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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:
@@ -0,0 +1,258 @@
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using TradingPlatform.BusinessLayer;
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using Xunit;
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namespace QuanTAlib.Tests;
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public class MaenvIndicatorTests
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{
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[Fact]
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public void Constructor_SetsDefaults()
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{
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var ind = new MaenvIndicator();
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Assert.Equal(20, ind.Period);
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Assert.Equal(1.0, ind.Percentage);
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Assert.Equal(MaenvType.EMA, ind.MaType);
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Assert.Equal(PriceType.Close, ind.SourceType);
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Assert.True(ind.ShowColdValues);
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Assert.Equal("Maenv - Moving Average Envelope", ind.Name);
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Assert.False(ind.SeparateWindow);
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Assert.True(ind.OnBackGround);
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}
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[Fact]
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public void MinHistoryDepths_EqualsPeriod()
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{
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var ind = new MaenvIndicator { Period = 15 };
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Assert.Equal(15, ind.MinHistoryDepths);
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}
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[Fact]
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public void ShortName_ReflectsParameters()
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{
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var ind = new MaenvIndicator { Period = 12, Percentage = 2.5, MaType = MaenvType.SMA };
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Assert.Contains("12", ind.ShortName, StringComparison.Ordinal);
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Assert.Contains("2.5", ind.ShortName, StringComparison.Ordinal);
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Assert.Contains("SMA", ind.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void Initialize_AddsThreeLineSeries()
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{
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var ind = new MaenvIndicator { Period = 14, Percentage = 2.0 };
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ind.Initialize();
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Assert.Equal(3, ind.LinesSeries.Count);
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Assert.Equal("Middle", ind.LinesSeries[0].Name);
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Assert.Equal("Upper", ind.LinesSeries[1].Name);
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Assert.Equal("Lower", ind.LinesSeries[2].Name);
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}
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[Fact]
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public void ProcessUpdate_Historical_ComputesValues()
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{
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var ind = new MaenvIndicator { Period = 3, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 110, 90, 102);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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Assert.Equal(1, ind.LinesSeries[0].Count);
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Assert.True(double.IsFinite(ind.LinesSeries[0].GetValue(0)));
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Assert.True(double.IsFinite(ind.LinesSeries[1].GetValue(0)));
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Assert.True(double.IsFinite(ind.LinesSeries[2].GetValue(0)));
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}
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[Fact]
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public void ProcessUpdate_NewBar_Appends()
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{
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var ind = new MaenvIndicator { Period = 3, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 110, 90, 102);
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ind.HistoricalData.AddBar(now.AddMinutes(1), 102, 112, 92, 104);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, ind.LinesSeries[0].Count);
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}
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[Fact]
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public void ProcessUpdate_NewTick_DoesNotThrow()
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{
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var ind = new MaenvIndicator { Period = 5, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 105, 95, 102);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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Assert.Equal(2, ind.LinesSeries[0].Count);
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}
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[Fact]
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public void MultipleUpdates_ProducesFiniteSeries()
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{
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var ind = new MaenvIndicator { Period = 5, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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Assert.Equal(20, ind.LinesSeries[0].Count);
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Assert.Equal(20, ind.LinesSeries[1].Count);
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Assert.Equal(20, ind.LinesSeries[2].Count);
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for (int i = 0; i < 20; i++)
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{
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Assert.True(double.IsFinite(ind.LinesSeries[0].GetValue(i)));
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Assert.True(double.IsFinite(ind.LinesSeries[1].GetValue(i)));
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Assert.True(double.IsFinite(ind.LinesSeries[2].GetValue(i)));
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}
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}
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[Fact]
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public void Bands_Order_Correct()
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{
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var ind = new MaenvIndicator { Period = 5, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 100, 1000);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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double middle = ind.LinesSeries[0].GetValue(0);
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double upper = ind.LinesSeries[1].GetValue(0);
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double lower = ind.LinesSeries[2].GetValue(0);
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Assert.True(upper > middle, $"Upper ({upper}) should be > Middle ({middle})");
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Assert.True(lower < middle, $"Lower ({lower}) should be < Middle ({middle})");
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}
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[Fact]
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public void FirstBar_BandsAtPercentage()
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{
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var ind = new MaenvIndicator { Period = 10, Percentage = 2.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 110, 90, 100);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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double middle = ind.LinesSeries[0].GetValue(0);
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double upper = ind.LinesSeries[1].GetValue(0);
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double lower = ind.LinesSeries[2].GetValue(0);
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// First bar: middle = close, bands at ±2%
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Assert.Equal(100.0, middle, 1e-10);
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Assert.Equal(102.0, upper, 1e-10);
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Assert.Equal(98.0, lower, 1e-10);
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}
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[Fact]
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public void Percentage_AffectsBandWidth()
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{
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var ind1 = new MaenvIndicator { Period = 10, Percentage = 1.0 };
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var ind2 = new MaenvIndicator { Period = 10, Percentage = 2.0 };
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ind1.Initialize();
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ind2.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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ind1.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 100);
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ind2.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 100);
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ind1.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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ind2.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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double width1 = ind1.LinesSeries[1].GetValue(0) - ind1.LinesSeries[2].GetValue(0);
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double width2 = ind2.LinesSeries[1].GetValue(0) - ind2.LinesSeries[2].GetValue(0);
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Assert.Equal(width2, width1 * 2, 1e-9);
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}
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[Fact]
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public void Bands_Symmetric_AroundMiddle()
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{
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var ind = new MaenvIndicator { Period = 10, Percentage = 3.0 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 100 + i);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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double middle = ind.LinesSeries[0].GetValue(0);
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double upper = ind.LinesSeries[1].GetValue(0);
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double lower = ind.LinesSeries[2].GetValue(0);
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double upperDist = upper - middle;
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double lowerDist = middle - lower;
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Assert.Equal(upperDist, lowerDist, 1e-10);
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}
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[Fact]
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public void AllmaTypes_ProduceFiniteResults()
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{
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foreach (MaenvType maType in Enum.GetValues<MaenvType>())
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{
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var ind = new MaenvIndicator { Period = 10, Percentage = 2.0, MaType = maType };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 100 + i);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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for (int i = 0; i < 20; i++)
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{
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Assert.True(double.IsFinite(ind.LinesSeries[0].GetValue(i)), $"{maType} Middle finite at {i}");
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Assert.True(double.IsFinite(ind.LinesSeries[1].GetValue(i)), $"{maType} Upper finite at {i}");
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Assert.True(double.IsFinite(ind.LinesSeries[2].GetValue(i)), $"{maType} Lower finite at {i}");
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}
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}
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}
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[Fact]
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public void DifferentPriceTypes_Work()
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{
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var indClose = new MaenvIndicator { Period = 5, Percentage = 1.0, SourceType = PriceType.Close };
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var indHigh = new MaenvIndicator { Period = 5, Percentage = 1.0, SourceType = PriceType.High };
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indClose.Initialize();
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indHigh.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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indClose.HistoricalData.AddBar(now.AddMinutes(i), 100, 120, 80, 100);
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indHigh.HistoricalData.AddBar(now.AddMinutes(i), 100, 120, 80, 100);
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indClose.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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indHigh.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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// High should be higher than Close for the same percentage
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double closeMiddle = indClose.LinesSeries[0].GetValue(0);
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double highMiddle = indHigh.LinesSeries[0].GetValue(0);
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Assert.True(highMiddle > closeMiddle, "High price type should produce higher middle than Close");
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}
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}
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@@ -0,0 +1,388 @@
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using System;
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using QuanTAlib;
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using Xunit;
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namespace QuanTAlib.Tests;
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public class MaenvTests
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{
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[Fact]
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public void Maenv_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Maenv(0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Maenv(-5));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Maenv(10, 0.0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Maenv(10, -1.0));
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var m = new Maenv(10, 2.0);
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Assert.Equal(10, m.WarmupPeriod);
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Assert.Contains("Maenv", m.Name, StringComparison.OrdinalIgnoreCase);
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}
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[Fact]
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public void Maenv_InitialState_Defaults()
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{
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var m = new Maenv(5);
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Assert.Equal(0, m.Last.Value);
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Assert.Equal(0, m.Upper.Value);
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Assert.Equal(0, m.Lower.Value);
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Assert.False(m.IsHot);
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}
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[Fact]
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public void Maenv_FirstValue_AllBandsCorrect()
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{
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var m = new Maenv(10, 1.0, MaenvType.EMA);
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var result = m.Update(new TValue(DateTime.UtcNow, 100));
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// First value: MA = input, bands at ±1%
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Assert.Equal(100.0, result.Value, 1e-10);
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Assert.Equal(101.0, m.Upper.Value, 1e-10);
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Assert.Equal(99.0, m.Lower.Value, 1e-10);
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}
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[Fact]
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public void Maenv_BandWidth_ProportionalToPercentage()
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{
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var m1 = new Maenv(10, 1.0);
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var m2 = new Maenv(10, 2.0);
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var m3 = new Maenv(10, 5.0);
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var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 42);
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for (int i = 0; i < 50; i++)
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{
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var bar = gbm.Next(isNew: true);
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var tv = new TValue(bar.Time, bar.Close);
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m1.Update(tv);
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m2.Update(tv);
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m3.Update(tv);
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}
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double width1 = m1.Upper.Value - m1.Lower.Value;
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double width2 = m2.Upper.Value - m2.Lower.Value;
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double width3 = m3.Upper.Value - m3.Lower.Value;
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// Width should scale with percentage (width = 2 * middle * pct / 100)
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Assert.Equal(width2, width1 * 2, 1e-9);
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Assert.Equal(width3, width1 * 5, 1e-9);
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}
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[Fact]
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public void Maenv_BandOrder_Correct()
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{
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foreach (MaenvType maType in Enum.GetValues<MaenvType>())
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{
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var m = new Maenv(10, 2.0, maType);
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var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 42);
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for (int i = 0; i < 50; i++)
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{
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var bar = gbm.Next(isNew: true);
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m.Update(new TValue(bar.Time, bar.Close));
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// Upper > Middle > Lower (for positive prices)
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Assert.True(m.Upper.Value > m.Last.Value, $"{maType}: Upper > Middle at bar {i}");
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Assert.True(m.Lower.Value < m.Last.Value, $"{maType}: Lower < Middle at bar {i}");
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}
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}
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}
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[Fact]
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public void Maenv_BandSymmetry_PercentageBased()
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{
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var m = new Maenv(10, 3.0, MaenvType.EMA);
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var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 42);
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for (int i = 0; i < 50; i++)
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{
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var bar = gbm.Next(isNew: true);
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m.Update(new TValue(bar.Time, bar.Close));
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// Bands should be symmetric around middle
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double upperDist = m.Upper.Value - m.Last.Value;
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double lowerDist = m.Last.Value - m.Lower.Value;
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Assert.Equal(upperDist, lowerDist, 1e-10);
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// Distance should be exactly percentage of middle
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double expectedDist = m.Last.Value * 3.0 / 100.0;
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Assert.Equal(expectedDist, upperDist, 1e-10);
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}
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}
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[Fact]
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public void Maenv_SMA_CorrectCalculation()
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{
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var m = new Maenv(3, 1.0, MaenvType.SMA);
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m.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, m.Last.Value, 1e-10); // SMA(100) = 100
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m.Update(new TValue(DateTime.UtcNow, 110));
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Assert.Equal(105.0, m.Last.Value, 1e-10); // SMA(100,110) = 105
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m.Update(new TValue(DateTime.UtcNow, 120));
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Assert.Equal(110.0, m.Last.Value, 1e-10); // SMA(100,110,120) = 110
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m.Update(new TValue(DateTime.UtcNow, 130));
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Assert.Equal(120.0, m.Last.Value, 1e-10); // SMA(110,120,130) = 120
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}
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[Fact]
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public void Maenv_EMA_WarmupCompensation()
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{
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var m = new Maenv(20, 1.0, MaenvType.EMA);
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// Feed constant values
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for (int i = 0; i < 100; i++)
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{
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m.Update(new TValue(DateTime.UtcNow, 100));
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}
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// EMA should converge to 100 due to warmup compensation
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Assert.InRange(m.Last.Value, 99.9, 100.1);
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}
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[Fact]
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public void Maenv_WMA_WeightedCorrectly()
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{
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var m = new Maenv(3, 1.0, MaenvType.WMA);
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m.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, m.Last.Value, 1e-10);
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// Second value: weights (3,2) for values (110,100)
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// norm = 3*3 + 2*3 = 15, but for partial fill: w=(3-0)*3=9 for newest, w=(3-1)*3=6 for older
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// Actual: first bar w=9, second bar: newest w=9, oldest w=6; sum=110*9+100*6=990+600=1590; norm=15
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// WMA = 1590/15 = 106
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m.Update(new TValue(DateTime.UtcNow, 110));
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double expected2 = (110 * 9 + 100 * 6) / 15.0;
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Assert.Equal(expected2, m.Last.Value, 1e-10);
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}
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[Fact]
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public void Maenv_IsHot_TurnsTrueAfterWarmup()
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{
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var m = new Maenv(5, 1.0);
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for (int i = 0; i < 4; i++)
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{
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m.Update(new TValue(DateTime.UtcNow, 100 + i));
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Assert.False(m.IsHot);
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}
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m.Update(new TValue(DateTime.UtcNow, 200));
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Assert.True(m.IsHot);
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}
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[Fact]
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public void Maenv_IsNewFalse_RebuildsState()
|
||||
{
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||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var m = new Maenv(10, 2.0, maType);
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 7);
|
||||
|
||||
TValue remembered = default;
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
remembered = new TValue(bar.Time, bar.Close);
|
||||
m.Update(remembered, isNew: true);
|
||||
}
|
||||
|
||||
double mid = m.Last.Value;
|
||||
double up = m.Upper.Value;
|
||||
double lo = m.Lower.Value;
|
||||
|
||||
// Apply corrections
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: false);
|
||||
m.Update(new TValue(bar.Time, bar.Close), isNew: false);
|
||||
}
|
||||
|
||||
// Restore with remembered value
|
||||
m.Update(remembered, isNew: false);
|
||||
|
||||
Assert.Equal(mid, m.Last.Value, 1e-6);
|
||||
Assert.Equal(up, m.Upper.Value, 1e-6);
|
||||
Assert.Equal(lo, m.Lower.Value, 1e-6);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_NaN_UsesLastValid()
|
||||
{
|
||||
var m = new Maenv(10, 2.0);
|
||||
|
||||
m.Update(new TValue(DateTime.UtcNow, 100));
|
||||
m.Update(new TValue(DateTime.UtcNow, 105));
|
||||
|
||||
var result = m.Update(new TValue(DateTime.UtcNow, double.NaN));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
Assert.True(double.IsFinite(m.Upper.Value));
|
||||
Assert.True(double.IsFinite(m.Lower.Value));
|
||||
|
||||
var result2 = m.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
|
||||
Assert.True(double.IsFinite(result2.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_Reset_Clears()
|
||||
{
|
||||
var m = new Maenv(10, 2.0);
|
||||
m.Update(new TValue(DateTime.UtcNow, 100));
|
||||
m.Update(new TValue(DateTime.UtcNow, 110));
|
||||
m.Update(new TValue(DateTime.UtcNow, 120));
|
||||
|
||||
m.Reset();
|
||||
|
||||
Assert.Equal(0, m.Last.Value);
|
||||
Assert.Equal(0, m.Upper.Value);
|
||||
Assert.Equal(0, m.Lower.Value);
|
||||
Assert.False(m.IsHot);
|
||||
|
||||
m.Update(new TValue(DateTime.UtcNow, 50));
|
||||
Assert.NotEqual(0, m.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_BatchVsStreaming_Match()
|
||||
{
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var mStream = new Maenv(20, 1.5, maType);
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.15, seed: 42);
|
||||
var series = new TSeries();
|
||||
|
||||
for (int i = 0; i < 200; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
series.Add(new TValue(bar.Time, bar.Close));
|
||||
mStream.Update(series.Last, isNew: true);
|
||||
}
|
||||
|
||||
double expectedMid = mStream.Last.Value;
|
||||
double expectedUp = mStream.Upper.Value;
|
||||
double expectedLo = mStream.Lower.Value;
|
||||
|
||||
var (midBatch, upBatch, loBatch) = Maenv.Batch(series, 20, 1.5, maType);
|
||||
|
||||
Assert.Equal(expectedMid, midBatch.Last.Value, 1e-9);
|
||||
Assert.Equal(expectedUp, upBatch.Last.Value, 1e-9);
|
||||
Assert.Equal(expectedLo, loBatch.Last.Value, 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_SpanBatch_Validates()
|
||||
{
|
||||
double[] source = [100, 105, 110];
|
||||
double[] middle = new double[3];
|
||||
double[] upper = new double[3];
|
||||
double[] lower = new double[3];
|
||||
double[] smallOut = new double[1];
|
||||
|
||||
Assert.Throws<ArgumentOutOfRangeException>(() => Maenv.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 0));
|
||||
Assert.Throws<ArgumentOutOfRangeException>(() => Maenv.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), -1));
|
||||
Assert.Throws<ArgumentOutOfRangeException>(() => Maenv.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 10, 0.0));
|
||||
Assert.Throws<ArgumentException>(() => Maenv.Batch(source.AsSpan(), smallOut.AsSpan(), upper.AsSpan(), lower.AsSpan(), 2));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_SpanBatch_ComputesCorrectly()
|
||||
{
|
||||
double[] source = [100, 105, 110, 107, 115];
|
||||
double[] middle = new double[5];
|
||||
double[] upper = new double[5];
|
||||
double[] lower = new double[5];
|
||||
|
||||
Maenv.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3, 2.0, MaenvType.EMA);
|
||||
|
||||
// First value: MA = 100, bands at ±2%
|
||||
Assert.Equal(100.0, middle[0], 1e-10);
|
||||
Assert.Equal(102.0, upper[0], 1e-10);
|
||||
Assert.Equal(98.0, lower[0], 1e-10);
|
||||
|
||||
// All bars: upper > middle > lower
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
Assert.True(upper[i] > middle[i], $"Upper > Middle at {i}");
|
||||
Assert.True(lower[i] < middle[i], $"Lower < Middle at {i}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_Calculate_ReturnsIndicatorAndResults()
|
||||
{
|
||||
var series = new TSeries();
|
||||
series.Add(new TValue(DateTime.UtcNow, 100));
|
||||
series.Add(new TValue(DateTime.UtcNow, 105));
|
||||
series.Add(new TValue(DateTime.UtcNow, 102));
|
||||
|
||||
var ((mid, up, lo), ind) = Maenv.Calculate(series, 2);
|
||||
|
||||
Assert.True(double.IsFinite(mid.Last.Value));
|
||||
Assert.True(double.IsFinite(up.Last.Value));
|
||||
Assert.True(double.IsFinite(lo.Last.Value));
|
||||
|
||||
// Continue streaming
|
||||
ind.Update(new TValue(DateTime.UtcNow, 108));
|
||||
Assert.True(double.IsFinite(ind.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_Event_Publishes()
|
||||
{
|
||||
var src = new TSeries();
|
||||
var m = new Maenv(src, 2);
|
||||
bool fired = false;
|
||||
m.Pub += (object? sender, in TValueEventArgs args) => fired = true;
|
||||
|
||||
src.Add(new TValue(DateTime.UtcNow, 100));
|
||||
Assert.True(fired);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_AllmaTypes_ProduceFiniteResults()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 42);
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var m = new Maenv(20, 2.5, maType);
|
||||
|
||||
for (int i = 0; i < 200; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
m.Update(new TValue(bar.Time, bar.Close));
|
||||
|
||||
Assert.True(double.IsFinite(m.Last.Value), $"{maType} Middle finite at {i}");
|
||||
Assert.True(double.IsFinite(m.Upper.Value), $"{maType} Upper finite at {i}");
|
||||
Assert.True(double.IsFinite(m.Lower.Value), $"{maType} Lower finite at {i}");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_LongSeriesStability()
|
||||
{
|
||||
var m = new Maenv(20, 2.0);
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.001, sigma: 0.02, seed: 123);
|
||||
|
||||
for (int i = 0; i < 10000; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
m.Update(new TValue(bar.Time, bar.Close));
|
||||
|
||||
Assert.True(double.IsFinite(m.Last.Value), $"Middle finite at {i}");
|
||||
Assert.True(double.IsFinite(m.Upper.Value), $"Upper finite at {i}");
|
||||
Assert.True(double.IsFinite(m.Lower.Value), $"Lower finite at {i}");
|
||||
Assert.True(m.Upper.Value > m.Last.Value, $"Upper > Middle at {i}");
|
||||
Assert.True(m.Lower.Value < m.Last.Value, $"Lower < Middle at {i}");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,598 @@
|
||||
using Skender.Stock.Indicators;
|
||||
using Xunit.Abstractions;
|
||||
|
||||
using OoplesFinance.StockIndicators;
|
||||
using OoplesFinance.StockIndicators.Models;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public sealed class MaenvValidationTests : IDisposable
|
||||
{
|
||||
private readonly ValidationTestData _testData;
|
||||
private readonly ITestOutputHelper _output;
|
||||
private bool _disposed;
|
||||
|
||||
public MaenvValidationTests(ITestOutputHelper output)
|
||||
{
|
||||
_output = output;
|
||||
_testData = new ValidationTestData();
|
||||
}
|
||||
|
||||
public void Dispose() => Dispose(true);
|
||||
|
||||
private void Dispose(bool disposing)
|
||||
{
|
||||
if (_disposed)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
_disposed = true;
|
||||
|
||||
if (disposing)
|
||||
{
|
||||
_testData?.Dispose();
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_ManualCalculation_SMA()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var t0 = DateTime.UtcNow;
|
||||
|
||||
// Simple values for manual verification
|
||||
series.Add(new TValue(t0, 100));
|
||||
series.Add(new TValue(t0.AddMinutes(1), 110));
|
||||
series.Add(new TValue(t0.AddMinutes(2), 120));
|
||||
series.Add(new TValue(t0.AddMinutes(3), 130));
|
||||
|
||||
var ind = new Maenv(3, 2.0, MaenvType.SMA);
|
||||
|
||||
// Bar 0: SMA(100) = 100, bands ±2%
|
||||
ind.Update(series[0]);
|
||||
Assert.Equal(100.0, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(102.0, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(98.0, ind.Lower.Value, 1e-10);
|
||||
|
||||
// Bar 1: SMA(100,110) = 105, bands ±2%
|
||||
ind.Update(series[1]);
|
||||
Assert.Equal(105.0, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(107.1, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(102.9, ind.Lower.Value, 1e-10);
|
||||
|
||||
// Bar 2: SMA(100,110,120) = 110, bands ±2%
|
||||
ind.Update(series[2]);
|
||||
Assert.Equal(110.0, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(112.2, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(107.8, ind.Lower.Value, 1e-10);
|
||||
|
||||
// Bar 3: SMA(110,120,130) = 120, bands ±2%
|
||||
ind.Update(series[3]);
|
||||
Assert.Equal(120.0, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(122.4, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(117.6, ind.Lower.Value, 1e-10);
|
||||
|
||||
_output.WriteLine("Maenv SMA manual calculation validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_ManualCalculation_EMA_Convergence()
|
||||
{
|
||||
// Constant values should converge to that value due to warmup compensation
|
||||
var series = new TSeries();
|
||||
var t0 = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
series.Add(new TValue(t0.AddMinutes(i), 100.0));
|
||||
}
|
||||
|
||||
var ind = new Maenv(20, 1.0, MaenvType.EMA);
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
ind.Update(tv);
|
||||
}
|
||||
|
||||
// EMA should converge to 100 due to warmup compensation
|
||||
Assert.InRange(ind.Last.Value, 99.99, 100.01);
|
||||
Assert.InRange(ind.Upper.Value, 100.99, 101.01);
|
||||
Assert.InRange(ind.Lower.Value, 98.99, 99.01);
|
||||
|
||||
_output.WriteLine("Maenv EMA convergence validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_ManualCalculation_WMA()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var t0 = DateTime.UtcNow;
|
||||
|
||||
// WMA(3) weights: newest=9, middle=6, oldest=3 (total=18)
|
||||
series.Add(new TValue(t0, 100)); // First bar: WMA = 100
|
||||
series.Add(new TValue(t0.AddMinutes(1), 110)); // WMA = (110*9 + 100*6) / 15 = 1590/15 = 106
|
||||
series.Add(new TValue(t0.AddMinutes(2), 120)); // WMA = (120*9 + 110*6 + 100*3) / 18 = 1980/18 = 110
|
||||
|
||||
var ind = new Maenv(3, 1.0, MaenvType.WMA);
|
||||
|
||||
ind.Update(series[0]);
|
||||
Assert.Equal(100.0, ind.Last.Value, 1e-10);
|
||||
|
||||
ind.Update(series[1]);
|
||||
double expected2 = (110.0 * 9 + 100.0 * 6) / 15.0;
|
||||
Assert.Equal(expected2, ind.Last.Value, 1e-10);
|
||||
|
||||
ind.Update(series[2]);
|
||||
double expected3 = (120.0 * 9 + 110.0 * 6 + 100.0 * 3) / 18.0;
|
||||
Assert.Equal(expected3, ind.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine("Maenv WMA manual calculation validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_AllModes_Consistency()
|
||||
{
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double[] percentages = { 0.5, 1.0, 2.0, 5.0 };
|
||||
|
||||
foreach (int period in periods)
|
||||
{
|
||||
foreach (double percentage in percentages)
|
||||
{
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
// Batch (instance)
|
||||
var inst = new Maenv(period, percentage, maType);
|
||||
var (bMid, bUp, bLo) = inst.Update(_testData.Data);
|
||||
|
||||
// Static batch
|
||||
var (sMid, sUp, sLo) = Maenv.Batch(_testData.Data, period, percentage, maType);
|
||||
|
||||
ValidationHelper.VerifySeriesEqual(bMid, sMid);
|
||||
ValidationHelper.VerifySeriesEqual(bUp, sUp);
|
||||
ValidationHelper.VerifySeriesEqual(bLo, sLo);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Maenv(period, percentage, maType);
|
||||
var sMidStream = new TSeries();
|
||||
var sUpStream = new TSeries();
|
||||
var sLoStream = new TSeries();
|
||||
foreach (var tv in _testData.Data)
|
||||
{
|
||||
streaming.Update(tv);
|
||||
sMidStream.Add(streaming.Last);
|
||||
sUpStream.Add(streaming.Upper);
|
||||
sLoStream.Add(streaming.Lower);
|
||||
}
|
||||
|
||||
ValidationHelper.VerifySeriesEqual(sMid, sMidStream);
|
||||
ValidationHelper.VerifySeriesEqual(sUp, sUpStream);
|
||||
ValidationHelper.VerifySeriesEqual(sLo, sLoStream);
|
||||
|
||||
// Span
|
||||
double[] source = _testData.ClosePrices.ToArray();
|
||||
double[] spanMid = new double[source.Length];
|
||||
double[] spanUp = new double[source.Length];
|
||||
double[] spanLo = new double[source.Length];
|
||||
Maenv.Batch(source.AsSpan(), spanMid.AsSpan(), spanUp.AsSpan(), spanLo.AsSpan(), period, percentage, maType);
|
||||
|
||||
for (int i = 0; i < source.Length; i++)
|
||||
{
|
||||
Assert.Equal(sMid[i].Value, spanMid[i], 9);
|
||||
Assert.Equal(sUp[i].Value, spanUp[i], 9);
|
||||
Assert.Equal(sLo[i].Value, spanLo[i], 9);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv mode consistency validated (batch/stream/span) for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_EventingMode_MatchesBatch()
|
||||
{
|
||||
const int period = 20;
|
||||
const double percentage = 2.0;
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var pub = new TSeries();
|
||||
var evtInd = new Maenv(pub, period, percentage, maType);
|
||||
var evtMid = new TSeries();
|
||||
var evtUp = new TSeries();
|
||||
var evtLo = new TSeries();
|
||||
|
||||
foreach (var tv in _testData.Data)
|
||||
{
|
||||
pub.Add(tv);
|
||||
evtMid.Add(evtInd.Last);
|
||||
evtUp.Add(evtInd.Upper);
|
||||
evtLo.Add(evtInd.Lower);
|
||||
}
|
||||
|
||||
var (bMid, bUp, bLo) = Maenv.Batch(_testData.Data, period, percentage, maType);
|
||||
|
||||
ValidationHelper.VerifySeriesEqual(bMid, evtMid);
|
||||
ValidationHelper.VerifySeriesEqual(bUp, evtUp);
|
||||
ValidationHelper.VerifySeriesEqual(bLo, evtLo);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv eventing mode validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Calculate_ReturnsHotIndicator()
|
||||
{
|
||||
const int period = 15;
|
||||
const double percentage = 2.5;
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var ((mid, up, lo), ind) = Maenv.Calculate(_testData.Data, period, percentage, maType);
|
||||
|
||||
Assert.True(ind.IsHot);
|
||||
Assert.Equal(period, ind.WarmupPeriod);
|
||||
Assert.Equal(mid.Last.Value, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(up.Last.Value, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(lo.Last.Value, ind.Lower.Value, 1e-10);
|
||||
|
||||
// Continue streaming
|
||||
var next = new TValue(DateTime.UtcNow, 100);
|
||||
ind.Update(next);
|
||||
Assert.True(ind.IsHot);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv Calculate validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Prime_MatchesBatch()
|
||||
{
|
||||
const int period = 25;
|
||||
const double percentage = 1.5;
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var (bMid, bUp, bLo) = Maenv.Batch(_testData.Data, period, percentage, maType);
|
||||
|
||||
var primed = new Maenv(period, percentage, maType);
|
||||
var subset = new TSeries();
|
||||
for (int i = 0; i < 200; i++)
|
||||
{
|
||||
subset.Add(_testData.Data[i]);
|
||||
}
|
||||
|
||||
primed.Prime(subset);
|
||||
|
||||
for (int i = 200; i < _testData.Data.Count; i++)
|
||||
{
|
||||
primed.Update(_testData.Data[i]);
|
||||
}
|
||||
|
||||
Assert.Equal(bMid.Last.Value, primed.Last.Value, 1e-9);
|
||||
Assert.Equal(bUp.Last.Value, primed.Upper.Value, 1e-9);
|
||||
Assert.Equal(bLo.Last.Value, primed.Lower.Value, 1e-9);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv Prime validated against batch for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_LargeDataset_FiniteOutputs()
|
||||
{
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var (mid, up, lo) = Maenv.Batch(_testData.Data, 50, 2.0, maType);
|
||||
|
||||
ValidationHelper.VerifyAllFinite(mid, startIndex: 0);
|
||||
ValidationHelper.VerifyAllFinite(up, startIndex: 0);
|
||||
ValidationHelper.VerifyAllFinite(lo, startIndex: 0);
|
||||
|
||||
// Upper > Lower for all bars (positive prices)
|
||||
for (int i = 0; i < mid.Count; i++)
|
||||
{
|
||||
Assert.True(up[i].Value > lo[i].Value, $"Upper > Lower at {i} for {maType}");
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv large dataset validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_BandSymmetry_AllBars()
|
||||
{
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var ind = new Maenv(20, 2.0, maType);
|
||||
var (mid, up, lo) = ind.Update(_testData.Data);
|
||||
|
||||
for (int i = 0; i < mid.Count; i++)
|
||||
{
|
||||
double upperWidth = up[i].Value - mid[i].Value;
|
||||
double lowerWidth = mid[i].Value - lo[i].Value;
|
||||
Assert.Equal(upperWidth, lowerWidth, 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv band symmetry validated for all bars and MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_PercentageScaling()
|
||||
{
|
||||
double[] percentages = { 1.0, 2.0, 3.0, 4.0 };
|
||||
double[] widths = new double[percentages.Length];
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
for (int i = 0; i < percentages.Length; i++)
|
||||
{
|
||||
var ind = new Maenv(20, percentages[i], maType);
|
||||
foreach (var tv in _testData.Data)
|
||||
{
|
||||
ind.Update(tv);
|
||||
}
|
||||
widths[i] = ind.Upper.Value - ind.Lower.Value;
|
||||
}
|
||||
|
||||
// Widths should scale linearly with percentage
|
||||
double baseWidth = widths[0];
|
||||
for (int i = 1; i < percentages.Length; i++)
|
||||
{
|
||||
double expected = baseWidth * percentages[i];
|
||||
Assert.Equal(expected, widths[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv percentage scaling validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_PeriodEffect_Smoothing()
|
||||
{
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double[] middles = new double[periods.Length];
|
||||
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
for (int i = 0; i < periods.Length; i++)
|
||||
{
|
||||
var ind = new Maenv(periods[i], 2.0, maType);
|
||||
foreach (var tv in _testData.Data)
|
||||
{
|
||||
ind.Update(tv);
|
||||
}
|
||||
middles[i] = ind.Last.Value;
|
||||
}
|
||||
|
||||
// All should produce finite values
|
||||
foreach (var m in middles)
|
||||
{
|
||||
Assert.True(double.IsFinite(m));
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv period effect validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_StateRestoration_Iterative()
|
||||
{
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var ind = new Maenv(15, 2.5, maType);
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 42);
|
||||
|
||||
// Build up state
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
ind.Update(new TValue(bar.Time, bar.Close), isNew: true);
|
||||
}
|
||||
|
||||
// Multiple corrections
|
||||
var rememberedBar = gbm.Next(isNew: true);
|
||||
var remembered = new TValue(rememberedBar.Time, rememberedBar.Close);
|
||||
ind.Update(remembered, isNew: true);
|
||||
|
||||
double midBefore = ind.Last.Value;
|
||||
double upBefore = ind.Upper.Value;
|
||||
double loBefore = ind.Lower.Value;
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
var corrected = gbm.Next(isNew: false);
|
||||
ind.Update(new TValue(corrected.Time, corrected.Close), isNew: false);
|
||||
}
|
||||
|
||||
// Restore with remembered value
|
||||
ind.Update(remembered, isNew: false);
|
||||
|
||||
Assert.Equal(midBefore, ind.Last.Value, 1e-6);
|
||||
Assert.Equal(upBefore, ind.Upper.Value, 1e-6);
|
||||
Assert.Equal(loBefore, ind.Lower.Value, 1e-6);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv state restoration validated for all MA types");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_BandWidthFormula()
|
||||
{
|
||||
// Band width = 2 * middle * percentage / 100
|
||||
foreach (MaenvType maType in Enum.GetValues<MaenvType>())
|
||||
{
|
||||
var ind = new Maenv(20, 3.0, maType);
|
||||
|
||||
foreach (var tv in _testData.Data)
|
||||
{
|
||||
ind.Update(tv);
|
||||
|
||||
double expectedWidth = 2 * ind.Last.Value * 3.0 / 100.0;
|
||||
double actualWidth = ind.Upper.Value - ind.Lower.Value;
|
||||
Assert.Equal(expectedWidth, actualWidth, 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv band width formula validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_maTypesDifferent()
|
||||
{
|
||||
// Different MA types should produce different results (except for first bar)
|
||||
var indSma = new Maenv(10, 2.0, MaenvType.SMA);
|
||||
var indEma = new Maenv(10, 2.0, MaenvType.EMA);
|
||||
var indWma = new Maenv(10, 2.0, MaenvType.WMA);
|
||||
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.15, seed: 42);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
var tv = new TValue(bar.Time, bar.Close);
|
||||
indSma.Update(tv);
|
||||
indEma.Update(tv);
|
||||
indWma.Update(tv);
|
||||
}
|
||||
|
||||
// Values should be different (with high probability)
|
||||
bool allSame = Math.Abs(indSma.Last.Value - indEma.Last.Value) < 1e-10 &&
|
||||
Math.Abs(indEma.Last.Value - indWma.Last.Value) < 1e-10;
|
||||
Assert.False(allSame, "Different MA types should produce different values");
|
||||
|
||||
_output.WriteLine("Maenv MA types produce different results validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_WarmupCompensation_EMA()
|
||||
{
|
||||
// EMA should converge quickly due to warmup compensation
|
||||
var series = new TSeries();
|
||||
var t0 = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
series.Add(new TValue(t0.AddMinutes(i), 100.0));
|
||||
}
|
||||
|
||||
var ind = new Maenv(20, 1.0, MaenvType.EMA);
|
||||
var (mid, _, _) = ind.Update(series);
|
||||
|
||||
// After warmup, middle should be very close to constant price
|
||||
for (int i = 40; i < 100; i++)
|
||||
{
|
||||
Assert.InRange(mid[i].Value, 99.9, 100.1);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv EMA warmup compensation validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_SMA_RingBuffer_O1()
|
||||
{
|
||||
// SMA should maintain O(1) computation via ring buffer
|
||||
// Test that it produces correct rolling average
|
||||
var ind = new Maenv(5, 1.0, MaenvType.SMA);
|
||||
var values = new double[] { 10, 20, 30, 40, 50, 60, 70, 80, 90, 100 };
|
||||
|
||||
for (int i = 0; i < values.Length; i++)
|
||||
{
|
||||
ind.Update(new TValue(DateTime.UtcNow, values[i]));
|
||||
|
||||
// Calculate expected SMA
|
||||
int start = Math.Max(0, i - 4);
|
||||
double sum = 0;
|
||||
for (int j = start; j <= i; j++)
|
||||
{
|
||||
sum += values[j];
|
||||
}
|
||||
double expected = sum / (i - start + 1);
|
||||
|
||||
Assert.Equal(expected, ind.Last.Value, 1e-10);
|
||||
}
|
||||
|
||||
_output.WriteLine("Maenv SMA ring buffer O(1) validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_SMA_Centerline()
|
||||
{
|
||||
// Skender GetMaEnvelopes(lookbackPeriods, percentOffset, MaType.SMA)
|
||||
// QuanTAlib Maenv(period, percentage, MaenvType.SMA)
|
||||
// Both compute: Middle = SMA(Close), Upper = Middle + Middle*pct/100, Lower = Middle - Middle*pct/100
|
||||
// For SMA type, results should match exactly.
|
||||
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double percentage = 2.5;
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (qMiddle, _, _) = Maenv.Batch(_testData.Data, period, percentage, MaenvType.SMA);
|
||||
|
||||
var sResult = _testData.SkenderQuotes
|
||||
.GetMaEnvelopes(period, percentage, MaType.SMA)
|
||||
.ToList();
|
||||
|
||||
ValidationHelper.VerifyData(qMiddle, sResult, s => s.Centerline);
|
||||
}
|
||||
_output.WriteLine("Maenv SMA centerline validated against Skender for all periods");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_SMA_UpperEnvelope()
|
||||
{
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double percentage = 2.5;
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (_, qUpper, _) = Maenv.Batch(_testData.Data, period, percentage, MaenvType.SMA);
|
||||
|
||||
var sResult = _testData.SkenderQuotes
|
||||
.GetMaEnvelopes(period, percentage, MaType.SMA)
|
||||
.ToList();
|
||||
|
||||
ValidationHelper.VerifyData(qUpper, sResult, s => s.UpperEnvelope);
|
||||
}
|
||||
_output.WriteLine("Maenv SMA upper envelope validated against Skender for all periods");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_SMA_LowerEnvelope()
|
||||
{
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double percentage = 2.5;
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (_, _, qLower) = Maenv.Batch(_testData.Data, period, percentage, MaenvType.SMA);
|
||||
|
||||
var sResult = _testData.SkenderQuotes
|
||||
.GetMaEnvelopes(period, percentage, MaType.SMA)
|
||||
.ToList();
|
||||
|
||||
ValidationHelper.VerifyData(qLower, sResult, s => s.LowerEnvelope);
|
||||
}
|
||||
_output.WriteLine("Maenv SMA lower envelope validated against Skender for all periods");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maenv_MatchesOoples_Structural()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
|
||||
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var ooplesData = bars.Select(b => new TickerData
|
||||
{
|
||||
Date = new DateTime(b.Time, DateTimeKind.Utc),
|
||||
Open = b.Open, High = b.High, Low = b.Low,
|
||||
Close = b.Close, Volume = b.Volume
|
||||
}).ToList();
|
||||
var result = new StockData(ooplesData).CalculateMovingAverageEnvelope();
|
||||
var values = result.OutputValues.Values.First();
|
||||
int finiteCount = values.Count(v => double.IsFinite(v));
|
||||
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user