mirror of
https://github.com/mihakralj/QuanTAlib.git
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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
@@ -0,0 +1,300 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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public class HighestTests
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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 Constructor_InvalidPeriod_ThrowsArgumentException()
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{
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Assert.Throws<ArgumentException>(() => new Highest(0));
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Assert.Throws<ArgumentException>(() => new Highest(-1));
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}
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[Fact]
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public void Constructor_ValidPeriod_SetsProperties()
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{
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var indicator = new Highest(14);
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Assert.Equal("Highest(14)", indicator.Name);
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Assert.Equal(14, indicator.WarmupPeriod);
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Assert.False(indicator.IsHot);
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}
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[Fact]
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public void Update_ReturnsHighestInWindow()
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{
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var indicator = new Highest(3);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 5.0));
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Assert.Equal(5.0, indicator.Last.Value, Tolerance);
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indicator.Update(new TValue(time.AddMinutes(1), 8.0));
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Assert.Equal(8.0, indicator.Last.Value, Tolerance);
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indicator.Update(new TValue(time.AddMinutes(2), 3.0));
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Assert.Equal(8.0, indicator.Last.Value, Tolerance);
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// 5 drops out of window
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indicator.Update(new TValue(time.AddMinutes(3), 2.0));
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Assert.Equal(8.0, indicator.Last.Value, Tolerance);
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// 8 drops out of window
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indicator.Update(new TValue(time.AddMinutes(4), 4.0));
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Assert.Equal(4.0, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_Period1_ReturnsSameValue()
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{
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var indicator = new Highest(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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double value = i * 2.5;
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indicator.Update(new TValue(time.AddMinutes(i), value));
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Assert.Equal(value, indicator.Last.Value, Tolerance);
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}
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}
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[Fact]
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public void Update_IsNewFalse_CorrectsPreviousValue()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 10.0));
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indicator.Update(new TValue(time.AddMinutes(1), 20.0));
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indicator.Update(new TValue(time.AddMinutes(2), 15.0));
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Assert.Equal(20.0, indicator.Last.Value, Tolerance);
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// Correct last value to be the new max
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indicator.Update(new TValue(time.AddMinutes(2), 25.0), isNew: false);
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Assert.Equal(25.0, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_IterativeCorrection_RestoresState()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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double[] values = { 5.0, 10.0, 8.0, 12.0, 7.0, 15.0, 11.0 };
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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 Update_NaN_UsesLastValidValue()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 10.0));
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indicator.Update(new TValue(time.AddMinutes(1), 20.0));
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double beforeNaN = indicator.Last.Value;
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indicator.Update(new TValue(time.AddMinutes(2), double.NaN));
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// Should use last valid, which was 20.0
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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 Update_Infinity_UsesLastValidValue()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 15.0));
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indicator.Update(new TValue(time.AddMinutes(1), double.PositiveInfinity));
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// Should use last valid value (15.0) instead of infinity
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Assert.Equal(15.0, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void IsHot_BecomesTrueAfterWarmup()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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for (int i = 0; i < 4; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), i));
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Assert.False(indicator.IsHot);
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}
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indicator.Update(new TValue(time.AddMinutes(4), 4));
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Assert.True(indicator.IsHot);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var indicator = new Highest(5);
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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 * 2));
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}
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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 Pub_EventFires()
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{
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var indicator = new Highest(5);
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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, 10.0));
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Assert.Equal(1, eventCount);
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}
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[Fact]
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public void Chaining_Constructor_Works()
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{
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var source = new TSeries();
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var indicator = new Highest(source, 5);
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source.Add(new TValue(DateTime.UtcNow, 10.0), true);
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Assert.Equal(10.0, indicator.Last.Value, Tolerance);
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source.Add(new TValue(DateTime.UtcNow.AddMinutes(1), 20.0), true);
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Assert.Equal(20.0, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Calculate_TSeries_MatchesStreaming()
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{
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int period = 5;
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int count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 10000);
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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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// Streaming
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var streaming = new Highest(period);
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var streamingResults = new List<double>();
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for (int i = 0; i < source.Count; i++)
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{
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streaming.Update(source[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 = Highest.Batch(source, period);
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// Compare last values (after warmup)
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for (int i = period; i < source.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 Calculate_Span_MatchesTSeries()
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{
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int period = 5;
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int count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 10001);
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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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// TSeries batch
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var batchResult = Highest.Batch(source, period);
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// Span calculation
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var values = source.Values.ToArray();
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var output = new double[count];
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Highest.Batch(values, output, period);
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for (int i = 0; i < source.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 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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Highest.Batch(ReadOnlySpan<double>.Empty, output, 5);
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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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Highest.Batch(source, output, 5);
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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[10];
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Highest.Batch(source, output, 0);
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});
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}
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[Fact]
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public void MonotonicSequence_Ascending_ReturnsLatest()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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for (int i = 1; i <= 10; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), i));
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Assert.Equal(i, indicator.Last.Value, Tolerance);
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}
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}
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[Fact]
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public void MonotonicSequence_Descending_ReturnsFirst()
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{
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var indicator = new Highest(5);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 10.0));
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Assert.Equal(10.0, indicator.Last.Value, Tolerance);
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for (int i = 1; i < 5; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), 10.0 - i));
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Assert.Equal(10.0, indicator.Last.Value, Tolerance);
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}
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// After 5 values, 10.0 drops out
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indicator.Update(new TValue(time.AddMinutes(5), 5.0));
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Assert.Equal(9.0, indicator.Last.Value, Tolerance);
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}
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}
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@@ -0,0 +1,210 @@
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using TALib;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class HighestValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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private bool _disposed;
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public HighestValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData();
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}
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public void Dispose()
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{
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Dispose(true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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[Fact]
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public void Validate_Talib_Batch()
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{
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int[] periods = { 5, 10, 14, 20, 50 };
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double[] tData = _testData.RawData.ToArray();
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double[] output = new double[tData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Highest (batch TSeries)
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var highest = new Highest(period);
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var qResult = highest.Update(_testData.Data);
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// Calculate TA-Lib MAX
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var retCode = TALib.Functions.Max<double>(tData, 0..^0, output, out var outRange, period);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.MaxLookback(period);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, output, outRange, lookback);
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}
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_output.WriteLine("Highest Batch(TSeries) validated successfully against TA-Lib MAX");
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}
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[Fact]
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public void Validate_Talib_Streaming()
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{
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int[] periods = { 5, 10, 14, 20, 50 };
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double[] tData = _testData.RawData.ToArray();
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double[] output = new double[tData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Highest (streaming)
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var highest = new Highest(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(highest.Update(item).Value);
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}
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// Calculate TA-Lib MAX
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var retCode = TALib.Functions.Max<double>(tData, 0..^0, output, out var outRange, period);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.MaxLookback(period);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, output, outRange, lookback);
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}
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_output.WriteLine("Highest Streaming validated successfully against TA-Lib MAX");
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}
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[Fact]
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public void Validate_Talib_Span()
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{
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int[] periods = { 5, 10, 14, 20, 50 };
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double[] sourceData = _testData.RawData.ToArray();
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double[] talibOutput = new double[sourceData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Highest (Span API)
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double[] qOutput = new double[sourceData.Length];
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Highest.Batch(sourceData.AsSpan(), qOutput.AsSpan(), period);
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// Calculate TA-Lib MAX
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var retCode = TALib.Functions.Max<double>(sourceData, 0..^0, talibOutput, out var outRange, period);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.MaxLookback(period);
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// Compare last 100 records
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ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback);
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}
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_output.WriteLine("Highest Span validated successfully against TA-Lib MAX");
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}
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[Fact]
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public void Validate_Tulip_Batch()
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{
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int[] periods = { 5, 10, 14, 20, 50 };
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Highest (batch TSeries)
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var highest = new Highest(period);
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var qResult = highest.Update(_testData.Data);
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// Calculate Tulip max
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var maxIndicator = Tulip.Indicators.max;
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double[][] inputs = { tData };
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double[] options = { period };
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int lookback = period - 1;
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double[][] outputs = { new double[tData.Length - lookback] };
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maxIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, tResult, lookback);
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}
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_output.WriteLine("Highest Batch(TSeries) validated successfully against Tulip max");
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}
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[Fact]
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public void Validate_Tulip_Streaming()
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{
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int[] periods = { 5, 10, 14, 20, 50 };
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Highest (streaming)
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var highest = new Highest(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(highest.Update(item).Value);
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}
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// Calculate Tulip max
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var maxIndicator = Tulip.Indicators.max;
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double[][] inputs = { tData };
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double[] options = { period };
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int lookback = period - 1;
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double[][] outputs = { new double[tData.Length - lookback] };
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maxIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, tResult, lookback);
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}
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_output.WriteLine("Highest Streaming validated successfully against Tulip max");
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}
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[Fact]
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||||
public void Validate_KnownValues()
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||||
{
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||||
// Test with simple known sequence
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||||
double[] data = { 1, 5, 3, 8, 2, 9, 4, 7, 6, 10 };
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||||
int period = 3;
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||||
|
||||
// Expected: first=1, second=max(1,5)=5, then sliding max of last 3
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// [1] -> 1
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// [1,5] -> 5
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// [1,5,3] -> 5
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// [5,3,8] -> 8
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// [3,8,2] -> 8
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// [8,2,9] -> 9
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// [2,9,4] -> 9
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// [9,4,7] -> 9
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// [4,7,6] -> 7
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// [7,6,10] -> 10
|
||||
double[] expected = { 1, 5, 5, 8, 8, 9, 9, 9, 7, 10 };
|
||||
|
||||
var highest = new Highest(period);
|
||||
for (int i = 0; i < data.Length; i++)
|
||||
{
|
||||
var result = highest.Update(new TValue(DateTime.UtcNow, data[i]));
|
||||
Assert.Equal(expected[i], result.Value, precision: 10);
|
||||
}
|
||||
_output.WriteLine("Highest validated with known values");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user