mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 03:58:04 +00:00
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 ExptransTests
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{
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private const double Tolerance = 1e-10;
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[Fact]
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public void Exptrans_Constructor_SetsProperties()
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{
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var indicator = new Exptrans();
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Assert.Equal("Exptrans", indicator.Name);
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Assert.Equal(0, indicator.WarmupPeriod);
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Assert.True(indicator.IsHot); // Always hot (no warmup)
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}
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[Fact]
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public void Exptrans_Update_ReturnsExponential()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 0.0));
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Assert.Equal(1.0, indicator.Last.Value, Tolerance); // exp(0) = 1
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indicator.Update(new TValue(time.AddMinutes(1), 1.0));
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Assert.Equal(Math.E, indicator.Last.Value, Tolerance); // exp(1) = e
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indicator.Update(new TValue(time.AddMinutes(2), 2.0));
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Assert.Equal(Math.E * Math.E, indicator.Last.Value, Tolerance); // exp(2) = e^2
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indicator.Update(new TValue(time.AddMinutes(3), -1.0));
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Assert.Equal(1.0 / Math.E, indicator.Last.Value, Tolerance); // exp(-1) = 1/e
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}
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[Fact]
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public void Exptrans_Update_KnownValues()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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// exp(0) = 1
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indicator.Update(new TValue(time, 0.0));
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Assert.Equal(1.0, indicator.Last.Value, Tolerance);
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// exp(ln(10)) = 10
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indicator.Update(new TValue(time.AddMinutes(1), Math.Log(10.0)));
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Assert.Equal(10.0, indicator.Last.Value, Tolerance);
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// exp(ln(0.5)) = 0.5
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indicator.Update(new TValue(time.AddMinutes(2), Math.Log(0.5)));
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Assert.Equal(0.5, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Update_IsNewFalse_CorrectsPreviousValue()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 1.0));
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indicator.Update(new TValue(time.AddMinutes(1), 2.0));
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Assert.Equal(Math.Exp(2.0), indicator.Last.Value, Tolerance);
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// Correct last value
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indicator.Update(new TValue(time.AddMinutes(1), 3.0), isNew: false);
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Assert.Equal(Math.Exp(3.0), indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Update_IterativeCorrection_RestoresState()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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double[] values = { 0.5, 1.0, 0.8, 1.2, 0.7, 1.5, 1.1 };
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// Process all values
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foreach (var v in values)
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{
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indicator.Update(new TValue(time, v));
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time = time.AddMinutes(1);
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}
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double finalResult = indicator.Last.Value;
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// Reset and process with corrections
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indicator.Reset();
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time = DateTime.UtcNow;
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foreach (var v in values)
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{
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// Submit wrong value first
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indicator.Update(new TValue(time, 0.0));
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// Correct it
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indicator.Update(new TValue(time, v), isNew: false);
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time = time.AddMinutes(1);
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}
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Assert.Equal(finalResult, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Update_NaN_UsesLastValidValue()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 2.0));
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double beforeNaN = indicator.Last.Value;
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indicator.Update(new TValue(time.AddMinutes(1), double.NaN));
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Assert.Equal(beforeNaN, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Update_Infinity_UsesLastValidValue()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 1.5));
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double beforeInf = indicator.Last.Value;
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indicator.Update(new TValue(time.AddMinutes(1), double.PositiveInfinity));
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Assert.Equal(beforeInf, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Update_LargeInput_HandlesOverflow()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 5.0));
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double validResult = indicator.Last.Value;
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// exp(1000) overflows to infinity
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indicator.Update(new TValue(time.AddMinutes(1), 1000.0));
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// Should use last valid value
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Assert.Equal(validResult, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Exptrans_Reset_ClearsState()
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{
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var indicator = new Exptrans();
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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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indicator.Update(new TValue(time.AddMinutes(i), i * 0.1));
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}
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Assert.True(indicator.IsHot);
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indicator.Reset();
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Assert.True(indicator.IsHot); // Still hot (no warmup)
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Assert.Equal(default, indicator.Last);
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}
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[Fact]
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public void Exptrans_Pub_EventFires()
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{
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var indicator = new Exptrans();
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int eventCount = 0;
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indicator.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
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indicator.Update(new TValue(DateTime.UtcNow, 1.0));
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Assert.Equal(1, eventCount);
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}
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[Fact]
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public void Exptrans_Chaining_Constructor_Works()
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{
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var source = new TSeries();
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var indicator = new Exptrans(source);
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source.Add(new TValue(DateTime.UtcNow, 0.0), true);
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Assert.Equal(1.0, indicator.Last.Value, Tolerance); // exp(0) = 1
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source.Add(new TValue(DateTime.UtcNow.AddMinutes(1), 1.0), true);
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Assert.Equal(Math.E, indicator.Last.Value, Tolerance); // exp(1) = e
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}
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[Fact]
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public void Exptrans_Calculate_TSeries_MatchesStreaming()
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{
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int count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 40000);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Use log of close prices to stay in reasonable exp range
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var logSource = Logtrans.Batch(bars.Close);
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// Streaming
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var streaming = new Exptrans();
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var streamingResults = new List<double>();
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for (int i = 0; i < logSource.Count; i++)
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{
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streaming.Update(logSource[i]);
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streamingResults.Add(streaming.Last.Value);
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}
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// Batch
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var batch = Exptrans.Batch(logSource);
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// Compare all values
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for (int i = 0; i < logSource.Count; i++)
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{
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Assert.Equal(streamingResults[i], batch[i].Value, Tolerance);
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}
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}
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[Fact]
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public void Exptrans_Calculate_Span_MatchesTSeries()
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{
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int count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 40001);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var logSource = Logtrans.Batch(bars.Close);
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// TSeries batch
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var batchResult = Exptrans.Batch(logSource);
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// Span calculation
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var values = logSource.Values.ToArray();
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var output = new double[count];
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Exptrans.Batch(values, output);
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for (int i = 0; i < logSource.Count; i++)
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{
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Assert.Equal(batchResult[i].Value, output[i], Tolerance);
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}
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}
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[Fact]
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public void Exptrans_Calculate_Span_ValidatesArguments()
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{
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Assert.Throws<ArgumentException>(() =>
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{
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Span<double> output = stackalloc double[10];
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Exptrans.Batch(ReadOnlySpan<double>.Empty, output);
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});
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Assert.Throws<ArgumentException>(() =>
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{
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ReadOnlySpan<double> source = stackalloc double[10];
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Span<double> output = stackalloc double[5];
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Exptrans.Batch(source, output);
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});
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}
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[Fact]
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public void Exptrans_LogInverse_ReturnsOriginal()
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{
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var exp = new Exptrans();
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var time = DateTime.UtcNow;
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double logValue = 3.5;
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exp.Update(new TValue(time, logValue));
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double expResult = exp.Last.Value;
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// log(exp(x)) should equal x
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Assert.Equal(logValue, Math.Log(expResult), Tolerance);
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}
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[Fact]
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public void Exptrans_Negative_ReturnsPositive()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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// exp(x) is always positive for any finite x
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for (int i = -10; i <= 10; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i + 10), i));
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Assert.True(indicator.Last.Value > 0);
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}
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}
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}
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@@ -0,0 +1,173 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// EXPTRANS validation tests - validates against Math.Exp (standard library)
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/// </summary>
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public class ExptransValidationTests
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{
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private const double Tolerance = 1e-14;
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[Fact]
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public void Exptrans_Batch_MatchesMathExp()
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{
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int count = 100;
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// Use log-transformed prices to keep exp in reasonable range
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50000);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var logSource = Logtrans.Batch(bars.Close);
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var result = Exptrans.Batch(logSource);
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for (int i = 0; i < logSource.Count; i++)
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{
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double expected = Math.Exp(logSource[i].Value);
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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 Exptrans_Streaming_MatchesMathExp()
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{
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int count = 100;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50001);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var logSource = Logtrans.Batch(bars.Close);
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var indicator = new Exptrans();
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for (int i = 0; i < logSource.Count; i++)
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{
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indicator.Update(logSource[i]);
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double expected = Math.Exp(logSource[i].Value);
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Assert.Equal(expected, indicator.Last.Value, Tolerance);
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}
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}
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[Fact]
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public void Exptrans_Span_MatchesMathExp()
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{
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int count = 100;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50002);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var logSource = Logtrans.Batch(bars.Close);
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var values = logSource.Values.ToArray();
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var output = new double[count];
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Exptrans.Batch(values, output);
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for (int i = 0; i < count; i++)
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{
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double expected = Math.Exp(values[i]);
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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 Exptrans_KnownIdentities()
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{
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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// exp(0) = 1
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indicator.Update(new TValue(time, 0.0));
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Assert.Equal(1.0, indicator.Last.Value, Tolerance);
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// exp(1) = e
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indicator.Update(new TValue(time.AddMinutes(1), 1.0));
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Assert.Equal(Math.E, indicator.Last.Value, Tolerance);
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// exp(n) = e^n
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for (int n = 2; n <= 5; n++)
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{
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indicator.Update(new TValue(time.AddMinutes(n), n));
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Assert.Equal(Math.Exp(n), indicator.Last.Value, Tolerance);
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}
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}
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[Fact]
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public void Exptrans_InverseOfLog()
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{
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// exp(ln(x)) = x for all x > 0
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50003);
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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var logResult = Logtrans.Batch(source);
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var expResult = Exptrans.Batch(logResult);
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for (int i = 0; i < source.Count; i++)
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{
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Assert.Equal(source[i].Value, expResult[i].Value, 1e-10);
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}
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}
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[Fact]
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public void Exptrans_ProductRule()
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{
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// exp(a + b) = exp(a) * exp(b)
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double a = 1.5;
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double b = 2.3;
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, a));
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double expA = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, b));
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double expB = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, a + b));
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double expAB = indicator.Last.Value;
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Assert.Equal(expA * expB, expAB, Tolerance);
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}
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[Fact]
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public void Exptrans_QuotientRule()
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{
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// exp(a - b) = exp(a) / exp(b)
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double a = 3.0;
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double b = 1.5;
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, a));
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double expA = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, b));
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double expB = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, a - b));
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double expAMinusB = indicator.Last.Value;
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Assert.Equal(expA / expB, expAMinusB, Tolerance);
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}
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[Fact]
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public void Exptrans_PowerRule()
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{
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// exp(n * a) = exp(a)^n
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double a = 1.2;
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int n = 3;
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var indicator = new Exptrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, a));
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double expA = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, n * a));
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double expNA = indicator.Last.Value;
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Assert.Equal(Math.Pow(expA, n), expNA, 1e-12);
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}
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}
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