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macd works with test.

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This commit is contained in:
Will Charczuk 2016-07-17 18:54:50 -07:00
parent 4f8680a2b1
commit 98c46b62d2
4 changed files with 157 additions and 88 deletions
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18
ema_series.go
View File

@ -11,8 +11,6 @@ type EMASeries struct {
Style Style
YAxis YAxisType
// Sigma is the 'smoothing factor' parameter.
Sigma float64
Period int
InnerSeries ValueProvider
}
@ -49,14 +47,8 @@ func (ema EMASeries) Len() int {
}
// GetSigma returns the smoothing factor for the serise.
func (ema EMASeries) GetSigma(defaults ...float64) float64 {
if ema.Sigma == 0 {
if len(defaults) > 0 {
return defaults[0]
}
return DefaultEMASigma
}
return ema.Sigma
func (ema EMASeries) GetSigma() float64 {
return 2.0 / (float64(ema.Period) + 1)
}
// GetValue gets a value at a given index.
@ -84,11 +76,11 @@ func (ema EMASeries) GetLastValue() (x float64, y float64) {
func (ema EMASeries) compute(period, index int) float64 {
_, v := ema.InnerSeries.GetValue(index)
if period == 1 || index == 0 {
if index == 0 {
return v
}
sig := ema.GetSigma()
return sig*v + ((1.0 - sig) * ema.compute(period-1, index-1))
previousEMA := ema.compute(period-1, index-1)
return ((v - previousEMA) * ema.GetSigma()) + previousEMA
}
// Render renders the series.

94
ema_series_test.go
View File

@ -1,35 +1,105 @@
package chart
import (
"math"
"testing"
"github.com/blendlabs/go-assert"
)
var (
emaXValues = Seq(1.0, 50.0)
emaYValues = []float64{
1, 2, 3, 4, 5, 4, 3, 2,
1, 2, 3, 4, 5, 4, 3, 2,
1, 2, 3, 4, 5, 4, 3, 2,
1, 2, 3, 4, 5, 4, 3, 2,
1, 2, 3, 4, 5, 4, 3, 2,
1, 2, 3, 4, 5, 4, 3, 2,
1, 2,
}
emaExpected = []float64{
1,
1.074074074,
1.216735254,
1.422903013,
1.68787316,
1.859141815,
1.943649828,
1.947823915,
1.877614736,
1.886680311,
1.969148437,
2.119581886,
2.33294619,
2.456431658,
2.496695979,
2.459903685,
2.351762671,
2.325706177,
2.375653867,
2.495975803,
2.681459077,
2.779128775,
2.795489607,
2.73656445,
2.607930047,
2.562898191,
2.595276103,
2.699329725,
2.869749746,
2.953471987,
2.956918506,
2.886035654,
2.746329309,
2.691045657,
2.713931163,
2.809195522,
2.971477335,
3.047664199,
3.044133518,
2.966790294,
2.821102124,
2.760279745,
2.778036801,
2.868552593,
3.026437586,
3.098553321,
3.091253075,
3.010419514,
2.86149955,
2.797684768,
}
emaDelta = 0.0001
)
func TestEMASeries(t *testing.T) {
assert := assert.New(t)
mockSeries := mockValueProvider{
Seq(1.0, 10.0),
Seq(10, 1.0),
emaXValues,
emaYValues,
}
assert.Equal(10, mockSeries.Len())
assert.Equal(50, mockSeries.Len())
mas := &EMASeries{
ema := &EMASeries{
InnerSeries: mockSeries,
Period: 26,
}
sig := ema.GetSigma()
assert.Equal(2.0/(26.0+1), sig)
var yvalues []float64
for x := 0; x < mas.Len(); x++ {
_, y := mas.GetValue(x)
for x := 0; x < ema.Len(); x++ {
_, y := ema.GetValue(x)
yvalues = append(yvalues, y)
}
assert.Equal(10.0, yvalues[0])
assert.True(math.Abs(yvalues[9]-3.77) < 0.01)
for index, yv := range yvalues {
assert.InDelta(yv, emaExpected[index], emaDelta)
}
lvx, lvy := mas.GetLastValue()
assert.Equal(10.0, lvx)
assert.True(math.Abs(lvy-3.77) < 0.01)
lvx, lvy := ema.GetLastValue()
assert.Equal(50.0, lvx)
assert.InDelta(lvy, emaExpected[49], emaDelta)
}

67
macd_series.go
View File

@ -20,8 +20,6 @@ type MACDSeries struct {
PrimaryPeriod int
SecondaryPeriod int
SignalPeriod int
Sigma float64
}
// GetPeriods returns the primary and secondary periods.
@ -44,17 +42,6 @@ func (macd MACDSeries) GetPeriods() (w1, w2, sig int) {
return
}
// GetSigma returns the smoothing factor for the serise.
func (macd MACDSeries) GetSigma(defaults ...float64) float64 {
if macd.Sigma == 0 {
if len(defaults) > 0 {
return defaults[0]
}
return DefaultEMASigma
}
return macd.Sigma
}
// GetName returns the name of the time series.
func (macd MACDSeries) GetName() string {
return macd.Name
@ -76,12 +63,7 @@ func (macd MACDSeries) Len() int {
return 0
}
w1, _, _ := macd.GetPeriods()
innerLen := macd.InnerSeries.Len()
if innerLen > w1 {
return innerLen - w1
}
return 0
return macd.InnerSeries.Len()
}
// GetValue gets a value at a given index. For MACD it is the signal value.
@ -91,19 +73,15 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
}
w1, w2, sig := macd.GetPeriods()
sigma := macd.GetSigma()
effectiveIndex := index + w1
x, _ = macd.InnerSeries.GetValue(effectiveIndex)
x, _ = macd.InnerSeries.GetValue(index)
signal := EMASeries{
InnerSeries: MACDLineSeries{
InnerSeries: macd.InnerSeries,
PrimaryPeriod: w1,
SecondaryPeriod: w2,
Sigma: sigma,
},
Sigma: sigma,
Period: sig,
}
@ -111,11 +89,10 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
InnerSeries: macd.InnerSeries,
PrimaryPeriod: w1,
SecondaryPeriod: w2,
Sigma: sigma,
}
_, sv := signal.GetValue(index)
_, lv := macdl.GetValue(index)
_, sv := signal.GetValue(index)
y = lv - sv
return
@ -131,8 +108,6 @@ type MACDSignalSeries struct {
PrimaryPeriod int
SecondaryPeriod int
SignalPeriod int
Sigma float64
}
// GetPeriods returns the primary and secondary periods.
@ -155,17 +130,6 @@ func (macds MACDSignalSeries) GetPeriods() (w1, w2, sig int) {
return
}
// GetSigma returns the smoothing factor for the serise.
func (macds MACDSignalSeries) GetSigma(defaults ...float64) float64 {
if macds.Sigma == 0 {
if len(defaults) > 0 {
return defaults[0]
}
return DefaultEMASigma
}
return macds.Sigma
}
// GetName returns the name of the time series.
func (macds MACDSignalSeries) GetName() string {
return macds.Name
@ -187,12 +151,7 @@ func (macds MACDSignalSeries) Len() int {
return 0
}
w1, _, _ := macds.GetPeriods()
innerLen := macds.InnerSeries.Len()
if innerLen > w1 {
return innerLen - w1
}
return 0
return macds.InnerSeries.Len()
}
// GetValue gets a value at a given index. For MACD it is the signal value.
@ -202,19 +161,15 @@ func (macds MACDSignalSeries) GetValue(index int) (x float64, y float64) {
}
w1, w2, sig := macds.GetPeriods()
sigma := macds.GetSigma()
effectiveIndex := index + w1
x, _ = macds.InnerSeries.GetValue(effectiveIndex)
x, _ = macds.InnerSeries.GetValue(index)
signal := EMASeries{
InnerSeries: MACDLineSeries{
InnerSeries: macds.InnerSeries,
PrimaryPeriod: w1,
SecondaryPeriod: w2,
Sigma: sigma,
},
Sigma: sigma,
Period: sig,
}
@ -277,12 +232,7 @@ func (macdl MACDLineSeries) Len() int {
return 0
}
w1, _ := macdl.GetPeriods()
innerLen := macdl.InnerSeries.Len()
if innerLen > w1 {
return innerLen - w1
}
return 0
return macdl.InnerSeries.Len()
}
// GetSigma returns the smoothing factor for the serise.
@ -304,19 +254,16 @@ func (macdl MACDLineSeries) GetValue(index int) (x float64, y float64) {
w1, w2 := macdl.GetPeriods()
effectiveIndex := index + w1
x, _ = macdl.InnerSeries.GetValue(effectiveIndex)
x, _ = macdl.InnerSeries.GetValue(index)
ema1 := EMASeries{
InnerSeries: macdl.InnerSeries,
Period: w1,
Sigma: macdl.GetSigma(),
}
ema2 := EMASeries{
InnerSeries: macdl.InnerSeries,
Period: w2,
Sigma: macdl.GetSigma(),
}
_, emav1 := ema1.GetValue(index)

66
macd_series_test.go
View File

@ -1,19 +1,75 @@
package chart
import (
"fmt"
"testing"
"github.com/blendlabs/go-assert"
)
var (
macdExpected = []float64{
0,
-0.06381766382,
-0.1641441222,
-0.2817201894,
-0.4033023481,
-0.3924673744,
-0.2983093823,
-0.1561821464,
0.008916708129,
0.05210332292,
0.01649503993,
-0.06667130899,
-0.1751344574,
-0.1657328378,
-0.08257097469,
0.04265109369,
0.1875741257,
0.2091853882,
0.1518975486,
0.04781419838,
-0.08025242841,
-0.08881960494,
-0.02183529775,
0.08904155476,
0.2214141128,
0.2321805992,
0.1656331722,
0.05373789678,
-0.08083727586,
-0.09475354363,
-0.03209767112,
0.07534076818,
0.2050442354,
0.2138010557,
0.1458045181,
0.03293263556,
-0.1022243734,
-0.1163957964,
-0.05372761902,
0.05393941791,
0.1840438454,
0.1933365048,
0.1259788988,
0.01382225715,
-0.1205656194,
-0.1339326478,
-0.07044017167,
0.03805851969,
0.1689918111,
0.1791024416,
}
)
func TestMACDSeries(t *testing.T) {
assert := assert.New(t)
mockSeries := mockValueProvider{
Seq(1.0, 100.0),
SeqRand(100.0, 256),
emaXValues,
emaYValues,
}
assert.Equal(100, mockSeries.Len())
assert.Equal(50, mockSeries.Len())
mas := &MACDSeries{
InnerSeries: mockSeries,
@ -26,4 +82,8 @@ func TestMACDSeries(t *testing.T) {
}
assert.NotEmpty(yvalues)
for index, vy := range yvalues {
fmt.Printf("delta @ %d actual: %0.9f expected: %0.9f\n", index, vy, macdExpected[index])
assert.InDelta(vy, macdExpected[index], emaDelta, fmt.Sprintf("delta @ %d actual: %0.9f expected: %0.9f", index, vy, macdExpected[index]))
}
}