autotrader/data_test.go

package autotrader

import (
	"testing"
	"time"

	"github.com/rocketlaunchr/dataframe-go"
)

func newTestingDataFrame() *DataFrame {
	data, err := EURUSD()
	if err != nil {
		panic(err)
	}
	return data
}

func TestAppliedSeries(t *testing.T) {
	// Test rolling average.
	series := NewDataSeries(dataframe.NewSeriesFloat64("test", nil, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10))

	sma5Expected := []float64{1, 1.5, 2, 2.5, 3, 4, 5, 6, 7, 8}
	sma5 := (Series)(series.Rolling(5).Average()) // Take the 5 period moving average and cast it to Series.
	if sma5.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", sma5.Len())
	}
	for i := 0; i < 10; i++ {
		// Calling Float instead of Value is very important. Value will call the AppliedSeries.Value method
		// while Float calls Series.Float which is what most people will use and is the most likely to be
		// problematic as it is supposed to route through the DataSeries.value method.
		if val := sma5.Float(i); !EqualApprox(val, sma5Expected[i]) {
			t.Errorf("(%d)\tExpected %f, got %v", i, sma5Expected[i], val)
		}
	}

	ema5Expected := []float64{1, 1.3333333333333333, 1.8888888888888888, 2.5925925925925926, 3.3950617283950617, 4.395061728395062, 5.395061728395062, 6.395061728395062, 7.395061728395062, 8.395061728395062}
	ema5 := (Series)(series.Rolling(5).EMA()) // Take the 5 period exponential moving average.
	if ema5.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", ema5.Len())
	}
	for i := 0; i < 10; i++ {
		if val := ema5.Float(i); !EqualApprox(val, ema5Expected[i]) {
			t.Errorf("(%d)\tExpected %f, got %v", i, ema5Expected[i], val)
		}
	}
}

func TestDataSeries(t *testing.T) {
	data := newTestingDataFrame()

	dates, closes := data.Dates(), data.Closes()

	if dates.Len() != 2610 {
		t.Fatalf("Expected 2610 rows, got %d", dates.Len())
	}
	if closes.Len() != 2610 {
		t.Fatalf("Expected 2610 rows, got %d", closes.Len())
	}

	sma10 := closes.Rolling(10).Mean()
	if sma10.Len() != 2610 {
		t.Fatalf("Expected 2610 rows, got %d", sma10.Len())
	}
	if sma10.Value(-1) != 1.10039 { // Latest closing price averaged over 10 periods.
		t.Fatalf("Expected 1.10039, got %f", sma10.Value(-1))
	}
}

func TestDataFrame(t *testing.T) {
	data := newTestingDataFrame()

	if data.Len() != 2610 {
		t.Fatalf("Expected 2610 rows, got %d", data.Len())
	}
	if data.Close(-1) != 1.0967 {
		t.Fatalf("Expected 1.0967, got %f", data.Close(-1))
	}

	date := data.Date(2) // Get the 3rd earliest date from the Date column.
	if date.Year() != 2013 || date.Month() != 5 || date.Day() != 13 {
		t.Fatalf("Expected 2013-05-13, got %s", date.Format(time.DateOnly))
	}

	err := data.PushCandle(time.Date(2023, 5, 14, 0, 0, 0, 0, time.UTC), 1.0, 1.0, 1.0, 1.0, 1)
	if err != nil {
		t.Log(data.Names())
		t.Fatalf("Expected no error, got %s", err)
	}
	if data.Len() != 2611 {
		t.Fatalf("Expected 2611 rows, got %d", data.Len())
	}
	if data.Close(-1) != 1.0 {
		t.Fatalf("Expected latest close to be 1.0, got %f", data.Close(-1))
	}
}

func TestReadDataCSV(t *testing.T) {
	data := newTestingDataFrame()

	if data.Len() != 2610 {
		t.Fatalf("Expected 2610 rows, got %d", data.Len())
	}
	if len(data.Names()) != 6 {
		t.Fatalf("Expected 6 columns, got %d", len(data.Names()))
	}
	if data.Series("Date") == nil {
		t.Fatalf("Expected Date column, got nil")
	}
	if data.Series("Open") == nil {
		t.Fatalf("Expected Open column, got nil")
	}
	if data.Series("High") == nil {
		t.Fatalf("Expected High column, got nil")
	}
	if data.Series("Low") == nil {
		t.Fatalf("Expected Low column, got nil")
	}
	if data.Series("Close") == nil {
		t.Fatalf("Expected Close column, got nil")
	}
	if data.Series("Volume") == nil {
		t.Fatalf("Expected Volume column, got nil")
	}

	if data.Series("Date").Time(0).Equal(time.Time{}) {
		t.Fatalf("Expected Date column to have type time.Time, got %s", data.Value("Date", 0))
	}
}