/**
* 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.statistics;
import static eu.verdelhan.ta4j.TATestsUtils.assertDecimalEquals;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.indicators.simple.ClosePriceIndicator;
import eu.verdelhan.ta4j.mocks.MockTimeSeries;
import org.junit.Before;
import org.junit.Test;
public class VarianceIndicatorTest {
private TimeSeries data;
@Before
public void setUp() {
data = new MockTimeSeries(1, 2, 3, 4, 3, 4, 5, 4, 3, 0, 9);
}
@Test
public void varianceUsingTimeFrame4UsingClosePrice() {
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4);
assertDecimalEquals(var.getValue(0), 0);
assertDecimalEquals(var.getValue(1), 0.25);
assertDecimalEquals(var.getValue(2), 2.0/3);
assertDecimalEquals(var.getValue(3), 1.25);
assertDecimalEquals(var.getValue(4), 0.5);
assertDecimalEquals(var.getValue(5), 0.25);
assertDecimalEquals(var.getValue(6), 0.5);
assertDecimalEquals(var.getValue(7), 0.5);
assertDecimalEquals(var.getValue(8), 0.5);
assertDecimalEquals(var.getValue(9), 3.5);
assertDecimalEquals(var.getValue(10), 10.5);
}
@Test
public void firstValueShouldBeZero() {
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 4);
assertDecimalEquals(var.getValue(0), 0);
}
@Test
public void varianceShouldBeZeroWhenTimeFrameIs1() {
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 1);
assertDecimalEquals(var.getValue(3), 0);
assertDecimalEquals(var.getValue(8), 0);
}
@Test
public void varianceUsingTimeFrame2UsingClosePrice() {
VarianceIndicator var = new VarianceIndicator(new ClosePriceIndicator(data), 2);
assertDecimalEquals(var.getValue(0), 0);
assertDecimalEquals(var.getValue(1), 0.25);
assertDecimalEquals(var.getValue(2), 0.25);
assertDecimalEquals(var.getValue(3), 0.25);
assertDecimalEquals(var.getValue(9), 2.25);
assertDecimalEquals(var.getValue(10), 20.25);
}
}