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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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public sealed class KstIndicatorTests
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{
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[Fact]
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public void KstIndicator_Constructor_SetsDefaults()
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{
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var indicator = new KstIndicator();
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Assert.Equal(10, indicator.R1);
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Assert.Equal(15, indicator.R2);
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Assert.Equal(20, indicator.R3);
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Assert.Equal(30, indicator.R4);
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Assert.Equal(10, indicator.S1);
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Assert.Equal(10, indicator.S2);
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Assert.Equal(10, indicator.S3);
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Assert.Equal(15, indicator.S4);
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Assert.Equal(9, indicator.SignalPeriod);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("KST - Know Sure Thing 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 KstIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new KstIndicator();
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Assert.Equal(0, KstIndicator.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 KstIndicator_ShortName_IncludesParameters()
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{
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var indicator = new KstIndicator { R1 = 10, R2 = 15, R3 = 20, R4 = 30 };
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indicator.Initialize();
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Assert.Contains("KST", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void KstIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new KstIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Kst", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void KstIndicator_Initialize_CreatesTwoLineSeries()
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{
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var indicator = new KstIndicator { R1 = 5, R2 = 7, R3 = 9, R4 = 11 };
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indicator.Initialize();
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// KST line + Signal line
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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 KstIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new KstIndicator { R1 = 3, R2 = 4, R3 = 5, R4 = 6, S1 = 2, S2 = 2, S3 = 2, S4 = 2, SignalPeriod = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 30; 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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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double kst = indicator.LinesSeries[0].GetValue(0);
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double sig = indicator.LinesSeries[1].GetValue(0);
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Assert.True(double.IsFinite(kst));
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Assert.True(double.IsFinite(sig));
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}
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[Fact]
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public void KstIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new KstIndicator { R1 = 3, R2 = 4, R3 = 5, R4 = 6, S1 = 2, S2 = 2, S3 = 2, S4 = 2, SignalPeriod = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 15; 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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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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indicator.HistoricalData.AddBar(now.AddMinutes(15), 115, 125, 105, 120);
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var newArgs = new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(newArgs);
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double kst = indicator.LinesSeries[0].GetValue(0);
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double sig = indicator.LinesSeries[1].GetValue(0);
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Assert.True(double.IsFinite(kst));
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Assert.True(double.IsFinite(sig));
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}
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[Fact]
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public void KstIndicator_DifferentSourceTypes_ProcessCorrectly()
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{
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foreach (var sourceType in new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close })
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{
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var indicator = new KstIndicator
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{
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R1 = 3, R2 = 4, R3 = 5, R4 = 6,
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S1 = 2, S2 = 2, S3 = 2, S4 = 2,
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SignalPeriod = 2,
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Source = sourceType
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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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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i * 0.5, 110 + i * 0.5, 90 + i * 0.5, 105 + i * 0.5);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
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Assert.True(double.IsFinite(indicator.LinesSeries[1].GetValue(0)));
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}
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}
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}
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@@ -0,0 +1,517 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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// ── A) Constructor Validation ────────────────────────────────────────────────
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public sealed class KstConstructorTests
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{
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[Fact]
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public void Constructor_ZeroR1_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(r1: 0));
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Assert.Equal("r1", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeR2_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(r2: -1));
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Assert.Equal("r2", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroR3_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(r3: 0));
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Assert.Equal("r3", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroR4_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(r4: 0));
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Assert.Equal("r4", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroS1_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(s1: 0));
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Assert.Equal("s1", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroS4_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(s4: 0));
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Assert.Equal("s4", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroSigPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Kst(sigPeriod: 0));
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Assert.Equal("sigPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_Defaults_Creates()
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{
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var kst = new Kst();
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Assert.NotNull(kst);
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Assert.Contains("Kst", kst.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_WarmupPeriod_IsPositive()
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{
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var kst = new Kst();
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Assert.True(kst.WarmupPeriod > 0);
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}
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[Fact]
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public void Constructor_CustomParams_NameReflectsThem()
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{
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var kst = new Kst(r1: 5, r2: 8, r3: 10, r4: 15, s1: 3, s2: 3, s3: 3, s4: 5, sigPeriod: 4);
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Assert.Contains("5", kst.Name, StringComparison.Ordinal);
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Assert.Contains("4", kst.Name, StringComparison.Ordinal);
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}
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}
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// ── B) Basic Calculation ─────────────────────────────────────────────────────
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public sealed class KstBasicTests
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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 kst = new Kst();
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var result = kst.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(result.Value, kst.Last.Value);
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}
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[Fact]
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public void FirstBar_OutputIsFinite()
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{
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var kst = new Kst();
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var result = kst.Update(new TValue(DateTime.UtcNow, 100.0));
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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 Signal_IsFiniteAfterFirstBar()
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{
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var kst = new Kst();
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kst.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.True(double.IsFinite(kst.Signal.Value));
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}
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[Fact]
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public void Name_Available()
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{
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var kst = new Kst();
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Assert.False(string.IsNullOrEmpty(kst.Name));
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}
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[Fact]
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public void Last_IsAccessible()
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{
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var kst = new Kst(r1: 3, r2: 5, r3: 7, r4: 9, s1: 3, s2: 3, s3: 3, s4: 3, sigPeriod: 3);
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for (int i = 0; i < 20; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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Assert.True(double.IsFinite(kst.Last.Value));
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Assert.True(double.IsFinite(kst.KstValue.Value));
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Assert.True(double.IsFinite(kst.Signal.Value));
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}
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[Fact]
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public void ConstantPrice_KstIsZero()
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{
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// All ROC = 0 → KST = 0
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var kst = new Kst(r1: 2, r2: 3, r3: 4, r4: 5, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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for (int i = 0; i < 20; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0));
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}
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Assert.Equal(0.0, kst.KstValue.Value, 1e-10);
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Assert.Equal(0.0, kst.Signal.Value, 1e-10);
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}
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}
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// ── C) State + Bar Correction ────────────────────────────────────────────────
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public sealed class KstBarCorrectionTests
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{
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[Fact]
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public void IsNew_True_AdvancesState()
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{
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var kst = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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for (int i = 0; i < 5; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i * 2), isNew: true);
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}
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double val1 = kst.Last.Value;
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kst.Update(new TValue(DateTime.UtcNow, 110.0), isNew: true);
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double val2 = kst.Last.Value;
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Assert.True(double.IsFinite(val1));
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Assert.True(double.IsFinite(val2));
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}
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[Fact]
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public void IsNew_False_Rollback()
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{
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var kst = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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kst.Update(new TValue(bar.Time, bar.Close), isNew: true);
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}
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var nextBar = gbm.Next(isNew: true);
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var originalInput = new TValue(nextBar.Time, nextBar.Close);
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var val1 = kst.Update(originalInput, isNew: true);
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// Overwrite with different value
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kst.Update(new TValue(nextBar.Time, nextBar.Close + 50), isNew: false);
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// Restore original → must match
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var restored = kst.Update(originalInput, isNew: false);
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Assert.Equal(val1.Value, restored.Value, 1e-10);
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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 kst = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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TValue twentyInput = default;
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for (int i = 0; i < 20; i++)
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{
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var bar = gbm.Next(isNew: true);
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twentyInput = new TValue(bar.Time, bar.Close);
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kst.Update(twentyInput, isNew: true);
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}
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double stateAfterTwenty = kst.Last.Value;
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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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kst.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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var finalResult = kst.Update(twentyInput, isNew: false);
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Assert.Equal(stateAfterTwenty, finalResult.Value, 1e-10);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var kst = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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for (int i = 0; i < 20; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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kst.Reset();
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Assert.False(kst.IsHot);
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Assert.Equal(0.0, kst.Last.Value);
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}
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}
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// ── D) Warmup / Convergence ──────────────────────────────────────────────────
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public sealed class KstWarmupTests
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{
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[Fact]
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public void IsHot_InitiallyFalse()
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{
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var kst = new Kst();
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Assert.False(kst.IsHot);
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}
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[Fact]
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public void IsHot_BecomesTrueAfterWarmupPeriodBars()
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{
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var kst = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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int warmup = kst.WarmupPeriod;
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for (int i = 1; i < warmup; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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Assert.False(kst.IsHot, $"Should not be hot at bar {i} (need {warmup})");
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}
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + warmup));
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Assert.True(kst.IsHot);
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}
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[Fact]
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public void WarmupPeriod_DependsOnParameters()
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{
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var kst1 = new Kst(r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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var kst2 = new Kst(r1: 5, r2: 8, r3: 10, r4: 15, s1: 5, s2: 5, s3: 5, s4: 5, sigPeriod: 5);
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Assert.True(kst2.WarmupPeriod > kst1.WarmupPeriod);
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}
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}
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// ── E) Robustness ────────────────────────────────────────────────────────────
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public sealed class KstRobustnessTests
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{
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[Fact]
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public void NaN_UsesLastValidValue()
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{
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var kst = new Kst(r1: 2, r2: 3, r3: 4, r4: 5, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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for (int i = 0; i < 10; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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kst.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(kst.Last.Value), "NaN input should not produce NaN output");
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}
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[Fact]
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public void PositiveInfinity_UsesLastValidValue()
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{
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var kst = new Kst(r1: 2, r2: 3, r3: 4, r4: 5, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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for (int i = 0; i < 10; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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kst.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(kst.Last.Value));
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}
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[Fact]
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public void BatchNaN_SafeOutput()
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{
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var kst = new Kst(r1: 2, r2: 3, r3: 4, r4: 5, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
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kst.Update(new TValue(DateTime.UtcNow, 100.0));
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for (int i = 0; i < 5; i++)
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{
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kst.Update(new TValue(DateTime.UtcNow, double.NaN));
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}
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kst.Update(new TValue(DateTime.UtcNow, 110.0));
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Assert.True(double.IsFinite(kst.Last.Value));
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}
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}
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// ── F) Consistency (all 4 API modes agree) ───────────────────────────────────
|
||||
public sealed class KstConsistencyTests
|
||||
{
|
||||
private static TSeries MakeSeries(double[] vals)
|
||||
{
|
||||
var times = new List<long>(vals.Length);
|
||||
var values = new List<double>(vals.Length);
|
||||
var t0 = DateTime.UtcNow;
|
||||
for (int i = 0; i < vals.Length; i++)
|
||||
{
|
||||
times.Add(t0.AddSeconds(i).Ticks);
|
||||
values.Add(vals[i]);
|
||||
}
|
||||
return new TSeries(times, values);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Streaming_Equals_Batch_TSeries()
|
||||
{
|
||||
int r1 = 3, r2 = 4, r3 = 5, r4 = 6, s1 = 2, s2 = 2, s3 = 2, s4 = 2, sig = 2;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 7);
|
||||
int count = 50;
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
// Streaming
|
||||
var kstStream = new Kst(r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
var streamK = new double[count];
|
||||
var streamS = new double[count];
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
kstStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
streamK[i] = kstStream.KstValue.Value;
|
||||
streamS[i] = kstStream.Signal.Value;
|
||||
}
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var kstBatch = new Kst(r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
var (batchK, batchSig) = kstBatch.Update(series);
|
||||
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
Assert.Equal(streamK[i], batchK.Values[i], 1e-9);
|
||||
Assert.Equal(streamS[i], batchSig.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_Equals_Streaming()
|
||||
{
|
||||
int r1 = 3, r2 = 4, r3 = 5, r4 = 6, s1 = 2, s2 = 2, s3 = 2, s4 = 2, sig = 2;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 11);
|
||||
int count = 60;
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
// Span Batch
|
||||
var spanK = new double[count];
|
||||
var spanS = new double[count];
|
||||
Kst.Batch(prices, spanK, spanS, r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
|
||||
// Streaming
|
||||
var kstStream = new Kst(r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
kstStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
Assert.Equal(spanK[i], kstStream.KstValue.Value, 1e-9);
|
||||
Assert.Equal(spanS[i], kstStream.Signal.Value, 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Eventing_Equals_Manual_Streaming()
|
||||
{
|
||||
int r1 = 3, r2 = 4, r3 = 5, r4 = 6, s1 = 2, s2 = 2, s3 = 2, s4 = 2, sig = 2;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 13);
|
||||
var series = new TSeries();
|
||||
|
||||
// Subscribe BEFORE adding data so Pub events fire into kstEvent
|
||||
var kstEvent = new Kst(series, r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
series.Add(new TValue(bar.Time, bar.Close), isNew: true);
|
||||
}
|
||||
double eventLast = kstEvent.Last.Value;
|
||||
|
||||
// Manual streaming (replay same data)
|
||||
var kstManual = new Kst(r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
foreach (var tv in series)
|
||||
{
|
||||
kstManual.Update(tv, isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(eventLast, kstManual.Last.Value, 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
// ── G) Span API Tests ────────────────────────────────────────────────────────
|
||||
public sealed class KstSpanTests
|
||||
{
|
||||
[Fact]
|
||||
public void Span_MismatchedOutputLength_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3, 4, 5];
|
||||
double[] kstOut = new double[5];
|
||||
double[] sigOut = new double[4]; // wrong length
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Kst.Batch(src, kstOut, sigOut));
|
||||
Assert.Equal("sigOut", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_MismatchedKstOutputLength_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3, 4, 5];
|
||||
double[] kstOut = new double[4]; // wrong length
|
||||
double[] sigOut = new double[5];
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Kst.Batch(src, kstOut, sigOut));
|
||||
Assert.Equal("kstOut", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_ZeroR1_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3];
|
||||
double[] k = new double[3];
|
||||
double[] s = new double[3];
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Kst.Batch(src, k, s, r1: 0));
|
||||
Assert.Equal("r1", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_EmptyInput_NoException()
|
||||
{
|
||||
double[] src = [];
|
||||
double[] k = [];
|
||||
double[] s = [];
|
||||
Kst.Batch(src, k, s); // should not throw
|
||||
Assert.Empty(src);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_NaNInput_SafeOutput()
|
||||
{
|
||||
var prices = new double[50];
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 99);
|
||||
for (int i = 0; i < 50; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
prices[10] = double.NaN;
|
||||
prices[20] = double.PositiveInfinity;
|
||||
|
||||
var kOut = new double[50];
|
||||
var sOut = new double[50];
|
||||
Kst.Batch(prices, kOut, sOut, r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
|
||||
|
||||
foreach (var v in kOut) { Assert.True(double.IsFinite(v)); }
|
||||
foreach (var v in sOut) { Assert.True(double.IsFinite(v)); }
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_LargeInput_NoStackOverflow()
|
||||
{
|
||||
int n = 5000;
|
||||
var prices = new double[n];
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.01, sigma: 0.1, seed: 77);
|
||||
for (int i = 0; i < n; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
var kOut = new double[n];
|
||||
var sOut = new double[n];
|
||||
Kst.Batch(prices, kOut, sOut); // default periods, large array
|
||||
Assert.True(double.IsFinite(kOut[^1]));
|
||||
}
|
||||
}
|
||||
|
||||
// ── H) Chainability ──────────────────────────────────────────────────────────
|
||||
public sealed class KstChainabilityTests
|
||||
{
|
||||
[Fact]
|
||||
public void Pub_Fires_OnUpdate()
|
||||
{
|
||||
var kst = new Kst(r1: 2, r2: 3, r3: 4, r4: 5, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
|
||||
int fireCount = 0;
|
||||
kst.Pub += (object? _, in TValueEventArgs _e) => fireCount++;
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
kst.Update(new TValue(DateTime.UtcNow, 100.0 + i));
|
||||
}
|
||||
Assert.Equal(5, fireCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EventBasedChaining_WorksCorrectly()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 5);
|
||||
|
||||
var kst = new Kst(series,
|
||||
r1: 2, r2: 3, r3: 4, r4: 5,
|
||||
s1: 2, s2: 2, s3: 2, s4: 2,
|
||||
sigPeriod: 2);
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
series.Add(new TValue(bar.Time, bar.Close), isNew: true);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(kst.Last.Value));
|
||||
Assert.True(double.IsFinite(kst.Signal.Value));
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,237 @@
|
||||
using Xunit;
|
||||
using Xunit.Abstractions;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// KST Validation Tests.
|
||||
/// No external library (TA-Lib, Skender, Tulip, Ooples) implements KST with
|
||||
/// the Pring default parameters (r=10/15/20/30, s=10/10/10/15), so we use
|
||||
/// self-consistency checks: batch==streaming==span, directional correctness,
|
||||
/// and component identity verification.
|
||||
/// </summary>
|
||||
public sealed class KstValidationTests(ITestOutputHelper output)
|
||||
{
|
||||
private readonly ITestOutputHelper _output = output;
|
||||
|
||||
private static double[] GeneratePrices(int count, int seed = 42)
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: seed);
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
return prices;
|
||||
}
|
||||
|
||||
private static TSeries MakeSeries(double[] vals)
|
||||
{
|
||||
var times = new List<long>(vals.Length);
|
||||
var values = new List<double>(vals.Length);
|
||||
var t0 = DateTime.UtcNow;
|
||||
for (int i = 0; i < vals.Length; i++)
|
||||
{
|
||||
times.Add(t0.AddSeconds(i).Ticks);
|
||||
values.Add(vals[i]);
|
||||
}
|
||||
return new TSeries(times, values);
|
||||
}
|
||||
|
||||
// ── A) Streaming == Batch(TSeries) ────────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_Streaming_Equals_Batch()
|
||||
{
|
||||
int[] r = [3, 5, 7, 9];
|
||||
int[] s = [2, 2, 2, 3];
|
||||
int sig = 2;
|
||||
double[] prices = GeneratePrices(200);
|
||||
|
||||
// Streaming
|
||||
var kstStream = new Kst(r[0], r[1], r[2], r[3], s[0], s[1], s[2], s[3], sig);
|
||||
var streamK = new double[prices.Length];
|
||||
var streamS = new double[prices.Length];
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
kstStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
streamK[i] = kstStream.KstValue.Value;
|
||||
streamS[i] = kstStream.Signal.Value;
|
||||
}
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var kstBatch = new Kst(r[0], r[1], r[2], r[3], s[0], s[1], s[2], s[3], sig);
|
||||
var (bK, bS) = kstBatch.Update(series);
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
Assert.Equal(streamK[i], bK.Values[i], 1e-6);
|
||||
Assert.Equal(streamS[i], bS.Values[i], 1e-6);
|
||||
}
|
||||
|
||||
_output.WriteLine("KST Streaming == Batch(TSeries): PASSED");
|
||||
}
|
||||
|
||||
// ── B) Batch(TSeries) == Span ─────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_Batch_Equals_Span()
|
||||
{
|
||||
int r1 = 3, r2 = 5, r3 = 7, r4 = 9, s1 = 2, s2 = 2, s3 = 2, s4 = 3, sig = 2;
|
||||
double[] prices = GeneratePrices(200, seed: 77);
|
||||
|
||||
// Span
|
||||
var spanK = new double[prices.Length];
|
||||
var spanS = new double[prices.Length];
|
||||
Kst.Batch(prices, spanK, spanS, r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var (bK, bS) = Kst.Batch(series, r1, r2, r3, r4, s1, s2, s3, s4, sig);
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
Assert.Equal(spanK[i], bK.Values[i], 1e-9);
|
||||
Assert.Equal(spanS[i], bS.Values[i], 1e-9);
|
||||
}
|
||||
|
||||
_output.WriteLine("KST Batch(TSeries) == Span: PASSED");
|
||||
}
|
||||
|
||||
// ── C) Rising prices → positive ROC → positive KST ────────────────────────
|
||||
[Fact]
|
||||
public void Validate_StrictlyRising_KstPositive()
|
||||
{
|
||||
double startPrice = 100.0;
|
||||
int n = 60;
|
||||
double[] prices = new double[n];
|
||||
for (int i = 0; i < n; i++) { prices[i] = startPrice + i * 0.5; } // constant rise
|
||||
|
||||
var spanK = new double[n];
|
||||
var spanS = new double[n];
|
||||
Kst.Batch(prices, spanK, spanS, r1: 5, r2: 7, r3: 9, r4: 11, s1: 3, s2: 3, s3: 3, s4: 3, sigPeriod: 3);
|
||||
|
||||
// Once warmed up the KST should be positive (all ROC > 0)
|
||||
int warmup = new Kst(5, 7, 9, 11, 3, 3, 3, 3, 3).WarmupPeriod;
|
||||
for (int i = warmup; i < n; i++)
|
||||
{
|
||||
Assert.True(spanK[i] > 0, $"KST should be positive at index {i}, got {spanK[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine("KST directional correctness (rising price → positive KST): PASSED");
|
||||
}
|
||||
|
||||
// ── D) Falling prices → negative KST ─────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_StrictlyFalling_KstNegative()
|
||||
{
|
||||
double startPrice = 200.0;
|
||||
int n = 60;
|
||||
double[] prices = new double[n];
|
||||
for (int i = 0; i < n; i++) { prices[i] = startPrice - i * 0.5; } // constant fall
|
||||
|
||||
var spanK = new double[n];
|
||||
var spanS = new double[n];
|
||||
Kst.Batch(prices, spanK, spanS, r1: 5, r2: 7, r3: 9, r4: 11, s1: 3, s2: 3, s3: 3, s4: 3, sigPeriod: 3);
|
||||
|
||||
int warmup = new Kst(5, 7, 9, 11, 3, 3, 3, 3, 3).WarmupPeriod;
|
||||
for (int i = warmup; i < n; i++)
|
||||
{
|
||||
Assert.True(spanK[i] < 0, $"KST should be negative at index {i}, got {spanK[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine("KST directional correctness (falling price → negative KST): PASSED");
|
||||
}
|
||||
|
||||
// ── E) Constant price → KST = 0 and Signal = 0 ───────────────────────────
|
||||
[Fact]
|
||||
public void Validate_ConstantPrice_KstZero()
|
||||
{
|
||||
int n = 80;
|
||||
double[] prices = new double[n];
|
||||
Array.Fill(prices, 100.0);
|
||||
|
||||
var spanK = new double[n];
|
||||
var spanS = new double[n];
|
||||
Kst.Batch(prices, spanK, spanS, r1: 5, r2: 7, r3: 9, r4: 11, s1: 3, s2: 3, s3: 3, s4: 3, sigPeriod: 3);
|
||||
|
||||
// All ROC = 0, so KST = 0 and Signal = 0
|
||||
for (int i = 0; i < n; i++)
|
||||
{
|
||||
Assert.Equal(0.0, spanK[i], 1e-10);
|
||||
Assert.Equal(0.0, spanS[i], 1e-10);
|
||||
}
|
||||
|
||||
_output.WriteLine("KST constant price → KST=0, Signal=0: PASSED");
|
||||
}
|
||||
|
||||
// ── F) Default parameters (Pring spec) produce finite values ─────────────
|
||||
[Fact]
|
||||
public void Validate_DefaultParameters_FiniteOutput()
|
||||
{
|
||||
double[] prices = GeneratePrices(500, seed: 123);
|
||||
|
||||
var spanK = new double[prices.Length];
|
||||
var spanS = new double[prices.Length];
|
||||
Kst.Batch(prices, spanK, spanS); // all defaults
|
||||
|
||||
int warmup = new Kst().WarmupPeriod;
|
||||
for (int i = warmup; i < prices.Length; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(spanK[i]), $"KST[{i}] not finite: {spanK[i]}");
|
||||
Assert.True(double.IsFinite(spanS[i]), $"Signal[{i}] not finite: {spanS[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine($"KST default parameters (warmup={warmup}), 500 bars: all finite. PASSED");
|
||||
}
|
||||
|
||||
// ── G) Signal lags KST (SMA smoothing effect) ────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_Signal_LooksLikeSmoothedKst()
|
||||
{
|
||||
// A sharp rise then fall in KST leaves signal trailing behind
|
||||
int r1 = 3, r2 = 4, r3 = 5, r4 = 6, s1 = 2, s2 = 2, s3 = 2, s4 = 2, sigPeriod = 4;
|
||||
double[] prices = GeneratePrices(80, seed: 55);
|
||||
|
||||
var spanK = new double[prices.Length];
|
||||
var spanS = new double[prices.Length];
|
||||
Kst.Batch(prices, spanK, spanS, r1, r2, r3, r4, s1, s2, s3, s4, sigPeriod);
|
||||
|
||||
// Signal should not be identical to KST (it is a smoothed version)
|
||||
int warmup = new Kst(r1, r2, r3, r4, s1, s2, s3, s4, sigPeriod).WarmupPeriod;
|
||||
bool anyDifferent = false;
|
||||
for (int i = warmup; i < prices.Length; i++)
|
||||
{
|
||||
if (Math.Abs(spanK[i] - spanS[i]) > 1e-10)
|
||||
{
|
||||
anyDifferent = true;
|
||||
break;
|
||||
}
|
||||
}
|
||||
Assert.True(anyDifferent, "Signal should differ from KST (it is a smoothed version)");
|
||||
|
||||
_output.WriteLine("KST Signal ≠ KST (smoothing effect verified): PASSED");
|
||||
}
|
||||
|
||||
// ── H) Multiple parameter sets produce distinct results ───────────────────
|
||||
[Fact]
|
||||
public void Validate_DifferentParams_ProduceDifferentResults()
|
||||
{
|
||||
double[] prices = GeneratePrices(100, seed: 88);
|
||||
|
||||
var k1 = new double[prices.Length]; var s1a = new double[prices.Length];
|
||||
var k2 = new double[prices.Length]; var s2a = new double[prices.Length];
|
||||
|
||||
Kst.Batch(prices, k1, s1a, r1: 3, r2: 4, r3: 5, r4: 6, s1: 2, s2: 2, s3: 2, s4: 2, sigPeriod: 2);
|
||||
Kst.Batch(prices, k2, s2a, r1: 5, r2: 8, r3: 11, r4: 14, s1: 4, s2: 4, s3: 4, s4: 4, sigPeriod: 4);
|
||||
|
||||
int warmup = Math.Max(
|
||||
new Kst(3, 4, 5, 6, 2, 2, 2, 2, 2).WarmupPeriod,
|
||||
new Kst(5, 8, 11, 14, 4, 4, 4, 4, 4).WarmupPeriod);
|
||||
|
||||
bool anyDifferent = false;
|
||||
for (int i = warmup; i < prices.Length; i++)
|
||||
{
|
||||
if (Math.Abs(k1[i] - k2[i]) > 1e-6) { anyDifferent = true; break; }
|
||||
}
|
||||
Assert.True(anyDifferent, "Different parameters should produce different KST values");
|
||||
|
||||
_output.WriteLine("KST different parameters → different results: PASSED");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user