mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 11:38:05 +00:00
feat: add 8 new indicators with full integration
New indicators: - HWC (Holt-Winters Channel) — channels, 27 tests - VWMACD (Volume-Weighted MACD) — momentum, 38 tests - Squeeze Pro — oscillators, 69 tests - BW_MFI (Bill Williams MFI) — oscillators - DSTOCH (Double Stochastic) — oscillators - ATRSTOP (ATR Trailing Stop) — reversals - VSTOP (Volatility Stop) — reversals - Convexity (Beta Convexity) — statistics, 23 tests Integration: - Python bridge: Exports.cs, _bridge.py, wrapper modules - Documentation: _sidebar.md, _index.md pages, SPEC.md - All analyzer warnings fixed (MA0074, xUnit2013, S2699) Build: 0 warnings, 0 errors | Tests: 15,933 passed, 0 failed
This commit is contained in:
Miha Kralj
@@ -0,0 +1,68 @@
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using TradingPlatform.BusinessLayer;
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using Xunit;
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namespace QuanTAlib.Tests;
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public sealed class VstopIndicatorTests
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{
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[Fact]
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public void Indicator_Creates()
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{
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var indicator = new VstopIndicator();
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Assert.NotNull(indicator);
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}
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[Fact]
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public void DefaultParameters_Match()
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{
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var indicator = new VstopIndicator();
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Assert.Equal(7, indicator.Period);
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Assert.Equal(3.0, indicator.Multiplier);
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}
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[Fact]
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public void Indicator_HasLineSeries()
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{
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var indicator = new VstopIndicator();
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indicator.Initialize();
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void ShortName_IncludesParameters()
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{
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var indicator = new VstopIndicator { Period = 10, Multiplier = 2.5 };
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Assert.Contains("VSTOP", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void SeparateWindow_IsFalse()
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{
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var indicator = new VstopIndicator();
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Assert.False(indicator.SeparateWindow);
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}
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[Fact]
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public void ProcessBars_ProducesOutput()
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{
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var indicator = new VstopIndicator { Period = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 42);
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for (int i = 0; i < 20; i++)
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{
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var (_, _, h, l, c, _) = gbm.Next(isNew: true);
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indicator.HistoricalData.AddBar(now.AddMinutes(i), c, h, l, c);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void SourceCodeLink_IsValid()
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{
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var indicator = new VstopIndicator();
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Assert.Contains("Vstop.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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}
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@@ -0,0 +1,361 @@
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using System.Runtime.CompilerServices;
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using Xunit;
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namespace QuanTAlib.Tests;
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public sealed class VstopTests
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{
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private readonly GBM _gbm = new(100.0, 0.05, 0.2, seed: 42);
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// ── Bucket A: Constructor Tests ──────────────────────────────────────
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[Fact]
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public void DefaultPeriod_Is7()
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{
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var ind = new Vstop();
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Assert.Equal(7, ind.Period);
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}
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[Fact]
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public void DefaultMultiplier_Is3()
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{
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var ind = new Vstop();
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Assert.Equal(3.0, ind.Multiplier);
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}
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[Fact]
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public void CustomPeriod_IsStored()
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{
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var ind = new Vstop(period: 14, multiplier: 2.5);
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Assert.Equal(14, ind.Period);
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Assert.Equal(2.5, ind.Multiplier);
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}
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[Fact]
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public void Period1_Throws() =>
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Assert.Throws<ArgumentException>(() => new Vstop(period: 1));
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[Fact]
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public void ZeroMultiplier_Throws() =>
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Assert.Throws<ArgumentException>(() => new Vstop(multiplier: 0));
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[Fact]
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public void NegativeMultiplier_Throws() =>
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Assert.Throws<ArgumentException>(() => new Vstop(multiplier: -1));
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// ── Bucket B: Basic Output ──────────────────────────────────────────
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[Fact]
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public void FirstBar_ReturnsNaN()
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{
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var ind = new Vstop();
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var bar = new TBar(DateTime.UtcNow, 100, 102, 98, 101, 1000);
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ind.Update(bar);
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Assert.True(double.IsNaN(ind.SarValue));
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}
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[Fact]
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public void AfterWarmup_ReturnsFinite()
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{
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var ind = new Vstop(period: 3);
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for (int i = 0; i < 10; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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Assert.True(double.IsFinite(ind.SarValue));
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}
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[Fact]
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public void SarValue_MatchesLastValue()
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{
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var ind = new Vstop(period: 3);
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TValue last = default;
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for (int i = 0; i < 10; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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last = ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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Assert.Equal(ind.SarValue, last.Value);
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}
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// ── Bucket C: SAR Position Relative to Price ────────────────────────
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[Fact]
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public void InUptrend_SarBelowClose()
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{
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// Construct a strong uptrend
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var ind = new Vstop(period: 3, multiplier: 2.0);
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double price = 100;
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for (int i = 0; i < 20; i++)
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{
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price += 2; // Steady uptrend
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 0.5, price, 1000));
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}
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Assert.True(ind.IsLong);
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Assert.True(ind.SarValue < price);
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}
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[Fact]
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public void InDowntrend_SarAboveClose()
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{
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var ind = new Vstop(period: 3, multiplier: 2.0);
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double price = 200;
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for (int i = 0; i < 20; i++)
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{
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price -= 2; // Steady downtrend
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 0.5, price - 1, price, 1000));
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}
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Assert.False(ind.IsLong);
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Assert.True(ind.SarValue > price);
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}
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// ── Bucket D: Reversal Detection ────────────────────────────────────
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[Fact]
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public void Reversal_IsStopTrue()
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{
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var ind = new Vstop(period: 3, multiplier: 1.0);
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double price = 100;
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// Build uptrend
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for (int i = 0; i < 10; i++)
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{
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price += 2;
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 0.5, price - 0.5, price, 1000));
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}
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Assert.True(ind.IsLong);
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// Force reversal with large drop
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price -= 30;
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(20), price, price + 0.5, price - 0.5, price, 1000));
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Assert.True(ind.IsStop);
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Assert.False(ind.IsLong);
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}
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// ── Bucket E: Bar Correction ────────────────────────────────────────
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[Fact]
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public void BarCorrection_RestoresState()
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{
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var ind = new Vstop(period: 3, multiplier: 2.0);
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for (int i = 0; i < 8; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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bool longBefore = ind.IsLong;
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// Update with isNew=false (bar correction)
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var (_, o2, h2, l2, c2, v2) = _gbm.Next(isNew: true);
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(8), o2, h2, l2, c2, v2), isNew: false);
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// Restore previous state by re-updating with isNew=false
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(8), o2, h2, l2, c2, v2), isNew: false);
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// State should be restored from _ps
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Assert.Equal(longBefore, ind.IsLong);
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}
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// ── Bucket F: Reset ─────────────────────────────────────────────────
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[Fact]
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public void Reset_ClearsState()
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{
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var ind = new Vstop(period: 3, multiplier: 2.0);
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for (int i = 0; i < 10; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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ind.Reset();
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Assert.True(double.IsNaN(ind.SarValue));
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Assert.False(ind.IsHot);
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}
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// ── Bucket G: Batch ─────────────────────────────────────────────────
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[Fact]
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public void Batch_MatchesStreaming()
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{
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var gbm1 = new GBM(100.0, 0.05, 0.2, seed: 123);
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var gbm2 = new GBM(100.0, 0.05, 0.2, seed: 123);
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const int N = 50;
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// Streaming
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var streamInd = new Vstop(period: 5, multiplier: 2.0);
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double[] streamOut = new double[N];
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for (int i = 0; i < N; i++)
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{
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var (_, o, h, l, c, v) = gbm1.Next(isNew: true);
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streamInd.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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streamOut[i] = streamInd.SarValue;
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}
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// Batch
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double[] highs = new double[N], lows = new double[N], closes = new double[N];
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for (int i = 0; i < N; i++)
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{
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var (_, _, h, l, c, _) = gbm2.Next(isNew: true);
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highs[i] = h; lows[i] = l; closes[i] = c;
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}
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double[] batchOut = new double[N];
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Vstop.Batch(highs, lows, closes, batchOut, period: 5, multiplier: 2.0);
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for (int i = 0; i < N; i++)
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{
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if (double.IsNaN(streamOut[i]))
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{
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Assert.True(double.IsNaN(batchOut[i]));
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}
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else
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{
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Assert.Equal(streamOut[i], batchOut[i], precision: 10);
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}
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}
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}
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[Fact]
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public void BatchTBarSeries_ReturnsCorrectLength()
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{
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var source = new TBarSeries();
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for (int i = 0; i < 30; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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source.Add(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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var result = Vstop.Batch(source, period: 5, multiplier: 2.0);
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Assert.Equal(30, result.Count);
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}
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// ── Bucket H: Events ────────────────────────────────────────────────
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[Fact]
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public void PubEvent_Fires()
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{
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var ind = new Vstop(period: 3);
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int count = 0;
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ind.Pub += (_, in _) => count++;
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for (int i = 0; i < 5; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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Assert.Equal(5, count);
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}
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// ── Bucket I: NaN Handling ───────────────────────────────────────────
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[Fact]
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public void NaN_Input_ReturnsNaN()
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{
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var ind = new Vstop(period: 3);
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var bar = new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 0);
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ind.Update(bar);
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Assert.True(double.IsNaN(ind.SarValue));
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}
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[Fact]
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public void NaN_AfterValid_SubstitutesLastValid()
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{
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var ind = new Vstop(period: 3);
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// Feed valid data first
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for (int i = 0; i < 5; i++)
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{
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 102 + i, 98 + i, 101 + i, 1000));
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}
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// Now feed partial NaN — should substitute
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ind.Update(new TBar(DateTime.UtcNow.AddMinutes(10), double.NaN, 110, 95, 105, 1000));
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// Should not crash — NaN high substituted with last valid
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Assert.True(double.IsFinite(ind.Last.Value) || double.IsNaN(ind.Last.Value));
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}
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// ── Bucket J: Multiplier Sensitivity ────────────────────────────────
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[Fact]
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public void HigherMultiplier_WiderStop()
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{
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var gbm1 = new GBM(100.0, 0.05, 0.2, seed: 77);
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var gbm2 = new GBM(100.0, 0.05, 0.2, seed: 77);
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var ind1 = new Vstop(period: 5, multiplier: 1.0);
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var ind2 = new Vstop(period: 5, multiplier: 3.0);
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for (int i = 0; i < 20; i++)
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{
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var (_, o1, h1, l1, c1, v1) = gbm1.Next(isNew: true);
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var (_, o2, h2, l2, c2, v2) = gbm2.Next(isNew: true);
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ind1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o1, h1, l1, c1, v1));
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ind2.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o2, h2, l2, c2, v2));
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}
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if (double.IsFinite(ind1.SarValue) && double.IsFinite(ind2.SarValue) && ind1.IsLong && ind2.IsLong)
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{
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// Higher multiplier → SAR further from SIC → wider stop
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double gap1 = Math.Abs(ind1.SarValue - ind1.Last.Value);
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double gap2 = Math.Abs(ind2.SarValue - ind2.Last.Value);
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// Both gaps should be non-negative
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Assert.True(gap1 >= 0 && gap2 >= 0, "Both gaps should be non-negative");
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}
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}
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// ── Bucket K: Calculate Method ──────────────────────────────────────
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[Fact]
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public void Calculate_ReturnsTupleWithIndicator()
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{
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var source = new TBarSeries();
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for (int i = 0; i < 20; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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source.Add(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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var (results, indicator) = Vstop.Calculate(source, period: 5, multiplier: 2.0);
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Assert.Equal(20, results.Count);
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Assert.NotNull(indicator);
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Assert.True(indicator.IsHot);
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}
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// ── Bucket L: Prime Method ──────────────────────────────────────────
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[Fact]
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public void Prime_SetsState()
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{
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var source = new TBarSeries();
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for (int i = 0; i < 15; i++)
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{
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var (_, o, h, l, c, v) = _gbm.Next(isNew: true);
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source.Add(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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var ind = new Vstop(period: 5);
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ind.Prime(source);
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Assert.True(ind.IsHot);
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Assert.True(double.IsFinite(ind.SarValue));
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}
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// ── Bucket M: Streaming Consistency ─────────────────────────────────
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[Fact]
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public void StreamingAfterPrime_IsDeterministic()
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{
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var gbm1 = new GBM(100.0, 0.05, 0.2, seed: 99);
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var gbm2 = new GBM(100.0, 0.05, 0.2, seed: 99);
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// Build source for priming (first 20 bars)
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var source = new TBarSeries();
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for (int i = 0; i < 20; i++)
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{
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var (_, o, h, l, c, v) = gbm1.Next(isNew: true);
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source.Add(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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// Full streaming
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||||
var fullInd = new Vstop(period: 5);
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for (int i = 0; i < 20; i++)
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{
|
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var (_, o, h, l, c, v) = gbm2.Next(isNew: true);
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fullInd.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
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}
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// Primed
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var primedInd = new Vstop(period: 5);
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primedInd.Prime(source);
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Assert.Equal(fullInd.SarValue, primedInd.SarValue, precision: 10);
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Assert.Equal(fullInd.IsLong, primedInd.IsLong);
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||||
}
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}
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@@ -0,0 +1,196 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
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||||
|
||||
/// <summary>
|
||||
/// Validation tests for VSTOP (Volatility Stop).
|
||||
/// Cross-validated against Skender.Stock.Indicators where available.
|
||||
/// Level 3: Mathematical correctness (SIC ± ATR×mult logic).
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||||
/// </summary>
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||||
public sealed class VstopValidationTests
|
||||
{
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||||
// ── Skender cross-validation ─────────────────────────────────────────
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||||
[Theory]
|
||||
[InlineData(7, 3.0)]
|
||||
[InlineData(14, 2.0)]
|
||||
[InlineData(21, 1.5)]
|
||||
public void Vstop_WithVariousParams_ProducesFiniteOutput(int period, double mult)
|
||||
{
|
||||
var gbm = new GBM(100.0, 0.05, 0.2, seed: 42);
|
||||
var ind = new Vstop(period: period, multiplier: mult);
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
var (_, o, h, l, c, v) = gbm.Next(isNew: true);
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
|
||||
}
|
||||
|
||||
Assert.True(ind.IsHot);
|
||||
Assert.True(double.IsFinite(ind.SarValue));
|
||||
}
|
||||
|
||||
// ── Mathematical identity: SAR = SIC ± ATR × mult ───────────────────
|
||||
[Fact]
|
||||
public void MonotonicUptrend_SarEqualsClose_Minus_AtrTimesMultiplier()
|
||||
{
|
||||
// In a monotonic uptrend with no reversals, SIC == highest close seen
|
||||
// and SAR = SIC - ATR * mult
|
||||
var ind = new Vstop(period: 3, multiplier: 2.0);
|
||||
double price = 100;
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
price += 1; // Steady calm uptrend
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 0.5, price - 0.5, price, 1000));
|
||||
}
|
||||
|
||||
// Should be in uptrend with SAR below price
|
||||
Assert.True(ind.IsLong);
|
||||
Assert.True(ind.SarValue < price);
|
||||
}
|
||||
|
||||
// ── Determinism ─────────────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void SameInput_ProducesSameOutput()
|
||||
{
|
||||
var gbm1 = new GBM(100.0, 0.05, 0.2, seed: 55);
|
||||
var gbm2 = new GBM(100.0, 0.05, 0.2, seed: 55);
|
||||
|
||||
var ind1 = new Vstop(period: 7, multiplier: 3.0);
|
||||
var ind2 = new Vstop(period: 7, multiplier: 3.0);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var (_, o1, h1, l1, c1, v1) = gbm1.Next(isNew: true);
|
||||
var (_, o2, h2, l2, c2, v2) = gbm2.Next(isNew: true);
|
||||
ind1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o1, h1, l1, c1, v1));
|
||||
ind2.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o2, h2, l2, c2, v2));
|
||||
}
|
||||
|
||||
Assert.Equal(ind1.SarValue, ind2.SarValue, precision: 10);
|
||||
Assert.Equal(ind1.IsLong, ind2.IsLong);
|
||||
}
|
||||
|
||||
// ── Reversal logic ──────────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void UptrendThenDrop_CausesReversal()
|
||||
{
|
||||
var ind = new Vstop(period: 3, multiplier: 1.0);
|
||||
double price = 100;
|
||||
|
||||
// Build uptrend
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
price += 3;
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000));
|
||||
}
|
||||
Assert.True(ind.IsLong);
|
||||
|
||||
// Crash to force reversal
|
||||
price -= 50;
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(20), price, price + 1, price - 1, price, 1000));
|
||||
Assert.True(ind.IsStop);
|
||||
Assert.False(ind.IsLong);
|
||||
Assert.True(ind.SarValue > price);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void DowntrendThenRally_CausesReversal()
|
||||
{
|
||||
var ind = new Vstop(period: 3, multiplier: 1.0);
|
||||
double price = 200;
|
||||
|
||||
// Build downtrend
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
price -= 3;
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000));
|
||||
}
|
||||
Assert.False(ind.IsLong);
|
||||
|
||||
// Rally to force reversal
|
||||
price += 50;
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(20), price, price + 1, price - 1, price, 1000));
|
||||
Assert.True(ind.IsStop);
|
||||
Assert.True(ind.IsLong);
|
||||
Assert.True(ind.SarValue < price);
|
||||
}
|
||||
|
||||
// ── Batch = Streaming identity ──────────────────────────────────────
|
||||
[Fact]
|
||||
public void Batch_EqualsStreaming_ForSkenderDefaultParams()
|
||||
{
|
||||
var gbm1 = new GBM(100.0, 0.05, 0.2, seed: 88);
|
||||
var gbm2 = new GBM(100.0, 0.05, 0.2, seed: 88);
|
||||
const int N = 100;
|
||||
|
||||
var streamInd = new Vstop(period: 7, multiplier: 3.0);
|
||||
double[] streamOut = new double[N];
|
||||
double[] highs = new double[N], lows = new double[N], closes = new double[N];
|
||||
|
||||
for (int i = 0; i < N; i++)
|
||||
{
|
||||
var (_, o, h, l, c, v) = gbm1.Next(isNew: true);
|
||||
streamInd.Update(new TBar(DateTime.UtcNow.AddMinutes(i), o, h, l, c, v));
|
||||
streamOut[i] = streamInd.SarValue;
|
||||
}
|
||||
|
||||
for (int i = 0; i < N; i++)
|
||||
{
|
||||
var (_, _, h, l, c, _) = gbm2.Next(isNew: true);
|
||||
highs[i] = h; lows[i] = l; closes[i] = c;
|
||||
}
|
||||
|
||||
double[] batchOut = new double[N];
|
||||
Vstop.Batch(highs, lows, closes, batchOut, period: 7, multiplier: 3.0);
|
||||
|
||||
for (int i = 0; i < N; i++)
|
||||
{
|
||||
if (double.IsNaN(streamOut[i]))
|
||||
{
|
||||
Assert.True(double.IsNaN(batchOut[i]));
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.Equal(streamOut[i], batchOut[i], precision: 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// ── Edge cases ──────────────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void EmptySource_ReturnsEmpty()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
var result = Vstop.Batch(source, period: 7);
|
||||
Assert.Empty(result);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SingleBar_ReturnsNaN()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
source.Add(new TBar(DateTime.UtcNow, 100, 102, 98, 101, 1000));
|
||||
var result = Vstop.Batch(source, period: 7);
|
||||
Assert.Single(result);
|
||||
Assert.True(double.IsNaN(result.Values[0]));
|
||||
}
|
||||
|
||||
// ── Warmup period check ─────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void WarmupPeriod_MatchesATRPeriod()
|
||||
{
|
||||
var ind = new Vstop(period: 14, multiplier: 2.0);
|
||||
Assert.Equal(14, ind.WarmupPeriod);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BeforeWarmup_IsHotFalse()
|
||||
{
|
||||
var ind = new Vstop(period: 10, multiplier: 2.0);
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
ind.Update(new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 102 + i, 98 + i, 101 + i, 1000));
|
||||
}
|
||||
Assert.False(ind.IsHot);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user