195 lines
No EOL
7.4 KiB
TypeScript
195 lines
No EOL
7.4 KiB
TypeScript
import { TechnicalIndicators, IncrementalSMA, IncrementalEMA, IncrementalRSI } from '@stock-bot/core';
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import { TechnicalAnalysis, IncrementalIndicators, SignalGenerator } from '../src/indicators/TechnicalAnalysis';
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describe('Technical Analysis Library', () => {
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let ta: TechnicalAnalysis;
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let indicators: TechnicalIndicators;
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beforeEach(() => {
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ta = new TechnicalAnalysis();
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indicators = new TechnicalIndicators();
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});
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describe('Simple Moving Average', () => {
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it('should calculate SMA correctly', () => {
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const values = [10, 12, 13, 14, 15, 16, 17, 18, 19, 20];
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const sma = ta.sma(values, 5);
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expect(sma).toHaveLength(6); // 10 values - 5 period + 1
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expect(sma[0]).toBeCloseTo(12.8); // (10+12+13+14+15)/5
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expect(sma[5]).toBeCloseTo(18); // (16+17+18+19+20)/5
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});
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it('should handle incremental SMA updates', () => {
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const incSMA = new IncrementalSMA(3);
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expect(incSMA.update(10)).toBeNull();
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expect(incSMA.update(12)).toBeNull();
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expect(incSMA.update(14)).toBeCloseTo(12); // (10+12+14)/3
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expect(incSMA.update(16)).toBeCloseTo(14); // (12+14+16)/3
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expect(incSMA.current()).toBeCloseTo(14);
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});
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});
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describe('Exponential Moving Average', () => {
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it('should calculate EMA correctly', () => {
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const values = [10, 12, 13, 14, 15, 16, 17, 18, 19, 20];
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const ema = ta.ema(values, 5);
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expect(ema).toHaveLength(6);
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expect(ema[0]).toBeGreaterThan(0);
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expect(ema[ema.length - 1]).toBeGreaterThan(ema[0]);
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});
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});
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describe('RSI', () => {
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it('should calculate RSI correctly', () => {
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const values = [
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44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.10, 45.42,
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45.84, 46.08, 45.89, 46.03, 45.61, 46.28, 46.28, 46.00,
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46.03, 46.41, 46.22, 45.64
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];
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const rsi = ta.rsi(values, 14);
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expect(rsi).toHaveLength(7); // 20 values - 14 period + 1
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expect(rsi[rsi.length - 1]).toBeGreaterThan(0);
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expect(rsi[rsi.length - 1]).toBeLessThan(100);
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});
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it('should identify overbought/oversold conditions', () => {
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// Trending up values should give high RSI
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const uptrend = Array.from({ length: 20 }, (_, i) => 100 + i);
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const rsiUp = ta.rsi(uptrend, 14);
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expect(rsiUp[rsiUp.length - 1]).toBeGreaterThan(70);
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// Trending down values should give low RSI
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const downtrend = Array.from({ length: 20 }, (_, i) => 100 - i);
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const rsiDown = ta.rsi(downtrend, 14);
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expect(rsiDown[rsiDown.length - 1]).toBeLessThan(30);
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});
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});
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describe('MACD', () => {
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it('should calculate MACD components correctly', () => {
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const values = Array.from({ length: 50 }, (_, i) => 100 + Math.sin(i * 0.1) * 10);
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const macd = ta.macd(values);
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expect(macd.macd).toHaveLength(39); // 50 - 26 + 1 - 9 + 1
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expect(macd.signal).toHaveLength(39);
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expect(macd.histogram).toHaveLength(39);
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// Histogram should be the difference between MACD and signal
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expect(macd.histogram[0]).toBeCloseTo(macd.macd[0] - macd.signal[0]);
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});
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});
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describe('Bollinger Bands', () => {
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it('should calculate bands correctly', () => {
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const values = Array.from({ length: 30 }, (_, i) => 100 + Math.random() * 10);
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const bb = ta.bollingerBands(values, 20, 2);
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expect(bb.middle).toHaveLength(11); // 30 - 20 + 1
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expect(bb.upper).toHaveLength(11);
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expect(bb.lower).toHaveLength(11);
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// Upper should be above middle, lower should be below
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for (let i = 0; i < bb.middle.length; i++) {
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expect(bb.upper[i]).toBeGreaterThan(bb.middle[i]);
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expect(bb.lower[i]).toBeLessThan(bb.middle[i]);
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}
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});
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});
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describe('ATR', () => {
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it('should calculate ATR correctly', () => {
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const high = [48.70, 48.72, 48.90, 48.87, 48.82, 49.05, 49.20, 49.35, 49.92, 50.19];
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const low = [47.79, 48.14, 48.39, 48.37, 48.24, 48.64, 48.94, 48.86, 49.50, 49.87];
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const close = [48.16, 48.61, 48.75, 48.63, 48.74, 49.03, 49.07, 49.32, 49.91, 50.13];
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const atr = ta.atr(high, low, close, 5);
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expect(atr).toHaveLength(5); // 10 - 5 - 1 + 1
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expect(atr.every(v => v > 0)).toBe(true);
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});
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});
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describe('Stochastic', () => {
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it('should calculate Stochastic correctly', () => {
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const high = Array.from({ length: 20 }, () => Math.random() * 10 + 100);
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const low = Array.from({ length: 20 }, (_, i) => high[i] - Math.random() * 5);
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const close = Array.from({ length: 20 }, (_, i) => (high[i] + low[i]) / 2);
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const stoch = ta.stochastic(high, low, close, 14, 3, 3);
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expect(stoch.k.length).toBeGreaterThan(0);
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expect(stoch.d.length).toBeGreaterThan(0);
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// %K and %D should be between 0 and 100
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expect(stoch.k.every(v => v >= 0 && v <= 100)).toBe(true);
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expect(stoch.d.every(v => v >= 0 && v <= 100)).toBe(true);
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});
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});
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describe('Signal Generator', () => {
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it('should generate trading signals based on indicators', () => {
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const generator = new SignalGenerator();
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// Create synthetic price data
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const prices = {
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close: Array.from({ length: 50 }, (_, i) => 100 + Math.sin(i * 0.2) * 10),
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high: Array.from({ length: 50 }, (_, i) => 102 + Math.sin(i * 0.2) * 10),
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low: Array.from({ length: 50 }, (_, i) => 98 + Math.sin(i * 0.2) * 10),
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volume: Array.from({ length: 50 }, () => 1000000)
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};
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const signal = generator.generateSignals('TEST', prices, Date.now());
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expect(signal.symbol).toBe('TEST');
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expect(['BUY', 'SELL', 'HOLD']).toContain(signal.action);
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expect(signal.strength).toBeGreaterThanOrEqual(0);
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expect(signal.strength).toBeLessThanOrEqual(1);
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expect(signal.indicators).toBeDefined();
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expect(signal.reason).toBeDefined();
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});
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});
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describe('Incremental Indicators Manager', () => {
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it('should manage multiple incremental indicators', () => {
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const manager = new IncrementalIndicators();
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manager.createSMA('fast', 10);
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manager.createSMA('slow', 20);
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manager.createRSI('rsi', 14);
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// Update all indicators with same value
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for (let i = 0; i < 25; i++) {
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const value = 100 + i;
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manager.update('fast', value);
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manager.update('slow', value);
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manager.update('rsi', value);
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}
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expect(manager.current('fast')).toBeDefined();
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expect(manager.current('slow')).toBeDefined();
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expect(manager.current('rsi')).toBeDefined();
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// RSI should be high for uptrending values
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const rsiValue = manager.current('rsi');
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expect(rsiValue).toBeGreaterThan(70);
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});
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});
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describe('Crossover Detection', () => {
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it('should detect crossovers correctly', () => {
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const series1 = [10, 11, 12, 13, 14];
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const series2 = [12, 12, 12, 12, 12];
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expect(TechnicalAnalysis.crossover(series1, series2)).toBe(true);
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expect(TechnicalAnalysis.crossunder(series2, series1)).toBe(true);
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const series3 = [15, 14, 13, 12, 11];
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expect(TechnicalAnalysis.crossunder(series3, series2)).toBe(true);
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expect(TechnicalAnalysis.crossover(series2, series3)).toBe(true);
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});
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});
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}); |