89 lines
2.2 KiB
Go
89 lines
2.2 KiB
Go
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package strategy
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import (
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"github.com/markcheno/go-talib"
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"github.com/shopspring/decimal"
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"math"
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"testing"
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)
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func dv(v float64) decimal.Decimal { return decimal.NewFromFloat(v) }
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func genPrices(n int) []float64 {
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out := make([]float64, n)
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base := 10.0
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for i := 0; i < n; i++ {
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out[i] = base + float64(i)*0.5 + math.Sin(float64(i)/3.0)*0.7
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}
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return out
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}
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func almostEqualDecFloat(dec decimal.Decimal, f float64, tol float64) bool {
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df, _ := dec.Float64()
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return math.Abs(df-f) <= tol
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}
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// 注意：使用 NewEMAForTalib(period)（First-Price seed）來比對 TA-Lib
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func TestEMA_MatchesGoTalib(t *testing.T) {
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prices := genPrices(300)
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tol := 1e-7 // decimal<->float64 轉換微誤差
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periods := []uint{3, 5, 12, 26}
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for _, p := range periods {
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t.Run("EMA_p="+decimal.NewFromInt(int64(p)).String(), func(t *testing.T) {
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ema := NewEMA(p) // 重點：用 TA-Lib 兼容 seed
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our := make([]decimal.Decimal, len(prices))
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ready := make([]bool, len(prices))
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for i, px := range prices {
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out := ema.Update(dv(px))
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our[i] = out.Value
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ready[i] = out.Ready
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}
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ref := talib.Ema(prices, int(p))
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start := p // talib 第一個有效值在 index = period-1
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for i := start; i < uint(len(prices)); i++ {
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if !ready[i] {
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t.Fatalf("i=%d: our not ready but talib has value", i)
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}
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if !almostEqualDecFloat(our[i], ref[i], tol) {
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t.Fatalf("i=%d: EMA mismatch: our=%s ref=%f", i, our[i], ref[i])
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}
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}
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})
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}
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}
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func TestSMA_MatchesGoTalib(t *testing.T) {
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prices := genPrices(300)
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tol := 1e-9
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windows := []uint{3, 5, 20, 50}
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for _, w := range windows {
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t.Run("SMA_w="+decimal.NewFromInt(int64(w)).String(), func(t *testing.T) {
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sma := NewSMA(w)
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our := make([]decimal.Decimal, len(prices))
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ready := make([]bool, len(prices))
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for i, px := range prices {
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out := sma.Update(dv(px))
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our[i] = out.Value
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ready[i] = out.Ready
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}
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ref := talib.Sma(prices, int(w))
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start := w
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for i := start; i < uint(len(prices)); i++ {
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if !ready[i] {
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t.Fatalf("i=%d: our not ready but talib has value", i)
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}
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if !almostEqualDecFloat(our[i], ref[i], tol) {
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t.Fatalf("i=%d: SMA mismatch: our=%s ref=%f", i, our[i], ref[i])
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}
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}
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})
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}
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}
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