mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-24 05:28:05 +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:
@@ -0,0 +1,124 @@
|
||||
using TradingPlatform.BusinessLayer;
|
||||
using QuanTAlib;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class AoIndicatorTests
|
||||
{
|
||||
[Fact]
|
||||
public void AoIndicator_Constructor_SetsDefaults()
|
||||
{
|
||||
var indicator = new AoIndicator();
|
||||
|
||||
Assert.Equal(5, indicator.FastPeriod);
|
||||
Assert.Equal(34, indicator.SlowPeriod);
|
||||
Assert.True(indicator.ShowColdValues);
|
||||
Assert.Equal("AO - Awesome Oscillator", indicator.Name);
|
||||
Assert.True(indicator.SeparateWindow);
|
||||
Assert.True(indicator.OnBackGround);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_MinHistoryDepths_EqualsZero()
|
||||
{
|
||||
var indicator = new AoIndicator { SlowPeriod = 20 };
|
||||
|
||||
Assert.Equal(0, AoIndicator.MinHistoryDepths);
|
||||
IWatchlistIndicator watchlistIndicator = indicator;
|
||||
Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_ShortName_IncludesParameters()
|
||||
{
|
||||
var indicator = new AoIndicator { FastPeriod = 10, SlowPeriod = 40 };
|
||||
indicator.Initialize();
|
||||
|
||||
Assert.Contains("AO", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("40", indicator.ShortName, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_SourceCodeLink_IsValid()
|
||||
{
|
||||
var indicator = new AoIndicator();
|
||||
|
||||
Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
Assert.Contains("Ao.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_Initialize_CreatesInternalAo()
|
||||
{
|
||||
var indicator = new AoIndicator { FastPeriod = 5, SlowPeriod = 34 };
|
||||
|
||||
// Initialize should not throw
|
||||
indicator.Initialize();
|
||||
|
||||
// After init, line series should exist (Up and Down)
|
||||
Assert.Equal(2, indicator.LinesSeries.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
|
||||
{
|
||||
var indicator = new AoIndicator { FastPeriod = 2, SlowPeriod = 5 };
|
||||
indicator.Initialize();
|
||||
|
||||
// Add historical data
|
||||
var now = DateTime.UtcNow;
|
||||
// Need enough bars for Period
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
|
||||
|
||||
// Process update for each bar to simulate history loading
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
}
|
||||
|
||||
// Line series should have a value (either Up or Down)
|
||||
// One should be NaN, other should be value, or both NaN if cold
|
||||
double up = indicator.LinesSeries[0].GetValue(0);
|
||||
double down = indicator.LinesSeries[1].GetValue(0);
|
||||
|
||||
Assert.True(double.IsFinite(up) || double.IsFinite(down));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_ProcessUpdate_NewBar_ComputesValue()
|
||||
{
|
||||
var indicator = new AoIndicator { FastPeriod = 2, SlowPeriod = 5 };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
|
||||
}
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
// Add new bar
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(20), 120, 130, 110, 125);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries[0].Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AoIndicator_Parameters_CanBeChanged()
|
||||
{
|
||||
var indicator = new AoIndicator { FastPeriod = 5, SlowPeriod = 34 };
|
||||
Assert.Equal(5, indicator.FastPeriod);
|
||||
Assert.Equal(34, indicator.SlowPeriod);
|
||||
|
||||
indicator.FastPeriod = 10;
|
||||
indicator.SlowPeriod = 40;
|
||||
|
||||
Assert.Equal(10, indicator.FastPeriod);
|
||||
Assert.Equal(40, indicator.SlowPeriod);
|
||||
Assert.Equal(0, AoIndicator.MinHistoryDepths);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,272 @@
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class AoTests
|
||||
{
|
||||
[Fact]
|
||||
public void BasicCalculation_DoesNotCrash()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(ao.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsNew_Consistency()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Feed first 99
|
||||
for (int i = 0; i < 99; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
// Update with 100th point (isNew=true)
|
||||
ao.Update(bars[99], true);
|
||||
|
||||
// Update with modified 100th point (isNew=false)
|
||||
var modifiedBar = new TBar(bars[99].Time, bars[99].Open, bars[99].High + 1.0, bars[99].Low - 1.0, bars[99].Close, bars[99].Volume);
|
||||
var val2 = ao.Update(modifiedBar, false);
|
||||
|
||||
// Create new instance and feed up to modified
|
||||
var ao2 = new Ao(5, 34);
|
||||
for (int i = 0; i < 99; i++)
|
||||
{
|
||||
ao2.Update(bars[i]);
|
||||
}
|
||||
var val3 = ao2.Update(modifiedBar, true);
|
||||
|
||||
Assert.Equal(val3.Value, val2.Value, 1e-9);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_Works()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
ao.Reset();
|
||||
Assert.Equal(0, ao.Last.Value);
|
||||
Assert.False(ao.IsHot);
|
||||
|
||||
// Feed again
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(ao.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TBarSeries_Update_Matches_Streaming()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
streamingResults.Add(ao.Update(bars[i]).Value);
|
||||
}
|
||||
|
||||
var ao2 = new Ao(5, 34);
|
||||
var seriesResults = ao2.Update(bars);
|
||||
|
||||
Assert.Equal(streamingResults.Count, seriesResults.Count);
|
||||
for (int i = 0; i < seriesResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void StaticCalculate_Matches_Streaming()
|
||||
{
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var ao = new Ao(5, 34);
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
streamingResults.Add(ao.Update(bars[i]).Value);
|
||||
}
|
||||
|
||||
var staticResults = Ao.Batch(bars, 5, 34);
|
||||
|
||||
Assert.Equal(streamingResults.Count, staticResults.Count);
|
||||
for (int i = 0; i < staticResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chainability_Works()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Test TBarSeries chain
|
||||
var result = ao.Update(bars);
|
||||
Assert.NotNull(result);
|
||||
Assert.IsType<TSeries>(result);
|
||||
|
||||
// Test TBar chain (returns TValue)
|
||||
var result2 = ao.Update(bars[0]);
|
||||
Assert.IsType<TValue>(result2);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidParameters_ThrowsArgumentException()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new Ao(0, 34));
|
||||
Assert.Throws<ArgumentException>(() => new Ao(5, 0));
|
||||
Assert.Throws<ArgumentException>(() => new Ao(34, 5)); // Fast >= Slow
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IterativeCorrections_RestoreToOriginalState()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
|
||||
|
||||
// Feed 50 new values (more than slow period)
|
||||
TBar fiftiethInput = default;
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
fiftiethInput = bar;
|
||||
ao.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Remember state after 50 values
|
||||
double stateAfterFifty = ao.Last.Value;
|
||||
|
||||
// Generate 9 corrections with isNew=false (different values)
|
||||
for (int i = 0; i < 9; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: false);
|
||||
ao.Update(bar, isNew: false);
|
||||
}
|
||||
|
||||
// Feed the remembered 50th input again with isNew=false
|
||||
TValue finalResult = ao.Update(fiftiethInput, isNew: false);
|
||||
|
||||
// State should match the original state after 50 values
|
||||
Assert.Equal(stateAfterFifty, finalResult.Value, 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BecomesTrueWhenBufferFull()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
|
||||
Assert.False(ao.IsHot);
|
||||
|
||||
// Feed bars until IsHot becomes true
|
||||
int count = 0;
|
||||
while (!ao.IsHot && count < 100)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
ao.Update(bar, isNew: true);
|
||||
count++;
|
||||
}
|
||||
|
||||
Assert.True(ao.IsHot);
|
||||
Assert.True(count >= 34); // Should take at least slow period bars
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void NaN_Input_UsesLastValidValue()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Feed some valid bars first
|
||||
for (int i = 0; i < 40; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
// Create a bar with NaN values
|
||||
var nanBar = new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, double.NaN);
|
||||
var result = ao.Update(nanBar);
|
||||
|
||||
// Should not crash and should return a finite value
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Infinity_Input_UsesLastValidValue()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Feed some valid bars first
|
||||
for (int i = 0; i < 40; i++)
|
||||
{
|
||||
ao.Update(bars[i]);
|
||||
}
|
||||
|
||||
// Create a bar with Infinity values
|
||||
var infBar = new TBar(DateTime.UtcNow, double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, double.PositiveInfinity);
|
||||
var result = ao.Update(infBar);
|
||||
|
||||
// Should not crash and should return a finite value
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AllModes_ProduceSameResult()
|
||||
{
|
||||
// Arrange
|
||||
const int fastPeriod = 5;
|
||||
int slowPeriod = 34;
|
||||
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// 1. Batch Mode (static method)
|
||||
var batchSeries = Ao.Batch(bars, fastPeriod, slowPeriod);
|
||||
double expected = batchSeries.Last.Value;
|
||||
|
||||
// 2. Streaming Mode (instance, one bar at a time)
|
||||
var streamingInd = new Ao(fastPeriod, slowPeriod);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
streamingInd.Update(bars[i]);
|
||||
}
|
||||
double streamingResult = streamingInd.Last.Value;
|
||||
|
||||
// 3. Instance Update with TBarSeries
|
||||
var instanceInd = new Ao(fastPeriod, slowPeriod);
|
||||
var instanceResult = instanceInd.Update(bars);
|
||||
double instanceValue = instanceResult.Last.Value;
|
||||
|
||||
// Assert all modes produce identical results
|
||||
Assert.Equal(expected, streamingResult, precision: 9);
|
||||
Assert.Equal(expected, instanceValue, precision: 9);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,120 @@
|
||||
using Skender.Stock.Indicators;
|
||||
using OoplesFinance.StockIndicators;
|
||||
using OoplesFinance.StockIndicators.Models;
|
||||
using QuanTAlib.Tests;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
public sealed class AoValidationTests : IDisposable
|
||||
{
|
||||
private readonly ValidationTestData _data;
|
||||
|
||||
public AoValidationTests()
|
||||
{
|
||||
_data = new ValidationTestData();
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
_data.Dispose();
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MatchesSkender()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var results = new List<double>();
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var res = ao.Update(_data.Bars[i]);
|
||||
results.Add(res.Value);
|
||||
}
|
||||
|
||||
var skenderResults = _data.SkenderQuotes.GetAwesome(5, 34).ToList();
|
||||
|
||||
Assert.Equal(_data.Bars.Count, skenderResults.Count);
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
// Skender returns null for warmup
|
||||
if (skenderResults[i].Oscillator == null)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.Equal((double)skenderResults[i].Oscillator!, results[i], ValidationHelper.SkenderTolerance);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MatchesTulip()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var results = new List<double>();
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var res = ao.Update(_data.Bars[i]);
|
||||
results.Add(res.Value);
|
||||
}
|
||||
|
||||
var high = _data.Bars.High.Select(x => x.Value).ToArray();
|
||||
var low = _data.Bars.Low.Select(x => x.Value).ToArray();
|
||||
|
||||
var tulipIndicator = Tulip.Indicators.ao;
|
||||
double[][] inputs = { high, low };
|
||||
double[] options = Array.Empty<double>();
|
||||
|
||||
const int lookback = 33;
|
||||
double[][] outputs = [new double[_data.Bars.Count - lookback]];
|
||||
|
||||
tulipIndicator.Run(inputs, options, outputs);
|
||||
var tulipResults = outputs[0];
|
||||
|
||||
for (int i = 0; i < tulipResults.Length; i++)
|
||||
{
|
||||
Assert.Equal(tulipResults[i], results[i + lookback], ValidationHelper.TulipTolerance);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MatchesOoples()
|
||||
{
|
||||
var ao = new Ao(5, 34);
|
||||
var results = new List<double>();
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var res = ao.Update(_data.Bars[i]);
|
||||
results.Add(res.Value);
|
||||
}
|
||||
|
||||
var ooplesData = _data.SkenderQuotes.Select(q => new TickerData
|
||||
{
|
||||
Date = q.Date,
|
||||
Open = (double)q.Open,
|
||||
High = (double)q.High,
|
||||
Low = (double)q.Low,
|
||||
Close = (double)q.Close,
|
||||
Volume = (double)q.Volume
|
||||
}).ToList();
|
||||
|
||||
var stockData = new StockData(ooplesData);
|
||||
var oResult = stockData.CalculateAwesomeOscillator(fastLength: 5, slowLength: 34);
|
||||
var oValues = oResult.OutputValues["Ao"];
|
||||
|
||||
Assert.Equal(_data.Bars.Count, oValues.Count);
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
// Ooples might return 0 for warmup
|
||||
if (i < 33)
|
||||
{
|
||||
continue; // Skip warmup
|
||||
}
|
||||
|
||||
Assert.Equal(oValues[i], results[i], ValidationHelper.OoplesTolerance);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user