mirror of
https://github.com/wassname/pandas-ta.git
synced 2026-06-29 16:30:38 +08:00
Kevin Johnson
224 lines
8.3 KiB
Python
224 lines
8.3 KiB
Python
# -*- coding: utf-8 -*-
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from unittest import TestCase, skip
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import pandas.testing as pdt
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from pandas import DataFrame, Series
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import talib as tal
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from .config import error_analysis, sample_data, CORRELATION, CORRELATION_THRESHOLD
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from .context import pandas_ta
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class TestVolatility(TestCase):
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@classmethod
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def setUpClass(cls):
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cls.data = sample_data
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cls.data.columns = cls.data.columns.str.lower()
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cls.open = cls.data["open"]
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cls.high = cls.data["high"]
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cls.low = cls.data["low"]
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cls.close = cls.data["close"]
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if "volume" in cls.data.columns:
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cls.volume = cls.data["volume"]
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@classmethod
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def tearDownClass(cls):
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del cls.open
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del cls.high
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del cls.low
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del cls.close
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if hasattr(cls, "volume"):
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del cls.volume
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del cls.data
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def setUp(self): pass
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def tearDown(self): pass
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def test_aberration(self):
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"""Volatility: Aberration"""
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result = pandas_ta.aberration(self.high, self.low, self.close)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "ABER_5_15")
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def test_accbands(self):
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"""Volatility: ACCBANDS"""
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result = pandas_ta.accbands(self.high, self.low, self.close)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "ACCBANDS_20")
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def test_atr(self):
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"""Volatility: ATR"""
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result = pandas_ta.atr(self.high, self.low, self.close, talib=False)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "ATRr_14")
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try:
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expected = tal.ATR(self.high, self.low, self.close)
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pdt.assert_series_equal(result, expected, check_names=False)
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except AssertionError:
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try:
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corr = pandas_ta.utils.df_error_analysis(result, expected)
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self.assertGreater(corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result, CORRELATION, ex)
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result = pandas_ta.atr(self.high, self.low, self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "ATRr_14")
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def test_atrts(self):
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"""Volatility: ATRTS"""
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result = pandas_ta.atrts(self.high, self.low, self.close, talib=False)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "ATRTSe_14_20_3.0")
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def test_bbands(self):
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"""Volatility: BBANDS"""
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result = pandas_ta.bbands(self.close, talib=False)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "BBANDS_5_2.0")
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try:
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expected = tal.BBANDS(self.close)
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expecteddf = DataFrame({"BBL_5_2.0": expected[2], "BBM_5_2.0": expected[1], "BBU_5_2.0": expected[0]})
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pdt.assert_frame_equal(result, expecteddf)
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except AssertionError:
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try:
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bbl_corr = pandas_ta.utils.df_error_analysis(result.iloc[:, 0], expecteddf.iloc[:,0])
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self.assertGreater(bbl_corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result.iloc[:, 0], CORRELATION, ex)
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try:
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bbm_corr = pandas_ta.utils.df_error_analysis(result.iloc[:, 1], expecteddf.iloc[:,1])
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self.assertGreater(bbm_corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result.iloc[:, 1], CORRELATION, ex, newline=False)
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try:
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bbu_corr = pandas_ta.utils.df_error_analysis(result.iloc[:, 2], expecteddf.iloc[:,2])
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self.assertGreater(bbu_corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result.iloc[:, 2], CORRELATION, ex, newline=False)
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result = pandas_ta.bbands(self.close, ddof=0)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "BBANDS_5_2.0")
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result = pandas_ta.bbands(self.close, ddof=1)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "BBANDS_5_2.0")
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def test_donchian(self):
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"""Volatility: Donchian"""
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result = pandas_ta.donchian(self.high, self.low)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "DC_20_20")
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result = pandas_ta.donchian(self.high, self.low, lower_length=20, upper_length=5)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "DC_20_5")
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def test_hwc(self):
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"""Volatility: HWC"""
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result = pandas_ta.hwc(self.close)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "HWC_1")
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result = pandas_ta.hwc(self.close, channel_eval=True)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "HWC_1")
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def test_kc(self):
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"""Volatility: KC"""
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result = pandas_ta.kc(self.high, self.low, self.close)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "KCe_20_2")
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result = pandas_ta.kc(self.high, self.low, self.close, mamode="sma")
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "KCs_20_2")
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def test_massi(self):
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"""Volatility: MASSI"""
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result = pandas_ta.massi(self.high, self.low)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "MASSI_9_25")
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def test_natr(self):
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"""Volatility: NATR"""
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result = pandas_ta.natr(self.high, self.low, self.close, talib=False)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "NATR_14")
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try:
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expected = tal.NATR(self.high, self.low, self.close)
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pdt.assert_series_equal(result, expected, check_names=False)
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except AssertionError:
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try:
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corr = pandas_ta.utils.df_error_analysis(result, expected)
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self.assertGreater(corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result, CORRELATION, ex)
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result = pandas_ta.natr(self.high, self.low, self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "NATR_14")
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def test_pdist(self):
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"""Volatility: PDIST"""
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result = pandas_ta.pdist(self.open, self.high, self.low, self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "PDIST")
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def test_rvi(self):
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"""Volatility: RVI"""
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result = pandas_ta.rvi(self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "RVI_14")
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result = pandas_ta.rvi(self.close, self.high, self.low, refined=True)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "RVIr_14")
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result = pandas_ta.rvi(self.close, self.high, self.low, thirds=True)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "RVIt_14")
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def test_thermo(self):
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"""Volatility: THERMO"""
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result = pandas_ta.thermo(self.high, self.low)
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self.assertIsInstance(result, DataFrame)
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self.assertEqual(result.name, "THERMO_20_2_0.5")
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def test_true_range(self):
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"""Volatility: True Range"""
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result = pandas_ta.true_range(self.high, self.low, self.close, talib=False)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "TRUERANGE_1")
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try:
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expected = tal.TRANGE(self.high, self.low, self.close)
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pdt.assert_series_equal(result, expected, check_names=False)
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except AssertionError:
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try:
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corr = pandas_ta.utils.df_error_analysis(result, expected)
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self.assertGreater(corr, CORRELATION_THRESHOLD)
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except Exception as ex:
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error_analysis(result, CORRELATION, ex)
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result = pandas_ta.true_range(self.high, self.low, self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "TRUERANGE_1")
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def test_ui(self):
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"""Volatility: UI"""
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result = pandas_ta.ui(self.close)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "UI_14")
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result = pandas_ta.ui(self.close, everget=True)
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self.assertIsInstance(result, Series)
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self.assertEqual(result.name, "UIe_14")
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