docs: remove C# Implementation Considerations sections, clean up temp scripts, reorganize test files

- Remove 'C# Implementation Considerations' sections from 34 indicator .md files
- Delete 29 temp PowerShell scripts (_fix_mojibake.ps1, _hex_scan.ps1, etc.)
- Move test files into tests/ subdirectories for consistent project structure
- Add trader-focused bullet points to indicator documentation
This commit is contained in:
Miha Kralj
2026-03-12 12:34:16 -07:00
parent 8937b0c0fa
commit 060649192f
1149 changed files with 1780 additions and 3316 deletions
@@ -0,0 +1,218 @@
using TradingPlatform.BusinessLayer;
using Xunit;
namespace QuanTAlib.Tests;
public class AberrQuantowerTests
{
[Fact]
public void Constructor_SetsDefaults()
{
var indicator = new AberrIndicator();
Assert.Equal(20, indicator.Period);
Assert.Equal(2.0, indicator.Multiplier);
Assert.Equal(SourceType.Close, indicator.Source);
Assert.True(indicator.ShowColdValues);
Assert.Equal("ABERR - Aberration Bands", indicator.Name);
Assert.False(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void MinHistoryDepths_MatchesPeriod()
{
var indicator = new AberrIndicator { Period = 25 };
Assert.Equal(25, indicator.MinHistoryDepths);
}
[Fact]
public void ShortName_IncludesParameters()
{
var indicator = new AberrIndicator { Period = 15, Multiplier = 1.5 };
Assert.Contains("15", indicator.ShortName, StringComparison.Ordinal);
Assert.Contains("1.5", indicator.ShortName, StringComparison.Ordinal);
}
[Fact]
public void Initialize_CreatesThreeLineSeries()
{
var indicator = new AberrIndicator { Period = 14 };
indicator.Initialize();
Assert.Equal(3, indicator.LinesSeries.Count);
Assert.Equal("Middle", indicator.LinesSeries[0].Name);
Assert.Equal("Upper", indicator.LinesSeries[1].Name);
Assert.Equal("Lower", indicator.LinesSeries[2].Name);
}
[Fact]
public void ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new AberrIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
Assert.Equal(1, indicator.LinesSeries[0].Count);
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
Assert.True(double.IsFinite(indicator.LinesSeries[1].GetValue(0)));
Assert.True(double.IsFinite(indicator.LinesSeries[2].GetValue(0)));
}
[Fact]
public void ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new AberrIndicator { Period = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new AberrIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void ProcessUpdate_EmptyData_HandlesGracefully()
{
var indicator = new AberrIndicator { Period = 5 };
indicator.Initialize();
var args = new UpdateArgs(UpdateReason.NewBar);
var exception = Record.Exception(() => indicator.ProcessUpdate(args));
Assert.Null(exception);
}
[Fact]
public void MultipleUpdates_ProducesCorrectSequence()
{
var indicator = new AberrIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i);
indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
Assert.Equal(10, indicator.LinesSeries[0].Count);
Assert.Equal(10, indicator.LinesSeries[1].Count);
Assert.Equal(10, indicator.LinesSeries[2].Count);
// All values should be finite
for (int i = 0; i < 10; i++)
{
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(i)));
Assert.True(double.IsFinite(indicator.LinesSeries[1].GetValue(i)));
Assert.True(double.IsFinite(indicator.LinesSeries[2].GetValue(i)));
}
}
[Fact]
public void BandRelationship_UpperAboveLowerBelowMiddle()
{
var indicator = new AberrIndicator { Period = 5, Multiplier = 2.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Use varying prices to create volatility
var prices = new[] { 100, 105, 98, 110, 95, 115, 92, 118, 90, 120 };
for (int i = 0; i < prices.Length; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), prices[i], prices[i] + 5, prices[i] - 3, prices[i] + 2, 1000);
indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
// After warmup, upper >= middle >= lower (when there is volatility)
double middle = indicator.LinesSeries[0].GetValue(0);
double upper = indicator.LinesSeries[1].GetValue(0);
double lower = indicator.LinesSeries[2].GetValue(0);
Assert.True(upper >= middle, $"Upper ({upper}) should be >= Middle ({middle})");
Assert.True(lower <= middle, $"Lower ({lower}) should be <= Middle ({middle})");
}
[Fact]
public void Multiplier_AffectsBandWidth()
{
var now = DateTime.UtcNow;
// Use varying prices to create volatility
var prices = new[] { 100, 105, 98, 110, 95, 115, 92, 118, 90, 120 };
// Narrow bands with multiplier 1.0
var narrowIndicator = new AberrIndicator { Period = 5, Multiplier = 1.0 };
narrowIndicator.Initialize();
// Wide bands with multiplier 3.0
var wideIndicator = new AberrIndicator { Period = 5, Multiplier = 3.0 };
wideIndicator.Initialize();
for (int i = 0; i < prices.Length; i++)
{
narrowIndicator.HistoricalData.AddBar(now.AddMinutes(i), prices[i], prices[i] + 5, prices[i] - 3, prices[i] + 2, 1000);
narrowIndicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
wideIndicator.HistoricalData.AddBar(now.AddMinutes(i), prices[i], prices[i] + 5, prices[i] - 3, prices[i] + 2, 1000);
wideIndicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
}
double narrowWidth = narrowIndicator.LinesSeries[1].GetValue(0) - narrowIndicator.LinesSeries[2].GetValue(0);
double wideWidth = wideIndicator.LinesSeries[1].GetValue(0) - wideIndicator.LinesSeries[2].GetValue(0);
Assert.True(wideWidth > narrowWidth, $"Wide bands ({wideWidth}) should be wider than narrow bands ({narrowWidth})");
}
[Fact]
public void SourceType_CanBeChanged()
{
var indicator = new AberrIndicator { Source = SourceType.Close };
Assert.Equal(SourceType.Close, indicator.Source);
indicator.Source = SourceType.HLC3;
Assert.Equal(SourceType.HLC3, indicator.Source);
}
[Fact]
public void ShowColdValues_CanBeToggled()
{
var indicator = new AberrIndicator { ShowColdValues = true };
Assert.True(indicator.ShowColdValues);
indicator.ShowColdValues = false;
Assert.False(indicator.ShowColdValues);
}
[Fact]
public void SourceCodeLink_IsValid()
{
var indicator = new AberrIndicator();
Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.OrdinalIgnoreCase);
Assert.Contains("Aberr.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
}
}
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namespace QuanTAlib.Tests;
public class AberrTests
{
[Fact]
public void Aberr_Constructor_ValidatesInput()
{
// Period validation
Assert.Throws<ArgumentOutOfRangeException>(() => new Aberr(0));
Assert.Throws<ArgumentOutOfRangeException>(() => new Aberr(-1));
// Multiplier validation
Assert.Throws<ArgumentOutOfRangeException>(() => new Aberr(10, 0));
Assert.Throws<ArgumentOutOfRangeException>(() => new Aberr(10, -1));
// Valid construction
var aberr = new Aberr(10);
Assert.NotNull(aberr);
var aberr2 = new Aberr(20, 3.0);
Assert.NotNull(aberr2);
}
[Fact]
public void Aberr_Calc_ReturnsValue()
{
var aberr = new Aberr(10);
Assert.Equal(0, aberr.Last.Value);
Assert.Equal(0, aberr.Upper.Value);
Assert.Equal(0, aberr.Lower.Value);
TValue result = aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(double.IsFinite(result.Value));
Assert.Equal(result.Value, aberr.Last.Value);
Assert.True(double.IsFinite(aberr.Upper.Value));
Assert.True(double.IsFinite(aberr.Lower.Value));
}
[Fact]
public void Aberr_FirstValue_ReturnsExpected()
{
var aberr = new Aberr(10);
// First value: source = 100
// SMA(1) = 100, Deviation = |100 - 100| = 0, AvgDeviation = 0
// Middle = 100, Upper = 100 + 0 = 100, Lower = 100 - 0 = 100
aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100.0, aberr.Last.Value, 1e-10);
Assert.Equal(100.0, aberr.Upper.Value, 1e-10);
Assert.Equal(100.0, aberr.Lower.Value, 1e-10);
}
[Fact]
public void Aberr_Calc_IsNew_AcceptsParameter()
{
var aberr = new Aberr(10);
aberr.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
double value1 = aberr.Last.Value;
aberr.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
double value2 = aberr.Last.Value;
// Values should change with new data
Assert.NotEqual(value1, value2);
}
[Fact]
public void Aberr_Calc_IsNew_False_UpdatesValue()
{
var aberr = new Aberr(10);
aberr.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
aberr.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
double beforeUpdate = aberr.Last.Value;
aberr.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
double afterUpdate = aberr.Last.Value;
// Update should change the value
Assert.NotEqual(beforeUpdate, afterUpdate);
}
[Fact]
public void Aberr_Reset_ClearsState()
{
var aberr = new Aberr(10);
aberr.Update(new TValue(DateTime.UtcNow, 100));
aberr.Update(new TValue(DateTime.UtcNow, 105));
double middleBefore = aberr.Last.Value;
aberr.Reset();
Assert.Equal(0, aberr.Last.Value);
Assert.Equal(0, aberr.Upper.Value);
Assert.Equal(0, aberr.Lower.Value);
Assert.False(aberr.IsHot);
// After reset, should accept new values
aberr.Update(new TValue(DateTime.UtcNow, 50));
Assert.NotEqual(0, aberr.Last.Value);
Assert.NotEqual(middleBefore, aberr.Last.Value);
}
[Fact]
public void Aberr_Properties_Accessible()
{
var aberr = new Aberr(10, 2.5);
Assert.Equal(0, aberr.Last.Value);
Assert.False(aberr.IsHot);
Assert.Contains("Aberr", aberr.Name, StringComparison.Ordinal);
Assert.Equal(10, aberr.WarmupPeriod);
aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.NotEqual(0, aberr.Last.Value);
}
[Fact]
public void Aberr_IsHot_BecomesTrueWhenBufferFull()
{
var aberr = new Aberr(5);
Assert.False(aberr.IsHot);
for (int i = 1; i <= 4; i++)
{
aberr.Update(new TValue(DateTime.UtcNow, 100 + i));
Assert.False(aberr.IsHot);
}
aberr.Update(new TValue(DateTime.UtcNow, 105));
Assert.True(aberr.IsHot);
}
[Fact]
public void Aberr_CalculatesCorrectBands()
{
var aberr = new Aberr(3, 2.0);
// Bar 1: source = 100
// SMA = 100, Deviation = |100-100| = 0, AvgDev = 0
aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100.0, aberr.Last.Value, 1e-10);
// Bar 2: source = 110
// SMA(2) = (100+110)/2 = 105
// Dev1 = 0, Dev2 = |110 - 105| = 5 (same-bar SMA)
// AvgDev = (0+5)/2 = 2.5
// Upper = 105 + 2*2.5 = 110, Lower = 105 - 2*2.5 = 100
aberr.Update(new TValue(DateTime.UtcNow, 110));
Assert.Equal(105.0, aberr.Last.Value, 1e-10);
// Bar 3: source = 120
// SMA(3) = (100+110+120)/3 = 110
// Dev3 = |120 - 110| = 10 (same-bar SMA)
// AvgDev = (0+5+10)/3 = 5.0
// Upper = 110 + 2*5 = 120, Lower = 110 - 2*5 = 100
aberr.Update(new TValue(DateTime.UtcNow, 120));
Assert.Equal(110.0, aberr.Last.Value, 1e-10);
Assert.Equal(120.0, aberr.Upper.Value, 1e-10);
Assert.Equal(100.0, aberr.Lower.Value, 1e-10);
}
[Fact]
public void Aberr_SlidingWindow_Works()
{
var aberr = new Aberr(3, 2.0);
// Feed initial values
aberr.Update(new TValue(DateTime.UtcNow, 100));
aberr.Update(new TValue(DateTime.UtcNow, 110));
aberr.Update(new TValue(DateTime.UtcNow, 120));
double middle1 = aberr.Last.Value;
// Add another value - window slides
aberr.Update(new TValue(DateTime.UtcNow, 130));
// SMA(3) should now be (110+120+130)/3 = 120
Assert.NotEqual(middle1, aberr.Last.Value);
Assert.Equal(120.0, aberr.Last.Value, 1e-10);
}
[Fact]
public void Aberr_IterativeCorrections_RestoreToOriginalState()
{
var aberr = new Aberr(5);
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
// Feed 10 new values
TValue tenthInput = default;
for (int i = 0; i < 10; i++)
{
var bar = gbm.Next(isNew: true);
tenthInput = new TValue(bar.Time, bar.Close);
aberr.Update(tenthInput, isNew: true);
}
// Remember state after 10 values
double middleAfterTen = aberr.Last.Value;
double upperAfterTen = aberr.Upper.Value;
double lowerAfterTen = aberr.Lower.Value;
// Generate 9 corrections with isNew=false (different values)
for (int i = 0; i < 9; i++)
{
var bar = gbm.Next(isNew: false);
aberr.Update(new TValue(bar.Time, bar.Close), isNew: false);
}
// Feed the remembered 10th input again with isNew=false
aberr.Update(tenthInput, isNew: false);
// State should match the original state after 10 values
Assert.Equal(middleAfterTen, aberr.Last.Value, 1e-10);
Assert.Equal(upperAfterTen, aberr.Upper.Value, 1e-10);
Assert.Equal(lowerAfterTen, aberr.Lower.Value, 1e-10);
}
[Fact]
public void Aberr_BatchCalc_MatchesIterativeCalc()
{
var aberrIterative = new Aberr(10);
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
// Generate data
var series = new TSeries();
for (int i = 0; i < 100; i++)
{
var bar = gbm.Next(isNew: true);
series.Add(bar.Time, bar.Close);
}
Assert.True(series.Count > 0);
// Calculate iteratively
var iterativeMiddle = new List<double>();
var iterativeUpper = new List<double>();
var iterativeLower = new List<double>();
foreach (var item in series)
{
aberrIterative.Update(item);
iterativeMiddle.Add(aberrIterative.Last.Value);
iterativeUpper.Add(aberrIterative.Upper.Value);
iterativeLower.Add(aberrIterative.Lower.Value);
}
// Calculate batch
var aberrBatch = new Aberr(10);
var (batchMiddle, batchUpper, batchLower) = aberrBatch.Update(series);
// Compare
Assert.Equal(iterativeMiddle.Count, batchMiddle.Count);
for (int i = 0; i < iterativeMiddle.Count; i++)
{
Assert.Equal(iterativeMiddle[i], batchMiddle[i].Value, 1e-10);
Assert.Equal(iterativeUpper[i], batchUpper[i].Value, 1e-10);
Assert.Equal(iterativeLower[i], batchLower[i].Value, 1e-10);
}
}
[Fact]
public void Aberr_NaN_Input_UsesLastValidValue()
{
var aberr = new Aberr(5);
// Feed some valid values
aberr.Update(new TValue(DateTime.UtcNow, 100));
aberr.Update(new TValue(DateTime.UtcNow, 105));
// Feed NaN - should use last valid value
var resultAfterNaN = aberr.Update(new TValue(DateTime.UtcNow, double.NaN));
// Result should be finite (not NaN)
Assert.True(double.IsFinite(resultAfterNaN.Value));
Assert.True(double.IsFinite(aberr.Upper.Value));
Assert.True(double.IsFinite(aberr.Lower.Value));
}
[Fact]
public void Aberr_Infinity_Input_UsesLastValidValue()
{
var aberr = new Aberr(5);
// Feed some valid values
aberr.Update(new TValue(DateTime.UtcNow, 100));
aberr.Update(new TValue(DateTime.UtcNow, 105));
// Feed positive infinity
var resultAfterPosInf = aberr.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
Assert.True(double.IsFinite(resultAfterPosInf.Value));
Assert.True(double.IsFinite(aberr.Upper.Value));
Assert.True(double.IsFinite(aberr.Lower.Value));
// Feed negative infinity
var resultAfterNegInf = aberr.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
Assert.True(double.IsFinite(resultAfterNegInf.Value));
Assert.True(double.IsFinite(aberr.Upper.Value));
Assert.True(double.IsFinite(aberr.Lower.Value));
}
[Fact]
public void Aberr_MultipleNaN_ContinuesWithLastValid()
{
var aberr = new Aberr(5);
// Feed valid values
aberr.Update(new TValue(DateTime.UtcNow, 100));
aberr.Update(new TValue(DateTime.UtcNow, 105));
aberr.Update(new TValue(DateTime.UtcNow, 110));
// Feed multiple NaN values
var r1 = aberr.Update(new TValue(DateTime.UtcNow, double.NaN));
var r2 = aberr.Update(new TValue(DateTime.UtcNow, double.NaN));
var r3 = aberr.Update(new TValue(DateTime.UtcNow, double.NaN));
// All results should be finite
Assert.True(double.IsFinite(r1.Value));
Assert.True(double.IsFinite(r2.Value));
Assert.True(double.IsFinite(r3.Value));
}
[Fact]
public void Aberr_StaticBatch_Works()
{
var series = new TSeries();
series.Add(DateTime.UtcNow, 100);
series.Add(DateTime.UtcNow, 110);
series.Add(DateTime.UtcNow, 120);
series.Add(DateTime.UtcNow, 130);
series.Add(DateTime.UtcNow, 140);
var (middle, upper, lower) = Aberr.Batch(series, 3);
Assert.Equal(5, middle.Count);
Assert.Equal(5, upper.Count);
Assert.Equal(5, lower.Count);
// All values should be finite
for (int i = 0; i < 5; i++)
{
Assert.True(double.IsFinite(middle[i].Value));
Assert.True(double.IsFinite(upper[i].Value));
Assert.True(double.IsFinite(lower[i].Value));
}
}
[Fact]
public void Aberr_Period1_ReturnsDirectCalculation()
{
var aberr = new Aberr(1);
// Single value: SMA(1) = 100, Deviation = 0
aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100.0, aberr.Last.Value, 1e-10);
Assert.Equal(100.0, aberr.Upper.Value, 1e-10);
Assert.Equal(100.0, aberr.Lower.Value, 1e-10);
// Next value: SMA(1) = 110, Deviation from previous SMA = |110 - 100| = 10
// But with period 1, the old value drops out, so AvgDev = |110 - 110| = 0?
// Actually deviation is calculated BEFORE adding to buffer
// When 110 comes in, SMA is still 100, so Dev = |110 - 100| = 10
// Then buffer updates to just [110], so SMA = 110, AvgDev = 10
aberr.Update(new TValue(DateTime.UtcNow, 110));
Assert.Equal(110.0, aberr.Last.Value, 1e-10);
}
// ============== Span API Tests ==============
[Fact]
public void Aberr_SpanBatch_ValidatesInput()
{
double[] source = [100, 110, 120];
double[] middle = new double[3];
double[] upper = new double[3];
double[] lower = new double[3];
// Period must be > 0
Assert.Throws<ArgumentOutOfRangeException>(() =>
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 0));
Assert.Throws<ArgumentOutOfRangeException>(() =>
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), -1));
// Multiplier must be > 0
Assert.Throws<ArgumentOutOfRangeException>(() =>
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3, 0));
Assert.Throws<ArgumentOutOfRangeException>(() =>
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3, -1));
// Output buffers must be same length as input
double[] shortOutput = new double[2];
Assert.Throws<ArgumentException>(() =>
Aberr.Batch(source.AsSpan(), shortOutput.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3));
}
[Fact]
public void Aberr_SpanBatch_MatchesTSeriesBatch()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
var series = new TSeries();
double[] source = new double[100];
for (int i = 0; i < 100; i++)
{
var bar = gbm.Next(isNew: true);
series.Add(bar.Time, bar.Close);
source[i] = bar.Close;
}
// Calculate with TSeries API
var (tseriesMiddle, tseriesUpper, tseriesLower) = Aberr.Batch(series, 10);
// Calculate with Span API
double[] spanMiddle = new double[100];
double[] spanUpper = new double[100];
double[] spanLower = new double[100];
Aberr.Batch(source.AsSpan(), spanMiddle.AsSpan(), spanUpper.AsSpan(), spanLower.AsSpan(), 10);
// Compare results
for (int i = 0; i < 100; i++)
{
Assert.Equal(tseriesMiddle[i].Value, spanMiddle[i], 1e-10);
Assert.Equal(tseriesUpper[i].Value, spanUpper[i], 1e-10);
Assert.Equal(tseriesLower[i].Value, spanLower[i], 1e-10);
}
}
[Fact]
public void Aberr_SpanBatch_ZeroAllocation()
{
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
double[] source = new double[10000];
double[] middle = new double[10000];
double[] upper = new double[10000];
double[] lower = new double[10000];
for (int i = 0; i < source.Length; i++)
{
source[i] = gbm.Next().Close;
}
// Warm up
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 100);
// Verify method completes without OOM or stack overflow
Assert.True(double.IsFinite(middle[^1]));
Assert.True(double.IsFinite(upper[^1]));
Assert.True(double.IsFinite(lower[^1]));
}
[Fact]
public void Aberr_SpanBatch_HandlesNaN()
{
double[] source = [100, 110, double.NaN, 130, 140];
double[] middle = new double[5];
double[] upper = new double[5];
double[] lower = new double[5];
Aberr.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3);
// All outputs should be finite
for (int i = 0; i < 5; i++)
{
Assert.True(double.IsFinite(middle[i]), $"Middle[{i}] expected finite but got {middle[i]}");
Assert.True(double.IsFinite(upper[i]), $"Upper[{i}] expected finite but got {upper[i]}");
Assert.True(double.IsFinite(lower[i]), $"Lower[{i}] expected finite but got {lower[i]}");
}
}
[Fact]
public void Aberr_AllModes_ProduceSameResult()
{
// Arrange
const int period = 10;
double multiplier = 2.0;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var series = bars.Close;
// 1. Batch Mode
var (batchMiddle, batchUpper, batchLower) = Aberr.Batch(series, period, multiplier);
double expectedMiddle = batchMiddle.Last.Value;
double expectedUpper = batchUpper.Last.Value;
double expectedLower = batchLower.Last.Value;
// 2. Span Mode
double[] source = series.Values.ToArray();
double[] spanMiddle = new double[series.Count];
double[] spanUpper = new double[series.Count];
double[] spanLower = new double[series.Count];
Aberr.Batch(source.AsSpan(), spanMiddle.AsSpan(), spanUpper.AsSpan(), spanLower.AsSpan(), period, multiplier);
// 3. Streaming Mode
var streamingInd = new Aberr(period, multiplier);
foreach (var item in series)
{
streamingInd.Update(item);
}
double streamingMiddle = streamingInd.Last.Value;
double streamingUpper = streamingInd.Upper.Value;
double streamingLower = streamingInd.Lower.Value;
// 4. Eventing Mode
var pubSource = new TSeries();
var eventingInd = new Aberr(pubSource, period, multiplier);
foreach (var item in series)
{
pubSource.Add(item);
}
double eventingMiddle = eventingInd.Last.Value;
double eventingUpper = eventingInd.Upper.Value;
double eventingLower = eventingInd.Lower.Value;
// Assert
Assert.Equal(expectedMiddle, spanMiddle[^1], precision: 9);
Assert.Equal(expectedUpper, spanUpper[^1], precision: 9);
Assert.Equal(expectedLower, spanLower[^1], precision: 9);
Assert.Equal(expectedMiddle, streamingMiddle, precision: 9);
Assert.Equal(expectedUpper, streamingUpper, precision: 9);
Assert.Equal(expectedLower, streamingLower, precision: 9);
Assert.Equal(expectedMiddle, eventingMiddle, precision: 9);
Assert.Equal(expectedUpper, eventingUpper, precision: 9);
Assert.Equal(expectedLower, eventingLower, precision: 9);
}
[Fact]
public void Aberr_Chainability_Works()
{
var source = new TSeries();
var aberr = new Aberr(source, 10);
source.Add(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100, aberr.Last.Value);
}
[Fact]
public void Aberr_WarmupPeriod_IsSetCorrectly()
{
var aberr = new Aberr(10);
Assert.Equal(10, aberr.WarmupPeriod);
}
[Fact]
public void Aberr_Prime_SetsStateCorrectly()
{
var aberr = new Aberr(3, 2.0);
var series = new TSeries();
// Add 5 values
series.Add(DateTime.UtcNow, 100);
series.Add(DateTime.UtcNow, 110);
series.Add(DateTime.UtcNow, 120);
series.Add(DateTime.UtcNow, 130);
series.Add(DateTime.UtcNow, 140);
aberr.Prime(series);
Assert.True(aberr.IsHot);
// Last 3 values: 120, 130, 140 -> SMA = 130
Assert.Equal(130.0, aberr.Last.Value, 1e-10);
// Verify it continues correctly
aberr.Update(new TValue(DateTime.UtcNow, 150));
// New window: 130, 140, 150 -> SMA = 140
Assert.Equal(140.0, aberr.Last.Value, 1e-10);
}
[Fact]
public void Aberr_Calculate_ReturnsCorrectResultsAndHotIndicator()
{
var series = new TSeries();
series.Add(DateTime.UtcNow, 100);
series.Add(DateTime.UtcNow, 110);
series.Add(DateTime.UtcNow, 120);
series.Add(DateTime.UtcNow, 130);
series.Add(DateTime.UtcNow, 140);
var ((middle, upper, lower), indicator) = Aberr.Calculate(series, 3, 2.0);
// Check results
Assert.Equal(5, middle.Count);
Assert.Equal(5, upper.Count);
Assert.Equal(5, lower.Count);
// Check indicator state
Assert.True(indicator.IsHot);
Assert.Equal(130.0, indicator.Last.Value, 1e-10);
Assert.Equal(3, indicator.WarmupPeriod);
// Verify indicator continues correctly
indicator.Update(new TValue(DateTime.UtcNow, 150));
Assert.Equal(140.0, indicator.Last.Value, 1e-10);
}
[Fact]
public void Aberr_DifferentMultipliers_Work()
{
var series = new TSeries();
for (int i = 0; i < 10; i++)
{
series.Add(DateTime.UtcNow, 100 + i * 10); // 100, 110, 120, ...
}
// Multiplier 1.0
var (middle1, upper1, _) = Aberr.Batch(series, 5, 1.0);
// Multiplier 3.0
var (middle3, upper3, _) = Aberr.Batch(series, 5, 3.0);
// Middle should be the same for all multipliers
Assert.Equal(middle1.Last.Value, middle3.Last.Value, 1e-10);
// Band width should scale with multiplier
double bandWidth1 = upper1.Last.Value - middle1.Last.Value;
double bandWidth3 = upper3.Last.Value - middle3.Last.Value;
Assert.Equal(bandWidth1 * 3.0, bandWidth3, 1e-10);
}
[Fact]
public void Aberr_FlatLine_ReturnsSameValues()
{
var aberr = new Aberr(10);
for (int i = 0; i < 20; i++)
{
aberr.Update(new TValue(DateTime.UtcNow, 100));
}
// When all values are the same, SMA = 100, all deviations = 0
Assert.Equal(100.0, aberr.Last.Value, 1e-10);
Assert.Equal(100.0, aberr.Upper.Value, 1e-10);
Assert.Equal(100.0, aberr.Lower.Value, 1e-10);
}
[Fact]
public void Aberr_Pub_EventFires()
{
var aberr = new Aberr(10);
bool eventFired = false;
aberr.Pub += (object? _, in TValueEventArgs _) => eventFired = true;
aberr.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(eventFired);
}
[Fact]
public void Aberr_BandsAreSymmetric()
{
var aberr = new Aberr(10, 2.0);
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
for (int i = 0; i < 50; i++)
{
var bar = gbm.Next(isNew: true);
aberr.Update(new TValue(bar.Time, bar.Close));
}
// Upper - Middle should equal Middle - Lower
double upperDiff = aberr.Upper.Value - aberr.Last.Value;
double lowerDiff = aberr.Last.Value - aberr.Lower.Value;
Assert.Equal(upperDiff, lowerDiff, 1e-10);
}
}
@@ -0,0 +1,424 @@
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
/// <summary>
/// Validation tests for Aberr indicator.
/// Note: Skender.Stock.Indicators, TA-Lib, Tulip, and OoplesFinance do not provide
/// Aberr (Aberration Bands) implementation for cross-validation. These tests validate
/// against manual calculations and internal consistency across all API modes.
/// </summary>
public sealed class AberrValidationTests(ITestOutputHelper output) : IDisposable
{
private readonly ValidationTestData _testData = new();
private bool _disposed;
public void Dispose()
{
Dispose(true);
}
private void Dispose(bool disposing)
{
if (_disposed)
{
return;
}
_disposed = true;
if (disposing)
{
_testData?.Dispose();
}
}
[Fact]
public void Validate_ManualCalculation_Period3()
{
// Manual calculation verification (same-bar SMA deviation)
// Values: [100, 110, 120]
// Bar 1: SMA=100, Dev=|100-100|=0, AvgDev=0
// Bar 2: SMA=(100+110)/2=105, Dev2=|110-105|=5, AvgDev=(0+5)/2=2.5
// Bar 3: SMA=(100+110+120)/3=110, Dev3=|120-110|=10, AvgDev=(0+5+10)/3=5.0
var series = new TSeries();
var time = DateTime.UtcNow;
series.Add(new TValue(time, 100));
series.Add(new TValue(time.AddMinutes(1), 110));
series.Add(new TValue(time.AddMinutes(2), 120));
var aberr = new Aberr(3, 2.0);
var (middle, upper, lower) = aberr.Update(series);
// SMA(3) = 110
Assert.Equal(110.0, middle.Last.Value, 1e-10);
// AvgDev = (0 + 5 + 10) / 3 = 5.0
const double expectedAvgDev = 5.0;
double expectedBandWidth = 2.0 * expectedAvgDev;
Assert.Equal(110.0 + expectedBandWidth, upper.Last.Value, 1e-10);
Assert.Equal(110.0 - expectedBandWidth, lower.Last.Value, 1e-10);
output.WriteLine("Aberr manual calculation (period 3) validated successfully");
}
[Fact]
public void Validate_ManualCalculation_Period5()
{
// Manual calculation verification with period 5
// Use simple arithmetic sequence: 100, 110, 120, 130, 140
var series = new TSeries();
var time = DateTime.UtcNow;
double[] values = [100, 110, 120, 130, 140];
for (int i = 0; i < values.Length; i++)
{
series.Add(new TValue(time.AddMinutes(i), values[i]));
}
var aberr = new Aberr(5, 2.0);
var (middle, _, _) = aberr.Update(series);
// SMA(5) = (100 + 110 + 120 + 130 + 140) / 5 = 120
Assert.Equal(120.0, middle.Last.Value, 1e-10);
output.WriteLine("Aberr manual calculation (period 5) validated successfully");
}
[Fact]
public void Validate_Multiplier_Effect()
{
// Verify multiplier affects band width correctly
var series = new TSeries();
var time = DateTime.UtcNow;
for (int i = 0; i < 20; i++)
{
// Oscillating values to create deviation
double value = 100 + (i % 2 == 0 ? 10 : -10);
series.Add(new TValue(time.AddMinutes(i), value));
}
var (middle1, upper1, _) = Aberr.Batch(series, 10, 1.0);
var (middle2, upper2, _) = Aberr.Batch(series, 10, 2.0);
var (middle3, upper3, _) = Aberr.Batch(series, 10, 3.0);
// Middle should be the same regardless of multiplier
Assert.Equal(middle1.Last.Value, middle2.Last.Value, 1e-10);
Assert.Equal(middle2.Last.Value, middle3.Last.Value, 1e-10);
// Band widths should scale linearly with multiplier
double bw1 = upper1.Last.Value - middle1.Last.Value;
double bw2 = upper2.Last.Value - middle2.Last.Value;
double bw3 = upper3.Last.Value - middle3.Last.Value;
Assert.Equal(bw1 * 2.0, bw2, 1e-10);
Assert.Equal(bw1 * 3.0, bw3, 1e-10);
output.WriteLine("Aberr multiplier effect validated successfully");
}
[Fact]
public void Validate_AllModes_Consistency_Batch()
{
int[] periods = [5, 10, 20, 50, 100];
foreach (var period in periods)
{
// Batch mode using instance
var aberr = new Aberr(period, 2.0);
var (qMiddle, qUpper, qLower) = aberr.Update(_testData.Data);
// Static batch
var (sMiddle, sUpper, sLower) = Aberr.Batch(_testData.Data, period, 2.0);
// Verify match
ValidationHelper.VerifySeriesEqual(qMiddle, sMiddle);
ValidationHelper.VerifySeriesEqual(qUpper, sUpper);
ValidationHelper.VerifySeriesEqual(qLower, sLower);
}
output.WriteLine("Aberr Batch modes consistency validated successfully");
}
[Fact]
public void Validate_AllModes_Consistency_Streaming()
{
int[] periods = [5, 10, 20, 50, 100];
foreach (var period in periods)
{
// Streaming mode
var streamingAberr = new Aberr(period, 2.0);
var streamMiddle = new TSeries();
var streamUpper = new TSeries();
var streamLower = new TSeries();
foreach (var item in _testData.Data)
{
streamingAberr.Update(item);
streamMiddle.Add(streamingAberr.Last);
streamUpper.Add(streamingAberr.Upper);
streamLower.Add(streamingAberr.Lower);
}
// Batch mode for comparison
var (batchMiddle, batchUpper, batchLower) = Aberr.Batch(_testData.Data, period, 2.0);
// Verify match
ValidationHelper.VerifySeriesEqual(batchMiddle, streamMiddle);
ValidationHelper.VerifySeriesEqual(batchUpper, streamUpper);
ValidationHelper.VerifySeriesEqual(batchLower, streamLower);
}
output.WriteLine("Aberr Streaming mode consistency validated successfully");
}
[Fact]
public void Validate_AllModes_Consistency_Span()
{
int[] periods = [5, 10, 20, 50, 100];
double[] source = _testData.RawData.ToArray();
foreach (var period in periods)
{
// Span mode
int len = source.Length;
double[] spanMiddle = new double[len];
double[] spanUpper = new double[len];
double[] spanLower = new double[len];
Aberr.Batch(source.AsSpan(), spanMiddle.AsSpan(), spanUpper.AsSpan(), spanLower.AsSpan(),
period, 2.0);
// Batch mode for comparison
var (batchMiddle, batchUpper, batchLower) = Aberr.Batch(_testData.Data, period, 2.0);
// Verify match
for (int i = 0; i < len; i++)
{
Assert.Equal(batchMiddle[i].Value, spanMiddle[i], 9);
Assert.Equal(batchUpper[i].Value, spanUpper[i], 9);
Assert.Equal(batchLower[i].Value, spanLower[i], 9);
}
}
output.WriteLine("Aberr Span mode consistency validated successfully");
}
[Fact]
public void Validate_AllModes_Consistency_Eventing()
{
int[] periods = [5, 10, 20, 50];
foreach (var period in periods)
{
// Eventing mode
var pubSource = new TSeries();
var eventingInd = new Aberr(pubSource, period, 2.0);
var eventMiddle = new TSeries();
var eventUpper = new TSeries();
var eventLower = new TSeries();
foreach (var item in _testData.Data)
{
pubSource.Add(item);
eventMiddle.Add(eventingInd.Last);
eventUpper.Add(eventingInd.Upper);
eventLower.Add(eventingInd.Lower);
}
// Batch mode for comparison
var (batchMiddle, batchUpper, batchLower) = Aberr.Batch(_testData.Data, period, 2.0);
// Verify match
ValidationHelper.VerifySeriesEqual(batchMiddle, eventMiddle);
ValidationHelper.VerifySeriesEqual(batchUpper, eventUpper);
ValidationHelper.VerifySeriesEqual(batchLower, eventLower);
}
output.WriteLine("Aberr Eventing mode consistency validated successfully");
}
[Fact]
public void Validate_Calculate_ReturnsHotIndicator()
{
int[] periods = [5, 10, 20, 50, 100];
foreach (var period in periods)
{
var ((_, _, _), indicator) = Aberr.Calculate(_testData.Data, period, 2.0);
// Verify indicator is hot
Assert.True(indicator.IsHot);
Assert.Equal(period, indicator.WarmupPeriod);
// Note: Indicator state after Prime may not exactly match batch output because
// deviation calculations depend on SMA history. Prime only restores the last
// WarmupPeriod bars, so deviations are calculated differently.
// We verify the indicator is in a valid state for continued streaming.
Assert.True(double.IsFinite(indicator.Last.Value));
Assert.True(double.IsFinite(indicator.Upper.Value));
Assert.True(double.IsFinite(indicator.Lower.Value));
// Verify can continue streaming
var nextValue = new TValue(DateTime.UtcNow.AddDays(1), 100);
indicator.Update(nextValue);
Assert.True(indicator.IsHot);
}
output.WriteLine("Aberr Calculate method validated successfully");
}
[Fact]
public void Validate_LargeDataset_NoOverflow()
{
// Test with the full 5000 bar dataset
var (middle, upper, lower) = Aberr.Batch(_testData.Data, 100, 2.0);
// All outputs should be finite
ValidationHelper.VerifyAllFinite(middle, startIndex: 0);
ValidationHelper.VerifyAllFinite(upper, startIndex: 0);
ValidationHelper.VerifyAllFinite(lower, startIndex: 0);
// Upper should always be >= Middle, Middle should always be >= Lower
for (int i = 100; i < middle.Count; i++)
{
Assert.True(upper[i].Value >= middle[i].Value,
$"Upper ({upper[i].Value}) should be >= Middle ({middle[i].Value}) at index {i}");
Assert.True(middle[i].Value >= lower[i].Value,
$"Middle ({middle[i].Value}) should be >= Lower ({lower[i].Value}) at index {i}");
}
output.WriteLine("Aberr large dataset (5000 bars) validated successfully");
}
[Fact]
public void Validate_BandWidth_IsSymmetric()
{
// Verify that Upper - Middle == Middle - Lower
// This confirms the band width is applied symmetrically
var (middle, upper, lower) = Aberr.Batch(_testData.Data, 20, 2.0);
// After warmup, verify symmetry
for (int i = 20; i < _testData.Data.Count; i++)
{
double upperDiff = upper[i].Value - middle[i].Value;
double lowerDiff = middle[i].Value - lower[i].Value;
Assert.Equal(upperDiff, lowerDiff, 1e-9);
}
output.WriteLine("Aberr band width symmetry validated successfully");
}
[Fact]
public void Validate_Prime_ProducesCorrectState()
{
// Prime with history and verify state matches full calculation
int period = 20;
// Full batch calculation
var (batchMiddle, batchUpper, batchLower) = Aberr.Batch(_testData.Data, period, 2.0);
// Prime indicator with subset and continue
var primedIndicator = new Aberr(period, 2.0);
var subset = new TSeries();
for (int i = 0; i < 100; i++)
{
subset.Add(_testData.Data[i]);
}
primedIndicator.Prime(subset);
// Continue streaming from where Prime left off
for (int i = 100; i < _testData.Data.Count; i++)
{
primedIndicator.Update(_testData.Data[i]);
}
// Final values should match
Assert.Equal(batchMiddle.Last.Value, primedIndicator.Last.Value, 1e-9);
Assert.Equal(batchUpper.Last.Value, primedIndicator.Upper.Value, 1e-9);
Assert.Equal(batchLower.Last.Value, primedIndicator.Lower.Value, 1e-9);
output.WriteLine("Aberr Prime method validated successfully");
}
[Fact]
public void Validate_MiddleBand_MatchesSMA()
{
// Verify the middle band is exactly the SMA
int period = 20;
var aberr = new Aberr(period, 2.0);
var sma = new Sma(period);
var aberrResults = aberr.Update(_testData.Data);
var smaResults = sma.Update(_testData.Data);
// Middle band should match SMA exactly
for (int i = 0; i < _testData.Data.Count; i++)
{
Assert.Equal(smaResults[i].Value, aberrResults.Middle[i].Value, 1e-10);
}
output.WriteLine("Aberr middle band matches SMA validated successfully");
}
[Fact]
public void Validate_DeviationCalculation()
{
// Verify the deviation is calculated as |source - SMA|
int period = 5;
// Use predictable values
var series = new TSeries();
var time = DateTime.UtcNow;
double[] values = [100, 120, 80, 110, 90];
for (int i = 0; i < values.Length; i++)
{
series.Add(new TValue(time.AddMinutes(i), values[i]));
}
var aberr = new Aberr(period, 1.0); // multiplier = 1 for easier verification
var (middle, upper, _) = aberr.Update(series);
// SMA(5) = (100 + 120 + 80 + 110 + 90) / 5 = 100
Assert.Equal(100.0, middle.Last.Value, 1e-10);
// Band width = AvgDeviation (since multiplier = 1)
// The deviations are calculated incrementally, so we verify the final result
double bandWidth = upper.Last.Value - middle.Last.Value;
Assert.True(bandWidth >= 0, "Band width should be non-negative");
Assert.True(double.IsFinite(bandWidth), "Band width should be finite");
output.WriteLine("Aberr deviation calculation validated successfully");
}
[Fact]
public void Validate_Consistency_AcrossPeriods()
{
// Verify behavior is consistent across different periods
int[] periods = [3, 5, 10, 20, 50, 100, 200];
foreach (var period in periods)
{
var (middle, upper, lower) = Aberr.Batch(_testData.Data, period, 2.0);
// All values should be finite
for (int i = 0; i < middle.Count; i++)
{
Assert.True(double.IsFinite(middle[i].Value), $"Middle[{i}] not finite for period {period}");
Assert.True(double.IsFinite(upper[i].Value), $"Upper[{i}] not finite for period {period}");
Assert.True(double.IsFinite(lower[i].Value), $"Lower[{i}] not finite for period {period}");
}
// Upper >= Middle >= Lower (bands are symmetric around middle)
for (int i = period; i < middle.Count; i++)
{
Assert.True(upper[i].Value >= middle[i].Value);
Assert.True(middle[i].Value >= lower[i].Value);
}
}
output.WriteLine($"Aberr consistency across {periods.Length} periods validated successfully");
}
}