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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:
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class VoIndicatorTests
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{
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[Fact]
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public void VoIndicator_Constructor_SetsDefaults()
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{
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var indicator = new VoIndicator();
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Assert.Equal("VO - Volume Oscillator", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(5, indicator.ShortPeriod);
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Assert.Equal(10, indicator.LongPeriod);
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Assert.Equal(10, indicator.SignalPeriod);
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Assert.Equal(10, indicator.MinHistoryDepths);
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}
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[Fact]
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public void VoIndicator_ShortName_ReflectsPeriods()
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{
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var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 7, SignalPeriod = 5 };
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Assert.Equal("VO(3,7,5)", indicator.ShortName);
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}
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[Fact]
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public void VoIndicator_MinHistoryDepths_EqualsLongPeriod()
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{
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var indicator = new VoIndicator { LongPeriod = 20 };
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Assert.Equal(20, indicator.MinHistoryDepths);
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Assert.Equal(20, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void VoIndicator_Periods_CanBeSet()
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{
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var indicator = new VoIndicator
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{
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ShortPeriod = 12,
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LongPeriod = 26,
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SignalPeriod = 9
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};
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Assert.Equal(12, indicator.ShortPeriod);
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Assert.Equal(26, indicator.LongPeriod);
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Assert.Equal(9, indicator.SignalPeriod);
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}
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[Fact]
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public void VoIndicator_Initialize_CreatesInternalVo()
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{
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var indicator = new VoIndicator();
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist (VO + Signal)
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Assert.Equal(2, indicator.LinesSeries.Count);
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}
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[Fact]
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public void VoIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 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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double volume = 100000 + i * 1000;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
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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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double voVal = indicator.LinesSeries[0].GetValue(0);
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double signalVal = indicator.LinesSeries[1].GetValue(0);
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Assert.True(double.IsFinite(voVal));
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Assert.True(double.IsFinite(signalVal));
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}
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[Fact]
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public void VoIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 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, 110, 90, 105, 100000);
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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), 105, 115, 100, 112, 80000);
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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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Assert.Equal(2, indicator.LinesSeries[1].Count);
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}
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[Fact]
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public void VoIndicator_ConstantVolume_ZeroOscillator()
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{
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var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// All bars with same volume
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, 50000);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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}
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double voVal = indicator.LinesSeries[0].GetValue(0);
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Assert.Equal(0, voVal, 1);
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}
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[Fact]
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public void VoIndicator_IncreasingVolume_PositiveOscillator()
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{
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var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Volume increases over time - short MA will exceed long MA
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for (int i = 0; i < 20; i++)
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{
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double volume = 10000 + i * 5000; // Increasing volume
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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}
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double voVal = indicator.LinesSeries[0].GetValue(0);
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Assert.True(voVal > 0, $"VO should be positive when volume increasing: {voVal}");
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}
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[Fact]
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public void VoIndicator_DecreasingVolume_NegativeOscillator()
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{
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var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Volume decreases over time - short MA will be below long MA
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for (int i = 0; i < 20; i++)
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{
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double volume = 100000 - i * 4000; // Decreasing volume
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volume = Math.Max(volume, 1000); // Keep positive
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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}
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double voVal = indicator.LinesSeries[0].GetValue(0);
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Assert.True(voVal < 0, $"VO should be negative when volume decreasing: {voVal}");
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}
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[Fact]
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public void VoIndicator_SignalLine_SmoothsVo()
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{
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var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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var voValues = new List<double>();
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var signalValues = new List<double>();
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// Add oscillating volume
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for (int i = 0; i < 30; i++)
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{
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double volume = 50000 + (i % 2 == 0 ? 20000 : -10000);
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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if (i >= 10) // After warmup
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{
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voValues.Add(indicator.LinesSeries[0].GetValue(0));
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signalValues.Add(indicator.LinesSeries[1].GetValue(0));
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}
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}
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// Signal line should be smoother (smaller range)
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double voRange = voValues.Max() - voValues.Min();
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double signalRange = signalValues.Max() - signalValues.Min();
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Assert.True(signalRange <= voRange, $"Signal should be smoother: VO range={voRange}, Signal range={signalRange}");
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}
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[Fact]
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public void VoIndicator_DifferentPeriods_DifferentResults()
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{
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var shortPeriods = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
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shortPeriods.Initialize();
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var longPeriods = new VoIndicator { ShortPeriod = 10, LongPeriod = 20, SignalPeriod = 10 };
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longPeriods.Initialize();
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var now = DateTime.UtcNow;
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// Add same data to both
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for (int i = 0; i < 50; i++)
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{
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double volume = 50000 + Math.Sin(i * 0.3) * 20000;
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shortPeriods.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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longPeriods.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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shortPeriods.ProcessUpdate(args);
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longPeriods.ProcessUpdate(args);
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}
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double shortVal = shortPeriods.LinesSeries[0].GetValue(0);
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double longVal = longPeriods.LinesSeries[0].GetValue(0);
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// Different periods should produce different results
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Assert.NotEqual(shortVal, longVal, 3);
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}
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[Fact]
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public void VoIndicator_ReturnsPercentage()
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{
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var indicator = new VoIndicator { ShortPeriod = 2, LongPeriod = 4, SignalPeriod = 2 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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// Start with baseline volume
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for (int i = 0; i < 5; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, 10000);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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}
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// Add bar with significantly higher volume
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indicator.HistoricalData.AddBar(now.AddMinutes(5), 100, 105, 95, 100, 20000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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double voVal = indicator.LinesSeries[0].GetValue(0);
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// VO should be positive percentage (short MA > long MA)
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Assert.True(voVal > 0, $"VO should be positive: {voVal}");
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Assert.True(voVal <= 200, $"VO should be reasonable percentage: {voVal}"); // Not too extreme
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}
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[Fact]
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public void VoIndicator_OscillatesAroundZero()
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{
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var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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bool hasPositive = false;
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bool hasNegative = false;
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// Oscillating volume pattern
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for (int i = 0; i < 50; i++)
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{
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double volume = 50000 + Math.Sin(i * 0.5) * 30000;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
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var args = i == 0
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? new UpdateArgs(UpdateReason.HistoricalBar)
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: new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(args);
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if (i > 15) // After warmup
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{
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double val = indicator.LinesSeries[0].GetValue(0);
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if (val > 0.5)
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{
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hasPositive = true;
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}
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if (val < -0.5)
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{
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hasNegative = true;
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}
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}
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}
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Assert.True(hasPositive && hasNegative, "VO should oscillate around zero");
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}
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}
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@@ -0,0 +1,602 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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public class VoTests
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{
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private const double Tolerance = 1e-10;
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private readonly GBM _gbm;
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private readonly TBarSeries _bars;
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public VoTests()
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{
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_gbm = new GBM(seed: 42);
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_bars = _gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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#region Constructor Tests
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[Fact]
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public void Constructor_DefaultPeriods_SetsExpectedValues()
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{
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var vo = new Vo();
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Assert.Equal("Vo(5,10,10)", vo.Name);
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Assert.Equal(10, vo.WarmupPeriod);
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}
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[Fact]
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public void Constructor_CustomPeriods_SetsExpectedValues()
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{
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var vo = new Vo(shortPeriod: 3, longPeriod: 7, signalPeriod: 5);
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Assert.Equal("Vo(3,7,5)", vo.Name);
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Assert.Equal(7, vo.WarmupPeriod);
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}
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[Fact]
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public void Constructor_ShortPeriodLessThan1_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 0));
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Assert.Equal("shortPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_LongPeriodLessThan1_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 2, longPeriod: 0));
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Assert.Equal("longPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_ShortPeriodGreaterOrEqualLongPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 10, longPeriod: 10));
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Assert.Equal("shortPeriod", ex.ParamName);
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ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 15, longPeriod: 10));
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Assert.Equal("shortPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_SignalPeriodLessThan1_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 0));
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Assert.Equal("signalPeriod", ex.ParamName);
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}
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#endregion
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#region Basic Calculation Tests
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[Fact]
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public void Update_ReturnsTValue()
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{
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var vo = new Vo();
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var result = vo.Update(_bars[0]);
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Assert.IsType<TValue>(result);
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}
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[Fact]
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public void Update_AccessesLastAndSignal()
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{
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var vo = new Vo();
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vo.Update(_bars[0]);
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Assert.Equal(vo.Last.Value, vo.Update(_bars[0], isNew: false).Value);
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_ = vo.Signal; // Access signal property
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}
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[Fact]
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public void Update_SameVolumes_ReturnsZero()
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{
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var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
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var now = DateTime.UtcNow;
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// All same volumes should result in VO = 0
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for (int i = 0; i < 10; i++)
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{
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var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000);
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vo.Update(bar, isNew: true);
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}
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Assert.Equal(0.0, vo.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_IncreasingVolumes_ReturnsPositive()
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{
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var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
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var now = DateTime.UtcNow;
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// Create a pattern where short MA > long MA at the end
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// Volumes: 100, 100, 100, 100, 500, 1000
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// At bar 5 (index 5): short SMA (2) = (500+1000)/2 = 750
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// long SMA (4) = (100+100+500+1000)/4 = 425
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// VO = ((750 - 425) / 425) * 100 = 76.47% (positive)
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double[] volumes = [100, 100, 100, 100, 500, 1000];
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for (int i = 0; i < volumes.Length; i++)
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{
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var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
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vo.Update(bar, isNew: true);
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}
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Assert.True(vo.Last.Value > 0, $"Expected positive VO but got {vo.Last.Value}");
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}
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[Fact]
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public void Update_DecreasingVolumes_ReturnsNegative()
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{
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var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
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var now = DateTime.UtcNow;
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// Create a pattern where short MA < long MA at the end
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// Volumes: 1000, 1000, 1000, 1000, 500, 100
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// At bar 5 (index 5): short SMA (2) = (500+100)/2 = 300
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// long SMA (4) = (1000+1000+500+100)/4 = 650
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// VO = ((300 - 650) / 650) * 100 = -53.85% (negative)
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double[] volumes = [1000, 1000, 1000, 1000, 500, 100];
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for (int i = 0; i < volumes.Length; i++)
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{
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var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
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vo.Update(bar, isNew: true);
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}
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Assert.True(vo.Last.Value < 0, $"Expected negative VO but got {vo.Last.Value}");
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}
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#endregion
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#region State Management Tests
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[Fact]
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public void IsNew_True_AdvancesState()
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{
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var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
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var now = DateTime.UtcNow;
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// Feed enough bars to get past warmup with varying volumes
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// to ensure state advances (index changes)
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double[] volumes = [100, 200, 300, 400, 500];
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for (int i = 0; i < volumes.Length; i++)
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{
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var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
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vo.Update(bar, isNew: true);
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}
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var stateBeforeNewBar = vo.Last.Value;
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// Add another bar with different volume
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var newBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, 1000);
|
||||
vo.Update(newBar, isNew: true);
|
||||
|
||||
// State should have advanced (different value due to new volume in moving averages)
|
||||
Assert.NotEqual(stateBeforeNewBar, vo.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsNew_False_UpdatesCurrentBar()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
var bar1 = new TBar(now, 100, 100, 100, 100, 500);
|
||||
vo.Update(bar1, isNew: true);
|
||||
|
||||
var bar2 = new TBar(now, 100, 100, 100, 100, 600);
|
||||
vo.Update(bar2, isNew: false);
|
||||
|
||||
var bar3 = new TBar(now, 100, 100, 100, 100, 500);
|
||||
var result = vo.Update(bar3, isNew: false);
|
||||
|
||||
Assert.Equal(vo.Update(bar1, isNew: false).Value, result.Value, Tolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IterativeCorrections_RestoreState()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 3, longPeriod: 6, signalPeriod: 3);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Add several bars
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500 + i * 10);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
var stateBeforeCorrections = vo.Last.Value;
|
||||
|
||||
// Apply multiple corrections
|
||||
for (int j = 0; j < 5; j++)
|
||||
{
|
||||
var correctionBar = new TBar(now.AddMinutes(9), 100, 100, 100, 100, 700 + j * 10);
|
||||
vo.Update(correctionBar, isNew: false);
|
||||
}
|
||||
|
||||
// Restore original bar
|
||||
var originalBar = new TBar(now.AddMinutes(9), 100, 100, 100, 100, 590);
|
||||
var restored = vo.Update(originalBar, isNew: false);
|
||||
|
||||
Assert.Equal(stateBeforeCorrections, restored.Value, Tolerance);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsState()
|
||||
{
|
||||
var vo = new Vo();
|
||||
|
||||
// Process some bars
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
vo.Update(_bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.True(vo.IsHot);
|
||||
|
||||
vo.Reset();
|
||||
|
||||
Assert.False(vo.IsHot);
|
||||
Assert.Equal(default, vo.Last);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Warmup Tests
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BeforeWarmup_ReturnsFalse()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 3, longPeriod: 10, signalPeriod: 5);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 9; i++)
|
||||
{
|
||||
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500);
|
||||
vo.Update(bar, isNew: true);
|
||||
Assert.False(vo.IsHot, $"Should not be hot at index {i}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_AfterWarmup_ReturnsTrue()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 3, longPeriod: 10, signalPeriod: 5);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
Assert.True(vo.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WarmupPeriod_EqualsLongPeriod()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 5, longPeriod: 15, signalPeriod: 10);
|
||||
Assert.Equal(15, vo.WarmupPeriod);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Robustness Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_NaN_UsesLastValidValue()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Add valid bars
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Add bar with NaN volume
|
||||
var nanBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, double.NaN);
|
||||
var result = vo.Update(nanBar, isNew: true);
|
||||
|
||||
Assert.True(double.IsFinite(result.Value), "Result should be finite after NaN input");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_Infinity_UsesLastValidValue()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Add valid bars
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Add bar with Infinity volume
|
||||
var infBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, double.PositiveInfinity);
|
||||
var result = vo.Update(infBar, isNew: true);
|
||||
|
||||
Assert.True(double.IsFinite(result.Value), "Result should be finite after Infinity input");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchUpdate_WithNaN_Safe()
|
||||
{
|
||||
var vo = new Vo();
|
||||
var bars = new TBarSeries();
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
double volume = i == 10 ? double.NaN : 500 + i;
|
||||
bars.Add(new TBar(now.AddMinutes(i), 100, 100, 100, 100, volume));
|
||||
}
|
||||
|
||||
var result = vo.Update(bars);
|
||||
|
||||
Assert.Equal(20, result.Count);
|
||||
foreach (var val in result.Values)
|
||||
{
|
||||
Assert.True(double.IsFinite(val), "All values should be finite");
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Consistency Tests
|
||||
|
||||
[Fact]
|
||||
public void BatchCalc_EqualsStreaming()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 10);
|
||||
|
||||
// Streaming
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < _bars.Count; i++)
|
||||
{
|
||||
var result = vo.Update(_bars[i], isNew: true);
|
||||
streamingResults.Add(result.Value);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResult = Vo.Batch(_bars, shortPeriod: 5, longPeriod: 10, signalPeriod: 10);
|
||||
|
||||
Assert.Equal(streamingResults.Count, batchResult.Count);
|
||||
for (int i = 0; i < streamingResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResult.Values[i], Tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SpanCalc_EqualsStreaming()
|
||||
{
|
||||
var vo = new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 10);
|
||||
|
||||
// Streaming
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < _bars.Count; i++)
|
||||
{
|
||||
var result = vo.Update(_bars[i], isNew: true);
|
||||
streamingResults.Add(result.Value);
|
||||
}
|
||||
|
||||
// Span - pass arrays directly (implicit span conversion)
|
||||
var volume = _bars.Volume.Values.ToArray();
|
||||
var output = new double[_bars.Count];
|
||||
Vo.Batch(volume, output, shortPeriod: 5, longPeriod: 10);
|
||||
|
||||
for (int i = 0; i < streamingResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], output[i], Tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchUpdate_EqualsStreaming()
|
||||
{
|
||||
var voStream = new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 10);
|
||||
var voBatch = new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 10);
|
||||
|
||||
// Streaming
|
||||
for (int i = 0; i < _bars.Count; i++)
|
||||
{
|
||||
voStream.Update(_bars[i], isNew: true);
|
||||
}
|
||||
|
||||
// Batch
|
||||
var batchResult = voBatch.Update(_bars);
|
||||
|
||||
Assert.Equal(voStream.Last.Value, batchResult.Values[^1], Tolerance);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Span API Tests
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ValidatesLengths()
|
||||
{
|
||||
var volume = new double[100];
|
||||
var output = new double[50]; // Wrong length
|
||||
|
||||
ArgumentException? caught = null;
|
||||
try
|
||||
{
|
||||
Vo.Batch(volume, output, shortPeriod: 5, longPeriod: 10);
|
||||
}
|
||||
catch (ArgumentException ex)
|
||||
{
|
||||
caught = ex;
|
||||
}
|
||||
|
||||
Assert.NotNull(caught);
|
||||
Assert.Equal("output", caught.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ValidatesShortPeriod()
|
||||
{
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
ArgumentException? caught = null;
|
||||
try
|
||||
{
|
||||
Vo.Batch(volume, output, shortPeriod: 0, longPeriod: 10);
|
||||
}
|
||||
catch (ArgumentException ex)
|
||||
{
|
||||
caught = ex;
|
||||
}
|
||||
|
||||
Assert.NotNull(caught);
|
||||
Assert.Equal("shortPeriod", caught.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ValidatesLongPeriod()
|
||||
{
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
ArgumentException? caught = null;
|
||||
try
|
||||
{
|
||||
Vo.Batch(volume, output, shortPeriod: 5, longPeriod: 0);
|
||||
}
|
||||
catch (ArgumentException ex)
|
||||
{
|
||||
caught = ex;
|
||||
}
|
||||
|
||||
Assert.NotNull(caught);
|
||||
Assert.Equal("longPeriod", caught.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_ValidatesShortLessThanLong()
|
||||
{
|
||||
var volume = new double[100];
|
||||
var output = new double[100];
|
||||
|
||||
ArgumentException? caught = null;
|
||||
try
|
||||
{
|
||||
Vo.Batch(volume, output, shortPeriod: 10, longPeriod: 5);
|
||||
}
|
||||
catch (ArgumentException ex)
|
||||
{
|
||||
caught = ex;
|
||||
}
|
||||
|
||||
Assert.NotNull(caught);
|
||||
Assert.Equal("shortPeriod", caught.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_HandlesEmpty()
|
||||
{
|
||||
double[] volumeArr = [];
|
||||
double[] outputArr = [];
|
||||
|
||||
// Should not throw
|
||||
Vo.Batch(volumeArr, outputArr, shortPeriod: 5, longPeriod: 10);
|
||||
|
||||
Assert.Empty(outputArr);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_HandlesNaN()
|
||||
{
|
||||
var volume = new double[20];
|
||||
var output = new double[20];
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
volume[i] = i == 10 ? double.NaN : 500 + i;
|
||||
}
|
||||
|
||||
Vo.Batch(volume, output, shortPeriod: 5, longPeriod: 10);
|
||||
|
||||
foreach (var val in output)
|
||||
{
|
||||
Assert.True(double.IsFinite(val), "All values should be finite");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Span_LargeData_NoStackOverflow()
|
||||
{
|
||||
var volume = new double[10000];
|
||||
var output = new double[10000];
|
||||
|
||||
for (int i = 0; i < 10000; i++)
|
||||
{
|
||||
volume[i] = 500 + (i % 100);
|
||||
}
|
||||
|
||||
// Should not throw stack overflow
|
||||
Vo.Batch(volume, output, shortPeriod: 50, longPeriod: 200);
|
||||
|
||||
Assert.True(double.IsFinite(output[^1]));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Event Tests
|
||||
|
||||
[Fact]
|
||||
public void Pub_FiresOnUpdate()
|
||||
{
|
||||
var vo = new Vo();
|
||||
var eventFired = false;
|
||||
|
||||
vo.Pub += (object? sender, in TValueEventArgs args) => { eventFired = true; };
|
||||
vo.Update(_bars[0]);
|
||||
|
||||
Assert.True(eventFired);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pub_ChainingWorks()
|
||||
{
|
||||
var vo = new Vo();
|
||||
var receivedValues = new List<double>();
|
||||
|
||||
vo.Pub += (object? sender, in TValueEventArgs args) => { receivedValues.Add(args.Value.Value); };
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
vo.Update(_bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(20, receivedValues.Count);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region TValue Input Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_TValue_PreservesLastValue()
|
||||
{
|
||||
var vo = new Vo();
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// First update with bar to set a value
|
||||
var bar = new TBar(now, 100, 100, 100, 100, 500);
|
||||
vo.Update(bar, isNew: true);
|
||||
var lastValue = vo.Last.Value;
|
||||
|
||||
// TValue update should preserve last value (VO requires volume)
|
||||
var tval = new TValue(now.AddMinutes(1), 200);
|
||||
var result = vo.Update(tval, isNew: true);
|
||||
|
||||
Assert.Equal(lastValue, result.Value, Tolerance);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,259 @@
|
||||
// Vo: Mathematical property validation tests
|
||||
// Volume Oscillator compares short and long SMAs of volume.
|
||||
// No standard external library equivalents with matching implementation.
|
||||
// Validation uses mathematical property testing.
|
||||
|
||||
using Tulip;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
using Xunit;
|
||||
|
||||
public class VoValidationTests
|
||||
{
|
||||
private const int DefaultShortPeriod = 5;
|
||||
private const int DefaultLongPeriod = 10;
|
||||
private const int DefaultSignalPeriod = 10;
|
||||
private const int TestDataLength = 500;
|
||||
|
||||
[Fact]
|
||||
public void Vo_Output_IsFiniteForGbmData()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = vo.Update(bars[i], isNew: true);
|
||||
Assert.True(double.IsFinite(result.Value),
|
||||
$"Vo output must be finite at bar {i}, got {result.Value}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_ConstantVolume_ZeroOscillator()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
// Feed bars with identical volume
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, 1000); // constant volume
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// When volume is constant, short MA == long MA, VO = 0
|
||||
Assert.Equal(0.0, vo.Last.Value, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_IncreasingVolume_PositiveOscillator()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
// Feed bars with steadily increasing volume
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
double volume = 1000 + i * 100; // increasing
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, volume);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Short MA should be higher than long MA when volume is increasing
|
||||
Assert.True(vo.Last.Value > 0,
|
||||
$"VO should be positive with increasing volume, got {vo.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_DecreasingVolume_NegativeOscillator()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
// Feed bars with steadily decreasing volume
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
double volume = 10000 - i * 100; // decreasing
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, volume);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Short MA should be lower than long MA when volume is decreasing
|
||||
Assert.True(vo.Last.Value < 0,
|
||||
$"VO should be negative with decreasing volume, got {vo.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_Signal_IsFinite()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vo.Update(bars[i], isNew: true);
|
||||
Assert.True(double.IsFinite(vo.Signal),
|
||||
$"Signal must be finite at bar {i}, got {vo.Signal}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_ConstantVolume_SignalAlsoZero()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, 1000);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Signal is SMA of VO values, all of which are zero
|
||||
Assert.Equal(0.0, vo.Signal, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_BatchAndStreaming_ProduceSameResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Batch
|
||||
var batchResults = Vo.Batch(bars, DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
// Streaming
|
||||
var streamVo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
var streamResults = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = streamVo.Update(bars[i], isNew: true);
|
||||
streamResults[i] = result.Value;
|
||||
}
|
||||
|
||||
Assert.Equal(batchResults.Count, bars.Count);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResults.Values[i], streamResults[i], precision: 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var vo1 = new Vo(3, 7, 5);
|
||||
var vo2 = new Vo(10, 30, 15);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vo1.Update(bars[i], isNew: true);
|
||||
vo2.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.NotEqual(vo1.Last.Value, vo2.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_BarCorrection_IsNewFalse_RestoresState()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
vo.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
vo.Update(bars[30], isNew: true);
|
||||
double afterNew = vo.Last.Value;
|
||||
|
||||
vo.Update(bars[30], isNew: false);
|
||||
double afterCorrection = vo.Last.Value;
|
||||
|
||||
Assert.Equal(afterNew, afterCorrection, precision: 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_IsHot_AfterLongPeriod()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < DefaultLongPeriod - 1; i++)
|
||||
{
|
||||
var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 101, 99, 100, 1000);
|
||||
vo.Update(bar, isNew: true);
|
||||
Assert.False(vo.IsHot, $"Should not be hot at bar {i}");
|
||||
}
|
||||
|
||||
// Bar at index longPeriod-1 should make it hot (Index becomes longPeriod)
|
||||
var finalBar = new TBar(DateTime.UtcNow.AddMinutes(DefaultLongPeriod), 100, 101, 99, 100, 1000);
|
||||
vo.Update(finalBar, isNew: true);
|
||||
Assert.True(vo.IsHot, "Should be hot after longPeriod bars");
|
||||
}
|
||||
|
||||
// === Tulip Cross-Validation ===
|
||||
|
||||
/// <summary>
|
||||
/// Structural validation against Tulip <c>vosc</c> (volume oscillator).
|
||||
/// Algorithm variant: Tulip <c>vosc</c> takes one input (volume only) with two options
|
||||
/// (short_period, long_period) and computes <c>(sma_short - sma_long) / sma_long × 100</c>.
|
||||
/// QuanTAlib Vo also adds an optional signal EMA. With <c>signalPeriod=1</c> the signal
|
||||
/// equals Vo itself, so raw Vo output is directly comparable to Tulip vosc.
|
||||
/// </summary>
|
||||
[Fact]
|
||||
public void Vo_Matches_Tulip_Vosc_Batch()
|
||||
{
|
||||
const int shortPeriod = 5;
|
||||
const int longPeriod = 10;
|
||||
var bars = new GBM(sigma: 0.3, seed: 42).Fetch(300, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
double[] volumeData = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++) { volumeData[i] = bars[i].Volume; }
|
||||
|
||||
// QuanTAlib Vo batch
|
||||
var qResult = Vo.Batch(bars, shortPeriod, longPeriod, signalPeriod: 1);
|
||||
|
||||
// Tulip vosc — volume only, no signal period
|
||||
var tulipIndicator = Tulip.Indicators.vosc;
|
||||
double[][] inputs = { volumeData };
|
||||
double[] options = { shortPeriod, longPeriod };
|
||||
int lookback = tulipIndicator.Start(options);
|
||||
double[][] outputs = { new double[volumeData.Length - lookback] };
|
||||
tulipIndicator.Run(inputs, options, outputs);
|
||||
double[] tResult = outputs[0];
|
||||
|
||||
ValidationHelper.VerifyData(qResult, tResult, lookback);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_Matches_Tulip_Vosc_Streaming()
|
||||
{
|
||||
const int shortPeriod = 5;
|
||||
const int longPeriod = 10;
|
||||
var bars = new GBM(sigma: 0.3, seed: 42).Fetch(300, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
double[] volumeData = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++) { volumeData[i] = bars[i].Volume; }
|
||||
|
||||
// QuanTAlib Vo streaming (signalPeriod=1 → signal equals Vo)
|
||||
var vo = new Vo(shortPeriod, longPeriod, signalPeriod: 1);
|
||||
var qResults = new List<double>();
|
||||
foreach (var bar in bars) { qResults.Add(vo.Update(bar).Value); }
|
||||
|
||||
// Tulip vosc
|
||||
var tulipIndicator = Tulip.Indicators.vosc;
|
||||
double[][] inputs = { volumeData };
|
||||
double[] options = { shortPeriod, longPeriod };
|
||||
int lookback = tulipIndicator.Start(options);
|
||||
double[][] outputs = { new double[volumeData.Length - lookback] };
|
||||
tulipIndicator.Run(inputs, options, outputs);
|
||||
double[] tResult = outputs[0];
|
||||
|
||||
ValidationHelper.VerifyData(qResults, tResult, lookback);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user