mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-22 04:28:04 +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
@@ -7,395 +7,463 @@ using Python.Runtime;
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namespace Validations;
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public class PandasTA : IDisposable {
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private bool disposed = false;
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private readonly GBM_Feed bars;
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private readonly Random rnd = new();
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private readonly int period, skip;
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private readonly int digits;
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private readonly dynamic np;
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private readonly dynamic ta;
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private readonly dynamic pd;
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private readonly dynamic df;
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public class PandasTA : IDisposable
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{
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private bool disposed = false;
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private readonly GBM_Feed bars;
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private readonly Random rnd = new();
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private readonly int period, skip;
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private readonly int digits;
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private readonly dynamic np;
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private readonly dynamic ta;
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private readonly dynamic pd;
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private readonly dynamic df;
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public PandasTA() {
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bars = new GBM_Feed(5000, 0.8, 0.0);
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period = rnd.Next(28) + 3;
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skip = period + 50;
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digits = 8;
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public PandasTA()
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{
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bars = new GBM_Feed(5000, 0.8, 0.0);
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period = rnd.Next(28) + 3;
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skip = period + 50;
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digits = 8;
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var pythonDLL = PythonLibrary.Locate();
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Runtime.PythonDLL = pythonDLL;
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PythonEngine.Initialize();
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var pythonDLL = PythonLibrary.Locate();
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Runtime.PythonDLL = pythonDLL;
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PythonEngine.Initialize();
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np = Py.Import("numpy");
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pd = Py.Import("pandas");
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ta = Py.Import("pandas_ta");
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np = Py.Import("numpy");
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pd = Py.Import("pandas");
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ta = Py.Import("pandas_ta");
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string[] cols = {"open", "high", "low", "close", "volume"};
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var ary = new double[bars.Count, 5];
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for (var i = 0; i < bars.Count; i++) {
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ary[i, 0] = bars.Open[i].v;
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ary[i, 1] = bars.High[i].v;
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ary[i, 2] = bars.Low[i].v;
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ary[i, 3] = bars.Close[i].v;
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ary[i, 4] = bars.Volume[i].v;
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}
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string[] cols = { "open", "high", "low", "close", "volume" };
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var ary = new double[bars.Count, 5];
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for (var i = 0; i < bars.Count; i++)
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{
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ary[i, 0] = bars.Open[i].v;
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ary[i, 1] = bars.High[i].v;
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ary[i, 2] = bars.Low[i].v;
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ary[i, 3] = bars.Close[i].v;
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ary[i, 4] = bars.Volume[i].v;
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}
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df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
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}
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df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
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}
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public void Dispose() {
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Dispose(true);
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PythonEngine.Shutdown();
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GC.SuppressFinalize(this);
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}
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public void Dispose()
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{
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Dispose(true);
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PythonEngine.Shutdown();
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GC.SuppressFinalize(this);
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}
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~PandasTA() {
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Dispose(false);
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}
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~PandasTA()
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{
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Dispose(false);
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}
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protected virtual void Dispose(bool disposing) {
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if (!disposed) {
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disposed = true;
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}
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}
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protected virtual void Dispose(bool disposing)
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{
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if (!disposed)
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{
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disposed = true;
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}
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}
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[Fact]
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private void ADL() {
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ADL_Series QL = new(bars);
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var pta = df.ta.ad(high: df.high, low: df.low, close: df.close, volume: df.volume);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void ADL()
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{
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ADL_Series QL = new(bars);
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var pta = df.ta.ad(high: df.high, low: df.low, close: df.close, volume: df.volume);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void BBANDS() {
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BBANDS_Series QL = new(bars.Close, period);
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var pta = df.ta.bbands(close: df.close, length: period).to_numpy();
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL.Lower[i].v;
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var PanTA_item = (double) pta[i][0]; //lower
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Mid[i].v;
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PanTA_item = (double) pta[i][1]; //mid
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Upper[i].v;
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PanTA_item = (double) pta[i][2]; //upper
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void BBANDS()
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{
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BBANDS_Series QL = new(bars.Close, period);
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var pta = df.ta.bbands(close: df.close, length: period).to_numpy();
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL.Lower[i].v;
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var PanTA_item = (double)pta[i][0]; //lower
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Mid[i].v;
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PanTA_item = (double)pta[i][1]; //mid
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Upper[i].v;
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PanTA_item = (double)pta[i][2]; //upper
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void BIAS() {
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BIAS_Series QL = new(bars.Close, period, false);
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var pta = df.ta.bias(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void BIAS()
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{
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BIAS_Series QL = new(bars.Close, period, false);
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var pta = df.ta.bias(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void CCI() {
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CCI_Series QL = new(bars, period, false);
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var pta = df.ta.cci(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void CCI()
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{
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CCI_Series QL = new(bars, period, false);
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var pta = df.ta.cci(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void DEMA() {
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DEMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.dema(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void DEMA()
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{
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DEMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.dema(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void EMA() {
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EMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.ema(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void EMA()
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{
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EMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.ema(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void ENTROPY() {
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ENTROPY_Series QL = new(bars.Close, period, false);
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var pta = df.ta.entropy(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void ENTROPY()
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{
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ENTROPY_Series QL = new(bars.Close, period, false);
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var pta = df.ta.entropy(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HL2() {
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var pta = df.ta.hl2(high: df.high, low: df.low);
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for (var i = bars.HL2.Length - 1; i > skip; i--) {
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var QL_item = bars.HL2[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HL2()
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{
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var pta = df.ta.hl2(high: df.high, low: df.low);
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for (var i = bars.HL2.Length - 1; i > skip; i--)
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{
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var QL_item = bars.HL2[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HLC3() {
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var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
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for (var i = bars.HLC3.Length; i > skip; i--) {
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var QL_item = bars.HLC3[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HLC3()
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{
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var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
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for (var i = bars.HLC3.Length; i > skip; i--)
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{
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var QL_item = bars.HLC3[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HMA() {
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HMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.hma(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void HMA()
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{
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HMA_Series QL = new(bars.Close, period, false);
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var pta = df.ta.hma(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void KURTOSIS() {
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KURTOSIS_Series QL = new(bars.Close, period, false);
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var pta = df.ta.kurtosis(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void KURTOSIS()
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{
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KURTOSIS_Series QL = new(bars.Close, period, false);
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var pta = df.ta.kurtosis(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void MACD() {
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MACD_Series QL = new(bars.Close, 26, 12, 9, false);
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var pta = df.ta.macd(close: df.close).to_numpy();
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1][0];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Signal[i - 1].v;
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PanTA_item = (double) pta[i - 1][2];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void MACD()
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{
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MACD_Series QL = new(bars.Close, 26, 12, 9, false);
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var pta = df.ta.macd(close: df.close).to_numpy();
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for (var i = QL.Length - 1; i > skip; i--)
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{
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double)pta[i - 1][0];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Signal[i - 1].v;
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PanTA_item = (double)pta[i - 1][2];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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private void MAD() {
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MAD_Series QL = new(bars.Close, period, false);
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var pta = df.ta.mad(close: df.close, length: period);
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for (var i = QL.Length - 1; i > skip; i--) {
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var QL_item = QL[i - 1].v;
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var PanTA_item = (double) pta[i - 1];
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Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
|
||||
}
|
||||
[Fact]
|
||||
private void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.mad(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void MEDIAN() {
|
||||
MEDIAN_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.median(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void MEDIAN()
|
||||
{
|
||||
MEDIAN_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.median(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void OBV() {
|
||||
OBV_Series QL = new(bars);
|
||||
var pta = df.ta.obv(close: df.close, volume: df.volume);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars);
|
||||
var pta = df.ta.obv(close: df.close, volume: df.volume);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void OHLC4() {
|
||||
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
|
||||
for (var i = bars.OHLC4.Length; i > skip; i--) {
|
||||
var QL_item = bars.OHLC4[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void OHLC4()
|
||||
{
|
||||
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
|
||||
for (var i = bars.OHLC4.Length; i > skip; i--)
|
||||
{
|
||||
var QL_item = bars.OHLC4[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void SDEV() {
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void SMA() {
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.sma(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.sma(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void SSDEV() {
|
||||
SSDEV_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void SSDEV()
|
||||
{
|
||||
SSDEV_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void SVARIANCE() {
|
||||
SVAR_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void SVARIANCE()
|
||||
{
|
||||
SVAR_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void TEMA() {
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.tema(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.tema(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void TR() {
|
||||
TR_Series QL = new(bars);
|
||||
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void TR()
|
||||
{
|
||||
TR_Series QL = new(bars);
|
||||
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void TRIMA() {
|
||||
// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
|
||||
TRIMA_Series QL = new(bars.Close, 11);
|
||||
var pta = df.ta.trima(close: df.close, length: 11);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void TRIMA()
|
||||
{
|
||||
// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
|
||||
TRIMA_Series QL = new(bars.Close, 11);
|
||||
var pta = df.ta.trima(close: df.close, length: 11);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void VARIANCE() {
|
||||
VAR_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.variance(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void VARIANCE()
|
||||
{
|
||||
VAR_Series QL = new(bars.Close, period);
|
||||
var pta = df.ta.variance(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void WMA() {
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.wma(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.wma(close: df.close, length: period);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
private void ZSCORE() {
|
||||
ZSCORE_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--) {
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double) pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
private void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, false);
|
||||
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
|
||||
for (var i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
var QL_item = QL[i - 1].v;
|
||||
var PanTA_item = (double)pta[i - 1];
|
||||
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public static class PythonLibrary {
|
||||
public static string Locate() {
|
||||
if (RuntimeInformation.IsOSPlatform(OSPlatform.Windows)) {
|
||||
string[] paths = Environment.GetEnvironmentVariable("PATH")?.Split(';') ?? Array.Empty<string>();
|
||||
foreach (string path in paths) {
|
||||
string[] pythonDLLs = Directory.GetFiles(path, "python3*.dll");
|
||||
if (pythonDLLs.Length > 0) {
|
||||
foreach (string item in pythonDLLs) {
|
||||
if (!item.EndsWith("python3.dll", StringComparison.OrdinalIgnoreCase)) {
|
||||
return item;
|
||||
}
|
||||
}
|
||||
public static class PythonLibrary
|
||||
{
|
||||
public static string Locate()
|
||||
{
|
||||
if (RuntimeInformation.IsOSPlatform(OSPlatform.Windows))
|
||||
{
|
||||
string[] paths = Environment.GetEnvironmentVariable("PATH")?.Split(';') ?? Array.Empty<string>();
|
||||
foreach (string path in paths)
|
||||
{
|
||||
string[] pythonDLLs = Directory.GetFiles(path, "python3*.dll");
|
||||
if (pythonDLLs.Length > 0)
|
||||
{
|
||||
foreach (string item in pythonDLLs)
|
||||
{
|
||||
if (!item.EndsWith("python3.dll", StringComparison.OrdinalIgnoreCase))
|
||||
{
|
||||
return item;
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
}
|
||||
throw new FileNotFoundException("Python library not found in PATH");
|
||||
}
|
||||
else if (RuntimeInformation.IsOSPlatform(OSPlatform.Linux)) {
|
||||
}
|
||||
}
|
||||
throw new FileNotFoundException("Python library not found in PATH");
|
||||
}
|
||||
else if (RuntimeInformation.IsOSPlatform(OSPlatform.Linux))
|
||||
{
|
||||
return "/usr/lib/x86_64-linux-gnu/libpython3.10.so";
|
||||
/*
|
||||
List<string> pythonLibraries = new List<string>();
|
||||
List<string> directoriesToSearch = new List<string> { "/home/runner/.local/lib" }; // Add more directories as needed
|
||||
string filePattern = "libpython3.*.so";
|
||||
SearchFiles(directoriesToSearch, filePattern, pythonLibraries);
|
||||
/*
|
||||
List<string> pythonLibraries = new List<string>();
|
||||
List<string> directoriesToSearch = new List<string> { "/home/runner/.local/lib" }; // Add more directories as needed
|
||||
string filePattern = "libpython3.*.so";
|
||||
SearchFiles(directoriesToSearch, filePattern, pythonLibraries);
|
||||
|
||||
if (pythonLibraries.Count > 0) {
|
||||
return pythonLibraries[0];
|
||||
}
|
||||
else {
|
||||
throw new FileNotFoundException("Python library not found");
|
||||
}
|
||||
*/
|
||||
}
|
||||
if (pythonLibraries.Count > 0) {
|
||||
return pythonLibraries[0];
|
||||
}
|
||||
else {
|
||||
throw new FileNotFoundException("Python library not found");
|
||||
}
|
||||
*/
|
||||
}
|
||||
|
||||
else if (RuntimeInformation.IsOSPlatform(OSPlatform.OSX)) {
|
||||
throw new NotSupportedException("Not supported yet");
|
||||
}
|
||||
else if (RuntimeInformation.IsOSPlatform(OSPlatform.OSX))
|
||||
{
|
||||
throw new NotSupportedException("Not supported yet");
|
||||
}
|
||||
|
||||
else { throw new NotSupportedException("Unsupported operating system"); }
|
||||
}
|
||||
static void SearchFiles(List<string> directoriesToSearch, string filePattern, List<string> foundFiles)
|
||||
else { throw new NotSupportedException("Unsupported operating system"); }
|
||||
}
|
||||
static void SearchFiles(List<string> directoriesToSearch, string filePattern, List<string> foundFiles)
|
||||
{
|
||||
foreach (string directory in directoriesToSearch)
|
||||
{
|
||||
|
||||
+469
-466
@@ -6,481 +6,484 @@ using Xunit;
|
||||
namespace Validations;
|
||||
public class Skender
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period, digits, skip;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period, digits, skip;
|
||||
private readonly IEnumerable<Quote> quotes;
|
||||
|
||||
|
||||
public Skender()
|
||||
{
|
||||
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
|
||||
period = rnd.Next(30) + 5;
|
||||
digits = 6; //minimizing rounding errors in type conversions
|
||||
skip = period+2;
|
||||
public Skender()
|
||||
{
|
||||
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
|
||||
period = rnd.Next(30) + 5;
|
||||
digits = 6; //minimizing rounding errors in type conversions
|
||||
skip = period + 2;
|
||||
|
||||
quotes = bars.Select(q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
quotes = bars.Select(q => new Quote
|
||||
{
|
||||
Date = q.t,
|
||||
Open = (decimal)q.o,
|
||||
High = (decimal)q.h,
|
||||
Low = (decimal)q.l,
|
||||
Close = (decimal)q.c,
|
||||
Volume = (decimal)q.v
|
||||
});
|
||||
}
|
||||
|
||||
/*
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars);
|
||||
var SK = quotes.GetAdl().Select(i => i.Adl);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1)!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
*/
|
||||
[Fact]
|
||||
public void ALMA()
|
||||
{
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period:period,useNaN: false);
|
||||
var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL.Mid[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Sma!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Upper[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).UpperBand!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Lower[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).LowerBand!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Bandwidth[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).Width!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.PercentB[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).PercentB!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Zscore[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).ZScore!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
/*
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars);
|
||||
var SK = quotes.GetAdl().Select(i => i.Adl);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1)!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
*/
|
||||
[Fact]
|
||||
public void CMO()
|
||||
{
|
||||
CMO_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetCmo(period).Select(i => i.Cmo.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
public void ALMA()
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Correlation.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void COVAR()
|
||||
{
|
||||
COVAR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Covariance.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
ALMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false, useSMA: true);
|
||||
var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip*2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
// TODO: check precision of KAMA()
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip+2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SLOPE()
|
||||
{
|
||||
SLOPE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = (double)SK.ElementAt(i - 1).Slope!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
QL_item = QL.Intercept[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).Intercept!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
QL_item = QL.RSquared[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).RSquared!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
QL_item = QL.StdDev[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).StdDev!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
for (int i = QL.Length; i > 27; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Macd.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
//QL_item = QL.Signal[i - 1].v;
|
||||
//SK_item = SK.ElementAt(i - 1).Signal.Null2NaN()!;
|
||||
//Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAMA()
|
||||
{
|
||||
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
|
||||
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
QL_item = QL.Fama[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period).Select(i => i.Obv!);
|
||||
for (int i = QL.Length; i > skip; i--) {
|
||||
double QL_item = QL.Last().v;
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
double SK_item = SK.Last()! + (double)quotes.First().Volume!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false);
|
||||
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
|
||||
for (int i = QL.Length; i > period*15; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TRIX() {
|
||||
TRIX_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
|
||||
for (int i = QL.Length; i > period*12; i--) {
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars);
|
||||
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip*2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
public void ATR()
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
ATR_Series QL = new(bars, period: period, useNaN: false);
|
||||
var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ATRP()
|
||||
{
|
||||
ATRP_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
|
||||
var SK = quotes.GetBollingerBands(period, 2.0);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL.Mid[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Sma!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Upper[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).UpperBand!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Lower[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).LowerBand!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Bandwidth[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).Width!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.PercentB[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).PercentB!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Zscore[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).ZScore!.Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CMO()
|
||||
{
|
||||
CMO_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetCmo(period).Select(i => i.Cmo.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Correlation.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void COVAR()
|
||||
{
|
||||
COVAR_Series QL = new(bars.High, bars.Low, period, false);
|
||||
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Covariance.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false, useSMA: true);
|
||||
var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HL2).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.HLC3).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HMA()
|
||||
{
|
||||
HMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip * 2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
// TODO: check precision of KAMA()
|
||||
KAMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip + 2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SLOPE()
|
||||
{
|
||||
SLOPE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSlope(period);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = (double)SK.ElementAt(i - 1).Slope!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Intercept[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).Intercept!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.RSquared[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).RSquared!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.StdDev[i - 1].v;
|
||||
SK_item = (double)SK.ElementAt(i - 1).StdDev!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
|
||||
var SK = quotes.GetMacd(12, 26, 9);
|
||||
for (int i = QL.Length; i > 27; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Macd.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
//QL_item = QL.Signal[i - 1].v;
|
||||
//SK_item = SK.ElementAt(i - 1).Signal.Null2NaN()!;
|
||||
//Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAD()
|
||||
{
|
||||
MAD_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAMA()
|
||||
{
|
||||
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
|
||||
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
QL_item = QL.Fama[i - 1].v;
|
||||
SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MAPE()
|
||||
{
|
||||
MAPE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MSE()
|
||||
{
|
||||
MSE_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
var SK = quotes.GetObv(period).Select(i => i.Obv!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL.Last().v;
|
||||
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
|
||||
double SK_item = SK.Last()! + (double)quotes.First().Volume!;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OC2()
|
||||
{
|
||||
TSeries QL = bars.OC2;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OC2).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OHL3()
|
||||
{
|
||||
TSeries QL = bars.OHL3;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHL3).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
var SK = quotes.GetBaseQuote(CandlePart.OHLC4).ToList();
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1).Value;
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SMMA()
|
||||
{
|
||||
SMMA_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false);
|
||||
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
|
||||
for (int i = QL.Length; i > period * 15; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TRIX()
|
||||
{
|
||||
TRIX_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
|
||||
for (int i = QL.Length; i > period * 12; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars);
|
||||
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip * 2; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ZSCORE()
|
||||
{
|
||||
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
||||
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
|
||||
for (int i = QL.Length; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i - 1].v;
|
||||
double SK_item = SK.ElementAt(i - 1);
|
||||
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
+409
-405
@@ -6,478 +6,482 @@ using QuanTAlib;
|
||||
namespace Validations;
|
||||
public class Ta_Lib
|
||||
{
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period, digits, skip;
|
||||
private readonly double[] TALIB;
|
||||
private readonly double[] TALIB2;
|
||||
private readonly double[] inopen;
|
||||
private readonly double[] inhigh;
|
||||
private readonly double[] inlow;
|
||||
private readonly double[] inclose;
|
||||
private readonly double[] involume;
|
||||
private readonly GBM_Feed bars;
|
||||
private readonly Random rnd = new();
|
||||
private readonly int period, digits, skip;
|
||||
private readonly double[] TALIB;
|
||||
private readonly double[] TALIB2;
|
||||
private readonly double[] inopen;
|
||||
private readonly double[] inhigh;
|
||||
private readonly double[] inlow;
|
||||
private readonly double[] inclose;
|
||||
private readonly double[] involume;
|
||||
|
||||
public Ta_Lib()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
|
||||
period = rnd.Next(28) + 3;
|
||||
skip = period+2;
|
||||
digits = 9;
|
||||
public Ta_Lib()
|
||||
{
|
||||
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
|
||||
period = rnd.Next(28) + 3;
|
||||
skip = period + 2;
|
||||
digits = 9;
|
||||
|
||||
TALIB = new double[bars.Count];
|
||||
TALIB2 = new double[bars.Count];
|
||||
inopen = bars.Open.v.ToArray();
|
||||
inhigh = bars.High.v.ToArray();
|
||||
inlow = bars.Low.v.ToArray();
|
||||
inclose = bars.Close.v.ToArray();
|
||||
involume = bars.Volume.v.ToArray();
|
||||
}
|
||||
TALIB = new double[bars.Count];
|
||||
TALIB2 = new double[bars.Count];
|
||||
inopen = bars.Open.v.ToArray();
|
||||
inhigh = bars.High.v.ToArray();
|
||||
inlow = bars.Low.v.ToArray();
|
||||
inclose = bars.Close.v.ToArray();
|
||||
involume = bars.Volume.v.ToArray();
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ADD()
|
||||
{
|
||||
ADD_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void ADD()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
ADD_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
ADL_Series QL = new(bars);
|
||||
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > 0; i--)
|
||||
[Fact]
|
||||
public void ADL()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ADOSC()
|
||||
{
|
||||
ADOSC_Series QL = new(bars, 3, 10, false);
|
||||
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip*2; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
ADL_Series QL = new(bars);
|
||||
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > 0; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period:period, useNaN: false);
|
||||
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void ADOSC()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
ADOSC_Series QL = new(bars, 3, 10, false);
|
||||
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip * 2; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void ATR()
|
||||
{
|
||||
ATR_Series QL = new(bars, period: period, useNaN: false);
|
||||
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
double[] outMiddle = new double[bars.Count];
|
||||
double[] outUpper = new double[bars.Count];
|
||||
double[] outLower = new double[bars.Count];
|
||||
BBANDS_Series QL = new(bars.Close, period: period, multiplier: 2.0, false);
|
||||
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: period, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void BBANDS()
|
||||
{
|
||||
double QL_item = QL.Upper[i].v;
|
||||
double TA_item = outUpper[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
QL_item = QL.Mid[i].v;
|
||||
TA_item = outMiddle[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
QL_item = QL.Lower[i].v;
|
||||
TA_item = outLower[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
double[] outMiddle = new double[bars.Count];
|
||||
double[] outUpper = new double[bars.Count];
|
||||
double[] outLower = new double[bars.Count];
|
||||
BBANDS_Series QL = new(bars.Close, period: period, multiplier: 2.0, false);
|
||||
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: period, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL.Upper[i].v;
|
||||
double TA_item = outUpper[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
QL_item = QL.Mid[i].v;
|
||||
TA_item = outMiddle[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
QL_item = QL.Lower[i].v;
|
||||
TA_item = outLower[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void CCI()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
CCI_Series QL = new(bars, period, false);
|
||||
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
/* CMO in TA-LIB is not valid
|
||||
[Fact]
|
||||
public void CMO() {
|
||||
CMO_Series QL = new(bars.Close, period, false);
|
||||
Core.Cmo(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--) {
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
*/
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
CORR_Series QL = new(bars.Open, bars.Close, period);
|
||||
Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
/* CMO in TA-LIB is not valid
|
||||
[Fact]
|
||||
public void CMO() {
|
||||
CMO_Series QL = new(bars.Close, period, false);
|
||||
Core.Cmo(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--) {
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
*/
|
||||
[Fact]
|
||||
public void CORR()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
CORR_Series QL = new(bars.Open, bars.Close, period);
|
||||
Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
DEMA_Series QL = new(bars.Close, period, false, useSMA: false);
|
||||
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > period*10; i--)
|
||||
[Fact]
|
||||
public void DEMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
DEMA_Series QL = new(bars.Close, period, false, useSMA: false);
|
||||
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > period * 10; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void DIV()
|
||||
{
|
||||
DIV_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void DIV()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
DIV_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void EMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
EMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
TSeries QL = bars.HL2;
|
||||
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void HL2()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TSeries QL = bars.HL2;
|
||||
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
TSeries QL = bars.HLC3;
|
||||
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void HLC3()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TSeries QL = bars.HLC3;
|
||||
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void HLCC4()
|
||||
{
|
||||
TSeries QL = bars.HLCC4;
|
||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void HLCC4()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TSeries QL = bars.HLCC4;
|
||||
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void KAMA() {
|
||||
KAMA_Series QL = new(bars.Close, period, fast: 2, slow: 30);
|
||||
Core.Kama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--) {
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
double[] macdSignal = new double[bars.Count];
|
||||
double[] macdHist = new double[bars.Count];
|
||||
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
||||
// TA-LIB runs EMA without SMA, leaving first 100 values for convergence
|
||||
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _, optInFastPeriod: 12, optInSlowPeriod: 26, optInSignalPeriod: 9);
|
||||
for (int i = QL.Length - 1; i > 100; i--)
|
||||
[Fact]
|
||||
public void KAMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
QL_item = QL.Signal[i].v;
|
||||
TA_item = macdSignal[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
KAMA_Series QL = new(bars.Close, period, fast: 2, slow: 30);
|
||||
Core.Kama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
/*
|
||||
[Fact]
|
||||
public void MAMA()
|
||||
{
|
||||
MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
|
||||
Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
|
||||
for (int i = QL.Length - 1; i > skip * 10; i--)
|
||||
[Fact]
|
||||
public void MACD()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits-1), Math.Exp(-digits-1));
|
||||
double[] macdSignal = new double[bars.Count];
|
||||
double[] macdHist = new double[bars.Count];
|
||||
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
|
||||
// TA-LIB runs EMA without SMA, leaving first 100 values for convergence
|
||||
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _, optInFastPeriod: 12, optInSlowPeriod: 26, optInSignalPeriod: 9);
|
||||
for (int i = QL.Length - 1; i > 100; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
QL_item = QL.Signal[i].v;
|
||||
TA_item = macdSignal[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
*/
|
||||
[Fact]
|
||||
public void MAX()
|
||||
{
|
||||
MAX_Series QL = new(bars.Close, period, false);
|
||||
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
/*
|
||||
[Fact]
|
||||
public void MAMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
|
||||
Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
|
||||
for (int i = QL.Length - 1; i > skip * 10; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits-1), Math.Exp(-digits-1));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MIDPOINT()
|
||||
{
|
||||
MIDPOINT_Series QL = new(bars.Close, period, false);
|
||||
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
*/
|
||||
[Fact]
|
||||
public void MAX()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MAX_Series QL = new(bars.Close, period, false);
|
||||
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MIDPRICE()
|
||||
{
|
||||
MIDPRICE_Series QL = new(bars, period, false);
|
||||
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void MIDPOINT()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MIDPOINT_Series QL = new(bars.Close, period, false);
|
||||
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MIN()
|
||||
{
|
||||
MIN_Series QL = new(bars.Close, period, false);
|
||||
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void MIDPRICE()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MIDPRICE_Series QL = new(bars, period, false);
|
||||
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void MUL()
|
||||
{
|
||||
MUL_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void MIN()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MIN_Series QL = new(bars.Close, period, false);
|
||||
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void MUL()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
MUL_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
TSeries QL = bars.OHLC4;
|
||||
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void OBV()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
OBV_Series QL = new(bars, period, false);
|
||||
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
RSI_Series QL = new(bars.Close, period, false);
|
||||
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void OHLC4()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TSeries QL = bars.OHLC4;
|
||||
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void RSI()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
RSI_Series QL = new(bars.Close, period, false);
|
||||
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void SDEV()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
SDEV_Series QL = new(bars.Close, period, false);
|
||||
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SUB()
|
||||
{
|
||||
SUB_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void SMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
SMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void SUM()
|
||||
{
|
||||
CUSUM_Series QL = new(bars.Close, period, false);
|
||||
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void SUB()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
SUB_Series QL = new(bars.Open, bars.Close);
|
||||
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
|
||||
Core.T3(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period, optInVFactor: 0.7);
|
||||
for (int i = QL.Length - 1; i > period*10; i--)
|
||||
[Fact]
|
||||
public void SUM()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
CUSUM_Series QL = new(bars.Close, period, false);
|
||||
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--)
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
|
||||
Core.T3(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period, optInVFactor: 0.7);
|
||||
for (int i = QL.Length - 1; i > period * 10; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
TR_Series QL = new(bars);
|
||||
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void TEMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TEMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TRIMA()
|
||||
{
|
||||
TRIMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void TR()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TR_Series QL = new(bars);
|
||||
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void TRIX() {
|
||||
TRIX_Series QL = new(bars.Close, period, useNaN: false, useSMA: true);
|
||||
Core.Trix(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > period*10; i--) {
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void VAR()
|
||||
{
|
||||
VAR_Series QL = new(bars.Close, period, false);
|
||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--)
|
||||
[Fact]
|
||||
public void TRIMA()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TRIMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
[Fact]
|
||||
public void TRIX()
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
TRIX_Series QL = new(bars.Close, period, useNaN: false, useSMA: true);
|
||||
Core.Trix(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > period * 10; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void VAR()
|
||||
{
|
||||
VAR_Series QL = new(bars.Close, period, false);
|
||||
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip * 15; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
WMA_Series QL = new(bars.Close, period, false);
|
||||
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
||||
for (int i = QL.Length - 1; i > skip; i--)
|
||||
{
|
||||
double QL_item = QL[i].v;
|
||||
double TA_item = TALIB[i - outBegIdx];
|
||||
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
+531
-477
File diff suppressed because it is too large
Load Diff
Reference in New Issue
Block a user