test__moving_average.py

from pyformance.stats.moving_average import ExpWeightedMovingAvg
from tests import TimedTestCase


class EWMATests(TimedTestCase):

    def test_one_minute_EWMA_five_sec_tick(self):
        self.ewma = ExpWeightedMovingAvg(1, clock=self.clock)

        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.22072766, 0.08120117, 0.02987224,
                              0.01098938, 0.00404277, 0.00148725,
                              0.00054713, 0.00020128, 0.00007405]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)

    def test_five_minute_EWMA_five_sec_tick(self):
        self.ewma = ExpWeightedMovingAvg(5, clock=self.clock)

        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.49123845, 0.40219203, 0.32928698,
                              0.26959738, 0.22072766, 0.18071653,
                              0.14795818, 0.12113791, 0.09917933]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)

    def test_fifteen_minute_EWMA_five_sec_tick(self):
        self.ewma = ExpWeightedMovingAvg(15, clock=self.clock)

        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.56130419, 0.52510399, 0.49123845,
                              0.45955700, 0.42991879, 0.40219203,
                              0.37625345, 0.35198773, 0.32928698]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)

    def test_one_minute_EWMA_one_minute_tick(self):
        self.ewma = ExpWeightedMovingAvg(1, 60, clock=self.clock)
        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.22072766, 0.08120117, 0.02987224,
                              0.01098938, 0.00404277, 0.00148725,
                              0.00054713, 0.00020128, 0.00007405]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)

    def test_five_minute_EWMA_one_minute_tick(self):
        self.ewma = ExpWeightedMovingAvg(5, 60, clock=self.clock)

        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.49123845, 0.40219203, 0.32928698,
                              0.26959738, 0.22072766, 0.18071653,
                              0.14795818, 0.12113791, 0.09917933]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)

    def test_fifteen_minute_EWMA_one_minute_tick(self):
        self.ewma = ExpWeightedMovingAvg(15, 60, clock=self.clock)

        self.ewma.add(3)
        self.clock.add(5)
        self.ewma.tick()

        for expected_rate in [0.6, 0.56130419, 0.52510399, 0.49123845,
                              0.45955700, 0.42991879, 0.40219203,
                              0.37625345, 0.35198773, 0.32928698]:
            self.assertAlmostEqual(self.ewma.get_rate(), expected_rate)
            self.clock.add(60)