mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-26 06:18:05 +00:00
docs: remove C# Implementation Considerations sections, clean up temp scripts, reorganize test files
- Remove 'C# Implementation Considerations' sections from 34 indicator .md files - Delete 29 temp PowerShell scripts (_fix_mojibake.ps1, _hex_scan.ps1, etc.) - Move test files into tests/ subdirectories for consistent project structure - Add trader-focused bullet points to indicator documentation
This commit is contained in:
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class LemaIndicatorTests
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{
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[Fact]
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public void LemaIndicator_Constructor_SetsDefaults()
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{
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var indicator = new LemaIndicator();
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Assert.Equal(10, indicator.Period);
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Assert.Equal(SourceType.Close, indicator.Source);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("LEMA - Leader Exponential Moving Average", indicator.Name);
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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 LemaIndicator_MinHistoryDepths_EqualsPeriod()
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{
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var indicator = new LemaIndicator { Period = 20 };
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Assert.Equal(0, LemaIndicator.MinHistoryDepths);
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Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void LemaIndicator_ShortName_IncludesPeriodAndSource()
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{
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var indicator = new LemaIndicator { Period = 15 };
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Assert.Contains("LEMA", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("15", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void LemaIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new LemaIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Lema.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void LemaIndicator_Initialize_CreatesInternalLema()
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{
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var indicator = new LemaIndicator { Period = 10 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void LemaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new LemaIndicator { Period = 3 };
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indicator.Initialize();
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// Add historical data
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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// Process update
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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// Line series should have a value
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Assert.Equal(1, indicator.LinesSeries[0].Count);
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
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}
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[Fact]
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public void LemaIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new LemaIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void LemaIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new LemaIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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double firstValue = indicator.LinesSeries[0].GetValue(0);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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double secondValue = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(firstValue));
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Assert.True(double.IsFinite(secondValue));
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}
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[Fact]
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public void LemaIndicator_MultipleUpdates_ProducesCorrectLemaSequence()
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{
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var indicator = new LemaIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 102, 104, 103, 105 };
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foreach (var close in closes)
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{
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indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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// All values should be finite
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for (int i = 0; i < closes.Length; i++)
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{
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
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}
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}
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[Fact]
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public void LemaIndicator_DifferentSourceTypes_Work()
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{
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var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 };
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foreach (var source in sources)
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{
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var indicator = new LemaIndicator { Period = 3, Source = source };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
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$"Source {source} should produce finite value");
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}
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}
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}
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@@ -0,0 +1,329 @@
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namespace QuanTAlib.Tests;
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public class LemaTests
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{
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[Fact]
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public void Lema_Matches_ManualCalculation()
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{
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// Arrange
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const int period = 10;
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var lema = new Lema(period);
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var ema1 = new Ema(period);
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var ema2 = new Ema(period);
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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// Act & Assert
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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var tVal = new TValue(bar.Time, bar.Close);
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var lVal = lema.Update(tVal);
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var e1Val = ema1.Update(tVal);
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double error = tVal.Value - e1Val.Value;
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var e2Val = ema2.Update(new TValue(tVal.Time, error));
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double expected = e1Val.Value + e2Val.Value;
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Assert.Equal(expected, lVal.Value, 1e-9);
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}
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}
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[Fact]
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public void StaticCalculate_Matches_ObjectUpdate()
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{
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// Arrange
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const int period = 10;
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var source = new TSeries();
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source.Add(new TValue(bar.Time, bar.Close));
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}
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// Act
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var lemaSeries = Lema.Batch(source, period);
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var lemaObj = new Lema(period);
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// Assert
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for (int i = 0; i < source.Count; i++)
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{
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var val = lemaObj.Update(source[i]);
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Assert.Equal(val.Value, lemaSeries[i].Value, 1e-9);
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}
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}
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[Fact]
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public void ZeroAllocCalculate_Matches_ObjectUpdate()
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{
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// Arrange
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const int period = 10;
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const int count = 100;
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var source = new double[count];
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var output = new double[count];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < count; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Act
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Lema.Batch(source, output, period);
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var lemaObj = new Lema(period);
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// Assert
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for (int i = 0; i < count; i++)
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{
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var val = lemaObj.Update(new TValue(DateTime.UtcNow, source[i]));
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Assert.Equal(val.Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Alpha_Constructor_Matches_Period_Constructor()
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{
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// Arrange
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const int period = 10;
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double alpha = 2.0 / (period + 1);
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var lemaPeriod = new Lema(period);
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var lemaAlpha = new Lema(alpha);
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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// Act & Assert
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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var tVal = new TValue(bar.Time, bar.Close);
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var pVal = lemaPeriod.Update(tVal);
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var aVal = lemaAlpha.Update(tVal);
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Assert.Equal(pVal.Value, aVal.Value, 1e-9);
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}
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}
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[Fact]
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public void Alpha_Constructor_Sets_WarmupPeriod()
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{
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const int period = 10;
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double alpha = 2.0 / (period + 1);
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var lema = new Lema(alpha);
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Assert.Equal(period, lema.WarmupPeriod);
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}
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[Fact]
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public void StaticCalculate_Alpha_Matches_ObjectUpdate()
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{
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// Arrange
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const double alpha = 0.15;
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var source = new TSeries();
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source.Add(new TValue(bar.Time, bar.Close));
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}
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// Act
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var lemaSeries = Lema.Batch(source, alpha);
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var lemaObj = new Lema(alpha);
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// Assert
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for (int i = 0; i < source.Count; i++)
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{
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var val = lemaObj.Update(source[i]);
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Assert.Equal(val.Value, lemaSeries[i].Value, 1e-9);
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}
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}
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[Fact]
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public void ZeroAllocCalculate_Alpha_Matches_ObjectUpdate()
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{
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// Arrange
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const double alpha = 0.15;
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const int count = 100;
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var source = new double[count];
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var output = new double[count];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < count; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Act
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Lema.Batch(source, output, alpha);
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var lemaObj = new Lema(alpha);
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// Assert
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for (int i = 0; i < count; i++)
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{
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var val = lemaObj.Update(new TValue(DateTime.UtcNow, source[i]));
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Assert.Equal(val.Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Lema_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Lema(0));
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Assert.Throws<ArgumentException>(() => new Lema(-1));
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Assert.Throws<ArgumentException>(() => new Lema(0.0));
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Assert.Throws<ArgumentException>(() => new Lema(1.1));
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}
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[Fact]
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public void Lema_Calc_IsNew_AcceptsParameter()
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{
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var lema = new Lema(10);
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lema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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Assert.Equal(100, lema.Last.Value);
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}
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[Fact]
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public void Lema_Reset_ClearsState()
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{
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var lema = new Lema(10);
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lema.Update(new TValue(DateTime.UtcNow, 100));
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lema.Update(new TValue(DateTime.UtcNow, 110));
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lema.Reset();
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Assert.Equal(0, lema.Last.Value);
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Assert.False(lema.IsHot);
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}
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[Fact]
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public void Lema_IterativeCorrections_RestoreToOriginalState()
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{
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var lema = new Lema(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 10 new values
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TValue tenthInput = default;
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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tenthInput = new TValue(bar.Time, bar.Close);
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lema.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double valueAfterTen = lema.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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lema.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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// Feed the remembered 10th input again with isNew=false
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TValue finalValue = lema.Update(tenthInput, isNew: false);
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// Should match the original state after 10 values
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Assert.Equal(valueAfterTen, finalValue.Value, 1e-9);
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}
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[Fact]
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public void Lema_NaN_Input_UsesLastValidValue()
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{
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var lema = new Lema(10);
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lema.Update(new TValue(DateTime.UtcNow, 100));
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lema.Update(new TValue(DateTime.UtcNow, 110));
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var resultAfterNaN = lema.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(resultAfterNaN.Value));
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Assert.NotEqual(0, resultAfterNaN.Value);
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}
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[Fact]
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public void Lema_SpanCalc_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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Assert.Throws<ArgumentException>(() => Lema.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Lema.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Lema_SpanCalc_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Lema.Batch(source.AsSpan(), output.AsSpan(), 3);
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val));
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}
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}
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[Fact]
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public void Lema_AllModes_ProduceSameResult()
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{
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// Arrange
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const int period = 10;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch Mode
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var batchSeries = Lema.Batch(series, period);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Lema.Batch(spanInput, spanOutput, period);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Lema(period);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Lema(pubSource, period);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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// Assert
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Assert.Equal(expected, spanResult, precision: 9);
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Assert.Equal(expected, streamingResult, precision: 9);
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Assert.Equal(expected, eventingResult, precision: 9);
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}
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[Fact]
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public void StaticCalculate_HandlesInitialNaN_Correctly()
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{
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double[] source = { double.NaN, double.NaN, 10.0, 11.0, 12.0 };
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double[] output = new double[source.Length];
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Lema.Batch(source, output, 3);
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// We expect the first two outputs to be NaN because the input was NaN
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Assert.True(double.IsNaN(output[0]), $"Output[0] should be NaN, but was {output[0]}");
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Assert.True(double.IsNaN(output[1]), $"Output[1] should be NaN, but was {output[1]}");
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// The first valid value is 10.0.
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Assert.Equal(10.0, output[2], 1e-9);
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}
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}
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@@ -0,0 +1,212 @@
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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||||
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||||
public sealed class LemaValidationTests : IDisposable
|
||||
{
|
||||
private readonly ValidationTestData _testData;
|
||||
private readonly ITestOutputHelper _output;
|
||||
private bool _disposed;
|
||||
|
||||
public LemaValidationTests(ITestOutputHelper output)
|
||||
{
|
||||
_output = output;
|
||||
_testData = new ValidationTestData();
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
Dispose(true);
|
||||
}
|
||||
|
||||
private void Dispose(bool disposing)
|
||||
{
|
||||
if (_disposed)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
_disposed = true;
|
||||
|
||||
if (disposing)
|
||||
{
|
||||
_testData?.Dispose();
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_ManualEmaComposition_Batch()
|
||||
{
|
||||
// LEMA = EMA(source) + EMA(source - EMA(source))
|
||||
// Validate batch mode against manual two-EMA composition
|
||||
int[] periods = { 5, 10, 20, 50, 100 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var lema = new Lema(period);
|
||||
var qResult = lema.Update(_testData.Data);
|
||||
|
||||
// Manual composition
|
||||
var ema1 = new Ema(period);
|
||||
var ema2 = new Ema(period);
|
||||
var manualResults = new List<double>();
|
||||
|
||||
for (int i = 0; i < _testData.Data.Count; i++)
|
||||
{
|
||||
var item = _testData.Data[i];
|
||||
var e1 = ema1.Update(item);
|
||||
double error = item.Value - e1.Value;
|
||||
var e2 = ema2.Update(new TValue(item.Time, error));
|
||||
manualResults.Add(e1.Value + e2.Value);
|
||||
}
|
||||
|
||||
// Compare all records
|
||||
for (int i = 0; i < qResult.Count; i++)
|
||||
{
|
||||
Assert.Equal(manualResults[i], qResult[i].Value, 1e-9);
|
||||
}
|
||||
}
|
||||
_output.WriteLine("LEMA Batch(TSeries) validated successfully against manual EMA composition");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_StreamingVsBatch_Consistency()
|
||||
{
|
||||
// Streaming mode must match batch mode exactly
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
// Batch
|
||||
var batchResult = Lema.Batch(_testData.Data, period);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Lema(period);
|
||||
for (int i = 0; i < _testData.Data.Count; i++)
|
||||
{
|
||||
streaming.Update(_testData.Data[i]);
|
||||
}
|
||||
|
||||
// Compare last 100 records
|
||||
int start = Math.Max(0, _testData.Data.Count - 100);
|
||||
for (int i = start; i < _testData.Data.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResult[i].Value, batchResult[i].Value, 1e-9);
|
||||
}
|
||||
}
|
||||
_output.WriteLine("LEMA Streaming vs Batch validated successfully");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_SpanVsStreaming_Consistency()
|
||||
{
|
||||
// Span API must match streaming exactly
|
||||
int[] periods = { 5, 10, 20, 50 };
|
||||
double[] sourceData = _testData.RawData.ToArray();
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
// Span
|
||||
double[] spanOutput = new double[sourceData.Length];
|
||||
Lema.Batch(sourceData.AsSpan(), spanOutput.AsSpan(), period);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Lema(period);
|
||||
for (int i = 0; i < sourceData.Length; i++)
|
||||
{
|
||||
var val = streaming.Update(new TValue(DateTime.UtcNow, sourceData[i]));
|
||||
Assert.Equal(val.Value, spanOutput[i], 1e-9);
|
||||
}
|
||||
}
|
||||
_output.WriteLine("LEMA Span vs Streaming validated successfully");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_ConstantInput_ConvergesToInput()
|
||||
{
|
||||
// LEMA of constant series should converge to the constant value
|
||||
// Since error = source - EMA(source) → 0, and EMA(0) → 0,
|
||||
// LEMA → EMA(source) + 0 = source (at convergence)
|
||||
const double constantValue = 42.0;
|
||||
const int period = 10;
|
||||
|
||||
var lema = new Lema(period);
|
||||
double lastResult = 0;
|
||||
|
||||
for (int i = 0; i < 200; i++)
|
||||
{
|
||||
var result = lema.Update(new TValue(DateTime.UtcNow, constantValue));
|
||||
lastResult = result.Value;
|
||||
}
|
||||
|
||||
// After enough iterations, LEMA should converge to the constant
|
||||
Assert.Equal(constantValue, lastResult, 1e-6);
|
||||
_output.WriteLine("LEMA constant input convergence validated successfully");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Against_ManualFormula()
|
||||
{
|
||||
// Validate against the explicit LEMA formula:
|
||||
// LEMA = EMA(source, N) + EMA(source - EMA(source, N), N)
|
||||
// Using our own Ema class as reference (Ooples-equivalent validation)
|
||||
|
||||
int[] periods = { 5, 10, 14, 20 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var lema = new Lema(period);
|
||||
var ema1 = new Ema(period);
|
||||
var ema2 = new Ema(period);
|
||||
|
||||
for (int i = 0; i < _testData.Data.Count; i++)
|
||||
{
|
||||
var item = _testData.Data[i];
|
||||
|
||||
// QuanTAlib LEMA
|
||||
var qVal = lema.Update(item);
|
||||
|
||||
// Manual LEMA formula
|
||||
var e1 = ema1.Update(item);
|
||||
double error = item.Value - e1.Value;
|
||||
var e2 = ema2.Update(new TValue(item.Time, error));
|
||||
double manualVal = e1.Value + e2.Value;
|
||||
|
||||
Assert.Equal(manualVal, qVal.Value, ValidationHelper.DefaultTolerance);
|
||||
}
|
||||
}
|
||||
_output.WriteLine("LEMA validated successfully against manual formula (EMA + EMA(error))");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_NaN_Robustness()
|
||||
{
|
||||
// Feed data with interspersed NaN values and verify output stays finite
|
||||
const int period = 10;
|
||||
var lema = new Lema(period);
|
||||
|
||||
// Feed some valid values first to establish state
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
lema.Update(new TValue(DateTime.UtcNow, 100.0 + i));
|
||||
}
|
||||
|
||||
// Feed NaN
|
||||
var nanResult = lema.Update(new TValue(DateTime.UtcNow, double.NaN));
|
||||
Assert.True(double.IsFinite(nanResult.Value), "LEMA should handle NaN with last-valid substitution");
|
||||
|
||||
// Feed Infinity
|
||||
var infResult = lema.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
|
||||
Assert.True(double.IsFinite(infResult.Value), "LEMA should handle Infinity with last-valid substitution");
|
||||
|
||||
// Feed negative Infinity
|
||||
var negInfResult = lema.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
|
||||
Assert.True(double.IsFinite(negInfResult.Value), "LEMA should handle -Infinity with last-valid substitution");
|
||||
|
||||
// Resume with valid value
|
||||
var resumeResult = lema.Update(new TValue(DateTime.UtcNow, 125.0));
|
||||
Assert.True(double.IsFinite(resumeResult.Value), "LEMA should resume cleanly after invalid inputs");
|
||||
|
||||
_output.WriteLine("LEMA NaN/Infinity robustness validated successfully");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user