mirror of
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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 LogtransTests
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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_SetsProperties()
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{
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var indicator = new Logtrans();
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Assert.Equal("Logtrans", 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 Update_ReturnsNaturalLog()
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{
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 1.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance); // ln(1) = 0
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indicator.Update(new TValue(time.AddMinutes(1), Math.E));
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Assert.Equal(1.0, indicator.Last.Value, Tolerance); // ln(e) = 1
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indicator.Update(new TValue(time.AddMinutes(2), Math.E * Math.E));
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Assert.Equal(2.0, indicator.Last.Value, Tolerance); // ln(e^2) = 2
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indicator.Update(new TValue(time.AddMinutes(3), 10.0));
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Assert.Equal(Math.Log(10.0), indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_KnownValues()
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{
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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// ln(100) ≈ 4.605
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indicator.Update(new TValue(time, 100.0));
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Assert.Equal(Math.Log(100.0), indicator.Last.Value, Tolerance);
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// ln(0.5) ≈ -0.693
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indicator.Update(new TValue(time.AddMinutes(1), 0.5));
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Assert.Equal(Math.Log(0.5), indicator.Last.Value, Tolerance);
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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 Logtrans();
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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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Assert.Equal(Math.Log(20.0), indicator.Last.Value, Tolerance);
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// Correct last value
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indicator.Update(new TValue(time.AddMinutes(1), 100.0), isNew: false);
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Assert.Equal(Math.Log(100.0), 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 Logtrans();
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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, 1.0));
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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 Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 10.0));
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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 Update_Infinity_UsesLastValidValue()
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{
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 15.0));
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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 Update_NonPositive_UsesLastValidValue()
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{
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 10.0));
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double beforeZero = indicator.Last.Value;
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// Zero
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indicator.Update(new TValue(time.AddMinutes(1), 0.0));
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Assert.Equal(beforeZero, indicator.Last.Value, Tolerance);
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// Negative
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indicator.Update(new TValue(time.AddMinutes(2), -5.0));
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Assert.Equal(beforeZero, indicator.Last.Value, Tolerance);
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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 Logtrans();
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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 * 2.0));
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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 Pub_EventFires()
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{
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var indicator = new Logtrans();
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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 Logtrans(source);
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source.Add(new TValue(DateTime.UtcNow, Math.E), true);
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Assert.Equal(1.0, indicator.Last.Value, Tolerance);
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source.Add(new TValue(DateTime.UtcNow.AddMinutes(1), Math.E * Math.E), true);
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Assert.Equal(2.0, 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 count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 20000);
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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 Logtrans();
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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 = Logtrans.Batch(source);
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// Compare all values
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for (int i = 0; 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 count = 50;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 20001);
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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 = Logtrans.Batch(source);
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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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Logtrans.Batch(values, output);
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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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Logtrans.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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Logtrans.Batch(source, output);
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});
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}
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[Fact]
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public void LogtransExptransInverse_ReturnsOriginal()
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{
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var logtrans = new Logtrans();
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var time = DateTime.UtcNow;
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double original = 42.0;
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logtrans.Update(new TValue(time, original));
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double logtransResult = logtrans.Last.Value;
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// exp(logtrans(x)) should equal x
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Assert.Equal(original, Math.Exp(logtransResult), Tolerance);
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}
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}
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@@ -0,0 +1,273 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// LOGTRANS validation tests - validates against Math.Log (standard library)
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/// No external TA libraries implement LOG directly, so we validate against .NET Math.
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/// </summary>
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public class LogtransValidationTests
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{
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private const double Tolerance = 1e-14; // Very tight - should match exactly
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[Fact]
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public void Logtrans_Batch_MatchesMathLog()
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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: 30000);
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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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var result = Logtrans.Batch(source);
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for (int i = 0; i < source.Count; i++)
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{
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double expected = Math.Log(source[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 Logtrans_Streaming_MatchesMathLog()
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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: 30001);
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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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var indicator = new Logtrans();
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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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double expected = Math.Log(source[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 Logtrans_Span_MatchesMathLog()
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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: 30002);
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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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var values = source.Values.ToArray();
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var output = new double[count];
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Logtrans.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.Log(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 Logtrans_KnownIdentities()
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{
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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// ln(1) = 0
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indicator.Update(new TValue(time, 1.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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// ln(e) = 1
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indicator.Update(new TValue(time.AddMinutes(1), Math.E));
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Assert.Equal(1.0, indicator.Last.Value, Tolerance);
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// ln(e^n) = 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), Math.Pow(Math.E, n)));
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Assert.Equal(n, indicator.Last.Value, Tolerance);
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}
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}
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[Fact]
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public void Logtrans_ZeroInput_UsesLastValid()
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{
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// Zero input uses last valid value (robustness pattern)
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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// First update with valid value
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indicator.Update(new TValue(time, Math.E));
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double lastValid = indicator.Last.Value; // ln(e) = 1.0
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// Zero input - should use last valid
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indicator.Update(new TValue(time.AddMinutes(1), 0.0));
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Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Logtrans_NegativeInput_UsesLastValid()
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{
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// Negative input uses last valid value (robustness pattern)
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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// First update with valid value
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indicator.Update(new TValue(time, 2.0));
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double lastValid = indicator.Last.Value; // ln(2)
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// Negative input - should use last valid
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indicator.Update(new TValue(time.AddMinutes(1), -1.0));
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Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Logtrans_QuotientRule()
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{
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// ln(a/b) = ln(a) - ln(b)
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double a = 10.0;
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double b = 2.5;
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, a));
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double lnA = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, b));
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double lnB = 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 lnADivB = indicator.Last.Value;
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Assert.Equal(lnA - lnB, lnADivB, Tolerance);
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}
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[Fact]
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public void Logtrans_PowerRule()
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{
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// ln(a^n) = n * ln(a)
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double a = 3.0;
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int n = 4;
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, a));
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double lnA = indicator.Last.Value;
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indicator.Reset();
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indicator.Update(new TValue(time, Math.Pow(a, n)));
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double lnAPowN = indicator.Last.Value;
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Assert.Equal(n * lnA, lnAPowN, Tolerance);
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}
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[Fact]
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public void Logtrans_VerySmallPositive_ApproachesNegativeInfinity()
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{
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// ln(ε) → -∞ as ε → 0+
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, double.Epsilon));
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double result = indicator.Last.Value;
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Assert.True(double.IsFinite(result));
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Assert.True(result < -700); // ln(double.Epsilon) ≈ -744
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}
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[Fact]
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public void Logtrans_VeryLargeValue_Handles()
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{
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// ln(large) should be finite
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var indicator = new Logtrans();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 1e300));
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double result = indicator.Last.Value;
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Assert.True(double.IsFinite(result));
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Assert.Equal(Math.Log(1e300), result, Tolerance);
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}
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[Fact]
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public void Logtrans_Span_ZeroInput_UsesLastValid()
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{
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// Span API: zero input uses last valid value (robustness pattern)
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var values = new double[] { 2.0, 0.0, 3.0 };
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var output = new double[3];
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Logtrans.Batch(values, output);
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Assert.Equal(Math.Log(2.0), output[0], Tolerance); // ln(2)
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Assert.Equal(Math.Log(2.0), output[1], Tolerance); // zero -> uses last valid (ln(2))
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Assert.Equal(Math.Log(3.0), output[2], Tolerance); // ln(3)
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}
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[Fact]
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public void Logtrans_Span_NegativeInput_UsesLastValid()
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||||
{
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// Span API: negative input uses last valid value (robustness pattern)
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||||
var values = new double[] { 2.0, -5.0, 3.0 };
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||||
var output = new double[3];
|
||||
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Logtrans.Batch(values, output);
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Assert.Equal(Math.Log(2.0), output[0], Tolerance); // ln(2)
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Assert.Equal(Math.Log(2.0), output[1], Tolerance); // negative -> uses last valid (ln(2))
|
||||
Assert.Equal(Math.Log(3.0), output[2], Tolerance); // ln(3)
|
||||
}
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||||
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||||
[Fact]
|
||||
public void Logtrans_NaNInput_UsesLastValid()
|
||||
{
|
||||
// NaN input uses last valid value (robustness pattern)
|
||||
var indicator = new Logtrans();
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||||
var time = DateTime.UtcNow;
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||||
|
||||
// First update with valid value
|
||||
indicator.Update(new TValue(time, Math.E));
|
||||
double lastValid = indicator.Last.Value; // ln(e) = 1.0
|
||||
|
||||
// NaN input - should use last valid
|
||||
indicator.Update(new TValue(time.AddMinutes(1), double.NaN));
|
||||
|
||||
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Logtrans_PositiveInfinityInput_UsesLastValid()
|
||||
{
|
||||
// Positive infinity input uses last valid value (robustness pattern)
|
||||
var indicator = new Logtrans();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// First update with valid value
|
||||
indicator.Update(new TValue(time, 10.0));
|
||||
double lastValid = indicator.Last.Value; // ln(10)
|
||||
|
||||
// Positive infinity input - should use last valid
|
||||
indicator.Update(new TValue(time.AddMinutes(1), double.PositiveInfinity));
|
||||
|
||||
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Logtrans_NegativeInfinityInput_UsesLastValid()
|
||||
{
|
||||
// Negative infinity input uses last valid value (robustness pattern)
|
||||
var indicator = new Logtrans();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// First update with valid value
|
||||
indicator.Update(new TValue(time, 5.0));
|
||||
double lastValid = indicator.Last.Value; // ln(5)
|
||||
|
||||
// Negative infinity input - should use last valid
|
||||
indicator.Update(new TValue(time.AddMinutes(1), double.NegativeInfinity));
|
||||
|
||||
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user