar 212.2600000 210.3000000 210.9800000,
        bar 211.4500000 210.0000000 210.4800000,
        bar 210.6900000 209.7300000 210.0300000,
        bar 210.3200000 209.8400000 210.0700000,
        bar 210.4000000 210.0000000 210.3200000,
        bar 210.4000000 210.2000000 210.3300000,
        bar 211.0000000 210.2800000 210.4200000,
        bar 210.5000000 210.0100000 210.3400000,
        bar 210.6000000 210.0700000 210.5400000,
        bar 211.1200000 210.3200000 211.0400000,
        bar 211.1700000 210.7300000 211.0200000,
        bar 211.1500000 210.7500000 210.7600000,
        bar 217.8000000 210.8000000 216.3500000,
        bar 219.2000000 215.8200000 219.0400000,
        bar 220.8400000 218.2600000 220.4400000,
        bar 221.5000000 220.0500000 220.0500000
      ]
    bar h l c = Bar { barSecurity = "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = 0, barHigh = h, barLow = l, barClose = c, barVolume = 0}

testBbandUpper = testCase "Bollinger bands (upper) calculation" $ assertEqualWithEpsilon 0.1 (bbandUpper 5 1.5 bars) 1764.12
  where
    bars = reverse [1750.0, 1749.99, 1761.0, 1771.0, 1758.94, 1759.36, 1758.55, 1760.0, 1751.0, 1756.80, 1748.15, 1722.90, 1726]

testPercentRank = testCase "PercentRank calculation" $ assertEqualWithEpsilon 0.01 (percentRank 10 bars) 0.9
  where
    bars = reverse [0, 1, 2, 3, 4, 5, 6, 7, 8, 9]