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 PivotdemIndicatorTests
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{
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[Fact]
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public void PivotdemIndicator_Constructor_SetsDefaults()
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{
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var indicator = new PivotdemIndicator();
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Assert.True(indicator.ShowColdValues);
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Assert.Contains("PIVOTDEM", 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 PivotdemIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new PivotdemIndicator();
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Assert.Equal(0, PivotdemIndicator.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 PivotdemIndicator_ShortName_IsPivotdem()
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{
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var indicator = new PivotdemIndicator();
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indicator.Initialize();
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Assert.Contains("PIVOTDEM", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void PivotdemIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new PivotdemIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Pivotdem", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void PivotdemIndicator_Initialize_CreatesInternalIndicator()
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{
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var indicator = new PivotdemIndicator();
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indicator.Initialize();
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// 3 line series: PP, R1, S1
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Assert.Equal(3, indicator.LinesSeries.Count);
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}
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[Fact]
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public void PivotdemIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new PivotdemIndicator();
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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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double basePrice = 100 + i * 2;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2);
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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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// PP is index 0
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double pp = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(pp) || double.IsNaN(pp));
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}
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[Fact]
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public void PivotdemIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new PivotdemIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 5; 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(5), 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 pp = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(pp) || double.IsNaN(pp));
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}
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[Fact]
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public void PivotdemIndicator_ThreeLineSeries_ArePresent()
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{
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var indicator = new PivotdemIndicator();
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indicator.Initialize();
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// PP=0, R1=1, S1=2 — DeMark only produces 3 levels
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Assert.Equal(3, indicator.LinesSeries.Count);
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Assert.Contains("PP", indicator.LinesSeries[0].Name, StringComparison.OrdinalIgnoreCase);
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Assert.Contains("R1", indicator.LinesSeries[1].Name, StringComparison.OrdinalIgnoreCase);
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Assert.Contains("S1", indicator.LinesSeries[2].Name, StringComparison.OrdinalIgnoreCase);
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}
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[Fact]
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public void PivotdemIndicator_Description_IsSet()
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{
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var indicator = new PivotdemIndicator();
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Assert.NotNull(indicator.Description);
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Assert.NotEmpty(indicator.Description);
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Assert.Contains("pivot", indicator.Description, StringComparison.OrdinalIgnoreCase);
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}
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}
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@@ -0,0 +1,533 @@
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// PIVOTDEM Tests - DeMark Pivot Points
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namespace QuanTAlib.Tests;
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// -- A) Constructor Validation ------------------------------------------------
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public sealed class PivotdemConstructorTests
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{
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[Fact]
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public void Constructor_Default_SetsProperties()
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{
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var p = new Pivotdem();
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Assert.Equal(2, p.WarmupPeriod);
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Assert.Contains("Pivotdem", p.Name, StringComparison.Ordinal);
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Assert.False(p.IsHot);
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}
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[Fact]
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public void Constructor_InitialState_AllNaN()
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{
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var p = new Pivotdem();
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Assert.True(double.IsNaN(p.PP));
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Assert.True(double.IsNaN(p.R1));
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Assert.True(double.IsNaN(p.S1));
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}
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}
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// -- B) Basic Calculation -----------------------------------------------------
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public sealed class PivotdemBasicTests
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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 p = new Pivotdem();
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000);
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TValue result = p.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 p = new Pivotdem();
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000);
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_ = p.Update(bar);
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Assert.True(double.IsFinite(p.Last.Value) || double.IsNaN(p.Last.Value));
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}
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[Fact]
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public void Update_KnownValues_Bullish_CorrectLevels()
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{
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// Previous bar: O=100, H=110, L=90, C=105 => C>O (bullish)
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// x = 2*H + L + C = 220 + 90 + 105 = 415
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// PP = 415/4 = 103.75
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// R1 = 415/2 - L = 207.5 - 90 = 117.5
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// S1 = 415/2 - H = 207.5 - 110 = 97.5
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var p = new Pivotdem();
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var dt = DateTime.UtcNow;
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// First bar: stores OHLC, no output yet
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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Assert.True(double.IsNaN(p.PP));
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// Second bar: computes from first bar's OHLC
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 108, 1000), isNew: true);
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Assert.Equal(103.75, p.PP, precision: 10);
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Assert.Equal(117.5, p.R1, precision: 10);
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Assert.Equal(97.5, p.S1, precision: 10);
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}
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[Fact]
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public void Update_KnownValues_Bearish_CorrectLevels()
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{
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// Previous bar: O=105, H=110, L=90, C=100 => C<O (bearish)
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// x = H + 2*L + C = 110 + 180 + 100 = 390
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// PP = 390/4 = 97.5
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// R1 = 390/2 - L = 195 - 90 = 105
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// S1 = 390/2 - H = 195 - 110 = 85
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var p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 105, 110, 90, 100, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 100, 115, 95, 102, 1000), isNew: true);
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Assert.Equal(97.5, p.PP, precision: 10);
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Assert.Equal(105.0, p.R1, precision: 10);
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Assert.Equal(85.0, p.S1, precision: 10);
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}
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[Fact]
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public void Update_KnownValues_Doji_CorrectLevels()
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{
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// Previous bar: O=100, H=110, L=90, C=100 => C==O (doji)
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// x = H + L + 2*C = 110 + 90 + 200 = 400
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// PP = 400/4 = 100
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// R1 = 400/2 - L = 200 - 90 = 110
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// S1 = 400/2 - H = 200 - 110 = 90
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var p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 100, 115, 95, 102, 1000), isNew: true);
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Assert.Equal(100.0, p.PP, precision: 10);
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Assert.Equal(110.0, p.R1, precision: 10);
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Assert.Equal(90.0, p.S1, precision: 10);
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}
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[Fact]
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public void Update_LevelsHaveCorrectOrdering()
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{
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// For a normal bar with H > L, S1 < PP < R1
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var p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 100, 110, 90, 100, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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Assert.True(p.S1 < p.PP);
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Assert.True(p.PP < p.R1);
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}
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[Fact]
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public void Name_ContainsPivotdem()
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{
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var p = new Pivotdem();
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Assert.Contains("Pivotdem", p.Name, StringComparison.Ordinal);
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}
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}
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// -- C) State + Bar Correction ------------------------------------------------
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public sealed class PivotdemStateCorrectionTests
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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 p = new Pivotdem();
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_ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000), isNew: true);
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var first = p.Last;
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_ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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var second = p.Last;
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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 p = new Pivotdem();
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var dt = DateTime.UtcNow;
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// Two bars: first stores OHLC, second computes
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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double ppBefore = p.PP;
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// Correct the second bar (isNew=false)
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_ = p.Update(new TBar(dt.AddMinutes(1), 108, 118, 92, 108, 1000), isNew: false);
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// PP should still be based on bar 0's OHLC
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Assert.Equal(ppBefore, p.PP, precision: 10);
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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 p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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double[] ppResults = new double[3];
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for (int i = 0; i < 3; i++)
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{
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_ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false);
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ppResults[i] = p.PP;
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}
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Assert.Equal(ppResults[0], ppResults[1]);
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Assert.Equal(ppResults[1], ppResults[2]);
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}
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[Fact]
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public void IsNew_False_AllLevelsStable()
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{
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var p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false);
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double r1a = p.R1, s1a = p.S1;
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_ = p.Update(new TBar(dt.AddMinutes(1), 108, 120, 88, 110, 1000), isNew: false);
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Assert.Equal(r1a, p.R1);
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Assert.Equal(s1a, p.S1);
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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 p = new Pivotdem();
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var dt = DateTime.UtcNow;
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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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_ = p.Update(new TBar(dt.AddMinutes(i), price, price + 5, price - 5, price + 1, 1000));
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}
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Assert.True(p.IsHot);
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p.Reset();
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Assert.False(p.IsHot);
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Assert.True(double.IsNaN(p.PP));
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Assert.True(double.IsNaN(p.R1));
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Assert.True(double.IsNaN(p.S1));
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}
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}
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// -- D) Warmup / Convergence --------------------------------------------------
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public sealed class PivotdemWarmupTests
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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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var p = new Pivotdem();
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// First bar - not hot
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_ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
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Assert.False(p.IsHot, "Should not be hot after 1 bar");
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// Second bar - should be hot
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_ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 105, 1000));
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Assert.True(p.IsHot, "Should be hot after 2 bars");
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}
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[Fact]
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public void WarmupPeriod_Equals2()
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{
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var p = new Pivotdem();
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Assert.Equal(2, p.WarmupPeriod);
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}
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}
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// -- E) Robustness ------------------------------------------------------------
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public sealed class PivotdemRobustnessTests
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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 p = new Pivotdem();
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var dt = DateTime.UtcNow;
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// Feed valid bars
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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Assert.True(p.IsHot);
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// Feed NaN bar
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_ = p.Update(new TBar(dt.AddMinutes(2), double.NaN, double.NaN, double.NaN, double.NaN, 0), isNew: true);
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// Should still be hot and produce valid pivots from last-valid values
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Assert.True(p.IsHot);
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Assert.True(double.IsFinite(p.PP));
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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 p = new Pivotdem();
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var dt = DateTime.UtcNow;
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_ = p.Update(new TBar(dt, 100, 110, 90, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(1), 105, 115, 95, 105, 1000), isNew: true);
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_ = p.Update(new TBar(dt.AddMinutes(2),
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double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, 0),
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isNew: true);
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Assert.True(p.IsHot);
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Assert.True(double.IsFinite(p.PP));
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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 p = new Pivotdem();
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_ = p.Update(new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 0));
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Assert.True(double.IsNaN(p.Last.Value));
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Assert.True(double.IsNaN(p.PP));
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}
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}
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// -- F) Consistency -----------------------------------------------------------
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public sealed class PivotdemConsistencyTests
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{
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private static TBarSeries CreateGbmBars(int count = 500)
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42);
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return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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[Fact]
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public void Streaming_MatchesBatch()
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{
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var bars = CreateGbmBars();
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// Streaming
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var streaming = new Pivotdem();
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||||
var streamPP = new double[bars.Count];
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for (int i = 0; i < bars.Count; i++)
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{
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_ = streaming.Update(bars[i], isNew: true);
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streamPP[i] = streaming.PP;
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}
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// Batch
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var batchResults = Pivotdem.Batch(bars);
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||||
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for (int i = 1; i < bars.Count; i++)
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{
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if (double.IsNaN(streamPP[i]))
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{
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Assert.True(double.IsNaN(batchResults[i].Value), $"Mismatch at {i}");
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||||
}
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||||
else
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||||
{
|
||||
Assert.Equal(streamPP[i], batchResults[i].Value, precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Streaming_MatchesSpan()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
|
||||
// Streaming
|
||||
var streaming = new Pivotdem();
|
||||
var streamPP = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamPP[i] = streaming.PP;
|
||||
}
|
||||
|
||||
// Span
|
||||
var spanPP = new double[bars.Count];
|
||||
Pivotdem.Batch(bars.OpenValues, bars.HighValues, bars.LowValues, bars.CloseValues, spanPP);
|
||||
|
||||
for (int i = 1; i < bars.Count; i++)
|
||||
{
|
||||
if (double.IsNaN(streamPP[i]))
|
||||
{
|
||||
Assert.True(double.IsNaN(spanPP[i]), $"PP mismatch at {i}");
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.Equal(streamPP[i], spanPP[i], precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Streaming_MatchesBatchAll_AllLevels()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 200);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Pivotdem();
|
||||
var sPP = new double[bars.Count];
|
||||
var sR1 = new double[bars.Count];
|
||||
var sS1 = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
sPP[i] = streaming.PP;
|
||||
sR1[i] = streaming.R1;
|
||||
sS1[i] = streaming.S1;
|
||||
}
|
||||
|
||||
// BatchAll
|
||||
var bPP = new double[bars.Count];
|
||||
var bR1 = new double[bars.Count];
|
||||
var bS1 = new double[bars.Count];
|
||||
|
||||
Pivotdem.BatchAll(bars.OpenValues, bars.HighValues, bars.LowValues, bars.CloseValues,
|
||||
bPP, bR1, bS1);
|
||||
|
||||
for (int i = 1; i < bars.Count; i++)
|
||||
{
|
||||
if (double.IsNaN(sPP[i])) { Assert.True(double.IsNaN(bPP[i])); continue; }
|
||||
|
||||
Assert.Equal(sPP[i], bPP[i], precision: 10);
|
||||
Assert.Equal(sR1[i], bR1[i], precision: 10);
|
||||
Assert.Equal(sS1[i], bS1[i], precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TValue_Update_MatchesTBar_Update()
|
||||
{
|
||||
var p1 = new Pivotdem();
|
||||
var p2 = new Pivotdem();
|
||||
|
||||
double[] prices = [100, 102, 98, 105, 99, 103, 107, 95, 110, 108];
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
double pr = prices[i];
|
||||
_ = p1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), pr, pr, pr, pr, 0), isNew: true);
|
||||
_ = p2.Update(new TValue(DateTime.UtcNow.AddMinutes(i), pr), isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(p1.PP, p2.PP);
|
||||
Assert.Equal(p1.R1, p2.R1);
|
||||
Assert.Equal(p1.S1, p2.S1);
|
||||
}
|
||||
}
|
||||
|
||||
// -- G) Span API Tests --------------------------------------------------------
|
||||
public sealed class PivotdemSpanTests
|
||||
{
|
||||
[Fact]
|
||||
public void Batch_Span_MismatchedLengths_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Pivotdem.Batch(new double[10], new double[5], new double[10], new double[10], new double[10]));
|
||||
Assert.Equal("high", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_Span_OutputTooShort_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Pivotdem.Batch(new double[10], new double[10], new double[10], new double[10], new double[5]));
|
||||
Assert.Equal("ppOutput", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_Span_Empty_NoException()
|
||||
{
|
||||
var ex = Record.Exception(() =>
|
||||
Pivotdem.Batch(ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty,
|
||||
ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty, Span<double>.Empty));
|
||||
Assert.Null(ex);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchAll_OutputTooShort_Throws()
|
||||
{
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Pivotdem.BatchAll(new double[10], new double[10], new double[10], new double[10],
|
||||
new double[10], new double[5], new double[10]));
|
||||
Assert.Equal("r1Out", ex.ParamName);
|
||||
}
|
||||
}
|
||||
|
||||
// -- H) Event / Chainability -------------------------------------------------
|
||||
public sealed class PivotdemEventTests
|
||||
{
|
||||
[Fact]
|
||||
public void Pub_FiresOnUpdate()
|
||||
{
|
||||
var p = new Pivotdem();
|
||||
int fireCount = 0;
|
||||
|
||||
p.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
|
||||
|
||||
_ = p.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
|
||||
|
||||
Assert.Equal(1, fireCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pub_FiresOnEachUpdate()
|
||||
{
|
||||
var p = new Pivotdem();
|
||||
int fireCount = 0;
|
||||
|
||||
p.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
double price = 100.0 + i;
|
||||
_ = p.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 5, price - 5, price + 1, 1000));
|
||||
}
|
||||
|
||||
Assert.Equal(5, fireCount);
|
||||
}
|
||||
}
|
||||
|
||||
// -- I) Prime Tests -----------------------------------------------------------
|
||||
public sealed class PivotdemPrimeTests
|
||||
{
|
||||
[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 p = new Pivotdem();
|
||||
p.Prime(bars);
|
||||
|
||||
Assert.True(p.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Prime_EmptySource_NoException()
|
||||
{
|
||||
var p = new Pivotdem();
|
||||
var bars = new TBarSeries();
|
||||
|
||||
var ex = Record.Exception(() => p.Prime(bars));
|
||||
Assert.Null(ex);
|
||||
Assert.False(p.IsHot);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,243 @@
|
||||
|
||||
// PIVOTDEM Validation Tests - DeMark Pivot Points
|
||||
// Self-consistency validation across all API modes.
|
||||
//
|
||||
// Note: No external libraries (Skender, TA-Lib, Tulip, Ooples) implement
|
||||
// DeMark pivot points. Validation focuses on mathematical correctness,
|
||||
// conditional logic verification, and mode consistency.
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public sealed class PivotdemValidationTests
|
||||
{
|
||||
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));
|
||||
}
|
||||
|
||||
// -- Mathematical Correctness -------------------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void MathCorrectness_PP_MatchesConditionalFormula()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
var p = new Pivotdem();
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = p.Update(bars[i], isNew: true);
|
||||
|
||||
if (i >= 1) // Need previous bar
|
||||
{
|
||||
double pO = bars[i - 1].Open;
|
||||
double pH = bars[i - 1].High;
|
||||
double pL = bars[i - 1].Low;
|
||||
double pC = bars[i - 1].Close;
|
||||
|
||||
double x;
|
||||
if (pC < pO) { x = pH + 2.0 * pL + pC; }
|
||||
else if (pC > pO) { x = 2.0 * pH + pL + pC; }
|
||||
else { x = pH + pL + 2.0 * pC; }
|
||||
|
||||
double expectedPP = x * 0.25;
|
||||
Assert.Equal(expectedPP, p.PP, precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void MathCorrectness_AllLevels_MatchFormula()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
var p = new Pivotdem();
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = p.Update(bars[i], isNew: true);
|
||||
|
||||
if (i >= 1)
|
||||
{
|
||||
double pO = bars[i - 1].Open;
|
||||
double pH = bars[i - 1].High;
|
||||
double pL = bars[i - 1].Low;
|
||||
double pC = bars[i - 1].Close;
|
||||
|
||||
double x;
|
||||
if (pC < pO) { x = pH + 2.0 * pL + pC; }
|
||||
else if (pC > pO) { x = 2.0 * pH + pL + pC; }
|
||||
else { x = pH + pL + 2.0 * pC; }
|
||||
|
||||
double halfX = x * 0.5;
|
||||
Assert.Equal(x * 0.25, p.PP, precision: 10);
|
||||
Assert.Equal(halfX - pL, p.R1, precision: 10);
|
||||
Assert.Equal(halfX - pH, p.S1, precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// -- Self-Consistency: Streaming == Batch --------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void StreamingMatchesBatch_PP()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
|
||||
// Streaming
|
||||
var streaming = new Pivotdem();
|
||||
var streamPP = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamPP[i] = streaming.PP;
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResults = Pivotdem.Batch(bars);
|
||||
|
||||
for (int i = 1; i < bars.Count; i++)
|
||||
{
|
||||
if (double.IsNaN(streamPP[i]))
|
||||
{
|
||||
Assert.True(double.IsNaN(batchResults[i].Value),
|
||||
$"Mismatch at {i}: streaming=NaN, batch={batchResults[i].Value}");
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.Equal(streamPP[i], batchResults[i].Value, precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// -- Self-Consistency: Streaming == Span ---------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void StreamingMatchesSpan_PP()
|
||||
{
|
||||
var bars = CreateGbmBars();
|
||||
|
||||
// Streaming
|
||||
var streaming = new Pivotdem();
|
||||
var streamPP = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
streamPP[i] = streaming.PP;
|
||||
}
|
||||
|
||||
// Span
|
||||
var spanPP = new double[bars.Count];
|
||||
Pivotdem.Batch(bars.OpenValues, bars.HighValues, bars.LowValues, bars.CloseValues, spanPP);
|
||||
|
||||
for (int i = 1; i < bars.Count; i++)
|
||||
{
|
||||
if (double.IsNaN(streamPP[i]))
|
||||
{
|
||||
Assert.True(double.IsNaN(spanPP[i]));
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.Equal(streamPP[i], spanPP[i], precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// -- Self-Consistency: Streaming == BatchAll (all 3 levels) --------------------
|
||||
|
||||
[Fact]
|
||||
public void StreamingMatchesBatchAll_AllLevels()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 300);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Pivotdem();
|
||||
var sPP = new double[bars.Count];
|
||||
var sR1 = new double[bars.Count];
|
||||
var sS1 = new double[bars.Count];
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = streaming.Update(bars[i], isNew: true);
|
||||
sPP[i] = streaming.PP;
|
||||
sR1[i] = streaming.R1;
|
||||
sS1[i] = streaming.S1;
|
||||
}
|
||||
|
||||
// BatchAll
|
||||
var bPP = new double[bars.Count];
|
||||
var bR1 = new double[bars.Count];
|
||||
var bS1 = new double[bars.Count];
|
||||
|
||||
Pivotdem.BatchAll(bars.OpenValues, bars.HighValues, bars.LowValues, bars.CloseValues,
|
||||
bPP, bR1, bS1);
|
||||
|
||||
for (int i = 1; i < bars.Count; i++)
|
||||
{
|
||||
if (double.IsNaN(sPP[i]))
|
||||
{
|
||||
Assert.True(double.IsNaN(bPP[i]));
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.Equal(sPP[i], bPP[i], precision: 10);
|
||||
Assert.Equal(sR1[i], bR1[i], precision: 10);
|
||||
Assert.Equal(sS1[i], bS1[i], precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
// -- Determinism ---------------------------------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void SameInput_ProducesSameOutput()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 200, seed: 123);
|
||||
|
||||
var p1 = new Pivotdem();
|
||||
var p2 = new Pivotdem();
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = p1.Update(bars[i], isNew: true);
|
||||
_ = p2.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(p1.PP, p2.PP);
|
||||
Assert.Equal(p1.R1, p2.R1);
|
||||
Assert.Equal(p1.S1, p2.S1);
|
||||
}
|
||||
|
||||
// -- Calculate Returns Valid Indicator -----------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsValidIndicatorAndResults()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 100);
|
||||
|
||||
var (results, indicator) = Pivotdem.Calculate(bars);
|
||||
|
||||
Assert.NotNull(results);
|
||||
Assert.Equal(bars.Count, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
}
|
||||
|
||||
// -- Level Ordering Invariant --------------------------------------------------
|
||||
|
||||
[Fact]
|
||||
public void AllBars_LevelsOrdered_S1_PP_R1()
|
||||
{
|
||||
var bars = CreateGbmBars(count: 200);
|
||||
var p = new Pivotdem();
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
_ = p.Update(bars[i], isNew: true);
|
||||
|
||||
if (p.IsHot)
|
||||
{
|
||||
Assert.True(p.S1 <= p.PP, $"S1 > PP at bar {i}");
|
||||
Assert.True(p.PP <= p.R1, $"PP > R1 at bar {i}");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
Reference in New Issue
Block a user