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
2026-03-12 12:34:16 -07:00
parent 8937b0c0fa
commit 060649192f
1149 changed files with 1780 additions and 3316 deletions
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using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class VoIndicatorTests
{
[Fact]
public void VoIndicator_Constructor_SetsDefaults()
{
var indicator = new VoIndicator();
Assert.Equal("VO - Volume Oscillator", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
Assert.Equal(5, indicator.ShortPeriod);
Assert.Equal(10, indicator.LongPeriod);
Assert.Equal(10, indicator.SignalPeriod);
Assert.Equal(10, indicator.MinHistoryDepths);
}
[Fact]
public void VoIndicator_ShortName_ReflectsPeriods()
{
var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 7, SignalPeriod = 5 };
Assert.Equal("VO(3,7,5)", indicator.ShortName);
}
[Fact]
public void VoIndicator_MinHistoryDepths_EqualsLongPeriod()
{
var indicator = new VoIndicator { LongPeriod = 20 };
Assert.Equal(20, indicator.MinHistoryDepths);
Assert.Equal(20, ((IWatchlistIndicator)indicator).MinHistoryDepths);
}
[Fact]
public void VoIndicator_Periods_CanBeSet()
{
var indicator = new VoIndicator
{
ShortPeriod = 12,
LongPeriod = 26,
SignalPeriod = 9
};
Assert.Equal(12, indicator.ShortPeriod);
Assert.Equal(26, indicator.LongPeriod);
Assert.Equal(9, indicator.SignalPeriod);
}
[Fact]
public void VoIndicator_Initialize_CreatesInternalVo()
{
var indicator = new VoIndicator();
// Initialize should not throw
indicator.Initialize();
// After init, line series should exist (VO + Signal)
Assert.Equal(2, indicator.LinesSeries.Count);
}
[Fact]
public void VoIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 30; i++)
{
double volume = 100000 + i * 1000;
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
double voVal = indicator.LinesSeries[0].GetValue(0);
double signalVal = indicator.LinesSeries[1].GetValue(0);
Assert.True(double.IsFinite(voVal));
Assert.True(double.IsFinite(signalVal));
}
[Fact]
public void VoIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 30; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, 100000);
}
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
// Add new bar
indicator.HistoricalData.AddBar(now.AddMinutes(30), 105, 115, 100, 112, 80000);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
Assert.Equal(2, indicator.LinesSeries[1].Count);
}
[Fact]
public void VoIndicator_ConstantVolume_ZeroOscillator()
{
var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
// All bars with same volume
for (int i = 0; i < 20; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, 50000);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
}
double voVal = indicator.LinesSeries[0].GetValue(0);
Assert.Equal(0, voVal, 1);
}
[Fact]
public void VoIndicator_IncreasingVolume_PositiveOscillator()
{
var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Volume increases over time - short MA will exceed long MA
for (int i = 0; i < 20; i++)
{
double volume = 10000 + i * 5000; // Increasing volume
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
}
double voVal = indicator.LinesSeries[0].GetValue(0);
Assert.True(voVal > 0, $"VO should be positive when volume increasing: {voVal}");
}
[Fact]
public void VoIndicator_DecreasingVolume_NegativeOscillator()
{
var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Volume decreases over time - short MA will be below long MA
for (int i = 0; i < 20; i++)
{
double volume = 100000 - i * 4000; // Decreasing volume
volume = Math.Max(volume, 1000); // Keep positive
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
}
double voVal = indicator.LinesSeries[0].GetValue(0);
Assert.True(voVal < 0, $"VO should be negative when volume decreasing: {voVal}");
}
[Fact]
public void VoIndicator_SignalLine_SmoothsVo()
{
var indicator = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
var voValues = new List<double>();
var signalValues = new List<double>();
// Add oscillating volume
for (int i = 0; i < 30; i++)
{
double volume = 50000 + (i % 2 == 0 ? 20000 : -10000);
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
if (i >= 10) // After warmup
{
voValues.Add(indicator.LinesSeries[0].GetValue(0));
signalValues.Add(indicator.LinesSeries[1].GetValue(0));
}
}
// Signal line should be smoother (smaller range)
double voRange = voValues.Max() - voValues.Min();
double signalRange = signalValues.Max() - signalValues.Min();
Assert.True(signalRange <= voRange, $"Signal should be smoother: VO range={voRange}, Signal range={signalRange}");
}
[Fact]
public void VoIndicator_DifferentPeriods_DifferentResults()
{
var shortPeriods = new VoIndicator { ShortPeriod = 3, LongPeriod = 6, SignalPeriod = 3 };
shortPeriods.Initialize();
var longPeriods = new VoIndicator { ShortPeriod = 10, LongPeriod = 20, SignalPeriod = 10 };
longPeriods.Initialize();
var now = DateTime.UtcNow;
// Add same data to both
for (int i = 0; i < 50; i++)
{
double volume = 50000 + Math.Sin(i * 0.3) * 20000;
shortPeriods.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
longPeriods.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
shortPeriods.ProcessUpdate(args);
longPeriods.ProcessUpdate(args);
}
double shortVal = shortPeriods.LinesSeries[0].GetValue(0);
double longVal = longPeriods.LinesSeries[0].GetValue(0);
// Different periods should produce different results
Assert.NotEqual(shortVal, longVal, 3);
}
[Fact]
public void VoIndicator_ReturnsPercentage()
{
var indicator = new VoIndicator { ShortPeriod = 2, LongPeriod = 4, SignalPeriod = 2 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Start with baseline volume
for (int i = 0; i < 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, 10000);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
}
// Add bar with significantly higher volume
indicator.HistoricalData.AddBar(now.AddMinutes(5), 100, 105, 95, 100, 20000);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
double voVal = indicator.LinesSeries[0].GetValue(0);
// VO should be positive percentage (short MA > long MA)
Assert.True(voVal > 0, $"VO should be positive: {voVal}");
Assert.True(voVal <= 200, $"VO should be reasonable percentage: {voVal}"); // Not too extreme
}
[Fact]
public void VoIndicator_OscillatesAroundZero()
{
var indicator = new VoIndicator { ShortPeriod = 5, LongPeriod = 10, SignalPeriod = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
bool hasPositive = false;
bool hasNegative = false;
// Oscillating volume pattern
for (int i = 0; i < 50; i++)
{
double volume = 50000 + Math.Sin(i * 0.5) * 30000;
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, volume);
var args = i == 0
? new UpdateArgs(UpdateReason.HistoricalBar)
: new UpdateArgs(UpdateReason.NewBar);
indicator.ProcessUpdate(args);
if (i > 15) // After warmup
{
double val = indicator.LinesSeries[0].GetValue(0);
if (val > 0.5)
{
hasPositive = true;
}
if (val < -0.5)
{
hasNegative = true;
}
}
}
Assert.True(hasPositive && hasNegative, "VO should oscillate around zero");
}
}
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using Xunit;
namespace QuanTAlib.Tests;
public class VoTests
{
private const double Tolerance = 1e-10;
private readonly GBM _gbm;
private readonly TBarSeries _bars;
public VoTests()
{
_gbm = new GBM(seed: 42);
_bars = _gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
}
#region Constructor Tests
[Fact]
public void Constructor_DefaultPeriods_SetsExpectedValues()
{
var vo = new Vo();
Assert.Equal("Vo(5,10,10)", vo.Name);
Assert.Equal(10, vo.WarmupPeriod);
}
[Fact]
public void Constructor_CustomPeriods_SetsExpectedValues()
{
var vo = new Vo(shortPeriod: 3, longPeriod: 7, signalPeriod: 5);
Assert.Equal("Vo(3,7,5)", vo.Name);
Assert.Equal(7, vo.WarmupPeriod);
}
[Fact]
public void Constructor_ShortPeriodLessThan1_ThrowsArgumentException()
{
var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 0));
Assert.Equal("shortPeriod", ex.ParamName);
}
[Fact]
public void Constructor_LongPeriodLessThan1_ThrowsArgumentException()
{
var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 2, longPeriod: 0));
Assert.Equal("longPeriod", ex.ParamName);
}
[Fact]
public void Constructor_ShortPeriodGreaterOrEqualLongPeriod_ThrowsArgumentException()
{
var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 10, longPeriod: 10));
Assert.Equal("shortPeriod", ex.ParamName);
ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 15, longPeriod: 10));
Assert.Equal("shortPeriod", ex.ParamName);
}
[Fact]
public void Constructor_SignalPeriodLessThan1_ThrowsArgumentException()
{
var ex = Assert.Throws<ArgumentException>(() => new Vo(shortPeriod: 5, longPeriod: 10, signalPeriod: 0));
Assert.Equal("signalPeriod", ex.ParamName);
}
#endregion
#region Basic Calculation Tests
[Fact]
public void Update_ReturnsTValue()
{
var vo = new Vo();
var result = vo.Update(_bars[0]);
Assert.IsType<TValue>(result);
}
[Fact]
public void Update_AccessesLastAndSignal()
{
var vo = new Vo();
vo.Update(_bars[0]);
Assert.Equal(vo.Last.Value, vo.Update(_bars[0], isNew: false).Value);
_ = vo.Signal; // Access signal property
}
[Fact]
public void Update_SameVolumes_ReturnsZero()
{
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
var now = DateTime.UtcNow;
// All same volumes should result in VO = 0
for (int i = 0; i < 10; i++)
{
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000);
vo.Update(bar, isNew: true);
}
Assert.Equal(0.0, vo.Last.Value, Tolerance);
}
[Fact]
public void Update_IncreasingVolumes_ReturnsPositive()
{
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
var now = DateTime.UtcNow;
// Create a pattern where short MA > long MA at the end
// Volumes: 100, 100, 100, 100, 500, 1000
// At bar 5 (index 5): short SMA (2) = (500+1000)/2 = 750
// long SMA (4) = (100+100+500+1000)/4 = 425
// VO = ((750 - 425) / 425) * 100 = 76.47% (positive)
double[] volumes = [100, 100, 100, 100, 500, 1000];
for (int i = 0; i < volumes.Length; i++)
{
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
vo.Update(bar, isNew: true);
}
Assert.True(vo.Last.Value > 0, $"Expected positive VO but got {vo.Last.Value}");
}
[Fact]
public void Update_DecreasingVolumes_ReturnsNegative()
{
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
var now = DateTime.UtcNow;
// Create a pattern where short MA < long MA at the end
// Volumes: 1000, 1000, 1000, 1000, 500, 100
// At bar 5 (index 5): short SMA (2) = (500+100)/2 = 300
// long SMA (4) = (1000+1000+500+100)/4 = 650
// VO = ((300 - 650) / 650) * 100 = -53.85% (negative)
double[] volumes = [1000, 1000, 1000, 1000, 500, 100];
for (int i = 0; i < volumes.Length; i++)
{
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
vo.Update(bar, isNew: true);
}
Assert.True(vo.Last.Value < 0, $"Expected negative VO but got {vo.Last.Value}");
}
#endregion
#region State Management Tests
[Fact]
public void IsNew_True_AdvancesState()
{
var vo = new Vo(shortPeriod: 2, longPeriod: 4, signalPeriod: 2);
var now = DateTime.UtcNow;
// Feed enough bars to get past warmup with varying volumes
// to ensure state advances (index changes)
double[] volumes = [100, 200, 300, 400, 500];
for (int i = 0; i < volumes.Length; i++)
{
var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, volumes[i]);
vo.Update(bar, isNew: true);
}
var stateBeforeNewBar = vo.Last.Value;
// Add another bar with different volume
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
}
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// 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);
}
}