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feat(validation): add input validation for Bilateral and Blma constructors; enhance Butter and Mgdi calculations with NaN handling

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This commit is contained in:
Miha Kralj
2025-12-25 20:53:56 -08:00
parent ac8b2dbb3f
commit 0d077c24d8
15 changed files with 195 additions and 66 deletions
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lib/trends/blma/Blma.Tests.cs
+51 -50
View File
@@ -22,22 +22,16 @@ public class BlmaTests
Assert.Throws<ArgumentOutOfRangeException>(() => new Blma(-1));
}
[Fact]
public void Constructor_ValidatesSource()
{
Assert.Throws<ArgumentNullException>(() => new Blma(null!, 10));
Assert.Throws<ArgumentException>(() => new Blma(new object(), 10));
}
[Fact]
public void BasicCalculation_MatchesManual()
{
// Period 3
// Weights:
// n=3
// i=0: 0.42 - 0.5*cos(0) + 0.08*cos(0) = 0.42 - 0.5 + 0.08 = 0
// i=1: 0.42 - 0.5*cos(pi) + 0.08*cos(2pi) = 0.42 - 0.5(-1) + 0.08(1) = 0.42 + 0.5 + 0.08 = 1.0
// i=2: 0.42 - 0.5*cos(2pi) + 0.08*cos(4pi) = 0.42 - 0.5(1) + 0.08(1) = 0
// Wait, Blackman window is 0 at edges.
// So for period 3, weights are [0, 1, 0].
// Sum = 1.
// Weighted Sum = 0*x0 + 1*x1 + 0*x2 = x1.
// So BLMA(3) should return the middle value?
// Let's verify.
var blma = new Blma(3);
var input = new[] { 10.0, 20.0, 30.0 };
@@ -45,44 +39,12 @@ public class BlmaTests
var r1 = blma.Update(new TValue(DateTime.UtcNow, input[0]));
Assert.Equal(10.0, r1.Value);
// Bar 2: Count=2. Weights for n=2:
// i=0: 0.42 - 0.5*cos(0) + 0.08*cos(0) = 0
// i=1: 0.42 - 0.5*cos(2pi) + 0.08*cos(4pi) = 0
// Wait, for n=2, invNMinus1 = 1/(2-1) = 1.
// i=0: ratio=0. w=0.
// i=1: ratio=1. w=0.
// Sum=0. Division by zero?
// Let's check CalculateWeights logic.
// If n=2, weights are 0, 0. Sum is 0.
// This is a known issue with Blackman window for small N if we strictly follow formula.
// However, usually N is odd or larger.
// But for warmup, we encounter N=2.
// If sum is 0, result is NaN or Infinity.
// We should check if sum is 0 and handle it?
// Or maybe the formula handles it?
// Let's check the code.
// If sum is 0, we divide by 0.
// I should add a check in CalculateWeights or Update to handle zero sum?
// Or maybe for N=2, we should use something else?
// PineScript implementation:
// If total_weight is 0, inv_total is Infinity.
// Then weights become Infinity.
// Then result is Infinity.
// Does PineScript handle this?
// "int p = math.min(bar_index + 1, period)"
// If period=2, p=2.
// If Blackman gives 0 weights, it fails.
// But maybe `cos(2pi)` is not exactly 1 in float?
// No, it's mathematically 0.
// Let's see if I need to fix this in Blma.cs.
// I will run this test and see if it fails.
// Bar 2: Count=2. Weights for n=2 sum to 0. Fallback to average: (10+20)/2 = 15.
var r2 = blma.Update(new TValue(DateTime.UtcNow, input[1]));
// For N=2, weights sum to 0. Fallback to average: (10+20)/2 = 15.
Assert.Equal(15.0, r2.Value);
// Bar 3: Count=3. Weights [0, 1, 0]. Sum=1. Result=20.
var r3 = blma.Update(new TValue(DateTime.UtcNow, input[2]));
// For N=3, weights [0, 1, 0]. Sum=1. Result=20.
Assert.Equal(20.0, r3.Value, 1e-6);
}
@@ -156,9 +118,6 @@ public class BlmaTests
Assert.Equal(val1, val2);
// However, the internal buffer MUST be updated.
// We verify this by adding a 4th bar.
// If Bar 3 was 30, Bar 4 result would be different than if Bar 3 is 40.
// Case A: Bar 3 = 40 (current state)
blma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
var valWith40 = blma.Last.Value;
@@ -173,4 +132,46 @@ public class BlmaTests
Assert.NotEqual(valWith30, valWith40);
}
[Fact]
public void Prime_PreservesTimestamps()
{
var blma = new Blma(5);
var input = new double[] { 1, 2, 3, 4, 5 };
var timestamps = new List<DateTime>();
blma.Pub += (item) => timestamps.Add(item.AsDateTime);
blma.Prime(input);
Assert.Equal(input.Length, timestamps.Count);
// Verify timestamps are unique and increasing
for (int i = 1; i < timestamps.Count; i++)
{
Assert.True(timestamps[i] > timestamps[i-1], $"Timestamp at {i} ({timestamps[i].Ticks}) should be greater than {i-1} ({timestamps[i-1].Ticks})");
}
}
[Fact]
public void Prime_Overload_UsesProvidedTimestamps()
{
var blma = new Blma(5);
var now = DateTime.UtcNow;
TValue[] input =
[
new(now, 1),
new(now.AddMinutes(1), 2),
new(now.AddMinutes(2), 3)
];
var timestamps = new List<DateTime>();
blma.Pub += (item) => timestamps.Add(item.AsDateTime);
blma.Prime(input);
Assert.Equal(input.Length, timestamps.Count);
Assert.Equal(input[0].AsDateTime, timestamps[0]);
Assert.Equal(input[1].AsDateTime, timestamps[1]);
Assert.Equal(input[2].AsDateTime, timestamps[2]);
}
}
lib/trends/blma/Blma.cs
+24 -3
View File
@@ -33,8 +33,19 @@ public sealed class Blma : AbstractBase
public Blma(object source, int period) : this(period)
{
var pub = (ITValuePublisher)source;
pub.Pub += Handle;
if (source is null)
{
throw new ArgumentNullException(nameof(source));
}
if (source is ITValuePublisher pub)
{
pub.Pub += Handle;
}
else
{
throw new ArgumentException("Source must implement ITValuePublisher", nameof(source));
}
}
private void Handle(TValue value)
@@ -49,9 +60,19 @@ public sealed class Blma : AbstractBase
public override void Prime(ReadOnlySpan<double> source)
{
DateTime time = DateTime.UtcNow;
foreach (var value in source)
{
Update(new TValue(DateTime.UtcNow, value));
Update(new TValue(time, value));
time = time.AddMilliseconds(1);
}
}
public void Prime(ReadOnlySpan<TValue> source)
{
foreach (var value in source)
{
Update(value);
}
}