autotrader/series_test.go

package autotrader

import (
	"math"
	"testing"
)

func TestDataSeries(t *testing.T) {
	series := NewSeries("test", 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0)
	if series.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", series.Len())
	}
	series.Reverse()
	if series.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", series.Len())
	}
	for i := 0; i < 10; i++ {
		if val := series.Float(i); val != float64(10-i) {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(10-i), val)
		}
	}

	last5 := series.CopyRange(-5, -1)
	if last5.Len() != 5 {
		t.Fatalf("Expected 5 rows, got %d", last5.Len())
	}
	for i := 0; i < 5; i++ {
		if val := last5.Float(i); val != float64(5-i) {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(5-i), val)
		}
	}
	last5.SetValue(-1, 0.0)
	if series.Float(-1) == 0.0 {
		t.Errorf("Expected data to be copied, not referenced")
	}

	outOfBounds := series.CopyRange(10, -1)
	if outOfBounds == nil {
		t.Fatal("Expected non-nil series, got nil")
	}
	if outOfBounds.Len() != 0 {
		t.Fatalf("Expected 0 rows, got %d", outOfBounds.Len())
	}

	valueRange := series.ValueRange(-1, 0) // Out of bounds should result in an empty slice.
	if valueRange == nil || len(valueRange) != 0 {
		t.Fatalf("Expected a slice with 0 items, got %d", len(valueRange))
	}
	valueRange = series.ValueRange(0, 5) // Take the first 5 items.
	if len(valueRange) != 5 {
		t.Fatalf("Expected a slice with 5 items, got %d", len(valueRange))
	}
	for i := 0; i < 5; i++ {
		if val := valueRange[i]; val != float64(10-i) {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(10-i), val)
		}
	}

	values := series.Values()
	if len(values) != 10 {
		t.Fatalf("Expected a slice with 10 items, got %d", len(values))
	}
	for i := 0; i < 10; i++ {
		if val := values[i]; val != float64(10-i) {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(10-i), val)
		}
	}
}

func TestDataSeriesFunctional(t *testing.T) {
	series := NewSeries("test", 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0)
	doubled := series.Copy().Map(func(_ int, val any) any {
		return val.(float64) * 2
	})
	if doubled.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", doubled.Len())
	}
	for i := 0; i < 10; i++ {
		if val := doubled.Float(i); val != float64(i+1)*2 {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(i+1)*2, val)
		}
	}
	series.SetValue(0, 100.0)
	if doubled.Float(0) == 100.0 {
		t.Error("Expected data to be copied, not referenced")
	}
	series.SetValue(0, 1.0) // Reset the value.

	evens := series.Copy().Filter(func(_ int, val any) bool {
		return EqualApprox(math.Mod(val.(float64), 2), 0)
	})
	if evens.Len() != 5 {
		t.Fatalf("Expected 5 rows, got %d", evens.Len())
	}
	for i := 0; i < 5; i++ {
		if val := evens.Float(i); val != float64(i+1)*2 {
			t.Errorf("(%d)\tExpected %f, got %v", i, float64(i+1)*2, val)
		}
	}
	if series.Len() != 10 {
		t.Fatalf("Expected series to still have 10 rows, got %d", series.Len())
	}

	diffed := series.Copy().Map(func(i int, v any) any {
		if i == 0 {
			return 0.0
		}
		return v.(float64) - series.Float(i-1)
	})
	if diffed.Len() != 10 {
		t.Fatalf("Expected 10 rows, got %d", diffed.Len())
	}
	if diffed.Float(0) != 0.0 {
		t.Errorf("Expected first value to be 0.0, got %v", diffed.Float(0))
	}
	for i := 1; i < 10; i++ {
		if val := diffed.Float(i); val != 1.0 {
			t.Errorf("(%d)\tExpected 1.0, got %v", i, val)
		}
	}
}

func TestRollingAppliedSeries(t *testing.T) {
	// Test rolling average.
	series := NewSeries("test", 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0)

	sma5Expected := []float64{1, 1.5, 2, 2.5, 3, 4, 5, 6, 7, 8}
	sma5 := series.Copy().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.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 TestDataSeriesEURUSD(t *testing.T) {
	data, err := EURUSD()
	if err != nil {
		t.Fatalf("Expected no error, got %s", err)
	}

	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 !EqualApprox(sma10.Value(-1).(float64), 1.15878) { // Latest closing price averaged over 10 periods.
		t.Fatalf("Expected 1.10039, got %f", sma10.Value(-1))
	}
}