bluebot/test/indicators/macd.js

A bitcoin trading bot for auto trading at various exchanges

var chai = require('chai');
var expect = chai.expect;
var should = chai.should;
var sinon = require('sinon');

var _ = require('lodash');

var util = require('../../core/util');
var dirs = util.dirs();
var INDICATOR_PATH = dirs.indicators;

// Fake input prices to verify all indicators 
// are working correctly by comparing fresh
// calculated results to pre calculated results.



var prices = [81, 24, 75, 21, 34, 25, 72, 92, 99, 2, 86, 80, 76, 8, 87, 75, 32, 65, 41, 9, 13, 26, 56, 28, 65, 58, 17, 90, 87, 86, 99, 3, 70, 1, 27, 9, 92, 68, 9];

describe('indicators/MACD', function() {

  var MACD = require(INDICATOR_PATH + 'MACD');

  var verified_macd12v26v9diff = [0,-4.547008547008545,-3.9892858012516115,-7.814553897296733,-9.68546703354523,-11.758855194041395,-9.500012810452446,-6.02656065453003,-2.678111693000716,-7.762054965956388,-4.955890237178558,-3.179483224749447,-2.070566240940323,-6.6026618662643415,-3.776210725235984,-2.4759859198692027,-4.859274338230051,-4.038668120840633,-5.264248228346467,-8.717175683191812,-11.004031373646804,-11.633288323448895,-9.600560425733171,-10.13217748107575,-7.4816532084116645,-5.8781751804450835,-7.825556495508927,-3.4387406426898934,-0.20190496720273643,2.256606231167005,5.1941109452040735,-0.2217370531452758,0.8823334558761218,-3.766982623447589,-5.29260653034283,-7.863478747649999,-3.166999957817737,-1.365861305295958,-4.64570012391512];
  var verified_macd12v26v9signal = [0,-0.9094017094017091,-1.5253785277716898,-2.7832136016766986,-4.163664288050406,-5.6827024692486034,-6.446164537489373,-6.362243760897504,-5.625417347318147,-6.052744871045796,-5.833373944272349,-5.30259580036777,-4.65618988848228,-5.045484284038693,-4.791629572278152,-4.328500841796362,-4.4346555410831,-4.355458057034607,-4.537216091296979,-5.373208009675945,-6.499372682470117,-7.526155810665873,-7.941036733679333,-8.379264883158616,-8.199742548209226,-7.735429074656398,-7.753454558826904,-6.890511775599502,-5.55279041392015,-3.990911084902719,-2.153906678881361,-1.767472753734144,-1.2375115118120907,-1.7434057341391904,-2.4532458933799184,-3.535292464233935,-3.4616339629506956,-3.0424794314197485,-3.363123569918823];
  var verified_macd12v26v9result = [0,-3.6376068376068362,-2.4639072734799217,-5.031340295620034,-5.521802745494824,-6.076152724792792,-3.053848272963074,0.33568310636747434,2.9473056543174314,-1.7093100949105917,0.8774837070937913,2.1231125756183227,2.585623647541957,-1.5571775822256484,1.0154188470421683,1.8525149219271597,-0.42461879714695083,0.3167899361939739,-0.7270321370494885,-3.3439676735158663,-4.504658691176687,-4.107132512783021,-1.6595236920538383,-1.7529125979171347,0.7180893397975616,1.8572538942113148,-0.07210193668202258,3.4517711329096086,5.350885446717413,6.247517316069724,7.3480176240854345,1.5457357005888681,2.1198449676882127,-2.0235768893083987,-2.839360636962912,-4.3281862834160645,0.2946340051329588,1.6766181261237905,-1.2825765539962966];

  it('should correctly calculate MACD diffs with 12/26/9', function() {
    var macd = new MACD({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      macd.update(p);
      expect(macd.diff).to.equal(verified_macd12v26v9diff[i]);
    });
  });

  it('should correctly calculate MACD signals with 12/26/9', function() {
    var macd = new MACD({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      macd.update(p);
      expect(macd.signal.result).to.equal(verified_macd12v26v9signal[i]);
    });
  });

  it('should correctly calculate MACD results with 12/26/9', function() {
    var macd = new MACD({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      macd.update(p);
      expect(macd.result).to.equal(verified_macd12v26v9result[i]);
    });
  });

});

describe('indicators/PPO', function() {

  var PPO = require(INDICATOR_PATH + 'PPO');

  var verified_ppo12v26v9 = [0,-5.922297673383055,-5.204813152773915,-10.775104631720897,-13.901816018390623,-17.719369436924076,-14.22599518036208,-8.779001074074772,-3.7775327599722406,-11.79779911287454,-7.3650541223130555,-4.659894802610166,-3.0092688006197794,-10.268186733549467,-5.72296687408477,-3.714833010426942,-7.582596159036941,-6.295429716477546,-8.431243146403258,-14.906489369094212,-19.9673059077387,-21.968696242678835,-18.053100351760996,-19.745285752660987,-14.297565938958984,-11.143819939485432,-15.619787658403148,-6.481364924591247,-0.3633332042639952,3.9025254618963814,8.5325172756507,-0.3918493405267646,1.5323382353294481,-7.05563807597937,-10.289915270521151,-16.28333826120637,-6.14602662946988,-2.589345706109427,-9.383623293044062];
  var verified_ppo12v26v9signal = [0,-1.184459534676611,-1.9885302582960718,-3.745845132981037,-5.777039310062954,-8.16550533543518,-9.37760330442056,-9.257882858351403,-8.161812838675571,-8.889010093515365,-8.584218899274903,-7.799354079941956,-6.8413370240775215,-7.526706965971911,-7.165958947594484,-6.475733760160976,-6.697106239936169,-6.616770935244445,-6.979665377476208,-8.565030175799809,-10.845485322187589,-13.07012750628584,-14.066722075380872,-15.202434810836897,-15.021461036461314,-14.245932817066137,-14.52070378533354,-12.912836013185082,-10.402935451400865,-7.541843268741416,-4.3269711598629925,-3.539946795995747,-2.5254897897307083,-3.431519446980441,-4.8031986116885825,-7.099226541592141,-6.908586559167689,-6.044738388556036,-6.712515369453642];
  var verified_ppo12v26v9hist = [0,-4.737838138706444,-3.2162828944778434,-7.02925949873986,-8.12477670832767,-9.553864101488896,-4.84839187594152,0.47888178427663064,4.3842800787033305,-2.9087890193591743,1.2191647769618479,3.13945927733179,3.832068223457742,-2.7414797675775553,1.4429920735097133,2.760900749734034,-0.8854899191007712,0.32134121876689914,-1.4515777689270495,-6.341459193294403,-9.121820585551113,-8.898568736392996,-3.9863782763801243,-4.54285094182409,0.7238950975023304,3.102112877580705,-1.099083873069608,6.431471088593835,10.03960224713687,11.444368730637798,12.859488435513693,3.1480974554689825,4.057828025060156,-3.6241186289989296,-5.486716658832568,-9.18411171961423,0.762559929697809,3.455392682446609,-2.6711079235904203];

  it('should correctly calculate PPOs with 12/26/9', function() {
    var ppo = new PPO({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      ppo.update(p);
      expect(ppo.ppo).to.equal(verified_ppo12v26v9[i]);
    });
  });

  it('should correctly calculate PPO signals with 12/26/9', function() {
    var ppo = new PPO({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      ppo.update(p);
      expect(ppo.PPOsignal.result).to.equal(verified_ppo12v26v9signal[i]);
    });
  });


  it('should correctly calculate PPO hists with 12/26/9', function() {
    var ppo = new PPO({short: 12, long: 26, signal: 9});
    _.each(prices, function(p, i) {
      ppo.update(p);
      expect(ppo.PPOhist).to.equal(verified_ppo12v26v9hist[i]);
    });
  });
});

xdescribe('indicators/DEMA', function() {

  var DEMA = require(INDICATOR_PATH + 'DEMA');

  xit('should correctly calculate DEMAs', function() {
    // TODO!
  });


});