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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.

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This commit is contained in:
Miha Kralj
2024-07-28 21:26:44 -07:00
parent ef534393db
commit 3455baaf6c
95 changed files with 8661 additions and 7012 deletions
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Tests/Validations/Trends/TA_LIB.cs
+409 -405
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@@ -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));
}
}
}
}