mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-22 04:28:04 +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 ReluTests
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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 Relu();
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Assert.Equal("ReLU", 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_ReturnsRelu()
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{
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var indicator = new Relu();
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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); // max(0, 5) = 5
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indicator.Update(new TValue(time.AddMinutes(1), -3.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance); // max(0, -3) = 0
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indicator.Update(new TValue(time.AddMinutes(2), 0.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance); // max(0, 0) = 0
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indicator.Update(new TValue(time.AddMinutes(3), 100.5));
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Assert.Equal(100.5, indicator.Last.Value, Tolerance); // max(0, 100.5) = 100.5
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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 Relu();
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var time = DateTime.UtcNow;
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// Positive values pass through
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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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// Negative values become zero
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indicator.Update(new TValue(time.AddMinutes(1), -10.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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// Zero stays zero
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indicator.Update(new TValue(time.AddMinutes(2), 0.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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// Small positive value
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indicator.Update(new TValue(time.AddMinutes(3), 0.001));
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Assert.Equal(0.001, 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 Relu();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 5.0));
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indicator.Update(new TValue(time.AddMinutes(1), -2.0));
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Assert.Equal(0.0, 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(3.0, 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 Relu();
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var time = DateTime.UtcNow;
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double[] values = { 5.0, -3.0, 2.5, -1.0, 0.0, 8.0, -5.0 };
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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, 999.0));
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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 Relu();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 7.0));
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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 Relu();
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 3.5));
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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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indicator.Update(new TValue(time.AddMinutes(2), double.NegativeInfinity));
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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 Reset_ClearsState()
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{
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var indicator = new Relu();
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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 - 5));
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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 Relu();
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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, 5.0));
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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 Relu(source);
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source.Add(new TValue(DateTime.UtcNow, 5.0), true);
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Assert.Equal(5.0, indicator.Last.Value, Tolerance);
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source.Add(new TValue(DateTime.UtcNow.AddMinutes(1), -3.0), true);
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Assert.Equal(0.0, 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: 42000);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Use returns (which can be negative) for meaningful ReLU test
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var source = Change.Batch(bars.Close);
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// Streaming
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var streaming = new Relu();
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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 = Relu.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: 42001);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = Change.Batch(bars.Close);
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// TSeries batch
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var batchResult = Relu.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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Relu.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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Relu.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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Relu.Batch(source, output);
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});
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}
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[Fact]
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public void Relu_PositivePassthrough()
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{
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var indicator = new Relu();
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var time = DateTime.UtcNow;
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// All positive values should pass through unchanged
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for (double v = 0.1; v <= 100.0; v += 10.0)
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{
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indicator.Update(new TValue(time, v));
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Assert.Equal(v, indicator.Last.Value, Tolerance);
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Relu_NegativeBecomesZero()
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{
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var indicator = new Relu();
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var time = DateTime.UtcNow;
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// All negative values should become zero
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for (double v = -0.1; v >= -100.0; v -= 10.0)
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{
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indicator.Update(new TValue(time, v));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Relu_AlwaysNonNegative()
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{
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var indicator = new Relu();
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var time = DateTime.UtcNow;
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// ReLU output should always be >= 0
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for (int i = -50; i <= 50; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i + 50), 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 +1,153 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// ReLU validation tests - validates against known mathematical properties
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/// since no external library implementations exist for this activation function.
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/// </summary>
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public class ReluValidationTests
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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 Relu_MathematicalDefinition_Streaming()
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{
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// ReLU: f(x) = max(0, x)
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var indicator = new Relu();
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var time = DateTime.UtcNow;
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double[] testValues = { -10.0, -5.0, -1.0, -0.5, 0.0, 0.5, 1.0, 5.0, 10.0 };
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foreach (var x in testValues)
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{
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indicator.Update(new TValue(time, x));
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double expected = Math.Max(0.0, x);
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Assert.Equal(expected, indicator.Last.Value, Tolerance);
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Relu_MathematicalDefinition_Batch()
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{
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double[] testValues = { -10.0, -5.0, -1.0, -0.5, 0.0, 0.5, 1.0, 5.0, 10.0 };
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var source = new TSeries();
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var time = DateTime.UtcNow;
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foreach (var v in testValues)
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{
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source.Add(new TValue(time, v), true);
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time = time.AddMinutes(1);
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}
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var result = Relu.Batch(source);
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for (int i = 0; i < testValues.Length; i++)
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{
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double expected = Math.Max(0.0, testValues[i]);
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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 Relu_MathematicalDefinition_Span()
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{
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double[] testValues = { -10.0, -5.0, -1.0, -0.5, 0.0, 0.5, 1.0, 5.0, 10.0 };
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double[] output = new double[testValues.Length];
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Relu.Batch(testValues, output);
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for (int i = 0; i < testValues.Length; i++)
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{
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double expected = Math.Max(0.0, testValues[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 Relu_Property_NonNegative()
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{
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// Property: ReLU output is always >= 0
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int count = 100;
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var gbm = new GBM(startPrice: 100, mu: 0.0, sigma: 0.5, seed: 43000);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = Change.Batch(bars.Close);
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var result = Relu.Batch(source);
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for (int i = 0; i < result.Count; i++)
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{
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Assert.True(result[i].Value >= 0, $"ReLU output at index {i} should be non-negative");
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}
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}
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[Fact]
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public void Relu_Property_PositivePassthrough()
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{
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// Property: For x > 0, ReLU(x) = x
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double[] positiveValues = { 0.001, 0.1, 1.0, 10.0, 100.0, 1000.0 };
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double[] output = new double[positiveValues.Length];
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Relu.Batch(positiveValues, output);
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for (int i = 0; i < positiveValues.Length; i++)
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{
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Assert.Equal(positiveValues[i], output[i], Tolerance);
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}
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}
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[Fact]
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public void Relu_Property_NegativeZero()
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{
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// Property: For x < 0, ReLU(x) = 0
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double[] negativeValues = { -0.001, -0.1, -1.0, -10.0, -100.0, -1000.0 };
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double[] output = new double[negativeValues.Length];
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Relu.Batch(negativeValues, output);
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for (int i = 0; i < negativeValues.Length; i++)
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{
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Assert.Equal(0.0, output[i], Tolerance);
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}
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}
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[Fact]
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public void Relu_Property_ZeroAtZero()
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{
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// Property: ReLU(0) = 0
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var indicator = new Relu();
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indicator.Update(new TValue(DateTime.UtcNow, 0.0));
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Relu_StreamingVsBatch_Consistency()
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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: 0.3, seed: 43001);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = Change.Batch(bars.Close);
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// Streaming
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var streaming = new Relu();
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var streamingResults = new double[source.Count];
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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[i] = streaming.Last.Value;
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}
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// Batch
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var batch = Relu.Batch(source);
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// Span
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var spanOutput = new double[source.Count];
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Relu.Batch(source.Values.ToArray(), spanOutput);
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// All three should match
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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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Assert.Equal(streamingResults[i], spanOutput[i], Tolerance);
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}
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}
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}
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Reference in New Issue
Block a user