Java tutorial
/** * The MIT License (MIT) * * Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS) * * Permission is hereby granted, free of charge, to any person obtaining a copy of * this software and associated documentation files (the "Software"), to deal in * the Software without restriction, including without limitation the rights to * use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of * the Software, and to permit persons to whom the Software is furnished to do so, * subject to the following conditions: * * The above copyright notice and this permission notice shall be included in all * copies or substantial portions of the Software. * * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR * IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS * FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR * COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER * IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN * CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. */ package eu.verdelhan.ta4j.indicators.trackers; import static eu.verdelhan.ta4j.TATestsUtils.assertDecimalEquals; import static org.hamcrest.CoreMatchers.is; import static org.hamcrest.MatcherAssert.assertThat; import eu.verdelhan.ta4j.Decimal; import eu.verdelhan.ta4j.Tick; import eu.verdelhan.ta4j.mocks.MockTick; import eu.verdelhan.ta4j.mocks.MockTimeSeries; import java.io.IOException; import java.io.InputStreamReader; import java.util.ArrayList; import java.util.List; import org.apache.commons.csv.CSVFormat; import org.apache.commons.csv.CSVRecord; import org.junit.Test; public class ParabolicSarIndicatorTest { @Test public void trendSwitchTest() { List<Tick> ticks = new ArrayList<Tick>(); ticks.add(new MockTick(0, 10, 13, 8)); ticks.add(new MockTick(0, 8, 11, 6)); ticks.add(new MockTick(0, 6, 9, 4)); ticks.add(new MockTick(0, 11, 15, 9)); ticks.add(new MockTick(0, 13, 15, 9)); ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); assertDecimalEquals(sar.getValue(0), 10); assertDecimalEquals(sar.getValue(1), 8); assertDecimalEquals(sar.getValue(2), 11); assertDecimalEquals(sar.getValue(3), 4); assertDecimalEquals(sar.getValue(4), 4); } @Test public void trendSwitchTest2() { List<Tick> ticks = new ArrayList<Tick>(); ticks.add(new MockTick(0, 10, 13, 11)); ticks.add(new MockTick(0, 10, 15, 13)); ticks.add(new MockTick(0, 12, 18, 11)); ticks.add(new MockTick(0, 10, 15, 9)); ticks.add(new MockTick(0, 9, 15, 9)); ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); assertDecimalEquals(sar.getValue(0), 10); assertDecimalEquals(sar.getValue(1), 10); assertDecimalEquals(sar.getValue(2), 0.04 * (18 - 10) + 10); assertDecimalEquals(sar.getValue(3), 18); assertDecimalEquals(sar.getValue(4), 18); } @Test public void upTrendTest() { List<Tick> ticks = new ArrayList<Tick>(); ticks.add(new MockTick(0, 10, 13, 11)); ticks.add(new MockTick(0, 17, 15, 11.38)); ticks.add(new MockTick(0, 18, 16, 14)); ticks.add(new MockTick(0, 19, 17, 12)); ticks.add(new MockTick(0, 20, 18, 9)); ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); assertDecimalEquals(sar.getValue(0), 10); assertDecimalEquals(sar.getValue(1), 17); assertDecimalEquals(sar.getValue(2), 11.38); assertDecimalEquals(sar.getValue(3), 11.38); assertDecimalEquals(sar.getValue(4), 18); } @Test public void downTrendTest() { List<Tick> ticks = new ArrayList<Tick>(); ticks.add(new MockTick(0, 20, 18, 9)); ticks.add(new MockTick(0, 19, 17, 12)); ticks.add(new MockTick(0, 18, 16, 14)); ticks.add(new MockTick(0, 17, 15, 11.38)); ticks.add(new MockTick(0, 10, 13, 11)); ticks.add(new MockTick(0, 10, 30, 11)); ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); assertDecimalEquals(sar.getValue(0), 20); assertDecimalEquals(sar.getValue(1), 19); assertDecimalEquals(sar.getValue(2), 0.04 * (14 - 19) + 19); double value = 0.06 * (11.38 - 18.8) + 18.8; assertDecimalEquals(sar.getValue(3), value); assertDecimalEquals(sar.getValue(4), 0.08 * (11 - value) + value); assertDecimalEquals(sar.getValue(5), 11); } @Test public void shouldCalculateSARMatchingKnownFTSE100ExampleFromTradingCompany() throws IOException { Iterable<CSVRecord> pricesFromFile = getCsvRecords("/FTSE100MiniOneMinutePrices-2017-04-27.csv"); List<Tick> ticks = new ArrayList<Tick>(); for (CSVRecord price : pricesFromFile) { ticks.add(new MockTick(new Double(price.get(5)), new Double(price.get(11)), new Double(price.get(9)), new Double(price.get(7)))); } //Price CSV field mappings //5 = opening bid, 7 = lowest bid, 9 = highest bid, 11 = closing bid ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); Iterable<CSVRecord> expectedSARsFromFile = getCsvRecords( "/FTSE100MiniOneMinute-Expected-SARs-From-IGIndex-2017-04-27.csv"); int i = 0; for (CSVRecord expectedSAR : expectedSARsFromFile) { final Double expected = new Double(expectedSAR.get(2)); final Decimal actual = sar.getValue(i); System.out.println("Expected=" + expected + " Actual=" + actual); assertDecimalEquals(actual, expected); i++; } } @Test public void shouldCalculateSARMatchingKnownFTSE100ExampleFromSpreadsheet() throws IOException { Iterable<CSVRecord> pricesFromFile = getCsvRecords("/FTSE100MiniOneMinutePrices-2017-04-27.csv"); List<Tick> ticks = new ArrayList<Tick>(); for (CSVRecord price : pricesFromFile) { ticks.add(new MockTick(new Double(price.get(5)), new Double(price.get(11)), new Double(price.get(9)), new Double(price.get(7)))); } //Price CSV field mappings //5 = opening bid, 7 = lowest bid, 9 = highest bid, 11 = closing bid ParabolicSarIndicator sar = new ParabolicSarIndicator(new MockTimeSeries(ticks), 1); Iterable<CSVRecord> expectedSARsFromFile = getCsvRecords( "/FTSE100MiniOneMinute-Expected-SARs-From-Spreadsheet-2017-04-27.csv"); int i = 0; for (CSVRecord expectedSAR : expectedSARsFromFile) { if (i > 3) { //ignore 1st four records as they are zero final Double expected = new Double(expectedSAR.get(2)); final Decimal actual = sar.getValue(i); System.out.println("Expected=" + expected + " Actual=" + actual); assertDecimalEquals(actual, expected); } i++; } } private Iterable<CSVRecord> getCsvRecords(String fileName) throws IOException { InputStreamReader priceCSVReader = new InputStreamReader(this.getClass().getResourceAsStream(fileName)); return CSVFormat.DEFAULT.parse(priceCSVReader); } }