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
2026-08-21 12:08:05 +00:00 · 2026-03-17 08:35:29 -07:00
parent 6f0a339c9b
commit 15f4bb90f3
71 changed files with 10194 additions and 44 deletions
@@ -0,0 +1,196 @@
+using Xunit;
+
+namespace QuanTAlib.Tests;
+
+/// <summary>
+/// Validation tests for VSTOP (Volatility Stop).
+/// Cross-validated against Skender.Stock.Indicators where available.
+/// Level 3: Mathematical correctness (SIC ± ATR×mult logic).
+/// </summary>
+public sealed class VstopValidationTests
+{
+    // ── Skender cross-validation ─────────────────────────────────────────
+    [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);
+    }
+}