mirror of
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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 CkstopIndicatorTests
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{
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[Fact]
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public void CkstopIndicator_Constructor_SetsDefaults()
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{
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var indicator = new CkstopIndicator();
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Assert.Equal(10, indicator.AtrPeriod);
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Assert.Equal(1.0, indicator.Multiplier);
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Assert.Equal(9, indicator.StopPeriod);
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Assert.True(indicator.ShowColdValues);
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Assert.Contains("CKSTOP", indicator.Name, StringComparison.Ordinal);
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Assert.False(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 CkstopIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 10 };
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Assert.Equal(0, CkstopIndicator.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 CkstopIndicator_ShortName_IncludesParameters()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 10, Multiplier = 1.0, StopPeriod = 9 };
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indicator.Initialize();
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Assert.Contains("CKSTOP", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("9", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void CkstopIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new CkstopIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Ckstop", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void CkstopIndicator_Initialize_CreatesInternalIndicator()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 10 };
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indicator.Initialize();
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// After init, line series should exist (StopLong + StopShort)
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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 CkstopIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 5, Multiplier = 1.0, StopPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double stopLong = indicator.LinesSeries[0].GetValue(0);
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double stopShort = indicator.LinesSeries[1].GetValue(0);
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Assert.True(double.IsFinite(stopLong));
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Assert.True(double.IsFinite(stopShort));
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}
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[Fact]
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public void CkstopIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 5, Multiplier = 1.0, StopPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; 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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// Simulate a new bar
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indicator.HistoricalData.AddBar(now.AddMinutes(10), 110, 120, 100, 115);
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var newArgs = new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(newArgs);
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double stopLong = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(stopLong));
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}
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[Fact]
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public void CkstopIndicator_TwoLineSeries_ArePresent()
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{
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var indicator = new CkstopIndicator { AtrPeriod = 5, Multiplier = 1.0, StopPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// StopLong is index 0 (green), StopShort is index 1 (red)
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Assert.Equal(2, indicator.LinesSeries.Count);
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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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[Fact]
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public void CkstopIndicator_Description_IsSet()
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{
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var indicator = new CkstopIndicator();
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Assert.NotNull(indicator.Description);
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Assert.NotEmpty(indicator.Description);
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Assert.Contains("stop", indicator.Description, StringComparison.OrdinalIgnoreCase);
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}
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}
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@@ -0,0 +1,512 @@
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// CKSTOP Tests - Chande Kroll Stop
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namespace QuanTAlib.Tests;
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// ── A) Constructor Validation ────────────────────────────────────────────
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public sealed class CkstopConstructorTests
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{
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[Fact]
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public void Constructor_ZeroAtrPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(atrPeriod: 0));
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Assert.Equal("atrPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeAtrPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(atrPeriod: -1));
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Assert.Equal("atrPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroMultiplier_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(multiplier: 0));
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Assert.Equal("multiplier", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeMultiplier_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(multiplier: -1.0));
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Assert.Equal("multiplier", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroStopPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(stopPeriod: 0));
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Assert.Equal("stopPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeStopPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Ckstop(stopPeriod: -1));
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Assert.Equal("stopPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_ValidDefaults_SetsProperties()
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{
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var ck = new Ckstop();
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Assert.Equal(10, ck.AtrPeriod);
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Assert.Equal(1.0, ck.Multiplier);
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Assert.Equal(9, ck.StopPeriod);
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Assert.Equal(19, ck.WarmupPeriod);
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Assert.Contains("Ckstop", ck.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_CustomParams_SetsProperties()
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{
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var ck = new Ckstop(atrPeriod: 14, multiplier: 2.0, stopPeriod: 7);
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Assert.Equal(14, ck.AtrPeriod);
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Assert.Equal(2.0, ck.Multiplier);
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Assert.Equal(7, ck.StopPeriod);
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Assert.Equal(21, ck.WarmupPeriod);
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}
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}
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// ── B) Basic Calculation ─────────────────────────────────────────────────
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public sealed class CkstopBasicTests
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{
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[Fact]
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public void Update_ReturnsTValue()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var bar = new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000);
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TValue result = ck.Update(bar);
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Assert.IsType<TValue>(result);
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}
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[Fact]
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public void Update_Last_IsAccessible()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var bar = new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000);
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_ = ck.Update(bar);
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Assert.True(double.IsFinite(ck.Last.Value) || double.IsNaN(ck.Last.Value));
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}
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[Fact]
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public void Update_StopLong_StopShort_Accessible()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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// Feed enough bars to warm up
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for (int i = 0; i < 10; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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Assert.True(double.IsFinite(ck.StopLong));
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Assert.True(double.IsFinite(ck.StopShort));
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}
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[Fact]
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public void Name_ContainsParameters()
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{
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var ck = new Ckstop(atrPeriod: 14, multiplier: 2.5, stopPeriod: 7);
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Assert.Contains("14", ck.Name, StringComparison.Ordinal);
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Assert.Contains("2.5", ck.Name, StringComparison.Ordinal);
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Assert.Contains("7", ck.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void StopLong_BelowPrice_InUptrend()
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{
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var ck = new Ckstop(atrPeriod: 5, multiplier: 1.0, stopPeriod: 3);
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double basePrice = 100.0;
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// Steady uptrend
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for (int i = 0; i < 20; i++)
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{
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double price = basePrice + i * 2;
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_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(i),
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price + 1, price - 1, price + 0.5, price, 1000));
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}
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Assert.True(ck.StopLong < 100.0 + 19 * 2, "StopLong should be below the current price in an uptrend");
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}
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}
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// ── C) State + Bar Correction ────────────────────────────────────────────
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public sealed class CkstopStateCorrectionTests
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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 ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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_ = ck.Update(new TBar(DateTime.UtcNow, 105, 95, 100, 100, 1000), isNew: true);
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var first = ck.Last;
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_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 110, 100, 105, 105, 1000), isNew: true);
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var second = ck.Last;
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// Second update should change (new bar)
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Assert.NotEqual(first.Time, second.Time);
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}
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[Fact]
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public void IsNew_False_CorrectionRestoresState()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var dt = DateTime.UtcNow;
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// Feed some bars to warm up
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000), isNew: true);
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}
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// New bar
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_ = ck.Update(new TBar(dt.AddMinutes(5), 110, 105, 108, 107, 1000), isNew: true);
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// Correct the bar (isNew=false with different values)
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_ = ck.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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// Another correction should produce same result
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_ = ck.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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var corrected1 = ck.StopLong;
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_ = ck.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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var corrected2 = ck.StopLong;
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Assert.Equal(corrected1, corrected2);
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}
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[Fact]
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public void IterativeCorrections_ProduceSameResult()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var dt = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000), isNew: true);
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}
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// Add new bar then correct 3 times
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_ = ck.Update(new TBar(dt.AddMinutes(5), 110, 100, 108, 105, 1000), isNew: true);
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double[] results = new double[3];
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for (int i = 0; i < 3; i++)
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{
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_ = ck.Update(new TBar(dt.AddMinutes(5), 112, 101, 110, 107, 1000), isNew: false);
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results[i] = ck.StopLong;
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}
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Assert.Equal(results[0], results[1]);
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Assert.Equal(results[1], results[2]);
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}
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[Fact]
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public void Reset_ClearsAllState()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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for (int i = 0; i < 10; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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Assert.True(ck.IsHot);
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ck.Reset();
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Assert.False(ck.IsHot);
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Assert.True(double.IsNaN(ck.StopLong));
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Assert.True(double.IsNaN(ck.StopShort));
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}
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}
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// ── D) Warmup / Convergence ──────────────────────────────────────────────
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public sealed class CkstopWarmupTests
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{
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[Fact]
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public void IsHot_FlipsAfterWarmup()
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{
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int atrPeriod = 5;
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int stopPeriod = 3;
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var ck = new Ckstop(atrPeriod: atrPeriod, multiplier: 1.0, stopPeriod: stopPeriod);
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int warmup = atrPeriod + stopPeriod;
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for (int i = 0; i < warmup; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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if (i < warmup - 1)
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{
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Assert.False(ck.IsHot, $"Should not be hot at bar {i}");
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}
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}
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Assert.True(ck.IsHot, $"Should be hot after {warmup} bars");
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}
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[Fact]
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public void WarmupPeriod_EqualsAtrPlusStoP()
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{
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var ck = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
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Assert.Equal(19, ck.WarmupPeriod);
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}
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}
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// ── E) Robustness ────────────────────────────────────────────────────────
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public sealed class CkstopRobustnessTests
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{
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var dt = DateTime.UtcNow;
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// Feed valid bars
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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// Feed NaN bar
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_ = ck.Update(new TBar(dt.AddMinutes(5), double.NaN, double.NaN, double.NaN, double.NaN, 0));
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// Should still produce finite output (using last-valid substitution)
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Assert.True(double.IsFinite(ck.StopLong));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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var dt = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = ck.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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_ = ck.Update(new TBar(dt.AddMinutes(5),
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double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, double.PositiveInfinity, 0));
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Assert.True(double.IsFinite(ck.StopLong));
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}
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[Fact]
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public void FirstBar_NaN_ReturnsNaN()
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{
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var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
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||||
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_ = ck.Update(new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 0));
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Assert.True(double.IsNaN(ck.Last.Value));
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}
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}
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// ── F) Consistency ───────────────────────────────────────────────────────
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||||
public sealed class CkstopConsistencyTests
|
||||
{
|
||||
private static TBarSeries CreateGbmBars(int count = 500)
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42);
|
||||
return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Streaming_MatchesBatch()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
int atrPeriod = 10;
|
||||
double multiplier = 1.0;
|
||||
int stopPeriod = 9;
|
||||
|
||||
// Streaming
|
||||
var streaming = new Ckstop(atrPeriod, multiplier, stopPeriod);
|
||||
var streamResults = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamResults[i] = streaming.StopLong;
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResults = Ckstop.Batch(bars, atrPeriod, multiplier, stopPeriod);
|
||||
|
||||
int warmup = atrPeriod + stopPeriod;
|
||||
for (int i = warmup; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamResults[i], batchResults[i].Value, precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void StopShort_GreaterOrEqual_StopLong_InTrend()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
var ck = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
|
||||
int aboveCount = 0;
|
||||
int belowCount = 0;
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = ck.Update(bars[i], isNew: true);
|
||||
|
||||
if (ck.IsHot)
|
||||
{
|
||||
if (ck.StopShort >= ck.StopLong)
|
||||
{
|
||||
aboveCount++;
|
||||
}
|
||||
else
|
||||
{
|
||||
belowCount++;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// In general, StopShort (highest of initial stops) should often be >= StopLong (lowest of initial stops)
|
||||
// but crossovers do happen — just verify both counts are non-zero showing the indicator works
|
||||
Assert.True(aboveCount + belowCount > 0, "Should have some hot bars");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TValue_Update_MatchesTBar_Update()
|
||||
{
|
||||
var ck1 = new Ckstop(atrPeriod: 5, multiplier: 1.0, stopPeriod: 3);
|
||||
var ck2 = new Ckstop(atrPeriod: 5, multiplier: 1.0, stopPeriod: 3);
|
||||
|
||||
double[] prices = [100, 102, 98, 105, 99, 103, 107, 95, 110, 108];
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
double p = prices[i];
|
||||
// TBar with equal OHLC
|
||||
_ = ck1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), p, p, p, p, 0), isNew: true);
|
||||
// TValue
|
||||
_ = ck2.Update(new TValue(DateTime.UtcNow.AddMinutes(i), p), isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(ck1.StopLong, ck2.StopLong);
|
||||
Assert.Equal(ck1.StopShort, ck2.StopShort);
|
||||
}
|
||||
}
|
||||
|
||||
// ── G) Span API Tests ────────────────────────────────────────────────────
|
||||
public sealed class CkstopSpanTests
|
||||
{
|
||||
[Fact]
|
||||
public void Batch_Span_InvalidAtrPeriod_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Ckstop.Batch(new double[10], new double[10], new double[10], new double[10], new double[10], atrPeriod: 0));
|
||||
Assert.Equal("atrPeriod", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_Span_MismatchedLengths_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Ckstop.Batch(new double[10], new double[10], new double[5], new double[10], new double[10], atrPeriod: 5));
|
||||
Assert.Equal("high", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_Span_OutputTooShort_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Ckstop.Batch(new double[10], new double[10], new double[10], new double[10], new double[5], atrPeriod: 5));
|
||||
Assert.Equal("output", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_Span_Empty_NoException()
|
||||
{
|
||||
var output = Array.Empty<double>();
|
||||
var ex = Record.Exception(() =>
|
||||
Ckstop.Batch(ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty,
|
||||
ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty, output.AsSpan(), atrPeriod: 5));
|
||||
Assert.Null(ex);
|
||||
}
|
||||
}
|
||||
|
||||
// ── H) Event / Chainability ──────────────────────────────────────────────
|
||||
public sealed class CkstopEventTests
|
||||
{
|
||||
[Fact]
|
||||
public void Pub_FiresOnUpdate()
|
||||
{
|
||||
var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
|
||||
int fireCount = 0;
|
||||
|
||||
ck.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
|
||||
|
||||
_ = ck.Update(new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000));
|
||||
|
||||
Assert.Equal(1, fireCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pub_FiresOnEachUpdate()
|
||||
{
|
||||
var ck = new Ckstop(atrPeriod: 3, multiplier: 1.0, stopPeriod: 2);
|
||||
int fireCount = 0;
|
||||
|
||||
ck.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
double price = 100.0 + i;
|
||||
_ = ck.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
|
||||
}
|
||||
|
||||
Assert.Equal(5, fireCount);
|
||||
}
|
||||
}
|
||||
|
||||
// ── I) Prime Tests ───────────────────────────────────────────────────────
|
||||
public sealed class CkstopPrimeTests
|
||||
{
|
||||
[Fact]
|
||||
public void Prime_TBarSeries_SetsState()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42);
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var ck = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
ck.Prime(bars);
|
||||
|
||||
Assert.True(ck.IsHot);
|
||||
Assert.True(double.IsFinite(ck.StopLong));
|
||||
Assert.True(double.IsFinite(ck.StopShort));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Prime_EmptySource_NoException()
|
||||
{
|
||||
var ck = new Ckstop();
|
||||
var bars = new TBarSeries();
|
||||
|
||||
var ex = Record.Exception(() => ck.Prime(bars));
|
||||
Assert.Null(ex);
|
||||
Assert.False(ck.IsHot);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,175 @@
|
||||
// CKSTOP Validation Tests - Chande Kroll Stop
|
||||
// No external library implements CKSTOP, so validation uses self-consistency checks.
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public sealed class CkstopValidationTests
|
||||
{
|
||||
private static TBarSeries CreateGbmBars(int count = 500, int seed = 42)
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: seed);
|
||||
return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
}
|
||||
|
||||
// ── Self-Consistency: Streaming == Batch ──────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void StreamingMatchesBatch_StopLong()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
int atrPeriod = 10;
|
||||
double multiplier = 1.0;
|
||||
int stopPeriod = 9;
|
||||
|
||||
// Streaming
|
||||
var streaming = new Ckstop(atrPeriod, multiplier, stopPeriod);
|
||||
var streamStopLong = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamStopLong[i] = streaming.StopLong;
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResults = Ckstop.Batch(bars, atrPeriod, multiplier, stopPeriod);
|
||||
|
||||
int warmup = atrPeriod + stopPeriod;
|
||||
for (int i = warmup; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamStopLong[i], batchResults[i].Value, precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
// ── Self-Consistency: Streaming == Span ───────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void StreamingMatchesSpan_StopLong()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
int atrPeriod = 10;
|
||||
double multiplier = 1.0;
|
||||
int stopPeriod = 9;
|
||||
|
||||
// Streaming
|
||||
var streaming = new Ckstop(atrPeriod, multiplier, stopPeriod);
|
||||
var streamStopLong = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamStopLong[i] = streaming.StopLong;
|
||||
}
|
||||
|
||||
// Span
|
||||
var spanOutput = new double[bars.Count];
|
||||
Ckstop.Batch(bars.OpenValues, bars.HighValues, bars.LowValues, bars.CloseValues,
|
||||
spanOutput, atrPeriod, multiplier, stopPeriod);
|
||||
|
||||
int warmup = atrPeriod + stopPeriod;
|
||||
for (int i = warmup; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamStopLong[i], spanOutput[i], precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
// ── Directional Correctness ──────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void HigherMultiplier_NarrowsStopGap()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
|
||||
var narrow = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
var wide = new Ckstop(atrPeriod: 10, multiplier: 3.0, stopPeriod: 9);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = narrow.Update(bars[i], isNew: true);
|
||||
_ = wide.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
// Higher multiplier: StopLong = LowestLow + q*ATR → goes UP
|
||||
// StopShort = HighestHigh - q*ATR → goes DOWN
|
||||
// The gap (StopShort - StopLong) narrows with higher multiplier.
|
||||
double narrowGap = narrow.StopShort - narrow.StopLong;
|
||||
double wideGap = wide.StopShort - wide.StopLong;
|
||||
Assert.True(wideGap < narrowGap,
|
||||
$"Wide gap ({wideGap}) should be < narrow gap ({narrowGap})");
|
||||
}
|
||||
|
||||
// ── Determinism ──────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void SameInput_ProducesSameOutput()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 200, seed: 123);
|
||||
|
||||
var ck1 = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
var ck2 = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = ck1.Update(bars[i], isNew: true);
|
||||
_ = ck2.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(ck1.StopLong, ck2.StopLong);
|
||||
Assert.Equal(ck1.StopShort, ck2.StopShort);
|
||||
}
|
||||
|
||||
// ── StopLong and StopShort Finite After Warmup ───────────────────────
|
||||
|
||||
[Fact]
|
||||
public void AfterWarmup_BothStopsAreFinite()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
var ck = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = ck.Update(bars[i], isNew: true);
|
||||
|
||||
if (ck.IsHot)
|
||||
{
|
||||
Assert.True(double.IsFinite(ck.StopLong), $"StopLong should be finite at bar {i}");
|
||||
Assert.True(double.IsFinite(ck.StopShort), $"StopShort should be finite at bar {i}");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// ── Different Seeds Produce Different Results ─────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void DifferentSeeds_ProduceDifferentStops()
|
||||
{
|
||||
var bars1 = CreateGbmBars(count: 100, seed: 42);
|
||||
var bars2 = CreateGbmBars(count: 100, seed: 99);
|
||||
|
||||
var ck1 = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
var ck2 = new Ckstop(atrPeriod: 10, multiplier: 1.0, stopPeriod: 9);
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
_ = ck1.Update(bars1[i], isNew: true);
|
||||
_ = ck2.Update(bars2[i], isNew: true);
|
||||
}
|
||||
|
||||
// Very unlikely to be equal with different random data
|
||||
Assert.NotEqual(ck1.StopLong, ck2.StopLong);
|
||||
}
|
||||
|
||||
// ── Calculate Returns Valid Indicator ─────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsValidIndicatorAndResults()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
|
||||
var (results, indicator) = Ckstop.Calculate(bars);
|
||||
|
||||
Assert.NotNull(results);
|
||||
Assert.Equal(bars.Count, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.True(double.IsFinite(indicator.StopLong));
|
||||
Assert.True(double.IsFinite(indicator.StopShort));
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user