mirror of
https://github.com/mihakralj/QuanTAlib.git
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docs: remove C# Implementation Considerations sections, clean up temp scripts, reorganize test files
- Remove 'C# Implementation Considerations' sections from 34 indicator .md files - Delete 29 temp PowerShell scripts (_fix_mojibake.ps1, _hex_scan.ps1, etc.) - Move test files into tests/ subdirectories for consistent project structure - Add trader-focused bullet points to indicator documentation
This commit is contained in:
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class GatorIndicatorTests
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{
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[Fact]
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public void GatorIndicator_Constructor_SetsDefaults()
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{
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var indicator = new GatorIndicator();
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Assert.Equal(13, indicator.JawPeriod);
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Assert.Equal(8, indicator.JawShift);
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Assert.Equal(8, indicator.TeethPeriod);
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Assert.Equal(5, indicator.TeethShift);
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Assert.Equal(5, indicator.LipsPeriod);
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Assert.Equal(3, indicator.LipsShift);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("GATOR - Williams Gator 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 GatorIndicator_ShortName_IncludesParameters()
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{
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var indicator = new GatorIndicator { JawPeriod = 21, TeethPeriod = 13, LipsPeriod = 8 };
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indicator.Initialize();
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Assert.Contains("GATOR", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("21", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("13", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("8", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void GatorIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new GatorIndicator();
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Assert.Equal(0, GatorIndicator.MinHistoryDepths);
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Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void GatorIndicator_Initialize_CreatesInternalGator()
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{
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var indicator = new GatorIndicator();
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indicator.Initialize();
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// Should have two line series (Upper + Lower)
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Assert.Equal(2, indicator.LinesSeries.Count);
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}
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[Fact]
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public void GatorIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new GatorIndicator
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{
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JawPeriod = 5, JawShift = 3,
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TeethPeriod = 3, TeethShift = 2,
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LipsPeriod = 2, LipsShift = 1
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};
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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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double basePrice = 100 + i;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2, 1000);
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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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double upperVal = indicator.LinesSeries[0].GetValue(0);
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double lowerVal = indicator.LinesSeries[1].GetValue(0);
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Assert.True(double.IsFinite(upperVal));
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Assert.True(double.IsFinite(lowerVal));
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Assert.True(upperVal >= 0);
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Assert.True(lowerVal <= 0);
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}
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[Fact]
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public void GatorIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new GatorIndicator
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{
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JawPeriod = 5, JawShift = 3,
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TeethPeriod = 3, TeethShift = 2,
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LipsPeriod = 2, LipsShift = 1
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};
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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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double basePrice = 100 + i;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2, 1000);
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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, 128, 115, 125, 1500);
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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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Assert.Equal(2, indicator.LinesSeries[1].Count);
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}
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[Fact]
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public void GatorIndicator_DifferentPeriods_Work()
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{
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int[][] paramSets =
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{
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new[] { 5, 3, 3, 2, 2, 1 },
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new[] { 13, 8, 8, 5, 5, 3 },
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new[] { 21, 13, 13, 8, 8, 5 }
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};
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foreach (var ps in paramSets)
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{
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var indicator = new GatorIndicator
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{
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JawPeriod = ps[0], JawShift = ps[1],
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TeethPeriod = ps[2], TeethShift = ps[3],
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LipsPeriod = ps[4], LipsShift = ps[5]
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};
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 100; i++)
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{
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double basePrice = 100 + i;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double upperVal = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(upperVal), $"Periods ({ps[0]},{ps[2]},{ps[4]}) should produce finite upper");
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}
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}
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[Fact]
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public void GatorIndicator_Period_CanBeChanged()
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{
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var indicator = new GatorIndicator();
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Assert.Equal(13, indicator.JawPeriod);
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indicator.JawPeriod = 21;
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indicator.TeethPeriod = 13;
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indicator.LipsPeriod = 8;
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Assert.Equal(21, indicator.JawPeriod);
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Assert.Equal(13, indicator.TeethPeriod);
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Assert.Equal(8, indicator.LipsPeriod);
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}
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[Fact]
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public void GatorIndicator_ShowColdValues_CanBeToggled()
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{
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var indicator = new GatorIndicator();
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Assert.True(indicator.ShowColdValues);
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indicator.ShowColdValues = false;
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Assert.False(indicator.ShowColdValues);
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indicator.ShowColdValues = true;
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Assert.True(indicator.ShowColdValues);
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}
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[Fact]
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public void GatorIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new GatorIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Gator.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void GatorIndicator_HasTwoLineSeries_WithCorrectNames()
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{
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var indicator = new GatorIndicator();
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indicator.Initialize();
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Assert.Equal(2, indicator.LinesSeries.Count);
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Assert.Equal("Upper", indicator.LinesSeries[0].Name);
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Assert.Equal("Lower", indicator.LinesSeries[1].Name);
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}
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}
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@@ -0,0 +1,733 @@
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namespace QuanTAlib.Tests;
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public class GatorTests
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{
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// ============== A) Constructor & Parameter Validation ==============
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[Fact]
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public void Constructor_ValidatesJawPeriod()
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{
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Assert.Throws<ArgumentException>(() => new Gator(jawPeriod: 0));
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Assert.Throws<ArgumentException>(() => new Gator(jawPeriod: -1));
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}
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[Fact]
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public void Constructor_ValidatesTeethPeriod()
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{
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Assert.Throws<ArgumentException>(() => new Gator(teethPeriod: 0));
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Assert.Throws<ArgumentException>(() => new Gator(teethPeriod: -5));
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}
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[Fact]
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public void Constructor_ValidatesLipsPeriod()
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{
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Assert.Throws<ArgumentException>(() => new Gator(lipsPeriod: 0));
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Assert.Throws<ArgumentException>(() => new Gator(lipsPeriod: -1));
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}
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[Fact]
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public void Constructor_ValidatesJawShift()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gator(jawShift: -1));
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Assert.Equal("jawShift", ex.ParamName);
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}
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[Fact]
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public void Constructor_ValidatesTeethShift()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gator(teethShift: -1));
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Assert.Equal("teethShift", ex.ParamName);
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}
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[Fact]
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public void Constructor_ValidatesLipsShift()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gator(lipsShift: -1));
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Assert.Equal("lipsShift", ex.ParamName);
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}
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[Fact]
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public void Constructor_DefaultParameters_Work()
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{
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var gator = new Gator();
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Assert.Contains("13", gator.Name, StringComparison.Ordinal);
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Assert.Contains("8", gator.Name, StringComparison.Ordinal);
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Assert.Contains("5", gator.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_CustomParameters_Work()
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{
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var gator = new Gator(jawPeriod: 21, jawShift: 13, teethPeriod: 13, teethShift: 8, lipsPeriod: 8, lipsShift: 5);
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Assert.Contains("21", gator.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_Period1_Works()
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{
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var gator = new Gator(jawPeriod: 1, jawShift: 0, teethPeriod: 1, teethShift: 0, lipsPeriod: 1, lipsShift: 0);
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Assert.NotNull(gator);
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}
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// ============== B) Basic Calculation ==============
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var gator = new Gator();
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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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foreach (var bar in bars)
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{
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gator.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(double.IsFinite(gator.Last.Value));
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}
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[Fact]
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public void Calc_ReturnsValue()
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{
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var gator = new Gator();
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Assert.Equal(0, gator.Last.Value);
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var result = gator.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(result.Value));
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Assert.Equal(result.Value, gator.Last.Value);
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}
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[Fact]
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public void Properties_Accessible()
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{
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var gator = new Gator();
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Assert.Equal(0, gator.Last.Value);
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Assert.False(gator.IsHot);
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Assert.Contains("Gator", gator.Name, StringComparison.Ordinal);
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Assert.True(gator.WarmupPeriod > 0);
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Assert.Equal(21, gator.WarmupPeriod); // jawPeriod(13) + jawShift(8)
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}
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[Fact]
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public void ConstantPrice_ReturnsZeroAfterWarmup()
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{
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var gator = new Gator();
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for (int i = 0; i < 50; i++)
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{
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gator.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100));
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}
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Assert.True(gator.IsHot);
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// All SMMAs converge to 100 → shifted values equal → upper = |100-100| = 0
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Assert.Equal(0.0, gator.Last.Value, 1e-6);
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// Lower also zero
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Assert.Equal(0.0, gator.Lower, 1e-6);
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}
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[Fact]
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public void UpperAlwaysNonNegative()
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{
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var gator = new Gator();
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var gbm = new GBM(startPrice: 100.0, mu: -0.5, sigma: 1.0);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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var result = gator.Update(new TValue(bar.Time, bar.Close));
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Assert.True(result.Value >= 0, $"Upper must be non-negative, got {result.Value}");
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}
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}
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[Fact]
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public void LowerAlwaysNonPositive()
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{
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var gator = new Gator();
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var gbm = new GBM(startPrice: 100.0, mu: 0.5, sigma: 1.0);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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gator.Update(new TValue(bar.Time, bar.Close));
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Assert.True(gator.Lower <= 0, $"Lower must be non-positive, got {gator.Lower}");
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}
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}
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[Fact]
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public void LowerProperty_Accessible()
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{
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var gator = new Gator();
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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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foreach (var bar in bars)
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{
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gator.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(double.IsFinite(gator.Lower));
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}
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// ============== C) State Management & Bar Correction ==============
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[Fact]
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public void Calc_IsNew_AcceptsParameter()
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{
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var gator = new Gator();
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gator.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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gator.Update(new TValue(DateTime.UtcNow.AddMinutes(1), 105), isNew: true);
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Assert.True(gator.Last.Value >= 0);
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}
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[Fact]
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public void Calc_IsNew_False_UpdatesValue()
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{
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var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var gbm = new GBM(startPrice: 100.0);
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 15; i++)
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{
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gator.Update(new TValue(bars[i].Time, bars[i].Close), isNew: true);
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}
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_ = gator.Last.Value;
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gator.Update(new TValue(bars[14].Time, bars[14].Close * 2), isNew: false);
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double afterUpdate = gator.Last.Value;
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// With doubled price, the indicator should change
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Assert.True(double.IsFinite(afterUpdate));
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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 gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var gbm = new GBM();
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed first 19
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for (int i = 0; i < 19; i++)
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{
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gator.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Feed 20th bar (isNew=true)
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gator.Update(new TValue(bars[19].Time, bars[19].Close), true);
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// Correct with modified value (isNew=false)
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double modifiedClose = bars[19].Close + 50.0;
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double val2 = gator.Update(new TValue(bars[19].Time, modifiedClose), false).Value;
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// Create new instance and feed up to modified
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var gator2 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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for (int i = 0; i < 19; i++)
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{
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gator2.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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double val3 = gator2.Update(new TValue(bars[19].Time, modifiedClose), true).Value;
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Assert.Equal(val3, val2, 1e-9);
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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 gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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TValue tenthValue = default;
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for (int i = 0; i < 15; i++)
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{
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tenthValue = new TValue(bars[i].Time, bars[i].Close);
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gator.Update(tenthValue, isNew: true);
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}
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double stateAfter15 = gator.Last.Value;
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// Generate corrections with isNew=false
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for (int i = 15; i < 25; i++)
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{
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gator.Update(new TValue(bars[i].Time, bars[i].Close), isNew: false);
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}
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TValue finalResult = gator.Update(tenthValue, isNew: false);
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Assert.Equal(stateAfter15, finalResult.Value, 1e-10);
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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 gator = new Gator();
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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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foreach (var bar in bars)
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{
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gator.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(gator.IsHot);
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gator.Reset();
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Assert.Equal(0, gator.Last.Value);
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Assert.False(gator.IsHot);
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gator.Update(new TValue(bars[0].Time, bars[0].Close));
|
||||
Assert.True(double.IsFinite(gator.Last.Value));
|
||||
}
|
||||
|
||||
// ============== D) Warmup & Convergence ==============
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BecomesTrueWhenBuffersFull()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
Assert.False(gator.IsHot);
|
||||
|
||||
var baseTime = DateTime.UtcNow;
|
||||
// WarmupPeriod = max(5+3, 3+2, 2+1) = 8
|
||||
// Need shift+1 bars to fill each buffer: jaw=4, teeth=3, lips=2
|
||||
// But SMMAs need input bars first
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
gator.Update(new TValue(baseTime.AddMinutes(i), 100 + i));
|
||||
if (i < 3)
|
||||
{
|
||||
// Lips buffer fills first (size 2), but all 3 need to be full
|
||||
Assert.False(gator.IsHot, $"Should not be hot at bar {i}");
|
||||
}
|
||||
}
|
||||
|
||||
Assert.True(gator.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_IsPeriodDependent()
|
||||
{
|
||||
var gator1 = new Gator(); // 13+8=21
|
||||
var gator2 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
Assert.Equal(21, gator1.WarmupPeriod);
|
||||
Assert.Equal(8, gator2.WarmupPeriod); // max(5+3, 3+2, 2+1) = 8
|
||||
}
|
||||
|
||||
// ============== E) NaN/Infinity Handling ==============
|
||||
|
||||
[Fact]
|
||||
public void NaN_Input_UsesLastValidValue()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
gator.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
|
||||
}
|
||||
|
||||
var resultAfterNaN = gator.Update(new TValue(DateTime.UtcNow.AddMinutes(15), double.NaN));
|
||||
Assert.True(double.IsFinite(resultAfterNaN.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Infinity_Input_UsesLastValidValue()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
gator.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
|
||||
}
|
||||
|
||||
var resultAfterInf = gator.Update(new TValue(DateTime.UtcNow.AddMinutes(15), double.PositiveInfinity));
|
||||
Assert.True(double.IsFinite(resultAfterInf.Value));
|
||||
|
||||
var resultAfterNegInf = gator.Update(new TValue(DateTime.UtcNow.AddMinutes(16), double.NegativeInfinity));
|
||||
Assert.True(double.IsFinite(resultAfterNegInf.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MultipleNaN_ContinuesWithLastValid()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
gator.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
|
||||
}
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var result = gator.Update(new TValue(DateTime.UtcNow.AddMinutes(15 + i), double.NaN));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchNaN_Safe()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
gator.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var result = gator.Update(new TValue(DateTime.UtcNow.AddHours(i + 1), double.NaN));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
|
||||
for (int i = 15; i < 25; i++)
|
||||
{
|
||||
var result = gator.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
}
|
||||
|
||||
// ============== F) Consistency Tests ==============
|
||||
|
||||
[Fact]
|
||||
public void BatchCalc_MatchesIterativeCalc()
|
||||
{
|
||||
var gatorIterative = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var iterativeResults = new TSeries();
|
||||
foreach (var tv in series)
|
||||
{
|
||||
iterativeResults.Add(gatorIterative.Update(tv));
|
||||
}
|
||||
|
||||
var batchResults = Gator.Batch(series, 5, 3, 3, 2, 2, 1);
|
||||
|
||||
Assert.Equal(iterativeResults.Count, batchResults.Count);
|
||||
for (int i = 0; i < iterativeResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TSeries_Update_MatchesStreaming()
|
||||
{
|
||||
var gator1 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gator2 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
gator1.Update(tv);
|
||||
}
|
||||
|
||||
gator2.Update(series);
|
||||
|
||||
Assert.Equal(gator1.Last.Value, gator2.Last.Value, 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_MatchesStreaming()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var streamResults = new double[100];
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
streamResults[i] = gator.Update(series[i]).Value;
|
||||
}
|
||||
|
||||
var values = series.Values.ToArray();
|
||||
var spanResults = new double[100];
|
||||
Gator.Batch(values, spanResults, 5, 3, 3, 2, 2, 1);
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
Assert.Equal(streamResults[i], spanResults[i], 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EventBased_MatchesStreaming()
|
||||
{
|
||||
var gator1 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var eventResults = new List<double>();
|
||||
gator1.Pub += (object? _, in TValueEventArgs e) => eventResults.Add(e.Value.Value);
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
gator1.Update(tv);
|
||||
}
|
||||
|
||||
var gator2 = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var streamResults = new List<double>();
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
streamResults.Add(gator2.Update(tv).Value);
|
||||
}
|
||||
|
||||
Assert.Equal(streamResults.Count, eventResults.Count);
|
||||
for (int i = 0; i < streamResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamResults[i], eventResults[i], 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AllModes_ProduceSameResult()
|
||||
{
|
||||
int jp = 5, js = 3, tp = 3, ts = 2, lp = 2, ls = 1;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
// 1. Batch
|
||||
var batchSeries = Gator.Batch(series, jp, js, tp, ts, lp, ls);
|
||||
double expected = batchSeries.Last.Value;
|
||||
|
||||
// 2. Span
|
||||
var values = series.Values.ToArray();
|
||||
var spanOutput = new double[values.Length];
|
||||
Gator.Batch(values, spanOutput, jp, js, tp, ts, lp, ls);
|
||||
double spanResult = spanOutput[^1];
|
||||
|
||||
// 3. Streaming
|
||||
var streamingInd = new Gator(jp, js, tp, ts, lp, ls);
|
||||
for (int i = 0; i < series.Count; i++)
|
||||
{
|
||||
streamingInd.Update(series[i]);
|
||||
}
|
||||
double streamingResult = streamingInd.Last.Value;
|
||||
|
||||
// 4. Eventing
|
||||
var pubSource = new TSeries();
|
||||
var eventingInd = new Gator(pubSource, jp, js, tp, ts, lp, ls);
|
||||
for (int i = 0; i < series.Count; i++)
|
||||
{
|
||||
pubSource.Add(series[i]);
|
||||
}
|
||||
double eventingResult = eventingInd.Last.Value;
|
||||
|
||||
Assert.Equal(expected, spanResult, 1e-9);
|
||||
Assert.Equal(expected, streamingResult, 1e-9);
|
||||
Assert.Equal(expected, eventingResult, 1e-9);
|
||||
}
|
||||
|
||||
// ============== G) Span API Tests ==============
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_ValidatesLengths()
|
||||
{
|
||||
double[] source = new double[10];
|
||||
double[] output = new double[5];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Gator.Batch(source, output));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_ValidatesJawPeriod()
|
||||
{
|
||||
double[] source = new double[10];
|
||||
double[] output = new double[10];
|
||||
|
||||
var ex = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, jawPeriod: 0));
|
||||
Assert.Equal("jawPeriod", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_ValidatesTeethPeriod()
|
||||
{
|
||||
double[] source = new double[10];
|
||||
double[] output = new double[10];
|
||||
|
||||
var ex = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, teethPeriod: 0));
|
||||
Assert.Equal("teethPeriod", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_ValidatesLipsPeriod()
|
||||
{
|
||||
double[] source = new double[10];
|
||||
double[] output = new double[10];
|
||||
|
||||
var ex = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, lipsPeriod: 0));
|
||||
Assert.Equal("lipsPeriod", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_ValidatesShifts()
|
||||
{
|
||||
double[] source = new double[10];
|
||||
double[] output = new double[10];
|
||||
|
||||
var ex1 = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, jawShift: -1));
|
||||
Assert.Equal("jawShift", ex1.ParamName);
|
||||
|
||||
var ex2 = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, teethShift: -1));
|
||||
Assert.Equal("teethShift", ex2.ParamName);
|
||||
|
||||
var ex3 = Assert.Throws<ArgumentException>(() => Gator.Batch(source, output, lipsShift: -1));
|
||||
Assert.Equal("lipsShift", ex3.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_EmptyInput_NoOp()
|
||||
{
|
||||
double[] source = Array.Empty<double>();
|
||||
double[] output = Array.Empty<double>();
|
||||
|
||||
var ex = Record.Exception(() => Gator.Batch(source, output));
|
||||
Assert.Null(ex);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_NaN_HandledGracefully()
|
||||
{
|
||||
double[] source = { 100, 101, double.NaN, 103, 104, 105, 106, 107, 108, 109, 110, 111, 112, 113, 114, 115, 116, 117, 118, 119, 120, 121, 122, 123, 124 };
|
||||
double[] output = new double[source.Length];
|
||||
|
||||
Gator.Batch(source, output);
|
||||
|
||||
for (int i = 0; i < output.Length; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(output[i]), $"Output[{i}] should be finite but was {output[i]}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_MatchesTSeriesCalc()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
int jp = 5, js = 3, tp = 3, ts = 2, lp = 2, ls = 1;
|
||||
|
||||
var tsResults = Gator.Batch(series, jp, js, tp, ts, lp, ls);
|
||||
|
||||
var values = series.Values.ToArray();
|
||||
var spanOutput = new double[values.Length];
|
||||
Gator.Batch(values, spanOutput, jp, js, tp, ts, lp, ls);
|
||||
|
||||
for (int i = 0; i < values.Length; i++)
|
||||
{
|
||||
Assert.Equal(tsResults[i].Value, spanOutput[i], 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
// ============== H) Chainability ==============
|
||||
|
||||
[Fact]
|
||||
public void Chainability_Works()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var result = gator.Update(series);
|
||||
Assert.Equal(50, result.Count);
|
||||
Assert.Equal(gator.Last.Value, result.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void PubEvent_Fires()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
int eventCount = 0;
|
||||
gator.Pub += (object? _, in TValueEventArgs _) => eventCount++;
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
gator.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
|
||||
}
|
||||
|
||||
Assert.Equal(15, eventCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chaining_ViaConstructor_Works()
|
||||
{
|
||||
var sma = new Sma(5);
|
||||
var gator = new Gator(sma, jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
sma.Update(tv);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(gator.Last.Value));
|
||||
}
|
||||
|
||||
// ============== Gator-Specific Tests ==============
|
||||
|
||||
[Fact]
|
||||
public void TrendingMarket_ProducesNonZeroHistograms()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var baseTime = DateTime.UtcNow;
|
||||
|
||||
// Strong monotonic increase
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
gator.Update(new TValue(baseTime.AddMinutes(i), 100 + (i * 5)));
|
||||
}
|
||||
|
||||
Assert.True(gator.IsHot);
|
||||
Assert.True(gator.Last.Value > 0, $"Upper should be positive in trend, got {gator.Last.Value}");
|
||||
Assert.True(gator.Lower < 0, $"Lower should be negative in trend, got {gator.Lower}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void StaticBatch_Works()
|
||||
{
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var results = Gator.Batch(series);
|
||||
|
||||
Assert.Equal(100, results.Count);
|
||||
Assert.True(double.IsFinite(results.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsResultsAndIndicator()
|
||||
{
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var (results, indicator) = Gator.Calculate(series, jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
Assert.Equal(100, results.Count);
|
||||
Assert.NotNull(indicator);
|
||||
Assert.True(double.IsFinite(indicator.Last.Value));
|
||||
Assert.True(indicator.IsHot);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,262 @@
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// GATOR Validation Tests — Self-consistency validation.
|
||||
/// No external library (TA-Lib, Skender, Tulip, Ooples) implements the Gator oscillator
|
||||
/// as a standalone indicator. Validation focuses on internal consistency and mathematical correctness.
|
||||
/// </summary>
|
||||
public sealed class GatorValidationTests : IDisposable
|
||||
{
|
||||
private readonly ValidationTestData _testData;
|
||||
private bool _disposed;
|
||||
|
||||
public GatorValidationTests()
|
||||
{
|
||||
_testData = new ValidationTestData();
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
Dispose(true);
|
||||
}
|
||||
|
||||
private void Dispose(bool disposing)
|
||||
{
|
||||
if (_disposed)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
_disposed = true;
|
||||
|
||||
if (disposing)
|
||||
{
|
||||
_testData?.Dispose();
|
||||
}
|
||||
}
|
||||
|
||||
// ============== Self-Consistency ==============
|
||||
|
||||
[Fact]
|
||||
public void Validation_BatchMatchesStreaming()
|
||||
{
|
||||
int[][] paramSets = { new[] { 5, 3, 3, 2, 2, 1 }, new[] { 13, 8, 8, 5, 5, 3 } };
|
||||
var series = _testData.Data;
|
||||
|
||||
foreach (var ps in paramSets)
|
||||
{
|
||||
int jp = ps[0], js = ps[1], tp = ps[2], ts = ps[3], lp = ps[4], ls = ps[5];
|
||||
|
||||
var gatorStream = new Gator(jp, js, tp, ts, lp, ls);
|
||||
var streamResults = new List<double>();
|
||||
foreach (var tv in series)
|
||||
{
|
||||
streamResults.Add(gatorStream.Update(tv).Value);
|
||||
}
|
||||
|
||||
var batchResults = Gator.Batch(series, jp, js, tp, ts, lp, ls);
|
||||
|
||||
Assert.Equal(streamResults.Count, batchResults.Count);
|
||||
for (int i = 0; i < streamResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamResults[i], batchResults[i].Value, 1e-10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_SpanMatchesStreaming()
|
||||
{
|
||||
int[][] paramSets = { new[] { 5, 3, 3, 2, 2, 1 }, new[] { 13, 8, 8, 5, 5, 3 } };
|
||||
var series = _testData.Data;
|
||||
int len = series.Count;
|
||||
|
||||
double[] values = series.Values.ToArray();
|
||||
|
||||
foreach (var ps in paramSets)
|
||||
{
|
||||
int jp = ps[0], js = ps[1], tp = ps[2], ts = ps[3], lp = ps[4], ls = ps[5];
|
||||
|
||||
var gatorStream = new Gator(jp, js, tp, ts, lp, ls);
|
||||
var streamResults = new double[len];
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
streamResults[i] = gatorStream.Update(series[i]).Value;
|
||||
}
|
||||
|
||||
double[] spanResults = new double[len];
|
||||
Gator.Batch(values, spanResults, jp, js, tp, ts, lp, ls);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
Assert.Equal(streamResults[i], spanResults[i], 1e-10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// ============== Known-Value Tests ==============
|
||||
|
||||
[Fact]
|
||||
public void Validation_ConstantPrice_ZeroHistograms()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var baseTime = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
var result = gator.Update(new TValue(baseTime.AddMinutes(i), 100));
|
||||
if (gator.IsHot)
|
||||
{
|
||||
// All SMMAs converge to input → shifted values all equal → histograms = 0
|
||||
Assert.Equal(0.0, result.Value, 1e-6);
|
||||
Assert.Equal(0.0, gator.Lower, 1e-6);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_WarmupBarsReturnZero()
|
||||
{
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var baseTime = DateTime.UtcNow;
|
||||
|
||||
// Before all buffers are full, output is 0
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
var result = gator.Update(new TValue(baseTime.AddMinutes(i), 100 + i));
|
||||
Assert.Equal(0.0, result.Value, 1e-10);
|
||||
Assert.False(gator.IsHot);
|
||||
}
|
||||
}
|
||||
|
||||
// ============== Different Periods ==============
|
||||
|
||||
[Fact]
|
||||
public void Validation_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
var gator_small = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var gator_default = new Gator();
|
||||
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.1, sigma: 0.3);
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
gator_small.Update(tv);
|
||||
gator_default.Update(tv);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(gator_small.Last.Value));
|
||||
Assert.True(double.IsFinite(gator_default.Last.Value));
|
||||
Assert.True(gator_small.Last.Value >= 0);
|
||||
Assert.True(gator_default.Last.Value >= 0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_Calculate_ReturnsHotIndicator()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.3);
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var (results, indicator) = Gator.Calculate(series, jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
|
||||
Assert.Equal(series.Count, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.True(double.IsFinite(indicator.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_BarCorrection_Consistent()
|
||||
{
|
||||
int jp = 5, js = 3, tp = 3, ts = 2, lp = 2, ls = 1;
|
||||
var gator1 = new Gator(jp, js, tp, ts, lp, ls);
|
||||
var gator2 = new Gator(jp, js, tp, ts, lp, ls);
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.3);
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
// Gator1: feed all values normally
|
||||
foreach (var tv in series)
|
||||
{
|
||||
gator1.Update(tv, isNew: true);
|
||||
}
|
||||
|
||||
// Gator2: feed values with correction on last bar
|
||||
for (int i = 0; i < series.Count - 1; i++)
|
||||
{
|
||||
gator2.Update(series[i], isNew: true);
|
||||
}
|
||||
// Feed wrong last value first
|
||||
gator2.Update(new TValue(series[^1].Time, 999999), isNew: true);
|
||||
// Correct it
|
||||
gator2.Update(series[^1], isNew: false);
|
||||
|
||||
Assert.Equal(gator1.Last.Value, gator2.Last.Value, 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_Gator_UpperAlwaysNonNegative()
|
||||
{
|
||||
var gator = new Gator();
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 1.0);
|
||||
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
var result = gator.Update(tv);
|
||||
Assert.True(result.Value >= 0, $"Upper must be non-negative, got {result.Value}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_Gator_LowerAlwaysNonPositive()
|
||||
{
|
||||
var gator = new Gator();
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 1.0);
|
||||
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
foreach (var tv in series)
|
||||
{
|
||||
gator.Update(tv);
|
||||
Assert.True(gator.Lower <= 0, $"Lower must be non-positive, got {gator.Lower}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_Symmetry_UpperAndLowerCoexist()
|
||||
{
|
||||
// In a trending market, both upper and lower should be active
|
||||
var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
|
||||
var baseTime = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
gator.Update(new TValue(baseTime.AddMinutes(i), 100 + (i * 3)));
|
||||
}
|
||||
|
||||
Assert.True(gator.IsHot);
|
||||
// In a strong trend, upper > 0 and lower < 0
|
||||
Assert.True(gator.Last.Value > 0, $"Upper should be positive in trend, got {gator.Last.Value}");
|
||||
Assert.True(gator.Lower < 0, $"Lower should be negative in trend, got {gator.Lower}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validation_ZeroShift_StillWorks()
|
||||
{
|
||||
// Zero shift = no delay, immediate difference
|
||||
var gator = new Gator(jawPeriod: 13, jawShift: 0, teethPeriod: 8, teethShift: 0, lipsPeriod: 5, lipsShift: 0);
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.3);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var result = gator.Update(new TValue(bar.Time, bar.Close));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
Assert.True(result.Value >= 0);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user