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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
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class CmfIndicatorTests
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{
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[Fact]
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public void CmfIndicator_Constructor_SetsDefaults()
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{
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var indicator = new CmfIndicator();
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Assert.Equal("CMF - Chaikin Money Flow", indicator.Name);
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Assert.Equal(20, indicator.Period);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(20, indicator.MinHistoryDepths);
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}
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[Fact]
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public void CmfIndicator_ShortName_ReflectsPeriod()
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{
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var indicator = new CmfIndicator { Period = 14 };
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Assert.Equal("CMF(14)", indicator.ShortName);
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}
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[Fact]
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public void CmfIndicator_MinHistoryDepths_EqualsDefault()
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{
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var indicator = new CmfIndicator();
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Assert.Equal(20, indicator.MinHistoryDepths);
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Assert.Equal(20, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void CmfIndicator_Initialize_CreatesInternalCmf()
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{
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var indicator = new CmfIndicator();
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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 CmfIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new CmfIndicator();
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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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for (int i = 0; i < 30; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000);
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// Process update for each bar to simulate history loading
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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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// Line series should have a value
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void CmfIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new CmfIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000);
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}
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// Add new bar
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indicator.HistoricalData.AddBar(now.AddMinutes(30), 130, 140, 120, 135, 1500);
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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 CmfIndicator_Value_IsBounded()
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{
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var indicator = new CmfIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 50; i++)
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{
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// Create varying price patterns to exercise full CMF range
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double open = 100 + i;
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double high = open + 10 + (i % 5);
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double low = open - 5;
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double close = (i % 2 == 0) ? high - 1 : low + 1; // Alternate high/low closes
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double volume = 1000 + (i * 100);
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indicator.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, volume);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(val >= -1 && val <= 1, $"CMF value {val} should be between -1 and +1");
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}
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}
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@@ -0,0 +1,362 @@
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namespace QuanTAlib.Tests;
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public class CmfTests
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{
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[Fact]
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public void Cmf_Constructor_DefaultPeriod_Is20()
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{
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var cmf = new Cmf();
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Assert.Equal("CMF(20)", cmf.Name);
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Assert.Equal(20, cmf.WarmupPeriod);
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}
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[Fact]
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public void Cmf_Constructor_CustomPeriod_SetsCorrectly()
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{
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var cmf = new Cmf(10);
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Assert.Equal("CMF(10)", cmf.Name);
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Assert.Equal(10, cmf.WarmupPeriod);
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}
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[Fact]
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public void Cmf_Constructor_InvalidPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Cmf(0));
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Assert.Equal("period", ex.ParamName);
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ex = Assert.Throws<ArgumentException>(() => new Cmf(-1));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Cmf_BasicCalculation_ReturnsExpectedValues()
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{
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// CMF with period 3 for easy manual verification
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var cmf = new Cmf(3);
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var time = DateTime.UtcNow;
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// Bar 1: Close=10, High=12, Low=8. Range=4.
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// MFM = ((10-8) - (12-10)) / 4 = (2 - 2) / 4 = 0.
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// Vol = 100. MFV = 0.
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// CMF = 0 / 100 = 0
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var bar1 = new TBar(time, 10, 12, 8, 10, 100);
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var val1 = cmf.Update(bar1);
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Assert.Equal(0, val1.Value);
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// Bar 2: Close=12, High=12, Low=8. Range=4.
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// MFM = ((12-8) - (12-12)) / 4 = (4 - 0) / 4 = 1.
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// Vol = 200. MFV = 200.
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// Sum MFV = 0 + 200 = 200, Sum Vol = 100 + 200 = 300
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// CMF = 200 / 300 = 0.6667
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var bar2 = new TBar(time.AddMinutes(1), 10, 12, 8, 12, 200);
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var val2 = cmf.Update(bar2);
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Assert.Equal(200.0 / 300.0, val2.Value, 6);
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// Bar 3: Close=8, High=12, Low=8. Range=4.
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// MFM = ((8-8) - (12-8)) / 4 = (0 - 4) / 4 = -1.
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// Vol = 100. MFV = -100.
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// Sum MFV = 0 + 200 - 100 = 100, Sum Vol = 100 + 200 + 100 = 400
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// CMF = 100 / 400 = 0.25
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var bar3 = new TBar(time.AddMinutes(2), 12, 12, 8, 8, 100);
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var val3 = cmf.Update(bar3);
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Assert.Equal(100.0 / 400.0, val3.Value, 6);
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}
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[Fact]
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public void Cmf_RollingSumDropsOldestValue()
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{
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var cmf = new Cmf(2);
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var time = DateTime.UtcNow;
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// Bar 1: MFM=1, Vol=100, MFV=100
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var bar1 = new TBar(time, 10, 12, 8, 12, 100);
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cmf.Update(bar1);
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// Bar 2: MFM=-1, Vol=100, MFV=-100
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var bar2 = new TBar(time.AddMinutes(1), 12, 12, 8, 8, 100);
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cmf.Update(bar2);
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// Sum MFV = 100 - 100 = 0, Sum Vol = 200
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// CMF = 0
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// Bar 3: MFM=1, Vol=100, MFV=100
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// Period=2, so bar1 drops out
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var bar3 = new TBar(time.AddMinutes(2), 8, 12, 8, 12, 100);
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var val3 = cmf.Update(bar3);
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// Sum MFV = -100 + 100 = 0, Sum Vol = 100 + 100 = 200
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// CMF = 0
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Assert.Equal(0, val3.Value, 6);
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}
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[Fact]
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public void Cmf_IsNew_False_UpdatesSameBar()
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{
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var cmf = new Cmf(3);
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var time = DateTime.UtcNow;
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// Initial update: MFM = 1, Vol = 100
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var bar1 = new TBar(time, 10, 12, 8, 12, 100);
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cmf.Update(bar1, isNew: true);
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Assert.Equal(1.0, cmf.Last.Value); // 100/100
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// Update same bar with different volume
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var bar1Update = new TBar(time, 10, 12, 8, 12, 200);
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cmf.Update(bar1Update, isNew: false);
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Assert.Equal(1.0, cmf.Last.Value); // 200/200 = 1
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}
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[Fact]
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public void Cmf_IterativeCorrections_RestoreState()
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{
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var cmf = new Cmf(3);
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var time = DateTime.UtcNow;
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// Build up some state
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cmf.Update(new TBar(time, 10, 12, 8, 12, 100), isNew: true);
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cmf.Update(new TBar(time.AddMinutes(1), 10, 12, 8, 10, 100), isNew: true);
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_ = cmf.Last.Value; // Store state reference
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// Multiple corrections to bar 3
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cmf.Update(new TBar(time.AddMinutes(2), 10, 12, 8, 8, 100), isNew: true);
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cmf.Update(new TBar(time.AddMinutes(2), 10, 12, 8, 9, 100), isNew: false);
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cmf.Update(new TBar(time.AddMinutes(2), 10, 12, 8, 11, 100), isNew: false);
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cmf.Update(new TBar(time.AddMinutes(2), 10, 12, 8, 12, 100), isNew: false);
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// Final bar 3 should have MFM=1
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// Verify state is consistent
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Assert.True(double.IsFinite(cmf.Last.Value));
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}
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[Fact]
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public void Cmf_Reset_ClearsState()
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{
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var cmf = new Cmf(3);
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var bar = new TBar(DateTime.UtcNow, 10, 12, 8, 12, 100);
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cmf.Update(bar);
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Assert.NotEqual(0, cmf.Last.Value);
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cmf.Reset();
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Assert.False(cmf.IsHot);
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Assert.Equal(0, cmf.Last.Value);
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}
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[Fact]
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public void Cmf_IsHot_FlipsAtPeriod()
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{
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var cmf = new Cmf(3);
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var time = DateTime.UtcNow;
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Assert.False(cmf.IsHot);
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cmf.Update(new TBar(time, 10, 12, 8, 10, 100));
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Assert.False(cmf.IsHot);
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cmf.Update(new TBar(time.AddMinutes(1), 10, 12, 8, 10, 100));
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Assert.False(cmf.IsHot);
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cmf.Update(new TBar(time.AddMinutes(2), 10, 12, 8, 10, 100));
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Assert.True(cmf.IsHot);
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}
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[Fact]
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public void Cmf_HighEqualsLow_HandlesDivisionByZero()
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{
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var cmf = new Cmf(3);
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// High = Low = 10. Range = 0. MFM should be 0.
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var bar = new TBar(DateTime.UtcNow, 10, 10, 10, 10, 100);
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var val = cmf.Update(bar);
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Assert.Equal(0, val.Value);
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}
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[Fact]
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public void Cmf_ZeroVolume_HandlesDivisionByZero()
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{
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var cmf = new Cmf(3);
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var bar = new TBar(DateTime.UtcNow, 10, 12, 8, 10, 0);
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var val = cmf.Update(bar);
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Assert.Equal(0, val.Value); // 0 / 0 should be handled
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}
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[Fact]
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public void Cmf_TValueUpdate_ThrowsNotSupportedException()
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{
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var cmf = new Cmf();
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Assert.Throws<NotSupportedException>(() => cmf.Update(new TValue(DateTime.UtcNow, 15)));
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}
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[Fact]
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public void Cmf_PubEvent_FiresOnUpdate()
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{
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var cmf = new Cmf();
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bool eventFired = false;
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cmf.Pub += (object? sender, in TValueEventArgs args) => eventFired = true;
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cmf.Update(new TBar(DateTime.UtcNow, 10, 12, 8, 10, 100));
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Assert.True(eventFired);
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}
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[Fact]
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public void Cmf_UpdateTBarSeries_ReturnsCorrectSeries()
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{
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var cmf = new Cmf(3);
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time, 10, 12, 8, 10, 100));
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bars.Add(new TBar(time.AddMinutes(1), 10, 12, 8, 12, 200));
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bars.Add(new TBar(time.AddMinutes(2), 12, 12, 8, 8, 100));
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var result = cmf.Update(bars);
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Assert.Equal(3, result.Count);
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Assert.True(double.IsFinite(result[0].Value));
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Assert.True(double.IsFinite(result[1].Value));
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Assert.True(double.IsFinite(result[2].Value));
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}
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[Fact]
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public void Cmf_CalculateTBarSeries_ReturnsCorrectSeries()
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{
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time, 10, 12, 8, 10, 100));
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bars.Add(new TBar(time.AddMinutes(1), 10, 12, 8, 12, 200));
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bars.Add(new TBar(time.AddMinutes(2), 12, 12, 8, 8, 100));
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var result = Cmf.Batch(bars, 3);
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Assert.Equal(3, result.Count);
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}
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[Fact]
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public void Cmf_CalculateSpan_ReturnsCorrectValues()
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{
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double[] high = { 12, 12, 12 };
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double[] low = { 8, 8, 8 };
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double[] close = { 10, 12, 8 }; // MFM: 0, 1, -1
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double[] volume = { 100, 200, 100 };
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double[] output = new double[3];
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Cmf.Batch(high, low, close, volume, output, 3);
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// Bar 0: MFV=0, Vol=100 -> CMF=0/100=0
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Assert.Equal(0, output[0]);
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// Bar 1: MFV sum=0+200=200, Vol sum=300 -> CMF=200/300
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Assert.Equal(200.0 / 300.0, output[1], 6);
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// Bar 2: MFV sum=0+200-100=100, Vol sum=400 -> CMF=100/400
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Assert.Equal(100.0 / 400.0, output[2], 6);
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}
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[Fact]
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public void Cmf_CalculateSpan_ThrowsOnMismatchedLengths()
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{
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double[] high = { 10, 11 };
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double[] low = { 9, 10 };
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double[] close = { 9.5, 10.5 };
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double[] volume = { 100 }; // Short
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double[] output = new double[2];
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Assert.Throws<ArgumentException>(() =>
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Cmf.Batch(high, low, close, volume, output, 3));
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}
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[Fact]
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public void Cmf_CalculateSpan_ThrowsOnInvalidPeriod()
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{
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double[] high = { 10 };
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double[] low = { 9 };
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double[] close = { 9.5 };
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double[] volume = { 100 };
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double[] output = new double[1];
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Assert.Throws<ArgumentException>(() =>
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Cmf.Batch(high, low, close, volume, output, 0));
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}
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[Fact]
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public void Cmf_Calculate_EmptySeries_ReturnsEmpty()
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{
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var bars = new TBarSeries();
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var result = Cmf.Batch(bars);
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Assert.Empty(result);
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}
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[Fact]
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public void Cmf_CalculateSpan_SimdPath_ReturnsCorrectValues()
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{
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const int count = 100; // Enough to trigger SIMD
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double[] high = new double[count];
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double[] low = new double[count];
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double[] close = new double[count];
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double[] volume = new double[count];
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double[] output = new double[count];
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// Setup: High=12, Low=8, Close=12 (MFM=1), Vol=10
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for (int i = 0; i < count; i++)
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{
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high[i] = 12;
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low[i] = 8;
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close[i] = 12;
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volume[i] = 10;
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}
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Cmf.Batch(high, low, close, volume, output, 20);
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// All bars have MFM=1, so CMF should be 1.0 once we have enough data
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for (int i = 19; i < count; i++)
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{
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Assert.Equal(1.0, output[i], 6);
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}
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}
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[Fact]
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public void Cmf_StreamingMatchesBatch()
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{
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var bars = new TBarSeries();
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var gbm = new GBM(seed: 42);
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for (int i = 0; i < 100; i++)
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{
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bars.Add(gbm.Next());
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}
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// Streaming
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var cmfStreaming = new Cmf(20);
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var streamingValues = new List<double>();
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foreach (var bar in bars)
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{
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streamingValues.Add(cmfStreaming.Update(bar).Value);
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}
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// Batch
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var batchResult = Cmf.Batch(bars, 20);
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// Compare last 80 values (after warmup)
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for (int i = 20; i < 100; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingValues[i], 9);
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}
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}
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[Fact]
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public void Cmf_BoundedBetweenNegativeOneAndOne()
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{
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var bars = new TBarSeries();
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var gbm = new GBM(seed: 42);
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for (int i = 0; i < 100; i++)
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{
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bars.Add(gbm.Next());
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}
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|
||||
var cmf = new Cmf(20);
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var val = cmf.Update(bar);
|
||||
Assert.True(val.Value >= -1.0 && val.Value <= 1.0,
|
||||
$"CMF value {val.Value} is out of bounds [-1, 1]");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,137 @@
|
||||
using Skender.Stock.Indicators;
|
||||
using OoplesFinance.StockIndicators;
|
||||
using OoplesFinance.StockIndicators.Models;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class CmfValidationTests
|
||||
{
|
||||
private readonly ValidationTestData _data;
|
||||
private const int DefaultPeriod = 20;
|
||||
|
||||
public CmfValidationTests()
|
||||
{
|
||||
_data = new ValidationTestData();
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Matches_Skender()
|
||||
{
|
||||
// Skender
|
||||
var skenderResults = _data.SkenderQuotes.GetCmf(DefaultPeriod);
|
||||
var skenderValues = skenderResults.Select(x => x.Cmf ?? double.NaN).ToArray();
|
||||
|
||||
// QuanTAlib
|
||||
var cmf = new Cmf(DefaultPeriod);
|
||||
var quantalibValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
quantalibValues.Add(cmf.Update(bar).Value);
|
||||
}
|
||||
|
||||
ValidationHelper.VerifyData(quantalibValues.ToArray(), skenderValues, 0, 100, ValidationHelper.SkenderTolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Matches_Talib()
|
||||
{
|
||||
// TA-Lib uses ADOSC (AD Oscillator) which is different from CMF
|
||||
// TA-Lib does not have a direct CMF function
|
||||
// We'll compare against MFI which is related but different
|
||||
// Skip this test as there's no direct CMF in TA-Lib
|
||||
Assert.True(true, "TA-Lib does not have a direct CMF implementation");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Matches_Tulip()
|
||||
{
|
||||
// Tulip does not have CMF indicator
|
||||
// Skip this test
|
||||
Assert.True(true, "Tulip does not have a CMF implementation");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Matches_Ooples()
|
||||
{
|
||||
// Ooples
|
||||
var ooplesData = _data.SkenderQuotes.Select(q => new TickerData
|
||||
{
|
||||
Date = q.Date,
|
||||
Open = (double)q.Open,
|
||||
High = (double)q.High,
|
||||
Low = (double)q.Low,
|
||||
Close = (double)q.Close,
|
||||
Volume = (double)q.Volume
|
||||
}).ToList();
|
||||
|
||||
var stockData = new StockData(ooplesData);
|
||||
var oResult = stockData.CalculateChaikinMoneyFlow(DefaultPeriod);
|
||||
var oValues = oResult.OutputValues["Cmf"];
|
||||
|
||||
// QuanTAlib
|
||||
var cmf = new Cmf(DefaultPeriod);
|
||||
var quantalibValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
quantalibValues.Add(cmf.Update(bar).Value);
|
||||
}
|
||||
|
||||
ValidationHelper.VerifyData(quantalibValues.ToArray(), oValues.ToArray(), 0, 100, ValidationHelper.OoplesTolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Streaming_Matches_Batch()
|
||||
{
|
||||
// Streaming
|
||||
var cmf = new Cmf(DefaultPeriod);
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
streamingValues.Add(cmf.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResult = Cmf.Batch(_data.Bars, DefaultPeriod);
|
||||
var batchValues = batchResult.Values.ToArray();
|
||||
|
||||
ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-12);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_Span_Matches_Streaming()
|
||||
{
|
||||
// Streaming
|
||||
var cmf = new Cmf(DefaultPeriod);
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
streamingValues.Add(cmf.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Span
|
||||
var high = _data.Bars.High.Values.ToArray();
|
||||
var low = _data.Bars.Low.Values.ToArray();
|
||||
var close = _data.Bars.Close.Values.ToArray();
|
||||
var volume = _data.Bars.Volume.Values.ToArray();
|
||||
var spanValues = new double[high.Length];
|
||||
|
||||
Cmf.Batch(high, low, close, volume, spanValues, DefaultPeriod);
|
||||
|
||||
ValidationHelper.VerifyData(streamingValues.ToArray(), spanValues, 0, 100, 1e-12);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cmf_MatchesOoples_Structural()
|
||||
{
|
||||
// CalculateChaikinMoneyFlow — structural validation (already has Skender exact match)
|
||||
var ooplesData = _data.SkenderQuotes
|
||||
.Select(q => new TickerData { Date = q.Date, Open = (double)q.Open, High = (double)q.High, Low = (double)q.Low, Close = (double)q.Close, Volume = (double)q.Volume })
|
||||
.ToList();
|
||||
|
||||
var result = new StockData(ooplesData).CalculateChaikinMoneyFlow();
|
||||
var values = result.CustomValuesList;
|
||||
|
||||
int finiteCount = values.Count(v => double.IsFinite(v));
|
||||
Assert.True(finiteCount > 100, $"Expected >100 finite Ooples CMF values, got {finiteCount}");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user