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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 IiiIndicatorTests
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{
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[Fact]
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public void IiiIndicator_Constructor_SetsDefaults()
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{
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var indicator = new IiiIndicator();
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Assert.Equal("III - Intraday Intensity Index", indicator.Name);
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Assert.Equal(21, indicator.Period);
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Assert.False(indicator.Cumulative);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(21, indicator.MinHistoryDepths);
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}
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[Fact]
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public void IiiIndicator_ShortName_ReflectsPeriod()
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{
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var indicator = new IiiIndicator { Period = 14 };
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Assert.Equal("III(14)", indicator.ShortName);
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}
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[Fact]
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public void IiiIndicator_ShortName_ShowsCumulativeMode()
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{
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var indicator = new IiiIndicator { Period = 14, Cumulative = true };
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Assert.Equal("III(14,Cum)", indicator.ShortName);
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}
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[Fact]
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public void IiiIndicator_MinHistoryDepths_EqualsPeriod()
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{
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var indicator = new IiiIndicator { Period = 30 };
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Assert.Equal(30, indicator.MinHistoryDepths);
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Assert.Equal(30, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void IiiIndicator_Initialize_CreatesInternalIii()
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{
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var indicator = new IiiIndicator();
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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 IiiIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new IiiIndicator();
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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 + (i * 100));
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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 IiiIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new IiiIndicator();
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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 + (i * 100));
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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 IiiIndicator_Value_IsFinite()
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{
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var indicator = new IiiIndicator();
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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 with price ranges
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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 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(double.IsFinite(val), $"III value {val} should be finite");
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}
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[Fact]
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public void IiiIndicator_PositiveValue_OnCloseNearHigh()
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{
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var indicator = new IiiIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Add bars with close consistently near high (buying pressure)
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for (int i = 0; i < 10; i++)
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{
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double basePrice = 100 + i;
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double low = basePrice - 10;
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double high = basePrice + 10;
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double close = high - 1; // Close near high
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, high, low, close, 1000);
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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 > 0, $"III should be positive when close is near high, got {val}");
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}
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[Fact]
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public void IiiIndicator_NegativeValue_OnCloseNearLow()
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{
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var indicator = new IiiIndicator { Period = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Add bars with close consistently near low (selling pressure)
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for (int i = 0; i < 10; i++)
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{
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double basePrice = 100 + i;
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double low = basePrice - 10;
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double high = basePrice + 10;
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double close = low + 1; // Close near low
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, high, low, close, 1000);
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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 < 0, $"III should be negative when close is near low, got {val}");
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}
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[Fact]
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public void IiiIndicator_CumulativeMode_ProducesDifferentResults()
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{
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var indicator1 = new IiiIndicator { Period = 5, Cumulative = false };
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var indicator2 = new IiiIndicator { Period = 5, Cumulative = true };
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indicator1.Initialize();
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indicator2.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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double basePrice = 100 + i;
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double high = basePrice + 5;
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double low = basePrice - 5;
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double close = (i % 2 == 0) ? high - 1 : low + 1;
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indicator1.HistoricalData.AddBar(now.AddMinutes(i), basePrice, high, low, close, 1000);
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indicator2.HistoricalData.AddBar(now.AddMinutes(i), basePrice, high, low, close, 1000);
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indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val1 = indicator1.LinesSeries[0].GetValue(0);
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double val2 = indicator2.LinesSeries[0].GetValue(0);
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// Different modes should produce different results
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Assert.NotEqual(val1, val2);
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Assert.True(double.IsFinite(val1));
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Assert.True(double.IsFinite(val2));
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}
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}
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@@ -0,0 +1,411 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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public class IiiTests
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{
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private const int DefaultPeriod = 14;
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[Fact]
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public void Constructor_DefaultParameters_CreatesValidIndicator()
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{
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var iii = new Iii();
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Assert.Equal($"Iii({DefaultPeriod})", iii.Name);
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Assert.Equal(DefaultPeriod, iii.WarmupPeriod);
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Assert.False(iii.IsHot);
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}
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[Fact]
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public void Constructor_CustomParameters_CreatesValidIndicator()
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{
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var iii = new Iii(period: 20, cumulative: true);
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Assert.Equal("Iii(20,Cum)", iii.Name);
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Assert.Equal(20, iii.WarmupPeriod);
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}
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[Fact]
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public void Constructor_InvalidPeriod_ThrowsArgumentException()
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{
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Assert.Throws<ArgumentException>(() => new Iii(period: 0));
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Assert.Throws<ArgumentException>(() => new Iii(period: -1));
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}
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[Fact]
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public void Update_WithTBar_ReturnsValidValue()
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{
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var iii = new Iii();
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000000);
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var result = iii.Update(bar);
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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_WithTValue_ThrowsNotSupportedException()
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{
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var iii = new Iii();
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var value = new TValue(DateTime.UtcNow, 100);
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Assert.Throws<NotSupportedException>(() => iii.Update(value));
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}
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[Fact]
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public void Update_CloseAtHigh_ReturnsPositiveValue()
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{
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var iii = new Iii(period: 1);
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// Close at high means position multiplier = +1
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 110, 100000);
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var result = iii.Update(bar);
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Assert.True(result.Value > 0, "Close at high should result in positive III");
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}
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[Fact]
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public void Update_CloseAtLow_ReturnsNegativeValue()
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{
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var iii = new Iii(period: 1);
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// Close at low means position multiplier = -1
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 90, 100000);
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var result = iii.Update(bar);
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Assert.True(result.Value < 0, "Close at low should result in negative III");
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}
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[Fact]
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public void Update_CloseAtMidpoint_ReturnsZero()
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{
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var iii = new Iii(period: 1);
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// Close at midpoint means position multiplier = 0
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 100000);
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var result = iii.Update(bar);
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Assert.Equal(0.0, result.Value, 10);
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}
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[Fact]
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public void Update_IsNewTrue_AdvancesState()
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{
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var iii = new Iii();
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var bar1 = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000000);
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var result1 = iii.Update(bar1, isNew: true);
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 110, 1100000);
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var result2 = iii.Update(bar2, isNew: true);
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Assert.NotEqual(result1.Time, result2.Time);
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}
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[Fact]
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public void Update_IsNewFalse_UpdatesCurrentBar()
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{
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var iii = new Iii();
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time, 100, 110, 90, 105, 1000000);
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iii.Update(bar1, isNew: true);
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var bar2 = new TBar(time.AddMinutes(1), 105, 115, 95, 110, 1100000);
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var result1 = iii.Update(bar2, isNew: true);
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// Update same bar with different values
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var bar2Updated = new TBar(time.AddMinutes(1), 105, 115, 95, 115, 1200000);
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var result2 = iii.Update(bar2Updated, isNew: false);
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Assert.Equal(result1.Time, result2.Time);
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Assert.NotEqual(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_IterativeCorrections_UpdatesCurrentValue()
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{
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var iii = new Iii(period: 3);
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var time = DateTime.UtcNow;
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// Build up some state
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iii.Update(new TBar(time, 100, 110, 90, 105, 100000), isNew: true);
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iii.Update(new TBar(time.AddMinutes(1), 105, 115, 95, 110, 110000), isNew: true);
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// Original bar 3
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var bar3 = new TBar(time.AddMinutes(2), 110, 120, 100, 115, 120000);
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var originalResult = iii.Update(bar3, isNew: true);
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// Make a correction with different values
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var correctionBar = new TBar(time.AddMinutes(2), 100, 150, 80, 80, 200000);
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var correctedResult = iii.Update(correctionBar, isNew: false);
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// Values should differ due to different bar data
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Assert.NotEqual(originalResult.Value, correctedResult.Value);
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Assert.True(double.IsFinite(correctedResult.Value));
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}
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[Fact]
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public void Update_WarmupPeriod_IsHotBecomesTrueAfterWarmup()
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{
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var iii = new Iii(period: 3);
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var time = DateTime.UtcNow;
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Assert.False(iii.IsHot);
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iii.Update(new TBar(time, 100, 110, 90, 105, 100000), isNew: true);
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Assert.False(iii.IsHot);
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iii.Update(new TBar(time.AddMinutes(1), 105, 115, 95, 110, 110000), isNew: true);
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Assert.False(iii.IsHot);
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iii.Update(new TBar(time.AddMinutes(2), 110, 120, 100, 115, 120000), isNew: true);
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// After period bars, should be hot
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Assert.True(iii.IsHot);
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}
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[Fact]
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public void Update_WithNaN_UsesLastValidValue()
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{
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var iii = new Iii(period: 3);
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// Process some valid bars first
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iii.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 105, 100000));
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iii.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 105, 115, 95, 110, 110000));
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// Process bar with NaN close (will cause NaN in calculation)
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var nanBar = new TBar(DateTime.UtcNow.AddMinutes(2), double.NaN, 120, 100, double.NaN, 120000);
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var result = iii.Update(nanBar);
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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_ZeroPriceRange_ReturnsZero()
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{
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var iii = new Iii(period: 1);
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// When high = low, range is 0, position multiplier is 0
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var bar = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 100000);
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var result = iii.Update(bar);
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Assert.Equal(0.0, result.Value);
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}
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[Fact]
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public void Update_ZeroVolume_UsesMinimumVolume()
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{
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var iii = new Iii(period: 1);
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// Zero volume should be treated as minimum of 1
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var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 0);
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var result = iii.Update(bar);
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Assert.True(double.IsFinite(result.Value));
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// Position multiplier = (2*105 - 110 - 90) / 20 = 10/20 = 0.5
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// Raw III = 0.5 * 1 = 0.5
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Assert.Equal(0.5, result.Value, 10);
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}
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[Fact]
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public void Update_CumulativeMode_AccumulatesValues()
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{
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var iii = new Iii(period: 1, cumulative: true);
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var time = DateTime.UtcNow;
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// First bar with positive III
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var result1 = iii.Update(new TBar(time, 100, 110, 90, 110, 100), isNew: true);
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double firstValue = result1.Value;
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// Second bar with positive III
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var result2 = iii.Update(new TBar(time.AddMinutes(1), 100, 110, 90, 110, 100), isNew: true);
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// Cumulative should add up
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Assert.Equal(firstValue * 2, result2.Value, 10);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var iii = new Iii(period: 3);
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var time = DateTime.UtcNow;
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// Process some bars
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iii.Update(new TBar(time, 100, 110, 90, 105, 100000), isNew: true);
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iii.Update(new TBar(time.AddMinutes(1), 105, 115, 95, 110, 110000), isNew: true);
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iii.Update(new TBar(time.AddMinutes(2), 110, 120, 100, 115, 120000), isNew: true);
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Assert.True(iii.IsHot);
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iii.Reset();
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Assert.False(iii.IsHot);
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Assert.Equal(default, iii.Last);
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}
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[Fact]
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public void BatchCalculate_MatchesStreaming()
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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 iii = new Iii();
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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(iii.Update(bar).Value);
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}
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// Batch
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var batchResult = Iii.Batch(bars);
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Assert.Equal(bars.Count, batchResult.Count);
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for (int i = 0; i < bars.Count; i++)
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{
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Assert.Equal(streamingValues[i], batchResult[i].Value, 10);
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}
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}
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[Fact]
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public void SpanCalculate_MatchesStreaming()
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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 iii = new Iii();
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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(iii.Update(bar).Value);
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}
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// Span
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanValues = new double[bars.Count];
|
||||
|
||||
Iii.Batch(high, low, close, volume, spanValues);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingValues[i], spanValues[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanCalculate_InvalidLengths_ThrowsArgumentException()
|
||||
{
|
||||
var high = new double[100];
|
||||
var low = new double[99]; // Different length
|
||||
var close = new double[100];
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Iii.Batch(high, low, close, volume, output));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanCalculate_InvalidPeriod_ThrowsArgumentException()
|
||||
{
|
||||
var high = new double[100];
|
||||
var low = new double[100];
|
||||
var close = new double[100];
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
Assert.Throws<ArgumentException>(() => Iii.Batch(high, low, close, volume, output, period: 0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanCalculate_LargeData_UsesArrayPool()
|
||||
{
|
||||
int size = 1000; // > 256 threshold
|
||||
var high = new double[size];
|
||||
var low = new double[size];
|
||||
var close = new double[size];
|
||||
var volume = new double[size];
|
||||
var output = new double[size];
|
||||
|
||||
for (int i = 0; i < size; i++)
|
||||
{
|
||||
high[i] = 110 + i * 0.1;
|
||||
low[i] = 90 + i * 0.1;
|
||||
close[i] = 100 + i * 0.1;
|
||||
volume[i] = 100000;
|
||||
}
|
||||
|
||||
// Should not throw
|
||||
Iii.Batch(high, low, close, volume, output);
|
||||
Assert.True(double.IsFinite(output[size - 1]));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanCalculate_CumulativeMode_MatchesStreaming()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var gbm = new GBM(seed: 42);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
bars.Add(gbm.Next());
|
||||
}
|
||||
|
||||
// Streaming cumulative
|
||||
var iii = new Iii(period: 14, cumulative: true);
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingValues.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Span cumulative
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanValues = new double[bars.Count];
|
||||
|
||||
Iii.Batch(high, low, close, volume, spanValues, period: 14, cumulative: true);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingValues[i], spanValues[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Event_PubFiresOnUpdate()
|
||||
{
|
||||
var iii = new Iii();
|
||||
TValue? receivedValue = null;
|
||||
bool receivedIsNew = false;
|
||||
|
||||
iii.Pub += (object? sender, in TValueEventArgs args) =>
|
||||
{
|
||||
receivedValue = args.Value;
|
||||
receivedIsNew = args.IsNew;
|
||||
};
|
||||
|
||||
var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000000);
|
||||
iii.Update(bar, isNew: true);
|
||||
|
||||
Assert.NotNull(receivedValue);
|
||||
Assert.True(receivedIsNew);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void PositionMultiplier_CalculatesCorrectly()
|
||||
{
|
||||
// Test specific position multiplier values
|
||||
var iii = new Iii(period: 1);
|
||||
|
||||
// Close at 75% of range (high=110, low=90, close=105)
|
||||
// Position = (2*105 - 110 - 90) / (110-90) = 10/20 = 0.5
|
||||
var bar1 = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 200);
|
||||
var result1 = iii.Update(bar1);
|
||||
Assert.Equal(0.5 * 200, result1.Value, 10); // 0.5 * volume
|
||||
|
||||
iii.Reset();
|
||||
|
||||
// Close at 25% of range (high=110, low=90, close=95)
|
||||
// Position = (2*95 - 110 - 90) / (110-90) = -10/20 = -0.5
|
||||
var bar2 = new TBar(DateTime.UtcNow, 100, 110, 90, 95, 200);
|
||||
var result2 = iii.Update(bar2);
|
||||
Assert.Equal(-0.5 * 200, result2.Value, 10); // -0.5 * volume
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,297 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class IiiValidationTests
|
||||
{
|
||||
private const int DataPoints = 5000;
|
||||
private const int DefaultPeriod = 14;
|
||||
|
||||
private static readonly double SkenderTolerance = ValidationHelper.SkenderTolerance;
|
||||
|
||||
private static TBarSeries GenerateTestData(int seed = 42)
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var gbm = new GBM(seed: seed);
|
||||
|
||||
for (int i = 0; i < DataPoints; i++)
|
||||
{
|
||||
bars.Add(gbm.Next());
|
||||
}
|
||||
|
||||
return bars;
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_BatchMode_MatchesStreamingMode()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch mode
|
||||
var batchResults = Iii.Batch(bars, DefaultPeriod);
|
||||
|
||||
// Compare results
|
||||
Assert.Equal(bars.Count, batchResults.Count);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_SpanMode_MatchesStreamingMode()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Span mode
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanResults = new double[bars.Count];
|
||||
Iii.Batch(high, low, close, volume, spanResults, DefaultPeriod);
|
||||
|
||||
// Compare results
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], spanResults[i], 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_CumulativeMode_BatchMatchesStreaming()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod, cumulative: true);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch mode
|
||||
var batchResults = Iii.Batch(bars, DefaultPeriod, cumulative: true);
|
||||
|
||||
// Compare results
|
||||
Assert.Equal(bars.Count, batchResults.Count);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_CumulativeMode_SpanMatchesStreaming()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod, cumulative: true);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Span mode
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanResults = new double[bars.Count];
|
||||
Iii.Batch(high, low, close, volume, spanResults, DefaultPeriod, cumulative: true);
|
||||
|
||||
// Compare results
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], spanResults[i], 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_AllThreeModesMatch_WithinTolerance()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch mode
|
||||
var batchResults = Iii.Batch(bars, DefaultPeriod);
|
||||
|
||||
// Span mode
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanResults = new double[bars.Count];
|
||||
Iii.Batch(high, low, close, volume, spanResults, DefaultPeriod);
|
||||
|
||||
// All three should match
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
double streaming = streamingResults[i];
|
||||
double batch = batchResults[i].Value;
|
||||
double span = spanResults[i];
|
||||
|
||||
Assert.Equal(streaming, batch, 8);
|
||||
Assert.Equal(streaming, span, 8);
|
||||
Assert.Equal(batch, span, 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_Last100Values_AllModesMatch()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(DefaultPeriod);
|
||||
|
||||
// Streaming mode
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch mode
|
||||
var batchResults = Iii.Batch(bars, DefaultPeriod);
|
||||
|
||||
// Span mode
|
||||
var high = bars.High.Values.ToArray();
|
||||
var low = bars.Low.Values.ToArray();
|
||||
var close = bars.Close.Values.ToArray();
|
||||
var volume = bars.Volume.Values.ToArray();
|
||||
var spanResults = new double[bars.Count];
|
||||
Iii.Batch(high, low, close, volume, spanResults, DefaultPeriod);
|
||||
|
||||
// Focus on last 100 values (well past warmup)
|
||||
int startIdx = bars.Count - 100;
|
||||
for (int i = startIdx; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, SkenderTolerance);
|
||||
Assert.Equal(streamingResults[i], spanResults[i], SkenderTolerance);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
|
||||
var iii10 = new Iii(10);
|
||||
var iii20 = new Iii(20);
|
||||
var iii50 = new Iii(50);
|
||||
|
||||
var results10 = new List<double>();
|
||||
var results20 = new List<double>();
|
||||
var results50 = new List<double>();
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
results10.Add(iii10.Update(bar).Value);
|
||||
results20.Add(iii20.Update(bar).Value);
|
||||
results50.Add(iii50.Update(bar).Value);
|
||||
}
|
||||
|
||||
// After warmup, results should differ
|
||||
int testIdx = 100;
|
||||
Assert.NotEqual(results10[testIdx], results20[testIdx]);
|
||||
Assert.NotEqual(results20[testIdx], results50[testIdx]);
|
||||
Assert.NotEqual(results10[testIdx], results50[testIdx]);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_SmoothedVsCumulative_ProduceDifferentResults()
|
||||
{
|
||||
var bars = GenerateTestData();
|
||||
|
||||
var iiiSmoothed = new Iii(DefaultPeriod, cumulative: false);
|
||||
var iiiCumulative = new Iii(DefaultPeriod, cumulative: true);
|
||||
|
||||
var smoothedResults = new List<double>();
|
||||
var cumulativeResults = new List<double>();
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
smoothedResults.Add(iiiSmoothed.Update(bar).Value);
|
||||
cumulativeResults.Add(iiiCumulative.Update(bar).Value);
|
||||
}
|
||||
|
||||
// After first bar, results should differ (cumulative grows, smoothed averages)
|
||||
for (int i = DefaultPeriod; i < bars.Count; i++)
|
||||
{
|
||||
Assert.NotEqual(smoothedResults[i], cumulativeResults[i]);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_PositionMultiplier_ValuesBounded()
|
||||
{
|
||||
// III raw values should be bounded by volume since position multiplier is [-1, +1]
|
||||
var bars = GenerateTestData();
|
||||
var iii = new Iii(period: 1); // Period 1 to see raw values
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var result = iii.Update(bar);
|
||||
double vol = Math.Max(bar.Volume, 1.0);
|
||||
|
||||
// With period 1, result equals raw III
|
||||
// Position multiplier bounded [-1, +1], so result bounded [-vol, +vol]
|
||||
Assert.True(result.Value <= vol && result.Value >= -vol,
|
||||
$"III value {result.Value} exceeds volume bounds {vol}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Iii_ConsistentResults_MultipleSeedTests()
|
||||
{
|
||||
// Test with multiple seeds to ensure consistency
|
||||
int[] seeds = { 42, 123, 456, 789, 1000 };
|
||||
|
||||
foreach (int seed in seeds)
|
||||
{
|
||||
var bars = GenerateTestData(seed);
|
||||
var iii = new Iii(DefaultPeriod);
|
||||
|
||||
// Streaming
|
||||
var streamingResults = new List<double>();
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
streamingResults.Add(iii.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResults = Iii.Batch(bars, DefaultPeriod);
|
||||
|
||||
// Should match for any seed
|
||||
for (int i = bars.Count - 50; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, 8);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user