mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 05:48:06 +00:00
refactor structs to records, add new classes for financial calculations, implement EMA and SMA with circular buffer. Generate random financial data using GBM model. Also, test the SMA calculation with sample data.
This commit is contained in:
Miha Kralj
+51
-51
@@ -5,60 +5,60 @@ using QuanTAlib;
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namespace Pairs;
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public class DIV_Test
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{
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[Fact]
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public void DIVSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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TSeries b = new() { 5, 4, 3, 2, 1, 3 };
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DIV_Series c = new(a, b);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void DIVSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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TSeries b = new() { 5, 4, 3, 2, 1, 3 };
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DIV_Series c = new(a, b);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void DIVSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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DIV_Series c = new(a, 0);
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Assert.Equal(double.PositiveInfinity, c.Last().v);
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}
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[Fact]
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public void DIVSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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DIV_Series c = new(a, 0);
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Assert.Equal(double.PositiveInfinity, c.Last().v);
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}
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[Fact]
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public void DIVDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 3.0 };
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DIV_Series c = new(12.0, a);
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Assert.Equal(4.0, c.Last().v);
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}
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[Fact]
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public void DIVDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 3.0 };
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DIV_Series c = new(12.0, a);
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Assert.Equal(4.0, c.Last().v);
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}
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[Fact]
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public void DIVEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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DIV_Series c = new(a, b);
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a.Add(12.0);
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b.Add(2);
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Assert.Equal(6.0, c.Last().v);
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}
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[Fact]
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public void DIVEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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DIV_Series c = new(a, b);
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a.Add(12.0);
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b.Add(2);
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Assert.Equal(6.0, c.Last().v);
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}
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[Fact]
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public void DIVUpdatewDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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double b = 2;
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DIV_Series c = new(a, b);
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a.Add(10, true);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void DIVUpdatewDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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double b = 2;
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DIV_Series c = new(a, b);
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a.Add(10, true);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void DIVUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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DIV_Series c = new(a, b);
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a.Add(10, true);
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b.Add(2, true);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void DIVUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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DIV_Series c = new(a, b);
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a.Add(10, true);
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b.Add(2, true);
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Assert.Equal(5, c.Last().v);
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}
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}
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+51
-51
@@ -5,60 +5,60 @@ using QuanTAlib;
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namespace Pairs;
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public class MUL_Test
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{
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[Fact]
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public void MULSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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MUL_Series c = new(a, b);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void MULSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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MUL_Series c = new(a, b);
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Assert.Equal(5, c.Last().v);
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}
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[Fact]
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public void MULSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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MUL_Series c = new(a, 10.0);
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Assert.Equal(50, c.Last().v);
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}
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[Fact]
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public void MULSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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MUL_Series c = new(a, 10.0);
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Assert.Equal(50, c.Last().v);
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}
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[Fact]
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public void MULDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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MUL_Series c = new(5.0, a);
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Assert.Equal(25, c.Last().v);
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}
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[Fact]
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public void MULDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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MUL_Series c = new(5.0, a);
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Assert.Equal(25, c.Last().v);
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}
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[Fact]
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public void MULEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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MUL_Series c = new(a, b);
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a.Add(2);
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b.Add(5);
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Assert.Equal(10, c.Last().v);
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}
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[Fact]
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public void MULEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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MUL_Series c = new(a, b);
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a.Add(2);
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b.Add(5);
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Assert.Equal(10, c.Last().v);
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}
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[Fact]
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public void MULUpdateDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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double b = 10;
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MUL_Series c = new(a, b);
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a.Add(2, true);
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Assert.Equal(20, c.Last().v);
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}
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[Fact]
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public void MULUpdateDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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double b = 10;
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MUL_Series c = new(a, b);
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a.Add(2, true);
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Assert.Equal(20, c.Last().v);
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}
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[Fact]
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public void MULUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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MUL_Series c = new(a, b);
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a.Add(10, true);
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b.Add(10, true);
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Assert.Equal(100, c.Last().v);
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}
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[Fact]
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public void MULUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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MUL_Series c = new(a, b);
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a.Add(10, true);
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b.Add(10, true);
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Assert.Equal(100, c.Last().v);
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}
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}
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+51
-51
@@ -5,60 +5,60 @@ using QuanTAlib;
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namespace Pairs;
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public class SUB_Test
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{
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[Fact]
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public void SUBSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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SUB_Series c = new(a, b);
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Assert.Equal(4, c.Last().v);
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}
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[Fact]
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public void SUBSeriesSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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SUB_Series c = new(a, b);
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Assert.Equal(4, c.Last().v);
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}
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[Fact]
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public void SUBSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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SUB_Series c = new(a, 10.0);
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Assert.Equal(5.0, c.Last().v);
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}
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[Fact]
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public void SUBSeriesDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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SUB_Series c = new(a, 10.0);
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Assert.Equal(5.0, c.Last().v);
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}
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[Fact]
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public void SUBDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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SUB_Series c = new(10.0, a);
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Assert.Equal(-5.0, c.Last().v);
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}
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[Fact]
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public void SUBDoubleSeries_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
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SUB_Series c = new(10.0, a);
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Assert.Equal(-5.0, c.Last().v);
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}
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[Fact]
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public void SUBEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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SUB_Series c = new(a, b);
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a.Add(7.0);
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b.Add(2);
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Assert.Equal(5.0, c.Last().v);
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}
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[Fact]
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public void SUBEventing_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 0 };
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SUB_Series c = new(a, b);
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a.Add(7.0);
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b.Add(2);
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Assert.Equal(5.0, c.Last().v);
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}
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[Fact]
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public void SUBUpdatewDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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double b = 10;
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SUB_Series c = new(a, b);
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a.Add(1, true);
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Assert.Equal(-9, c.Last().v);
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}
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[Fact]
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public void SUBUpdatewDouble_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 15 };
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double b = 10;
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SUB_Series c = new(a, b);
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a.Add(1, true);
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Assert.Equal(-9, c.Last().v);
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}
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[Fact]
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public void SUBUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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SUB_Series c = new(a, b);
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a.Add(10, true);
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b.Add(0, true);
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Assert.Equal(10, c.Last().v);
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}
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[Fact]
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public void SUBUpdating_Test()
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{
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TSeries a = new() { 0, 1, 2, 3, 4, 5 };
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TSeries b = new() { 5, 4, 3, 2, 1, 1 };
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SUB_Series c = new(a, b);
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a.Add(10, true);
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b.Add(0, true);
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Assert.Equal(10, c.Last().v);
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}
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}
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+45
-45
@@ -10,52 +10,52 @@ public class TBars_Test
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{
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TBars s = new() { (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue, c: Double.NegativeInfinity, v: Double.PositiveInfinity) };
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var tup = (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue,
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c: Double.NegativeInfinity, v: Double.PositiveInfinity);
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c: Double.NegativeInfinity, v: Double.PositiveInfinity);
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Assert.Equal(tup, s[^1]);
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}
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[Fact]
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public void Casting_Parameters()
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{
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TBars s = new()
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{
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{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false }
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};
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Assert.Equal(0.1, s[^1].o);
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Assert.Equal(1.1, s[^1].h);
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Assert.Equal(2.1, s[^1].l);
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Assert.Equal(3.1, s[^1].c);
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Assert.Equal(4.1, s[^1].v);
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Assert.Equal(DateTime.Today, s[^1].t);
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Assert.Single(s);
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}
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TBars s = new()
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{
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{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false }
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};
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Assert.Equal(0.1, s[^1].o);
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Assert.Equal(1.1, s[^1].h);
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Assert.Equal(2.1, s[^1].l);
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Assert.Equal(3.1, s[^1].c);
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Assert.Equal(4.1, s[^1].v);
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Assert.Equal(DateTime.Today, s[^1].t);
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Assert.Single(s);
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}
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[Fact]
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public void Updating_Value()
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{
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TBars s = new()
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{
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{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 }
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};
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s.Add(DateTime.Today, 1.0, 1.0, 1.0, 1.0, 1.0, update: false);
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s.Add(DateTime.Today, 0.0, 0.0, 0.0, 0.0, 0.0, update: true);
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Assert.Equal(0.0, s[^1].o);
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Assert.Equal(0.0, s[^1].h);
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Assert.Equal(0.0, s[^1].l);
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Assert.Equal(0.0, s[^1].c);
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Assert.Equal(0.0, s[^1].v);
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Assert.Equal(2, s.Count);
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TBars s = new()
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{
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{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 }
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};
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s.Add(DateTime.Today, 1.0, 1.0, 1.0, 1.0, 1.0, update: false);
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s.Add(DateTime.Today, 0.0, 0.0, 0.0, 0.0, 0.0, update: true);
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Assert.Equal(0.0, s[^1].o);
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Assert.Equal(0.0, s[^1].h);
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Assert.Equal(0.0, s[^1].l);
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||||
Assert.Equal(0.0, s[^1].c);
|
||||
Assert.Equal(0.0, s[^1].v);
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||||
Assert.Equal(2, s.Count);
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||||
}
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[Fact]
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||||
public void Extracting_TSeries()
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||||
{
|
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TBars s = new()
|
||||
{
|
||||
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 },
|
||||
{ DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1 }
|
||||
};
|
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TBars s = new()
|
||||
{
|
||||
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 },
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{ DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1 }
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||||
};
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||||
|
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TSeries t = s.Open;
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TSeries t = s.Open;
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Assert.Equal(t.t, s.Open.t);
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Assert.Equal(t.v, s.Open.v);
|
||||
|
||||
@@ -91,22 +91,22 @@ public class TBars_Test
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||||
Assert.Equal(t.t, s.HLC3.t);
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Assert.Equal(t.v, s.HLC3.v);
|
||||
|
||||
t = s.OHLC4;
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Assert.Equal(t.t, s.OHLC4.t);
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Assert.Equal(t.v, s.OHLC4.v);
|
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t = s.OHLC4;
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Assert.Equal(t.t, s.OHLC4.t);
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Assert.Equal(t.v, s.OHLC4.v);
|
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|
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t = s.HLCC4;
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Assert.Equal(t.t, s.HLCC4.t);
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Assert.Equal(t.v, s.HLCC4.v);
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}
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||||
t = s.HLCC4;
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||||
Assert.Equal(t.t, s.HLCC4.t);
|
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Assert.Equal(t.v, s.HLCC4.v);
|
||||
}
|
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[Fact]
|
||||
public void Broadcasting_Events()
|
||||
{
|
||||
TBars s = new() { (DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1) };
|
||||
TSeries t = new();
|
||||
s.Close.Pub += t.Sub;
|
||||
s.Add(DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false);
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||||
Assert.Equal(s.Close.v, t.v);
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Assert.Equal(s.Close.Count, t.Count);
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}
|
||||
TBars s = new() { (DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1) };
|
||||
TSeries t = new();
|
||||
s.Close.Pub += t.Sub;
|
||||
s.Add(DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false);
|
||||
Assert.Equal(s.Close.v, t.v);
|
||||
Assert.Equal(s.Close.Count, t.Count);
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user