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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 EvwmaIndicatorTests
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{
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[Fact]
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public void EvwmaIndicator_Constructor_SetsDefaults()
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{
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var indicator = new EvwmaIndicator();
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Assert.Equal("EVWMA - Elastic Volume Weighted Moving Average", indicator.Name);
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Assert.Equal(20, indicator.Period);
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Assert.False(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 EvwmaIndicator_ShortName_ReflectsPeriod()
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{
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var indicator = new EvwmaIndicator { Period = 14 };
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Assert.Equal("EVWMA(14)", indicator.ShortName);
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var indicatorDefault = new EvwmaIndicator { Period = 20 };
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Assert.Equal("EVWMA(20)", indicatorDefault.ShortName);
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}
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[Fact]
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public void EvwmaIndicator_MinHistoryDepths_EqualsPeriod()
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{
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var indicator = new EvwmaIndicator { Period = 10 };
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Assert.Equal(10, indicator.MinHistoryDepths);
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Assert.Equal(10, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void EvwmaIndicator_Initialize_CreatesInternalEvwma()
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{
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var indicator = new EvwmaIndicator();
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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 EvwmaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new EvwmaIndicator { Period = 5 };
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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 EvwmaIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new EvwmaIndicator { Period = 5 };
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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 EvwmaIndicator_Value_TracksVolumeWeightedAverage()
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{
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var indicator = new EvwmaIndicator { Period = 10 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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var recordedValues = new List<double>();
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for (int i = 0; i < 50; i++)
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{
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// Create varying price patterns
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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;
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double vol = 1000 + (i * 100);
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indicator.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, vol);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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if (i > 0)
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{
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double val = indicator.LinesSeries[0].GetValue(0);
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recordedValues.Add(val);
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}
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}
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// EVWMA should produce finite values
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Assert.True(recordedValues.Count > 0, "Should have recorded values");
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Assert.All(recordedValues, v => Assert.True(double.IsFinite(v)));
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// EVWMA values should be within price range (approximately)
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double avgValue = recordedValues.Average();
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Assert.True(avgValue > 90 && avgValue < 200, $"EVWMA {avgValue} should be within reasonable price range");
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}
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[Fact]
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public void EvwmaIndicator_DifferentPeriods_ProduceDifferentResults()
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{
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var indicator5 = new EvwmaIndicator { Period = 5 };
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var indicator20 = new EvwmaIndicator { Period = 20 };
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indicator5.Initialize();
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indicator20.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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double open = 100 + i;
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double high = open + 10;
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double low = open - 5;
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double close = open + 5;
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double volume = 1000 + (i * 50);
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indicator5.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, volume);
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indicator20.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, volume);
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indicator5.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator20.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val5 = indicator5.LinesSeries[0].GetValue(0);
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double val20 = indicator20.LinesSeries[0].GetValue(0);
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// Different periods should produce different results
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Assert.NotEqual(val5, val20, 6);
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}
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[Fact]
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public void EvwmaIndicator_SlidingWindow_DropsOldValues()
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{
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var indicator = new EvwmaIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Add initial bars with constant price/volume
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for (int i = 0; i < 3; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 101, 99, 100, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double valueAtConstant = indicator.LinesSeries[0].GetValue(0);
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// Add bars with higher prices - behavior should shift
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for (int i = 3; i < 6; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 200, 201, 199, 200, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double valueAfterHigh = indicator.LinesSeries[0].GetValue(0);
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// Value should have changed significantly as old volumes drop and new prices dominate
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Assert.True(valueAfterHigh > valueAtConstant + 50,
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$"EVWMA should increase as low-price bars drop out: {valueAtConstant} -> {valueAfterHigh}");
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}
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}
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@@ -0,0 +1,511 @@
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namespace QuanTAlib.Tests;
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public class EvwmaTests
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{
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private readonly GBM _feed;
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private readonly TBarSeries _bars;
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public EvwmaTests()
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{
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_feed = new GBM();
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_bars = new TBarSeries();
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for (int i = 0; i < 1000; i++)
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{
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_bars.Add(_feed.Next());
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}
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}
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// ============ Constructor Tests ============
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[Fact]
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public void Constructor_DefaultPeriod_ShouldBe20()
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{
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var evwma = new Evwma();
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Assert.Equal("EVWMA(20)", evwma.Name);
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}
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[Fact]
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public void Constructor_WithPeriod_ShouldSetName()
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{
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var evwma = new Evwma(14);
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Assert.Equal("EVWMA(14)", evwma.Name);
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}
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[Fact]
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public void Constructor_ZeroPeriod_ShouldThrow()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Evwma(0));
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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_NegativePeriod_ShouldThrow()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Evwma(-1));
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Assert.Equal("period", ex.ParamName);
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}
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// ============ Basic Calculation Tests ============
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[Fact]
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public void Update_ReturnsValidTValue()
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{
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var evwma = new Evwma(10);
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var bar = _bars[0];
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var result = evwma.Update(bar);
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Assert.NotEqual(default, result);
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Update_FirstBar_ShouldBeClosePrice()
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{
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var evwma = new Evwma(10);
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var bar = new TBar(DateTime.UtcNow, 10, 15, 8, 12, 1000);
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var result = evwma.Update(bar);
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// EVWMA of first bar = close price (only one data point)
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Assert.Equal(12.0, result.Value, 10);
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}
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[Fact]
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public void Update_MultipleBarsSamePrice_ShouldReturnSameEvwma()
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{
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var evwma = new Evwma(10);
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// All bars have same close price = 100
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var bar1 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 100);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 100, 100, 100, 200);
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var bar3 = new TBar(DateTime.UtcNow.AddMinutes(2), 100, 100, 100, 100, 300);
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evwma.Update(bar1);
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evwma.Update(bar2);
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var result = evwma.Update(bar3);
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Assert.Equal(100.0, result.Value, 10);
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}
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[Fact]
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public void Update_VolumeWeighting_Works()
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{
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var evwma = new Evwma(10);
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// Bar 1: price=10, volume=100 → result = 10 (first bar)
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// Bar 2: price=20, volume=300
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// sumVol = 100 + 300 = 400, remainVol = 400 - 300 = 100
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// result = (100 * 10 + 300 * 20) / 400 = (1000 + 6000) / 400 = 17.5
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var bar1 = new TBar(DateTime.UtcNow, 10, 10, 10, 10, 100);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 20, 20, 20, 20, 300);
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evwma.Update(bar1);
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var result = evwma.Update(bar2);
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Assert.Equal(17.5, result.Value, 10);
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}
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[Fact]
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public void Update_SlidingWindow_ShouldDropOldVolume()
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{
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// Period=2: rolling volume window holds 2 bars
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var evwma = new Evwma(2);
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// Bar 1: price=100, vol=1000
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var bar1 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 1000);
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evwma.Update(bar1);
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Assert.Equal(100.0, evwma.Last.Value, 10); // First bar = price
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// Bar 2: price=200, vol=1000
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// sumVol = 1000 + 1000 = 2000, remainVol = 2000 - 1000 = 1000
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// result = (1000 * 100 + 1000 * 200) / 2000 = 150
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 200, 200, 200, 200, 1000);
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evwma.Update(bar2);
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Assert.Equal(150.0, evwma.Last.Value, 10);
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// Bar 3: price=300, vol=1000
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// Old bar1 vol drops out: sumVol = 1000(bar2) + 1000(bar3) = 2000
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// remainVol = 2000 - 1000 = 1000
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// result = (1000 * 150 + 1000 * 300) / 2000 = 225
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var bar3 = new TBar(DateTime.UtcNow.AddMinutes(2), 300, 300, 300, 300, 1000);
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var result = evwma.Update(bar3);
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Assert.Equal(225.0, result.Value, 10);
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}
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[Fact]
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public void IsHot_AfterPeriodBars_ShouldBeTrue()
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{
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var evwma = new Evwma(10);
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Assert.False(evwma.IsHot);
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for (int i = 0; i < 9; i++)
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{
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evwma.Update(_bars[i]);
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Assert.False(evwma.IsHot);
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}
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evwma.Update(_bars[9]);
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Assert.True(evwma.IsHot);
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}
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[Fact]
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public void WarmupPeriod_ShouldMatchPeriod()
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{
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var evwma = new Evwma(14);
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Assert.Equal(14, evwma.WarmupPeriod);
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}
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// ============ Bar Correction Tests (isNew) ============
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[Fact]
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public void Update_IsNewTrue_ShouldAdvanceState()
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{
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var evwma = new Evwma(10);
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var bar1 = new TBar(DateTime.UtcNow, 10, 10, 10, 10, 100);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 20, 20, 20, 20, 100);
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evwma.Update(bar1, isNew: true);
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var result1 = evwma.Last.Value;
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evwma.Update(bar2, isNew: true);
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var result2 = evwma.Last.Value;
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Assert.NotEqual(result1, result2);
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}
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[Fact]
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public void Update_IsNewFalse_ShouldRollback()
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{
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var evwma = new Evwma(10);
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var bar1 = new TBar(DateTime.UtcNow, 10, 10, 10, 10, 100);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 20, 20, 20, 20, 100);
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var bar2Updated = new TBar(DateTime.UtcNow.AddMinutes(1), 15, 15, 15, 15, 100);
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evwma.Update(bar1, isNew: true);
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evwma.Update(bar2, isNew: true);
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var afterBar2 = evwma.Last.Value;
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// Correct bar2 with updated values
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evwma.Update(bar2Updated, isNew: false);
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var afterCorrection = evwma.Last.Value;
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Assert.NotEqual(afterBar2, afterCorrection);
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}
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[Fact]
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public void Update_IterativeCorrections_ShouldRestoreState()
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{
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var evwma = new Evwma(10);
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// Process first 10 bars
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for (int i = 0; i < 10; i++)
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{
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evwma.Update(_bars[i], isNew: true);
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}
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_ = evwma.Last.Value;
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// Process bar 11
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evwma.Update(_bars[10], isNew: true);
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var valueAfter11 = evwma.Last.Value;
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// Correct bar 11 multiple times with same data
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for (int i = 0; i < 5; i++)
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{
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evwma.Update(_bars[10], isNew: false);
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}
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var valueAfterCorrections = evwma.Last.Value;
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// Should get same result as after first processing of bar 11
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Assert.Equal(valueAfter11, valueAfterCorrections, 10);
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}
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// ============ Reset Tests ============
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[Fact]
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public void Reset_ShouldClearState()
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{
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var evwma = new Evwma(10);
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for (int i = 0; i < 100; i++)
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{
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evwma.Update(_bars[i]);
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}
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Assert.True(evwma.IsHot);
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evwma.Reset();
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Assert.False(evwma.IsHot);
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Assert.Equal(default, evwma.Last);
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}
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// ============ NaN/Infinity Handling ============
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[Fact]
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public void Update_NaN_ShouldUseLastValidValue()
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{
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var evwma = new Evwma(10);
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// First bar establishes valid values
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var bar1 = new TBar(DateTime.UtcNow, 10, 15, 8, 12, 1000);
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evwma.Update(bar1);
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// Second bar with NaN should use last valid
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), double.NaN, double.NaN, double.NaN, double.NaN, double.NaN);
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var result = evwma.Update(bar2);
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Update_Infinity_ShouldUseLastValidValue()
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{
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var evwma = new Evwma(10);
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var bar1 = new TBar(DateTime.UtcNow, 10, 15, 8, 12, 1000);
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evwma.Update(bar1);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), double.PositiveInfinity, double.PositiveInfinity, double.PositiveInfinity, double.PositiveInfinity, double.PositiveInfinity);
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var result = evwma.Update(bar2);
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Assert.True(double.IsFinite(result.Value));
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}
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// ============ TValue Input Tests ============
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[Fact]
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public void Update_TValue_ShouldWork()
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{
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var evwma = new Evwma(10);
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var input = new TValue(DateTime.UtcNow, 100.0);
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var result = evwma.Update(input);
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// With TValue, it uses value as price and volume=1
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Assert.Equal(100.0, result.Value, 10);
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}
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[Fact]
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public void Update_TValue_MultipleInputs()
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{
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var evwma = new Evwma(10);
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|
||||
// TValue input assumes volume=1 for all
|
||||
// Bar 1: price=100, vol=1 → result = 100
|
||||
// Bar 2: price=200, vol=1
|
||||
// sumVol = 1 + 1 = 2, remainVol = 2 - 1 = 1
|
||||
// result = (1 * 100 + 1 * 200) / 2 = 150
|
||||
evwma.Update(new TValue(DateTime.UtcNow, 100.0));
|
||||
var result = evwma.Update(new TValue(DateTime.UtcNow.AddMinutes(1), 200.0));
|
||||
|
||||
Assert.Equal(150.0, result.Value, 10);
|
||||
}
|
||||
|
||||
// ============ Batch/Series Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Update_TBarSeries_ShouldReturnTSeries()
|
||||
{
|
||||
var evwma = new Evwma(10);
|
||||
var result = evwma.Update(_bars);
|
||||
|
||||
Assert.NotNull(result);
|
||||
Assert.Equal(_bars.Count, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Static_ShouldReturnTSeries()
|
||||
{
|
||||
var result = Evwma.Batch(_bars, 10);
|
||||
|
||||
Assert.NotNull(result);
|
||||
Assert.Equal(_bars.Count, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Static_WithDifferentPeriods_ShouldWork()
|
||||
{
|
||||
var result14 = Evwma.Batch(_bars, 14);
|
||||
var result50 = Evwma.Batch(_bars, 50);
|
||||
|
||||
Assert.NotNull(result14);
|
||||
Assert.NotNull(result50);
|
||||
Assert.Equal(_bars.Count, result14.Count);
|
||||
Assert.Equal(_bars.Count, result50.Count);
|
||||
}
|
||||
|
||||
// ============ Span API Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ShouldMatchBatch()
|
||||
{
|
||||
var batchResult = Evwma.Batch(_bars, 20);
|
||||
|
||||
var price = _bars.Close.Values.ToArray();
|
||||
var volume = _bars.Volume.Values.ToArray();
|
||||
var spanOutput = new double[_bars.Count];
|
||||
|
||||
Evwma.Batch(price, volume, spanOutput, 20);
|
||||
|
||||
for (int i = 0; i < _bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResult.Values[i], spanOutput[i], 12);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_MismatchedLengths_ShouldThrow()
|
||||
{
|
||||
var price = new double[100];
|
||||
var volume = new double[99]; // Mismatched
|
||||
var output = new double[100];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Evwma.Batch(price, volume, output, 10));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_OutputLengthMismatch_ShouldThrow()
|
||||
{
|
||||
var price = new double[100];
|
||||
var volume = new double[100];
|
||||
var output = new double[50]; // Mismatched
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Evwma.Batch(price, volume, output, 10));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ZeroPeriod_ShouldThrow()
|
||||
{
|
||||
var price = new double[100];
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Evwma.Batch(price, volume, output, 0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_NegativePeriod_ShouldThrow()
|
||||
{
|
||||
var price = new double[100];
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Evwma.Batch(price, volume, output, -1));
|
||||
}
|
||||
|
||||
// ============ Event Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Pub_ShouldFireOnUpdate()
|
||||
{
|
||||
var evwma = new Evwma(10);
|
||||
int eventCount = 0;
|
||||
|
||||
evwma.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
|
||||
|
||||
evwma.Update(_bars[0]);
|
||||
evwma.Update(_bars[1]);
|
||||
|
||||
Assert.Equal(2, eventCount);
|
||||
}
|
||||
|
||||
// ============ Streaming/Batch Consistency ============
|
||||
|
||||
[Fact]
|
||||
public void Streaming_ShouldMatchBatch()
|
||||
{
|
||||
// Streaming
|
||||
var evwma = new Evwma(20);
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in _bars)
|
||||
{
|
||||
streamingResults.Add(evwma.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResult = Evwma.Batch(_bars, 20);
|
||||
|
||||
// Compare last 100 values
|
||||
for (int i = _bars.Count - 100; i < _bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResult.Values[i], streamingResults[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
// ============ TSeries Calculate Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Calculate_TSeries_ShouldWork()
|
||||
{
|
||||
var sourceSeries = _bars.Close;
|
||||
var result = Evwma.Batch(sourceSeries, 20);
|
||||
|
||||
Assert.NotNull(result);
|
||||
Assert.Equal(sourceSeries.Count, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_TSeries_ShouldMatchTValueStreaming()
|
||||
{
|
||||
var sourceSeries = _bars.Close;
|
||||
var batchResult = Evwma.Batch(sourceSeries, 20);
|
||||
|
||||
// Streaming with TValue
|
||||
var evwma = new Evwma(20);
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < sourceSeries.Count; i++)
|
||||
{
|
||||
streamingResults.Add(evwma.Update(sourceSeries[i]).Value);
|
||||
}
|
||||
|
||||
// Compare last 100 values
|
||||
for (int i = sourceSeries.Count - 100; i < sourceSeries.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResult.Values[i], streamingResults[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
// ============ EVWMA-Specific Volume Behavior Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Update_HighVolumeBar_ShouldShiftMoreThanLowVolume()
|
||||
{
|
||||
// Two EVWMA instances, same initial state
|
||||
var evwma1 = new Evwma(10);
|
||||
var evwma2 = new Evwma(10);
|
||||
|
||||
// Same warmup bars
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 100, 100, 100, 1000);
|
||||
evwma1.Update(bar);
|
||||
evwma2.Update(bar);
|
||||
}
|
||||
|
||||
// evwma1: new bar at price 200 with HIGH volume
|
||||
var highVolBar = new TBar(DateTime.UtcNow.AddMinutes(10), 200, 200, 200, 200, 10000);
|
||||
evwma1.Update(highVolBar);
|
||||
|
||||
// evwma2: same price but LOW volume
|
||||
var lowVolBar = new TBar(DateTime.UtcNow.AddMinutes(10), 200, 200, 200, 200, 10);
|
||||
evwma2.Update(lowVolBar);
|
||||
|
||||
// High volume bar should shift the average more toward 200
|
||||
Assert.True(evwma1.Last.Value > evwma2.Last.Value,
|
||||
$"High volume EVWMA ({evwma1.Last.Value}) should be closer to 200 than low volume EVWMA ({evwma2.Last.Value})");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_ZeroVolume_ShouldNotChangeResult()
|
||||
{
|
||||
var evwma = new Evwma(10);
|
||||
|
||||
var bar1 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 1000);
|
||||
evwma.Update(bar1);
|
||||
var afterFirst = evwma.Last.Value;
|
||||
|
||||
// Zero volume bar should not affect the average
|
||||
var zeroVolBar = new TBar(DateTime.UtcNow.AddMinutes(1), 200, 200, 200, 200, 0);
|
||||
evwma.Update(zeroVolBar);
|
||||
|
||||
// With zero volume, the denominator changes but curVol=0 means no new price impact
|
||||
// result = ((sumVol - 0) * prevResult + 0 * curPrice) / sumVol = prevResult
|
||||
Assert.Equal(afterFirst, evwma.Last.Value, 10);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,206 @@
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class EvwmaValidationTests
|
||||
{
|
||||
private readonly ValidationTestData _data;
|
||||
|
||||
public EvwmaValidationTests()
|
||||
{
|
||||
_data = new ValidationTestData();
|
||||
}
|
||||
|
||||
// ============ External Library Validation ============
|
||||
// EVWMA is not available in standard libraries (Skender, TA-Lib, Tulip, Ooples).
|
||||
// Validation is performed via internal consistency and known-value tests.
|
||||
|
||||
[Fact]
|
||||
public void Evwma_NotAvailable_Skender()
|
||||
{
|
||||
// Skender.Stock.Indicators does not have EVWMA
|
||||
Assert.True(true, "EVWMA is not available in Skender");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_NotAvailable_Talib()
|
||||
{
|
||||
// TA-Lib does not have EVWMA
|
||||
Assert.True(true, "EVWMA is not available in TA-Lib");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_NotAvailable_Tulip()
|
||||
{
|
||||
// Tulip does not have EVWMA
|
||||
Assert.True(true, "EVWMA is not available in Tulip");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_NotAvailable_Ooples()
|
||||
{
|
||||
// Ooples does not have EVWMA
|
||||
Assert.True(true, "EVWMA is not available in Ooples");
|
||||
}
|
||||
|
||||
// ============ Internal Consistency Tests ============
|
||||
|
||||
[Fact]
|
||||
public void Evwma_Streaming_Matches_Batch()
|
||||
{
|
||||
int period = 20;
|
||||
|
||||
// Streaming
|
||||
var evwma = new Evwma(period);
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
streamingValues.Add(evwma.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResult = Evwma.Batch(_data.Bars, period);
|
||||
var batchValues = batchResult.Values.ToArray();
|
||||
|
||||
ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_Span_Matches_Streaming()
|
||||
{
|
||||
int period = 20;
|
||||
|
||||
// Streaming
|
||||
var evwma = new Evwma(period);
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
streamingValues.Add(evwma.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Span
|
||||
var price = _data.Bars.Close.Values.ToArray();
|
||||
var volume = _data.Bars.Volume.Values.ToArray();
|
||||
var spanValues = new double[price.Length];
|
||||
Evwma.Batch(price, volume, spanValues, period);
|
||||
|
||||
ValidationHelper.VerifyData(streamingValues.ToArray(), spanValues, 0, 100, 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_Batch_Matches_Span()
|
||||
{
|
||||
int period = 20;
|
||||
|
||||
// Batch
|
||||
var batchResult = Evwma.Batch(_data.Bars, period);
|
||||
var batchValues = batchResult.Values.ToArray();
|
||||
|
||||
// Span
|
||||
var price = _data.Bars.Close.Values.ToArray();
|
||||
var volume = _data.Bars.Volume.Values.ToArray();
|
||||
var spanValues = new double[price.Length];
|
||||
Evwma.Batch(price, volume, spanValues, period);
|
||||
|
||||
// Batch and Span use identical code path, should match exactly
|
||||
ValidationHelper.VerifyData(batchValues, spanValues, 0, 100, 1e-12);
|
||||
}
|
||||
|
||||
// ============ Known-Value Validation ============
|
||||
|
||||
[Fact]
|
||||
public void Evwma_KnownValues_ManualCalculation()
|
||||
{
|
||||
// Manually compute EVWMA for a small series
|
||||
// Period = 3
|
||||
// Bar 0: price=100, vol=10 → sumVol=10, result=100 (first bar)
|
||||
// Bar 1: price=110, vol=20 → sumVol=30, remain=10, result=(10*100+20*110)/30=3200/30≈106.6667
|
||||
// Bar 2: price=105, vol=15 → sumVol=45, remain=30, result=(30*106.6667+15*105)/45=4725/45=105
|
||||
// Wait: (30 × 106.6667 + 15 × 105) / 45 = (3200 + 1575) / 45 = 4775/45 ≈ 106.1111
|
||||
// Bar 3: price=120, vol=25 → drop bar0 vol(10): sumVol=45-10+25=60, remain=35
|
||||
// result = (35 * 106.1111 + 25 * 120) / 60 = (3713.889 + 3000) / 60 = 6713.889/60 ≈ 111.898
|
||||
|
||||
var evwma = new Evwma(3);
|
||||
|
||||
var bar0 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 10);
|
||||
var r0 = evwma.Update(bar0);
|
||||
Assert.Equal(100.0, r0.Value, 6);
|
||||
|
||||
var bar1 = new TBar(DateTime.UtcNow.AddMinutes(1), 110, 110, 110, 110, 20);
|
||||
var r1 = evwma.Update(bar1);
|
||||
// sumVol = 10 + 20 = 30; remainVol = 30 - 20 = 10
|
||||
// result = (10 * 100 + 20 * 110) / 30 = 3200 / 30
|
||||
Assert.Equal(3200.0 / 30.0, r1.Value, 10);
|
||||
|
||||
var bar2 = new TBar(DateTime.UtcNow.AddMinutes(2), 105, 105, 105, 105, 15);
|
||||
var r2 = evwma.Update(bar2);
|
||||
// sumVol = 10 + 20 + 15 = 45; remainVol = 45 - 15 = 30
|
||||
// prevResult = 3200/30
|
||||
// result = (30 * (3200/30) + 15 * 105) / 45 = (3200 + 1575) / 45 = 4775 / 45
|
||||
Assert.Equal(4775.0 / 45.0, r2.Value, 10);
|
||||
|
||||
var bar3 = new TBar(DateTime.UtcNow.AddMinutes(3), 120, 120, 120, 120, 25);
|
||||
var r3 = evwma.Update(bar3);
|
||||
// Bar0 vol drops: sumVol = (10+20+15) - 10 + 25 = 60; remainVol = 60 - 25 = 35
|
||||
// prevResult = 4775/45
|
||||
// result = (35 * (4775/45) + 25 * 120) / 60
|
||||
double prev = 4775.0 / 45.0;
|
||||
double expected = (35.0 * prev + 25.0 * 120.0) / 60.0;
|
||||
Assert.Equal(expected, r3.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
int period1 = 5;
|
||||
int period2 = 50;
|
||||
|
||||
var result1 = Evwma.Batch(_data.Bars, period1);
|
||||
var result2 = Evwma.Batch(_data.Bars, period2);
|
||||
|
||||
// At later bars, different periods should produce different values
|
||||
int idx = 100;
|
||||
Assert.NotEqual(result1.Values[idx], result2.Values[idx], 6);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_ConstantPrice_ReturnsConstant()
|
||||
{
|
||||
// If all prices are the same, EVWMA should always return that price
|
||||
// regardless of volume
|
||||
int period = 10;
|
||||
var bars = new TBarSeries();
|
||||
var now = DateTime.UtcNow;
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
bars.Add(new TBar(now.AddMinutes(i), 42.0, 42.0, 42.0, 42.0, 100 + i * 10));
|
||||
}
|
||||
|
||||
var result = Evwma.Batch(bars, period);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
Assert.Equal(42.0, result.Values[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Evwma_UniformVolume_BehavesLikeRunningAverage()
|
||||
{
|
||||
// With uniform volume=1 and period covering all bars,
|
||||
// EVWMA degenerates to a specific recursive average
|
||||
int period = 100;
|
||||
var evwma = new Evwma(period);
|
||||
|
||||
double[] prices = [100, 110, 105, 120, 95, 115, 108, 112, 103, 118];
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
var tv = new TValue(DateTime.UtcNow.AddMinutes(i), prices[i]);
|
||||
evwma.Update(tv);
|
||||
}
|
||||
|
||||
// Result should be finite and within the price range
|
||||
Assert.True(double.IsFinite(evwma.Last.Value));
|
||||
Assert.True(evwma.Last.Value >= 90 && evwma.Last.Value <= 130,
|
||||
$"EVWMA value {evwma.Last.Value} should be within price range");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user