mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +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:
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using TradingPlatform.BusinessLayer;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public class ApoIndicatorTests
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{
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[Fact]
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public void ApoIndicator_Constructor_SetsDefaults()
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{
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var indicator = new ApoIndicator();
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Assert.Equal(12, indicator.FastPeriod);
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Assert.Equal(26, indicator.SlowPeriod);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("APO - Absolute Price Oscillator", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void ApoIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new ApoIndicator { SlowPeriod = 20 };
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Assert.Equal(0, ApoIndicator.MinHistoryDepths);
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IWatchlistIndicator watchlistIndicator = indicator;
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Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
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}
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[Fact]
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public void ApoIndicator_ShortName_IncludesParameters()
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{
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var indicator = new ApoIndicator { FastPeriod = 10, SlowPeriod = 40 };
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indicator.Initialize();
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Assert.Contains("APO", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("40", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void ApoIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new ApoIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Apo.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void ApoIndicator_Initialize_CreatesInternalApo()
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{
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var indicator = new ApoIndicator { FastPeriod = 5, SlowPeriod = 34 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void ApoIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new ApoIndicator { FastPeriod = 2, SlowPeriod = 5 };
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indicator.Initialize();
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// Add historical data
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var now = DateTime.UtcNow;
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// Need enough bars for Period
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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// Process update for each bar to simulate history loading
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// Line series should have a value
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void ApoIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new ApoIndicator { FastPeriod = 2, SlowPeriod = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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}
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// Add new bar
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indicator.HistoricalData.AddBar(now.AddMinutes(20), 120, 130, 110, 125);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void ApoIndicator_Parameters_CanBeChanged()
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{
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var indicator = new ApoIndicator { FastPeriod = 5, SlowPeriod = 34 };
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Assert.Equal(5, indicator.FastPeriod);
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Assert.Equal(34, indicator.SlowPeriod);
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indicator.FastPeriod = 10;
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indicator.SlowPeriod = 40;
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Assert.Equal(10, indicator.FastPeriod);
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Assert.Equal(40, indicator.SlowPeriod);
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Assert.Equal(0, ApoIndicator.MinHistoryDepths);
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}
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}
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@@ -0,0 +1,273 @@
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namespace QuanTAlib;
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public class ApoTests
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{
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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apo.Update(bars[i]);
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}
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Assert.True(double.IsFinite(apo.Last.Value));
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}
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[Fact]
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public void IsNew_Consistency()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed first 99
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for (int i = 0; i < 99; i++)
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{
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apo.Update(bars[i]);
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}
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// Update with 100th point (isNew=true)
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apo.Update(bars[99], true);
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// Update with modified 100th point (isNew=false)
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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);
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var val2 = apo.Update(modifiedBar, false);
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// Create new instance and feed up to modified
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var apo2 = new Apo(12, 26);
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for (int i = 0; i < 99; i++)
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{
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apo2.Update(bars[i]);
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}
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var val3 = apo2.Update(modifiedBar, true);
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Assert.Equal(val3.Value, val2.Value, 1e-9);
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}
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[Fact]
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public void Reset_Works()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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apo.Update(bars[i]);
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}
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apo.Reset();
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Assert.Equal(0, apo.Last.Value);
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Assert.False(apo.IsHot);
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// Feed again
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for (int i = 0; i < bars.Count; i++)
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{
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apo.Update(bars[i]);
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}
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Assert.True(double.IsFinite(apo.Last.Value));
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}
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[Fact]
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public void TBarSeries_Update_Matches_Streaming()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(apo.Update(bars[i]).Value);
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}
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var apo2 = new Apo(12, 26);
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var seriesResults = apo2.Update(bars.Close);
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Assert.Equal(streamingResults.Count, seriesResults.Count);
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for (int i = 0; i < seriesResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void StaticCalculate_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var apo = new Apo(12, 26);
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(apo.Update(bars[i]).Value);
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}
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var staticResults = Apo.Batch(bars.Close, 12, 26);
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Assert.Equal(streamingResults.Count, staticResults.Count);
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for (int i = 0; i < staticResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void Chainability_Works()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Test TBarSeries chain
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var result = apo.Update(bars.Close);
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Assert.NotNull(result);
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Assert.IsType<TSeries>(result);
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// Test TBar chain (returns TValue)
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var result2 = apo.Update(bars[0]);
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Assert.IsType<TValue>(result2);
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}
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[Fact]
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public void Constructor_InvalidParameters_ThrowsArgumentException()
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{
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Assert.Throws<ArgumentException>(() => new Apo(0, 26));
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Assert.Throws<ArgumentException>(() => new Apo(12, 0));
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Assert.Throws<ArgumentException>(() => new Apo(26, 12)); // Fast >= Slow
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 50 new values (more than slow period)
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TBar fiftiethInput = default;
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for (int i = 0; i < 50; i++)
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{
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var bar = gbm.Next(isNew: true);
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fiftiethInput = bar;
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apo.Update(bar, isNew: true);
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}
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// Remember state after 50 values
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double stateAfterFifty = apo.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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apo.Update(bar, isNew: false);
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}
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// Feed the remembered 50th input again with isNew=false
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TValue finalResult = apo.Update(fiftiethInput, isNew: false);
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// State should match the original state after 50 values
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Assert.Equal(stateAfterFifty, finalResult.Value, 1e-10);
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}
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[Fact]
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public void IsHot_BecomesTrueWhenBufferFull()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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Assert.False(apo.IsHot);
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// Feed bars until IsHot becomes true
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int count = 0;
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while (!apo.IsHot && count < 100)
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{
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var bar = gbm.Next(isNew: true);
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apo.Update(bar, isNew: true);
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count++;
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}
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Assert.True(apo.IsHot);
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Assert.True(count >= 26); // Should take at least slow period bars
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}
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some valid bars first
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for (int i = 0; i < 40; i++)
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{
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apo.Update(bars[i]);
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}
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// Create a bar with NaN close value
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var nanBar = new TBar(DateTime.UtcNow, 100, 105, 95, double.NaN, 1000);
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var result = apo.Update(nanBar);
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// Should not crash and should return a finite value
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var apo = new Apo(12, 26);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some valid bars first
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for (int i = 0; i < 40; i++)
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{
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apo.Update(bars[i]);
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}
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// Create a bar with Infinity close value
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var infBar = new TBar(DateTime.UtcNow, 100, 105, 95, double.PositiveInfinity, 1000);
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var result = apo.Update(infBar);
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// Should not crash and should return a finite value
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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// Arrange
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const int fastPeriod = 12;
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int slowPeriod = 26;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var closeSeries = bars.Close;
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// 1. Batch Mode (static method)
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var batchSeries = Apo.Batch(closeSeries, fastPeriod, slowPeriod);
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double expected = batchSeries.Last.Value;
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// 2. Streaming Mode (instance, one bar at a time)
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var streamingInd = new Apo(fastPeriod, slowPeriod);
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for (int i = 0; i < bars.Count; i++)
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{
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streamingInd.Update(bars[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 3. Instance Update with TSeries
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var instanceInd = new Apo(fastPeriod, slowPeriod);
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var instanceResult = instanceInd.Update(closeSeries);
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double instanceValue = instanceResult.Last.Value;
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// Assert all modes produce identical results
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Assert.Equal(expected, streamingResult, precision: 9);
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Assert.Equal(expected, instanceValue, precision: 9);
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}
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}
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@@ -0,0 +1,149 @@
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using QuanTAlib.Tests;
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Models;
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using OoplesFinance.StockIndicators.Enums;
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namespace QuanTAlib;
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public sealed class ApoValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private bool _disposed;
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public ApoValidationTests()
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{
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_testData = new ValidationTestData(); // Default 5000 bars
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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_Against_TALib_Apo()
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{
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const int fastPeriod = 12;
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int slowPeriod = 26;
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double[] input = _testData.Data.Values.ToArray();
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double[] output = new double[input.Length];
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// TA-Lib APO: double[] inReal, int optInFastPeriod, int optInSlowPeriod, int optInTALib.Core.MAType
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// TALib.Core.MAType 1 = EMA
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var retCode = TALib.Functions.Apo<double>(input, 0..^0, output, out var outRange, fastPeriod, slowPeriod, TALib.Core.MAType.Ema);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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// 1. Batch Mode
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var apo = new Apo(fastPeriod, slowPeriod);
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var result = apo.Update(_testData.Data);
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ValidationHelper.VerifyData(result, output, outRange, lookback: slowPeriod - 1);
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// 2. Streaming Mode
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var apoStream = new Apo(fastPeriod, slowPeriod);
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var streamResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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streamResults.Add(apoStream.Update(item).Value);
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}
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ValidationHelper.VerifyData(streamResults, output, outRange, lookback: slowPeriod - 1);
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// 3. Span Mode
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double[] spanOutput = new double[input.Length];
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Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
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ValidationHelper.VerifyData(spanOutput, output, outRange, lookback: slowPeriod - 1);
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}
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[Fact]
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public void Validate_Against_Tulip_Apo()
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{
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// Tulip APO uses standard EMA initialization (first value), while QuanTAlib uses
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// compensated EMA initialization (zero-based). They converge after sufficient periods.
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// With 5000 bars, the tail (last 100) should match closely.
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int fastPeriod = 12;
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int slowPeriod = 26;
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double[] input = _testData.Data.Values.ToArray();
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var apoIndicator = Tulip.Indicators.apo;
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double[][] inputs = { input };
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double[] options = { fastPeriod, slowPeriod };
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double[][] outputs = { new double[input.Length - 1] }; // Tulip APO starts at 1
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apoIndicator.Run(inputs, options, outputs);
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double[] output = outputs[0];
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// 1. Batch Mode
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var apo = new Apo(fastPeriod, slowPeriod);
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var result = apo.Update(_testData.Data);
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ValidationHelper.VerifyData(result, output, lookback: 1);
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// 2. Streaming Mode
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var apoStream = new Apo(fastPeriod, slowPeriod);
|
||||
var streamResults = new List<double>();
|
||||
foreach (var item in _testData.Data)
|
||||
{
|
||||
streamResults.Add(apoStream.Update(item).Value);
|
||||
}
|
||||
ValidationHelper.VerifyData(streamResults, output, lookback: 1);
|
||||
|
||||
// 3. Span Mode
|
||||
double[] spanOutput = new double[input.Length];
|
||||
Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
|
||||
ValidationHelper.VerifyData(spanOutput, output, lookback: 1);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Against_Ooples_Apo()
|
||||
{
|
||||
int fastPeriod = 12;
|
||||
int slowPeriod = 26;
|
||||
|
||||
var ooplesData = _testData.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 results = stockData.CalculateAbsolutePriceOscillator(MovingAvgType.ExponentialMovingAverage, fastPeriod, slowPeriod);
|
||||
var output = results.OutputValues["Apo"].ToArray();
|
||||
|
||||
// 1. Batch Mode
|
||||
var apo = new Apo(fastPeriod, slowPeriod);
|
||||
var result = apo.Update(_testData.Data);
|
||||
ValidationHelper.VerifyData(result, output, lookback: 0, tolerance: ValidationHelper.OoplesTolerance);
|
||||
|
||||
// 2. Streaming Mode
|
||||
var apoStream = new Apo(fastPeriod, slowPeriod);
|
||||
var streamResults = new List<double>();
|
||||
foreach (var item in _testData.Data)
|
||||
{
|
||||
streamResults.Add(apoStream.Update(item).Value);
|
||||
}
|
||||
ValidationHelper.VerifyData(streamResults, output, lookback: 0, tolerance: ValidationHelper.OoplesTolerance);
|
||||
|
||||
// 3. Span Mode
|
||||
double[] input = _testData.Data.Values.ToArray();
|
||||
double[] spanOutput = new double[input.Length];
|
||||
Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
|
||||
ValidationHelper.VerifyData(spanOutput, output, lookback: 0, tolerance: ValidationHelper.OoplesTolerance);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user