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test_func.py
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import numpy as np
from numpy.testing import assert_array_equal, assert_array_almost_equal
import pytest
import talib
from talib import func
def test_talib_version():
assert talib.__ta_version__[:5] == b'0.6.4'
def test_num_functions():
assert len(talib.get_functions()) == 158
def test_input_wrong_type():
a1 = np.arange(10, dtype=int)
with pytest.raises(Exception):
func.MOM(a1)
def test_input_lengths():
a1 = np.arange(10, dtype=float)
a2 = np.arange(11, dtype=float)
with pytest.raises(Exception):
func.BOP(a2, a1, a1, a1)
with pytest.raises(Exception):
func.BOP(a1, a2, a1, a1)
with pytest.raises(Exception):
func.BOP(a1, a1, a2, a1)
with pytest.raises(Exception):
func.BOP(a1, a1, a1, a2)
def test_input_allnans():
a = np.arange(20, dtype=float)
a[:] = np.nan
r = func.RSI(a)
assert np.all(np.isnan(r))
def test_input_nans():
a1 = np.arange(10, dtype=float)
a2 = np.arange(10, dtype=float)
a2[0] = np.nan
a2[1] = np.nan
r1, r2 = func.AROON(a1, a2, 2)
assert_array_equal(r1, [np.nan, np.nan, np.nan, np.nan, 0, 0, 0, 0, 0, 0])
assert_array_equal(r2, [np.nan, np.nan, np.nan, np.nan, 100, 100, 100, 100, 100, 100])
r1, r2 = func.AROON(a2, a1, 2)
assert_array_equal(r1, [np.nan, np.nan, np.nan, np.nan, 0, 0, 0, 0, 0, 0])
assert_array_equal(r2, [np.nan, np.nan, np.nan, np.nan, 100, 100, 100, 100, 100, 100])
def test_unstable_period():
a = np.arange(10, dtype=float)
r = func.EMA(a, 3)
assert_array_equal(r, [np.nan, np.nan, 1, 2, 3, 4, 5, 6, 7, 8])
talib.set_unstable_period('EMA', 5)
r = func.EMA(a, 3)
assert_array_equal(r, [np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, np.nan, 6, 7, 8])
talib.set_unstable_period('EMA', 0)
def test_compatibility():
a = np.arange(10, dtype=float)
talib.set_compatibility(0)
r = func.EMA(a, 3)
assert_array_equal(r, [np.nan, np.nan, 1, 2, 3, 4, 5, 6, 7, 8])
talib.set_compatibility(1)
r = func.EMA(a, 3)
assert_array_equal(r, [np.nan, np.nan,1.25,2.125,3.0625,4.03125,5.015625,6.0078125,7.00390625,8.001953125])
talib.set_compatibility(0)
def test_MIN(series):
result = func.MIN(series, timeperiod=4)
i = np.where(~np.isnan(result))[0][0]
assert len(series) == len(result)
assert result[i + 1] == 93.780
assert result[i + 2] == 93.780
assert result[i + 3] == 92.530
assert result[i + 4] == 92.530
values = np.array([np.nan, 5., 4., 3., 5., 7.])
result = func.MIN(values, timeperiod=2)
assert_array_equal(result, [np.nan, np.nan, 4, 3, 3, 5])
def test_MAX(series):
result = func.MAX(series, timeperiod=4)
i = np.where(~np.isnan(result))[0][0]
assert len(series) == len(result)
assert result[i + 2] == 95.090
assert result[i + 3] == 95.090
assert result[i + 4] == 94.620
assert result[i + 5] == 94.620
def test_MOM():
values = np.array([90.0,88.0,89.0])
result = func.MOM(values, timeperiod=1)
assert_array_equal(result, [np.nan, -2, 1])
result = func.MOM(values, timeperiod=2)
assert_array_equal(result, [np.nan, np.nan, -1])
result = func.MOM(values, timeperiod=3)
assert_array_equal(result, [np.nan, np.nan, np.nan])
result = func.MOM(values, timeperiod=4)
assert_array_equal(result, [np.nan, np.nan, np.nan])
def test_BBANDS(series):
upper, middle, lower = func.BBANDS(
series,
timeperiod=20,
nbdevup=2.0,
nbdevdn=2.0,
matype=talib.MA_Type.EMA
)
i = np.where(~np.isnan(upper))[0][0]
assert len(upper) == len(middle) == len(lower) == len(series)
# assert abs(upper[i + 0] - 98.0734) < 1e-3
assert abs(middle[i + 0] - 92.8910) < 1e-3
assert abs(lower[i + 0] - 87.7086) < 1e-3
# assert abs(upper[i + 13] - 93.674) < 1e-3
assert abs(middle[i + 13] - 87.679) < 1e-3
assert abs(lower[i + 13] - 81.685) < 1e-3
def test_DEMA(series):
result = func.DEMA(series)
i = np.where(~np.isnan(result))[0][0]
assert len(series) == len(result)
assert abs(result[i + 1] - 86.765) < 1e-3
assert abs(result[i + 2] - 86.942) < 1e-3
assert abs(result[i + 3] - 87.089) < 1e-3
assert abs(result[i + 4] - 87.656) < 1e-3
def test_EMAEMA(series):
result = func.EMA(series, timeperiod=2)
result = func.EMA(result, timeperiod=2)
i = np.where(~np.isnan(result))[0][0]
assert len(series) == len(result)
assert i == 2
def test_CDL3BLACKCROWS():
o = np.array([39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 39.00, 40.32, 40.51, 38.09, 35.00, 27.66, 30.80])
h = np.array([40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 40.84, 41.69, 40.84, 38.12, 35.50, 31.74, 32.51])
l = np.array([35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 35.80, 39.26, 36.73, 33.37, 30.03, 27.03, 28.31])
c = np.array([40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.29, 40.46, 37.08, 33.37, 30.03, 31.46, 28.31])
result = func.CDL3BLACKCROWS(o, h, l, c)
assert_array_equal(result, [0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, -100, 0, 0])
def test_RSI():
a = np.array([0.00000024, 0.00000024, 0.00000024,
0.00000024, 0.00000024, 0.00000023,
0.00000024, 0.00000024, 0.00000024,
0.00000024, 0.00000023, 0.00000024,
0.00000023, 0.00000024, 0.00000023,
0.00000024, 0.00000024, 0.00000023,
0.00000023, 0.00000023], dtype='float64')
result = func.RSI(a, 10)
assert_array_almost_equal(result, [np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,33.333333333333329,51.351351351351347,39.491916859122398,51.84807024709005,42.25953803191981,52.101824405061215,52.101824405061215,43.043664867691085,43.043664867691085,43.043664867691085])
result = func.RSI(a * 100000, 10)
assert_array_almost_equal(result, [np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,np.nan,33.333333333333329,51.351351351351347,39.491916859122398,51.84807024709005,42.25953803191981,52.101824405061215,52.101824405061215,43.043664867691085,43.043664867691085,43.043664867691085])
def test_MAVP():
a = np.array([1,5,3,4,7,3,8,1,4,6], dtype=float)
b = np.array([2,4,2,4,2,4,2,4,2,4], dtype=float)
result = func.MAVP(a, b, minperiod=2, maxperiod=4)
assert_array_equal(result, [np.nan,np.nan,np.nan,3.25,5.5,4.25,5.5,4.75,2.5,4.75])
sma2 = func.SMA(a, 2)
assert_array_equal(result[4::2], sma2[4::2])
sma4 = func.SMA(a, 4)
assert_array_equal(result[3::2], sma4[3::2])
result = func.MAVP(a, b, minperiod=2, maxperiod=3)
assert_array_equal(result, [np.nan,np.nan,4,4,5.5,4.666666666666667,5.5,4,2.5,3.6666666666666665])
sma3 = func.SMA(a, 3)
assert_array_equal(result[2::2], sma2[2::2])
assert_array_equal(result[3::2], sma3[3::2])
def test_MAXINDEX():
import talib as func
import numpy as np
a = np.array([1., 2, 3, 4, 5, 6, 7, 8, 7, 7, 3, 4, 5, 6, 7, 8, 9, 2, 3, 4, 5, 15])
b = func.MA(a, 10)
c = func.MAXINDEX(b, 10)
assert_array_equal(c, [0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,16,16,16,21])
d = np.array([1., 2, 3])
e = func.MAXINDEX(d, 10)
assert_array_equal(e, [0,0,0])