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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:
Miha Kralj
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using Xunit;
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namespace QuanTAlib.Tests;
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public class ChangeTests
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{
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private readonly GBM _gbm;
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private readonly TSeries _source;
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public ChangeTests()
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{
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_gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 60000);
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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_source = bars.Close;
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}
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[Fact]
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public void Change_Constructor_ThrowsOnInvalidPeriod()
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{
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Assert.Throws<ArgumentException>(() => new Change(0));
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Assert.Throws<ArgumentException>(() => new Change(-1));
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}
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[Fact]
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public void Change_Constructor_ValidPeriod()
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{
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var indicator = new Change(5);
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Assert.Equal("Change(5)", indicator.Name);
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Assert.Equal(6, indicator.WarmupPeriod);
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}
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[Fact]
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public void Change_Update_ReturnsValue()
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{
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var indicator = new Change(1);
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var result = indicator.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(0.0, result.Value);
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}
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[Fact]
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public void Change_BasicCalculation()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0));
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indicator.Update(new TValue(time.AddMinutes(1), 110.0));
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// (110 - 100) / 100 = 0.1
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Assert.Equal(0.1, indicator.Last.Value, 1e-10);
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}
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[Fact]
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public void Change_NegativeChange()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0));
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indicator.Update(new TValue(time.AddMinutes(1), 90.0));
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// (90 - 100) / 100 = -0.1
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Assert.Equal(-0.1, indicator.Last.Value, 1e-10);
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}
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[Fact]
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public void Change_Period2()
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{
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var indicator = new Change(2);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0));
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indicator.Update(new TValue(time.AddMinutes(1), 105.0));
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indicator.Update(new TValue(time.AddMinutes(2), 120.0));
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// (120 - 100) / 100 = 0.2
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Assert.Equal(0.2, indicator.Last.Value, 1e-10);
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}
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[Fact]
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public void Change_IsHot_WhenWarmedUp()
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{
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var indicator = new Change(3);
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var time = DateTime.UtcNow;
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for (int i = 0; i < 3; i++)
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{
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Assert.False(indicator.IsHot);
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indicator.Update(new TValue(time.AddMinutes(i), 100.0 + i));
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}
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indicator.Update(new TValue(time.AddMinutes(3), 110.0));
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Assert.True(indicator.IsHot);
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}
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[Fact]
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public void Change_Reset_ClearsState()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0));
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indicator.Update(new TValue(time.AddMinutes(1), 110.0));
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Assert.True(indicator.IsHot);
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indicator.Reset();
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Assert.False(indicator.IsHot);
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Assert.Equal(default, indicator.Last);
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}
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[Fact]
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public void Change_IsNew_False_RollsBack()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0), true);
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indicator.Update(new TValue(time.AddMinutes(1), 110.0), true);
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// Update with isNew=false (correction)
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indicator.Update(new TValue(time.AddMinutes(1), 115.0), false);
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// Should recalculate: (115 - 100) / 100 = 0.15
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Assert.Equal(0.15, indicator.Last.Value, 1e-10);
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}
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[Fact]
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public void Change_NaN_HandledGracefully()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 100.0));
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indicator.Update(new TValue(time.AddMinutes(1), double.NaN));
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// Should use last valid value (100), so (100 - 100) / 100 = 0
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Assert.True(double.IsFinite(indicator.Last.Value));
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}
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[Fact]
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public void Change_ZeroDivision_ReturnsZero()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 0.0));
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indicator.Update(new TValue(time.AddMinutes(1), 100.0));
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// Division by zero returns 0
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Assert.Equal(0.0, indicator.Last.Value);
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}
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[Fact]
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public void Change_Batch_MatchesStreaming()
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{
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int period = 5;
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var batchResult = Change.Batch(_source, period);
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var indicator = new Change(period);
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for (int i = 0; i < _source.Count; i++)
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{
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indicator.Update(_source[i]);
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}
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// Compare last 10 values between batch and streaming
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var streamResult = new TSeries();
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for (int j = 0; j < _source.Count; j++)
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{
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streamResult.Add(indicator.Update(_source[j]), true);
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}
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for (int i = Math.Max(0, _source.Count - 10); i < _source.Count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamResult[i].Value, 1e-10);
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}
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// Ensure final values match
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Assert.Equal(batchResult[^1].Value, indicator.Last.Value, 1e-10);
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}
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[Fact]
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public void Change_Span_MatchesBatch()
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{
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int period = 5;
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var values = _source.Values.ToArray();
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var output = new double[values.Length];
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Change.Batch(values, output, period);
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var batchResult = Change.Batch(_source, period);
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for (int i = 0; i < values.Length; i++)
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{
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Assert.Equal(batchResult[i].Value, output[i], 1e-10);
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}
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}
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[Fact]
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public void Change_Span_ThrowsOnInvalidArgs()
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{
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var source = new double[10];
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var output = new double[5];
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Assert.Throws<ArgumentException>(() => Change.Batch(ReadOnlySpan<double>.Empty, output, 1));
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Assert.Throws<ArgumentException>(() => Change.Batch(source, output, 1));
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Assert.Throws<ArgumentException>(() => Change.Batch(source, new double[10], 0));
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}
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[Fact]
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public void Change_EventChaining_Works()
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{
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var source = new Sma(5);
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var change = new Change(source, 1);
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var time = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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source.Update(new TValue(time.AddMinutes(i), 100.0 + i));
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}
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Assert.True(change.IsHot);
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Assert.NotEqual(0.0, change.Last.Value);
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}
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}
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@@ -0,0 +1,290 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// CHANGE validation tests - validates against direct mathematical computation
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/// and Tulip's ROC indicator (both return decimal format: 0.1 = 10%)
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/// </summary>
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public class ChangeValidationTests
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{
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private readonly GBM _gbm = new(sigma: 0.5, mu: 0.05, seed: 60100);
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private const double Tolerance = 1e-10;
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[Fact]
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public void Change_Batch_MatchesMathFormula()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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int period = 10;
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var result = Change.Batch(series, period);
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for (int i = period; i < series.Count; i++)
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{
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double current = series[i].Value;
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double past = series[i - period].Value;
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double expected = past != 0.0 ? (current - past) / past : 0.0;
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Assert.Equal(expected, result[i].Value, Tolerance);
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}
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}
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[Fact]
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public void Change_Streaming_MatchesMathFormula()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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int period = 5;
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var indicator = new Change(period);
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var results = new List<double>();
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ReadOnlySpan<double> values = series.Values;
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for (int i = 0; i < series.Count; i++)
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{
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indicator.Update(series[i]);
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results.Add(indicator.Last.Value);
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}
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for (int i = period; i < series.Count; i++)
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{
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double current = values[i];
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double past = values[i - period];
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double expected = past != 0.0 ? (current - past) / past : 0.0;
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Assert.Equal(expected, results[i], Tolerance);
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}
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}
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[Fact]
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public void Change_Span_MatchesMathFormula()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var values = bars.Close.Values.ToArray();
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var output = new double[values.Length];
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int period = 10;
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Change.Batch(values, output, period);
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for (int i = period; i < values.Length; i++)
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{
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double current = values[i];
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double past = values[i - period];
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double expected = past != 0.0 ? (current - past) / past : 0.0;
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Assert.Equal(expected, output[i], Tolerance);
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}
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}
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[Fact]
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public void Change_Validate_Tulip_Batch()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tData = source.Values.ToArray();
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int period = 10;
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// Calculate QuanTAlib Change
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var qResult = Change.Batch(source, period);
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// Calculate Tulip ROC (returns percentage)
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var rocIndicator = Tulip.Indicators.roc;
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double[][] inputs = [tData];
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double[] options = [period];
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int lookback = period;
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double[][] outputs = [new double[tData.Length - lookback]];
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rocIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare (Tulip ROC returns same format as QuanTAlib CHANGE)
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for (int i = 0; i < tResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tResult[i], qResult[qIdx].Value, Tolerance);
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}
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}
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[Fact]
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public void Change_Validate_Tulip_Streaming()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tData = source.Values.ToArray();
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int period = 10;
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// Calculate QuanTAlib Change (streaming)
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var indicator = new Change(period);
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var qResults = new List<double>();
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foreach (var item in source)
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{
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qResults.Add(indicator.Update(item).Value);
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}
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// Calculate Tulip ROC
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var rocIndicator = Tulip.Indicators.roc;
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double[][] inputs = [tData];
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double[] options = [period];
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int lookback = period;
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double[][] outputs = [new double[tData.Length - lookback]];
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rocIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare (Tulip ROC returns same format as QuanTAlib CHANGE)
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for (int i = 0; i < tResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tResult[i], qResults[qIdx], Tolerance);
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}
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}
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[Fact]
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public void Change_ManualCalculation()
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{
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var indicator = new Change(1);
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var time = DateTime.UtcNow;
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double[] values = [100.0, 105.0, 102.0, 108.0, 104.0];
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for (int i = 0; i < values.Length; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), values[i]));
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if (i == 0)
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{
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Assert.Equal(0.0, indicator.Last.Value);
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}
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else
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{
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double expectedChange = (values[i] - values[i - 1]) / values[i - 1];
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Assert.Equal(expectedChange, indicator.Last.Value, Tolerance);
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}
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}
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}
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[Fact]
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public void Change_AllModesConsistent()
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{
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int count = 50;
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int period = 5;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 60103);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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// Batch
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var batchResult = Change.Batch(source, period);
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// Streaming
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var streamingIndicator = new Change(period);
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var streamingResults = new double[count];
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for (int i = 0; i < source.Count; i++)
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{
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streamingIndicator.Update(source[i]);
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streamingResults[i] = streamingIndicator.Last.Value;
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}
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// Span
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var values = source.Values.ToArray();
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var spanOutput = new double[count];
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Change.Batch(values, spanOutput, period);
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// Event-driven
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var eventIndicator = new Change(period);
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var eventResults = new double[count];
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int eventIdx = 0;
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eventIndicator.Pub += (object? _, in TValueEventArgs e) => eventResults[eventIdx++] = e.Value.Value;
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for (int i = 0; i < source.Count; i++)
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{
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eventIndicator.Update(source[i]);
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}
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// Compare all modes
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for (int i = period; i < count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingResults[i], Tolerance);
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Assert.Equal(batchResult[i].Value, spanOutput[i], Tolerance);
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Assert.Equal(batchResult[i].Value, eventResults[i], Tolerance);
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}
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}
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[Fact]
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public void Change_DifferentPeriods_MatchTulip()
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{
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var bars = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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var values = source.Values.ToArray();
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foreach (int period in new[] { 1, 5, 10, 20 })
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{
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var result = Change.Batch(source, period);
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// Calculate Tulip ROC
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var rocIndicator = Tulip.Indicators.roc;
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double[][] inputs = [values];
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double[] options = [period];
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int lookback = period;
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double[][] outputs = [new double[values.Length - lookback]];
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rocIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare
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for (int i = 0; i < tResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tResult[i], result[qIdx].Value, Tolerance);
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}
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}
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}
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[Fact]
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public void Change_KnownValues()
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{
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// Test with simple known sequence
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double[] data = [100, 110, 99, 120, 100];
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int period = 1;
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// Expected: 0, 0.1, -0.1, 0.21212..., -0.16666...
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double[] expected =
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[
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0.0,
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0.1, // (110-100)/100
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-0.1, // (99-110)/110
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120.0 / 99.0 - 1.0, // (120-99)/99
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100.0 / 120.0 - 1.0 // (100-120)/120
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];
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var indicator = new Change(period);
|
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for (int i = 0; i < data.Length; i++)
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{
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var result = indicator.Update(new TValue(DateTime.UtcNow, data[i]));
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Assert.Equal(expected[i], result.Value, Tolerance);
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}
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}
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[Fact]
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public void Change_Period2_KnownValues()
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{
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double[] data = [100, 105, 120, 110, 130];
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int period = 2;
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// Expected changes comparing to 2 bars ago:
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// [0]: 0 (not enough data)
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// [1]: 0 (not enough data)
|
||||
// [2]: (120-100)/100 = 0.2
|
||||
// [3]: (110-105)/105 = 0.0476...
|
||||
// [4]: (130-120)/120 = 0.0833...
|
||||
|
||||
var indicator = new Change(period);
|
||||
var results = new double[data.Length];
|
||||
for (int i = 0; i < data.Length; i++)
|
||||
{
|
||||
results[i] = indicator.Update(new TValue(DateTime.UtcNow, data[i])).Value;
|
||||
}
|
||||
|
||||
Assert.Equal(0.0, results[0], Tolerance);
|
||||
Assert.Equal(0.0, results[1], Tolerance);
|
||||
Assert.Equal(0.2, results[2], Tolerance);
|
||||
Assert.Equal((110.0 - 105.0) / 105.0, results[3], Tolerance);
|
||||
Assert.Equal((130.0 - 120.0) / 120.0, results[4], Tolerance);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user