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:
Miha Kralj
@@ -0,0 +1,374 @@
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namespace QuanTAlib.Tests;
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public class QuantileTests
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{
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[Fact]
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public void Constructor_ValidParameters_NoThrow()
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{
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var q = new Quantile(10, 0.25);
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Assert.Equal("Quantile(10,0.25)", q.Name);
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}
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[Fact]
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public void Constructor_PeriodZero_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Quantile(0, 0.5));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeQuantile_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Quantile(10, -0.01));
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Assert.Equal("quantileLevel", ex.ParamName);
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}
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[Fact]
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public void Constructor_QuantileOver1_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Quantile(10, 1.01));
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Assert.Equal("quantileLevel", ex.ParamName);
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}
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[Fact]
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public void Quantile50_MatchesMedian_OddPeriod()
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{
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// {1, 2, 3, 4, 5} → median = 3
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// rank = 0.5 * (5-1) = 2.0 → sorted[2] = 3
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var q = new Quantile(5, 0.5);
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for (int i = 1; i <= 5; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(3.0, q.Last.Value);
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}
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[Fact]
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public void Quantile50_MatchesMedian_EvenPeriod()
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{
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// {1, 2, 3, 4} → rank = 0.5 * (4-1) = 1.5
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// sorted[1]=2, sorted[2]=3 → 2 + 0.5*(3-2) = 2.5
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var q = new Quantile(4, 0.5);
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for (int i = 1; i <= 4; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(2.5, q.Last.Value);
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}
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[Fact]
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public void Quantile0_ReturnsMinimum()
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{
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var q = new Quantile(5, 0.0);
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q.Update(new TValue(DateTime.UtcNow, 10));
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q.Update(new TValue(DateTime.UtcNow, 20));
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q.Update(new TValue(DateTime.UtcNow, 5));
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q.Update(new TValue(DateTime.UtcNow, 30));
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q.Update(new TValue(DateTime.UtcNow, 15));
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Assert.Equal(5.0, q.Last.Value);
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}
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[Fact]
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public void Quantile1_ReturnsMaximum()
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{
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var q = new Quantile(5, 1.0);
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q.Update(new TValue(DateTime.UtcNow, 10));
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q.Update(new TValue(DateTime.UtcNow, 20));
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q.Update(new TValue(DateTime.UtcNow, 5));
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q.Update(new TValue(DateTime.UtcNow, 30));
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q.Update(new TValue(DateTime.UtcNow, 15));
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Assert.Equal(30.0, q.Last.Value);
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}
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[Fact]
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public void Quantile25_LinearInterpolation()
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{
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// {1, 2, 3, 4, 5} sorted → rank = 0.25 * (5-1) = 1.0 → sorted[1] = 2
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var q = new Quantile(5, 0.25);
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for (int i = 1; i <= 5; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(2.0, q.Last.Value);
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}
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[Fact]
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public void Quantile75_LinearInterpolation()
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{
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// {1, 2, 3, 4, 5} sorted → rank = 0.75 * (5-1) = 3.0 → sorted[3] = 4
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var q = new Quantile(5, 0.75);
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for (int i = 1; i <= 5; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(4.0, q.Last.Value);
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}
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[Fact]
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public void SingleValue_ReturnsItself()
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{
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var q = new Quantile(1, 0.5);
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q.Update(new TValue(DateTime.UtcNow, 42.0));
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Assert.Equal(42.0, q.Last.Value);
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}
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[Fact]
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public void IsHot_FlipsAtPeriod()
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{
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var q = new Quantile(5, 0.5);
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for (int i = 1; i <= 4; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i * 10));
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Assert.False(q.IsHot);
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}
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q.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(q.IsHot);
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}
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[Fact]
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public void Update_IsNewFalse_CorrectsBar()
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{
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var q = new Quantile(5, 0.5);
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// {1, 2, 3, 4, 5} → q50 = 3
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for (int i = 1; i <= 5; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(3.0, q.Last.Value);
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// Correct last bar to 1 → {1, 2, 3, 4, 1} sorted {1,1,2,3,4} → rank=2 → sorted[2]=2
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q.Update(new TValue(DateTime.UtcNow, 1), isNew: false);
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Assert.Equal(2.0, q.Last.Value);
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}
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[Fact]
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public void BarCorrection_RestoreToOriginal()
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{
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var q = new Quantile(5, 0.5);
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// {10, 20, 30, 40, 50} → q50: rank=2 → 30
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q.Update(new TValue(DateTime.UtcNow, 10));
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q.Update(new TValue(DateTime.UtcNow, 20));
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q.Update(new TValue(DateTime.UtcNow, 30));
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q.Update(new TValue(DateTime.UtcNow, 40));
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q.Update(new TValue(DateTime.UtcNow, 50));
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double original = q.Last.Value;
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Assert.Equal(30.0, original);
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// Correct to 5 → {10, 20, 30, 40, 5} sorted {5,10,20,30,40} → q50=20
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q.Update(new TValue(DateTime.UtcNow, 5), isNew: false);
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Assert.NotEqual(original, q.Last.Value);
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Assert.Equal(20.0, q.Last.Value);
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// Correct back to 50
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var result = q.Update(new TValue(DateTime.UtcNow, 50), isNew: false);
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Assert.Equal(original, result.Value);
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}
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[Fact]
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public void NaN_Input_UsesLastValid()
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{
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var q = new Quantile(3, 0.5);
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q.Update(new TValue(DateTime.UtcNow, 10));
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q.Update(new TValue(DateTime.UtcNow, 20));
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q.Update(new TValue(DateTime.UtcNow, 30));
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// NaN should substitute last valid (30) → buffer gets {20, 30, 30} after sliding
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q.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(q.Last.Value));
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}
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[Fact]
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public void Infinity_Input_UsesLastValid()
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{
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var q = new Quantile(3, 0.5);
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q.Update(new TValue(DateTime.UtcNow, 10));
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q.Update(new TValue(DateTime.UtcNow, 20));
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q.Update(new TValue(DateTime.UtcNow, 30));
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q.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(q.Last.Value));
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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 q = new Quantile(5, 0.5);
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for (int i = 1; i <= 10; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.True(q.IsHot);
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q.Reset();
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Assert.False(q.IsHot);
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Assert.Equal(default, q.Last);
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}
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[Fact]
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public void BatchCalc_MatchesStreaming()
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{
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var rng = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var source = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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source.Add(rng.Next());
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}
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int period = 14;
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double quantileLevel = 0.25;
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// Streaming
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var indicator = new Quantile(period, quantileLevel);
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var streamingResults = new double[source.Count];
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for (int i = 0; i < source.Count; i++)
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{
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streamingResults[i] = indicator.Update(new TValue(source.Times[i], source.Values[i])).Value;
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}
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// Batch
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var batchSeries = Quantile.Batch(source, period, quantileLevel);
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for (int i = 0; i < source.Count; i++)
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{
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Assert.Equal(streamingResults[i], batchSeries.Values[i], precision: 10);
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}
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}
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[Fact]
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public void SpanBatch_MatchesStreaming()
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{
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var rng = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 241);
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var source = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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source.Add(rng.Next());
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}
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int period = 14;
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double quantileLevel = 0.75;
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// Streaming
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var indicator = new Quantile(period, quantileLevel);
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var streamingResults = new double[source.Count];
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for (int i = 0; i < source.Count; i++)
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{
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streamingResults[i] = indicator.Update(new TValue(source.Times[i], source.Values[i])).Value;
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}
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// Span batch
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var spanOutput = new double[source.Count];
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Quantile.Batch(source.Values, spanOutput.AsSpan(), period, quantileLevel);
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for (int i = 0; i < source.Count; i++)
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{
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Assert.Equal(streamingResults[i], spanOutput[i], precision: 10);
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}
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}
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[Fact]
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public void SpanBatch_LengthMismatch_Throws()
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{
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var source = new double[] { 1, 2, 3, 4, 5 };
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var output = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Quantile.Batch(source.AsSpan(), output.AsSpan(), 5, 0.5));
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Assert.Equal("output", ex.ParamName);
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}
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[Fact]
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public void SpanBatch_PeriodZero_Throws()
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{
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var source = new double[] { 1, 2, 3 };
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var output = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Quantile.Batch(source.AsSpan(), output.AsSpan(), 0, 0.5));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void SpanBatch_QuantileOutOfRange_Throws()
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{
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var source = new double[] { 1, 2, 3 };
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var output = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Quantile.Batch(source.AsSpan(), output.AsSpan(), 3, 1.01));
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Assert.Equal("quantileLevel", ex.ParamName);
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}
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[Fact]
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public void SpanBatch_EmptyInput_NoException()
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{
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Span<double> source = [];
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Span<double> output = [];
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Quantile.Batch(source, output, 5, 0.5);
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Assert.Equal(0, output.Length);
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}
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[Fact]
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public void SpanBatch_LargeData_NoStackOverflow()
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{
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var rng = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 309);
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var source = new double[10_000];
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for (int i = 0; i < source.Length; i++)
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{
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source[i] = rng.Next().Close;
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}
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var output = new double[source.Length];
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Quantile.Batch(source.AsSpan(), output.AsSpan(), 50, 0.5);
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void Chaining_PubEventFires()
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{
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var q = new Quantile(5, 0.5);
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int eventCount = 0;
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q.Pub += (object? _, in TValueEventArgs e) => eventCount++;
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for (int i = 1; i <= 10; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(10, eventCount);
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}
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[Fact]
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public void ConstantValues_ReturnsConstant()
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{
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var q = new Quantile(5, 0.25);
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for (int i = 0; i < 10; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, 42.0));
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}
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Assert.Equal(42.0, q.Last.Value);
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}
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[Fact]
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public void SlidingWindow_CorrectlyDropsOldest()
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{
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var q = new Quantile(3, 0.5);
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// {100} → 100
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q.Update(new TValue(DateTime.UtcNow, 100));
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// {100, 200} → rank=0.5 → 100 + 0.5*100 = 150
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q.Update(new TValue(DateTime.UtcNow, 200));
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// {100, 200, 300} → rank=1 → 200
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q.Update(new TValue(DateTime.UtcNow, 300));
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Assert.Equal(200.0, q.Last.Value);
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// {200, 300, 400} → rank=1 → 300
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q.Update(new TValue(DateTime.UtcNow, 400));
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Assert.Equal(300.0, q.Last.Value);
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}
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[Fact]
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public void FractionalInterpolation()
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{
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// {1, 2, 3, 4, 5, 6, 7, 8, 9, 10} → q=0.33
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// rank = 0.33 * 9 = 2.97 → lo=2, hi=3
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// sorted[2]=3, sorted[3]=4 → 3 + 0.97*(4-3) = 3.97
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var q = new Quantile(10, 0.33);
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for (int i = 1; i <= 10; i++)
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{
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q.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(3.97, q.Last.Value, precision: 10);
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}
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}
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@@ -0,0 +1,130 @@
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namespace QuanTAlib.Validation;
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/// <summary>
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/// Quantile validation tests — cross-indicator validation against Percentile and Median.
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/// Quantile(q) must equal Percentile(q*100) for all q ∈ [0, 1].
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/// </summary>
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public sealed class QuantileValidationTests
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{
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[Fact]
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public void Quantile50_Matches_MedianIndicator()
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{
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var source = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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source.Add(gbm.Next());
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}
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int period = 14;
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// Quantile at q=0.5
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var quantile = new Quantile(period, 0.5);
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var qResults = new double[source.Count];
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// Median
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var median = new Median(period);
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var mResults = new double[source.Count];
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for (int i = 0; i < source.Count; i++)
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{
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var tv = new TValue(source.Times[i], source.Values[i]);
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qResults[i] = quantile.Update(tv).Value;
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mResults[i] = median.Update(tv).Value;
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}
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for (int i = 0; i < source.Count; i++)
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{
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Assert.Equal(mResults[i], qResults[i], precision: 10);
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}
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}
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[Fact]
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public void Quantile_Matches_Percentile()
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{
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 456);
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var source = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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source.Add(gbm.Next());
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}
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int period = 14;
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// Quantile at q=0.25
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var quantile = new Quantile(period, 0.25);
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var qResults = new double[source.Count];
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// Percentile at p=25
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var percentile = new Percentile(period, 25.0);
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var pResults = new double[source.Count];
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for (int i = 0; i < source.Count; i++)
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{
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var tv = new TValue(source.Times[i], source.Values[i]);
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qResults[i] = quantile.Update(tv).Value;
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pResults[i] = percentile.Update(tv).Value;
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}
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for (int i = 0; i < source.Count; i++)
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{
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Assert.Equal(pResults[i], qResults[i], precision: 10);
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}
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}
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[Fact]
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public void Quantile_BatchAndStreaming_Match()
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{
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double[] data = [10, 20, 15, 30, 25, 40, 35, 50, 45, 60, 55, 70, 65, 80, 75];
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||||
int period = 5;
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double quantileLevel = 0.25;
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// Streaming
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var q = new Quantile(period, quantileLevel);
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||||
var streamingResults = new double[data.Length];
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||||
for (int i = 0; i < data.Length; i++)
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{
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||||
streamingResults[i] = q.Update(new TValue(DateTime.UtcNow, data[i])).Value;
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||||
}
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// Batch via spans
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||||
var spanOutput = new double[data.Length];
|
||||
Quantile.Batch(data.AsSpan(), spanOutput.AsSpan(), period, quantileLevel);
|
||||
|
||||
for (int i = 0; i < data.Length; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], spanOutput[i], precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Quantile_KnownValues()
|
||||
{
|
||||
// {10, 20, 30, 40, 50} sorted, q=0.25 → rank = 0.25*4 = 1.0 → sorted[1] = 20
|
||||
var q = new Quantile(5, 0.25);
|
||||
q.Update(new TValue(DateTime.UtcNow, 10));
|
||||
q.Update(new TValue(DateTime.UtcNow, 20));
|
||||
q.Update(new TValue(DateTime.UtcNow, 30));
|
||||
q.Update(new TValue(DateTime.UtcNow, 40));
|
||||
var result = q.Update(new TValue(DateTime.UtcNow, 50));
|
||||
|
||||
Assert.Equal(20.0, result.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Quantile_BoundaryValues()
|
||||
{
|
||||
// q=0 → minimum, q=1 → maximum
|
||||
var q0 = new Quantile(5, 0.0);
|
||||
var q1 = new Quantile(5, 1.0);
|
||||
|
||||
double[] data = { 30, 10, 50, 20, 40 };
|
||||
for (int i = 0; i < data.Length; i++)
|
||||
{
|
||||
var tv = new TValue(DateTime.UtcNow, data[i]);
|
||||
q0.Update(tv);
|
||||
q1.Update(tv);
|
||||
}
|
||||
|
||||
Assert.Equal(10.0, q0.Last.Value);
|
||||
Assert.Equal(50.0, q1.Last.Value);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user