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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
@@ -0,0 +1,88 @@
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class WadIndicatorTests
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{
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[Fact]
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public void WadIndicator_Constructor_SetsDefaults()
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{
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var indicator = new WadIndicator();
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Assert.Equal("WAD - Williams Accumulation/Distribution", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(1, WadIndicator.MinHistoryDepths);
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}
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[Fact]
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public void WadIndicator_ShortName_IsCorrect()
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{
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var indicator = new WadIndicator();
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Assert.Equal("WAD", indicator.ShortName);
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}
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[Fact]
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public void WadIndicator_MinHistoryDepths_EqualsOne()
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{
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var indicator = new WadIndicator();
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Assert.Equal(1, WadIndicator.MinHistoryDepths);
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Assert.Equal(1, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void WadIndicator_Initialize_CreatesInternalWad()
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{
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var indicator = new WadIndicator();
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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 WadIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new WadIndicator();
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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 < 20; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000);
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// Process update for each bar to simulate history loading
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// Line series should have a value
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void WadIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new WadIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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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 + i, 110 + i, 90 + i, 105 + i, 1000);
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}
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// Add new bar
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indicator.HistoricalData.AddBar(now.AddMinutes(20), 120, 130, 110, 125, 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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}
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@@ -0,0 +1,260 @@
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namespace QuanTAlib.Tests;
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public class WadTests
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{
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[Fact]
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public void Wad_BasicCalculation_ReturnsExpectedValues()
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{
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// Arrange
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var wad = new Wad();
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var time = DateTime.UtcNow;
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// Bar 1: First bar, WAD = 0 (no previous close)
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var bar1 = new TBar(time, 100, 105, 95, 100, 1000);
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var val1 = wad.Update(bar1);
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Assert.Equal(0, val1.Value);
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// Bar 2: Close=110 > PrevClose=100, TrueLow = min(92, 100) = 92
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// PM = 110 - 92 = 18, Vol = 2000
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// AD = 18 * 2000 = 36000, WAD = 0 + 36000 = 36000
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var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000);
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var val2 = wad.Update(bar2);
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Assert.Equal(36000, val2.Value);
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// Bar 3: Close=105 < PrevClose=110, TrueHigh = max(108, 110) = 110
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// PM = 105 - 110 = -5, Vol = 1500
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// AD = -5 * 1500 = -7500, WAD = 36000 - 7500 = 28500
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var bar3 = new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500);
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var val3 = wad.Update(bar3);
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Assert.Equal(28500, val3.Value);
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}
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[Fact]
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public void Wad_CloseUnchanged_ZeroPriceMovement()
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{
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var wad = new Wad();
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var time = DateTime.UtcNow;
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// Bar 1
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var bar1 = new TBar(time, 100, 105, 95, 100, 1000);
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wad.Update(bar1);
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// Bar 2: Close=100 == PrevClose=100 -> PM = 0
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var bar2 = new TBar(time.AddMinutes(1), 100, 110, 90, 100, 2000);
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var val2 = wad.Update(bar2);
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Assert.Equal(0, val2.Value);
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}
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[Fact]
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public void Wad_IsNew_False_UpdatesSameBar()
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{
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var wad = new Wad();
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var time = DateTime.UtcNow;
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// Initial bar
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var bar1 = new TBar(time, 100, 105, 95, 100, 1000);
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wad.Update(bar1, isNew: true);
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Assert.Equal(0, wad.Last.Value);
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// Bar 2: Close=110 > PrevClose=100
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var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000);
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wad.Update(bar2, isNew: true);
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Assert.Equal(36000, wad.Last.Value);
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// Update same bar with different data (isNew=false)
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// Close=108 > PrevClose=100, TrueLow = min(92, 100) = 92
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// PM = 108 - 92 = 16, Vol = 1000
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// AD = 16 * 1000 = 16000, WAD = 0 + 16000 = 16000
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var bar2Update = new TBar(time.AddMinutes(1), 100, 115, 92, 108, 1000);
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wad.Update(bar2Update, isNew: false);
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Assert.Equal(16000, wad.Last.Value);
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}
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[Fact]
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public void Wad_Reset_ClearsState()
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{
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var wad = new Wad();
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time, 100, 105, 95, 100, 1000);
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wad.Update(bar1);
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var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000);
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wad.Update(bar2);
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Assert.True(wad.IsHot);
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Assert.NotEqual(0, wad.Last.Value);
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wad.Reset();
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Assert.False(wad.IsHot);
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Assert.Equal(0, wad.Last.Value);
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}
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[Fact]
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public void Wad_TValueUpdate_ThrowsNotSupportedException()
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{
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var wad = new Wad();
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var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000);
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wad.Update(bar);
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Assert.Throws<NotSupportedException>(() => wad.Update(new TValue(DateTime.UtcNow, 15)));
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}
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[Fact]
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public void Wad_Name_IsCorrect()
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{
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Assert.Equal("WAD", Wad.Name);
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}
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[Fact]
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public void Wad_PubEvent_FiresOnUpdate()
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{
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var wad = new Wad();
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bool eventFired = false;
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wad.Pub += (object? sender, in TValueEventArgs args) => eventFired = true;
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wad.Update(new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000));
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Assert.True(eventFired);
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}
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[Fact]
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public void Wad_UpdateTBarSeries_ReturnsCorrectSeries()
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{
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var wad = new Wad();
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time, 100, 105, 95, 100, 1000));
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bars.Add(new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000));
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bars.Add(new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500));
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var result = wad.Update(bars);
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Assert.Equal(3, result.Count);
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Assert.Equal(0, result[0].Value);
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Assert.Equal(36000, result[1].Value);
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Assert.Equal(28500, result[2].Value);
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}
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[Fact]
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public void Wad_CalculateTBarSeries_ReturnsCorrectSeries()
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{
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time, 100, 105, 95, 100, 1000));
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bars.Add(new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000));
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bars.Add(new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500));
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var result = Wad.Batch(bars);
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Assert.Equal(3, result.Count);
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Assert.Equal(0, result[0].Value);
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Assert.Equal(36000, result[1].Value);
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Assert.Equal(28500, result[2].Value);
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}
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[Fact]
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public void Wad_CalculateSpan_ReturnsCorrectValues()
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{
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double[] high = { 105, 115, 108 };
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double[] low = { 95, 92, 102 };
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double[] close = { 100, 110, 105 };
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double[] volume = { 1000, 2000, 1500 };
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double[] output = new double[3];
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Wad.Batch(high, low, close, volume, output);
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Assert.Equal(0, output[0]);
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Assert.Equal(36000, output[1]);
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Assert.Equal(28500, output[2]);
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}
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[Fact]
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public void Wad_CalculateSpan_ThrowsOnMismatchedLengths()
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{
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double[] high = { 105, 115 };
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double[] low = { 95, 92 };
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double[] close = { 100, 110 };
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double[] volume = { 1000 }; // Short
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double[] output = new double[2];
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Assert.Throws<ArgumentException>(() =>
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Wad.Batch(high, low, close, volume, output));
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}
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[Fact]
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public void Wad_Calculate_EmptySeries_ReturnsEmpty()
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{
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var bars = new TBarSeries();
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var result = Wad.Batch(bars);
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Assert.Empty(result);
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}
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[Fact]
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public void Wad_CalculateSpan_LargeDataset()
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{
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const int count = 1000;
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double[] high = new double[count];
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double[] low = new double[count];
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double[] close = new double[count];
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double[] volume = new double[count];
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double[] output = new double[count];
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// Setup: Ascending close pattern
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for (int i = 0; i < count; i++)
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{
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close[i] = 100 + i;
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high[i] = close[i] + 5;
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low[i] = close[i] - 5;
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volume[i] = 100;
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}
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Wad.Batch(high, low, close, volume, output);
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// First bar should be 0
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Assert.Equal(0, output[0]);
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// All subsequent bars should have positive accumulation since close is always rising
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for (int i = 1; i < count; i++)
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{
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Assert.True(output[i] > output[i - 1], $"WAD should increase at index {i}");
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}
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}
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[Fact]
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public void Wad_StreamingMatchesBatch()
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{
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var bars = new TBarSeries();
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var gbm = new GBM();
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// Generate bars using GBM
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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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// Batch calculation
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var batchResult = Wad.Batch(bars);
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// Streaming calculation
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var wad = new Wad();
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var streamingResult = wad.Update(bars);
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// Compare results
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Assert.Equal(batchResult.Count, streamingResult.Count);
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for (int i = 0; i < batchResult.Count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingResult[i].Value, precision: 10);
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}
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}
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[Fact]
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public void Wad_IsHot_BecomesTrue_AfterFirstBar()
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{
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var wad = new Wad();
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Assert.False(wad.IsHot);
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wad.Update(new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000));
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Assert.True(wad.IsHot);
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}
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}
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@@ -0,0 +1,154 @@
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Williams Accumulation/Distribution validation tests.
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/// Cross-validated against: Tulip (wad).
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/// Skender, TA-Lib, and Ooples do not have WAD implementations.
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///
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/// NOTE: QuanTAlib WAD = cumulative sum(PM × Volume) — volume-weighted.
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/// Tulip WAD = cumulative sum(PM) — NOT volume-weighted.
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/// Direct value comparison is not possible due to this formula difference.
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/// Instead, we verify bar-over-bar directional agreement (both should trend
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/// in the same direction when only price movement drives the delta).
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/// </summary>
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public sealed class WadValidationTests : IDisposable
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{
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private readonly ValidationTestData _data;
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private readonly ITestOutputHelper _output;
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public WadValidationTests(ITestOutputHelper output)
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{
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_data = new ValidationTestData();
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_output = output;
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}
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public void Dispose() { /* nothing to dispose */ }
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#region Tulip Cross Validation Tests
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[Fact]
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public void Validate_Tulip_WAD()
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{
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// Tulip wad: inputs={high, low, close}, options={}, outputs={wad}
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// Tulip WAD computes WAD = cumulative(PM) without volume weighting
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// QuanTAlib WAD computes WAD = cumulative(PM × Volume)
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// Since volume is always positive, PM sign is identical so
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// bar-over-bar changes should have the same SIGN.
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var high = _data.Bars.High.Values.ToArray();
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var low = _data.Bars.Low.Values.ToArray();
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var close = _data.Bars.Close.Values.ToArray();
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var tulipIndicator = Tulip.Indicators.wad;
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double[][] inputs = { high, low, close };
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double[] options = Array.Empty<double>();
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double[][] outputs = { new double[high.Length] };
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tulipIndicator.Run(inputs, options, outputs);
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double[] tResult = outputs[0];
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int lookback = tulipIndicator.Start(options);
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// QuanTAlib WAD
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var wad = new Wad();
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var qValues = new double[_data.Bars.Count];
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int idx = 0;
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foreach (var bar in _data.Bars)
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{
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qValues[idx++] = wad.Update(bar).Value;
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}
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_output.WriteLine($"Tulip WAD lookback: {lookback}, output length: {tResult.Length}");
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_output.WriteLine($"Tulip first 5: {string.Join(", ", tResult.Take(5).Select(v => v.ToString("F4", System.Globalization.CultureInfo.InvariantCulture)))}");
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_output.WriteLine($"QuanTAlib first 5: {string.Join(", ", qValues.Skip(lookback + 1).Take(5).Select(v => v.ToString("F4", System.Globalization.CultureInfo.InvariantCulture)))}");
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// Compare bar-over-bar sign agreement
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// When Tulip WAD delta > 0 (accumulation), QuanTAlib WAD delta should also be > 0
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int compared = 0;
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int agreed = 0;
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int startIdx = lookback + 3; // skip initial convergence
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for (int i = startIdx; i < qValues.Length && (i - lookback) < tResult.Length; i++)
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{
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int tIdx = i - lookback;
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if (tIdx < 1)
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{
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continue;
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}
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double qDelta = qValues[i] - qValues[i - 1];
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double tDelta = tResult[tIdx] - tResult[tIdx - 1];
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// Skip near-zero deltas (ambiguous direction)
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if (Math.Abs(tDelta) < 1e-10 || Math.Abs(qDelta) < 1e-10)
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{
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compared++;
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agreed++;
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continue;
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}
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compared++;
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if (Math.Sign(qDelta) == Math.Sign(tDelta))
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{
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agreed++;
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}
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}
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double agreementRate = compared > 0 ? (double)agreed / compared : 0;
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_output.WriteLine($"Tulip WAD directional agreement: {agreed}/{compared} = {agreementRate:P1}");
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// Both formulas use the same PM (price movement) sign, so direction should match strongly
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// Volume only scales the magnitude, not the direction
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Assert.True(agreementRate > 0.95,
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$"WAD directional agreement should exceed 95%, got {agreementRate:P1} ({agreed}/{compared})");
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Assert.True(compared > 100, $"Should compare at least 100 values, got {compared}");
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}
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#endregion
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[Fact]
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public void Wad_BatchMatchesStreaming()
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{
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// Batch calculation
|
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var batchResult = Wad.Batch(_data.Bars);
|
||||
|
||||
// Streaming calculation
|
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var wad = new Wad();
|
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var streamingResult = wad.Update(_data.Bars);
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// Compare all values
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Assert.Equal(batchResult.Count, streamingResult.Count);
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for (int i = 0; i < batchResult.Count; i++)
|
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{
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Assert.Equal(batchResult[i].Value, streamingResult[i].Value, precision: 10);
|
||||
}
|
||||
}
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||||
|
||||
[Fact]
|
||||
public void Wad_SpanMatchesStreaming()
|
||||
{
|
||||
var high = _data.Bars.High.Values.ToArray();
|
||||
var low = _data.Bars.Low.Values.ToArray();
|
||||
var close = _data.Bars.Close.Values.ToArray();
|
||||
var volume = _data.Bars.Volume.Values.ToArray();
|
||||
var spanOutput = new double[high.Length];
|
||||
|
||||
// Span calculation
|
||||
Wad.Batch(high, low, close, volume, spanOutput);
|
||||
|
||||
// Streaming calculation
|
||||
var wad = new Wad();
|
||||
var streamingValues = new List<double>();
|
||||
foreach (var bar in _data.Bars)
|
||||
{
|
||||
streamingValues.Add(wad.Update(bar).Value);
|
||||
}
|
||||
|
||||
// Compare all values
|
||||
Assert.Equal(spanOutput.Length, streamingValues.Count);
|
||||
for (int i = 0; i < spanOutput.Length; i++)
|
||||
{
|
||||
Assert.Equal(spanOutput[i], streamingValues[i], precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user