Merge dev: RRSI validation tests

2026-07-27 17:27:43 +00:00 · 2026-03-17 09:38:48 -07:00
parent 3901bfdaf1 4cc4c1a0c4
commit 346d4434e2
1 changed files with 322 additions and 0 deletions
@@ -0,0 +1,322 @@
+using System.Runtime.CompilerServices;
+using Xunit;
+using Xunit.Abstractions;
+
+namespace QuanTAlib.Tests;
+
+/// <summary>
+/// Validates Rocket RSI against manual step-by-step computation of the
+/// Ehlers TASC May 2018 algorithm. No external library implements RocketRSI,
+/// so validation is self-consistency + manual reference implementation.
+/// </summary>
+public sealed class RrsiValidationTests(ITestOutputHelper output) : IDisposable
+{
+    private readonly ValidationTestData _testData = new();
+    private readonly ITestOutputHelper _output = output;
+    private bool _disposed;
+
+    private const int TestSmooth = 10;
+    private const int TestRsi = 10;
+
+    public void Dispose()
+    {
+        Dispose(disposing: true);
+    }
+
+    private void Dispose(bool disposing)
+    {
+        if (_disposed) { return; }
+        _disposed = true;
+        if (disposing) { _testData?.Dispose(); }
+    }
+
+    #region Manual Computation Cross-Validation
+
+    /// <summary>
+    /// Validates that our RocketRSI Batch exactly matches a manual
+    /// step-by-step reference implementation of Ehlers' algorithm.
+    /// </summary>
+    [Fact]
+    [SkipLocalsInit]
+    public void Validate_Against_Manual_Computation()
+    {
+        double[] values = _testData.RawData.ToArray();
+        int smoothLength = TestSmooth;
+        int rsiLength = TestRsi;
+
+        // Batch output
+        double[] batchOutput = new double[values.Length];
+        Rrsi.Batch(values.AsSpan(), batchOutput.AsSpan(), smoothLength, rsiLength);
+
+        // Manual reference implementation — Ehlers TASC May 2018
+        double[] manualOutput = ManualRocketRsi(values, smoothLength, rsiLength);
+
+        // Compare after warmup
+        int startIdx = smoothLength + rsiLength;
+        int validCount = 0;
+        for (int i = startIdx; i < values.Length; i++)
+        {
+            Assert.True(Math.Abs(manualOutput[i] - batchOutput[i]) < 1e-9,
+                $"RocketRSI mismatch at i={i}: manual={manualOutput[i]:F9}, batch={batchOutput[i]:F9}");
+            validCount++;
+        }
+
+        Assert.True(validCount > 100, $"Expected >100 valid comparisons, got {validCount}");
+        _output.WriteLine($"RocketRSI manual validation: {validCount} points at 1e-9 tolerance.");
+    }
+
+    /// <summary>
+    /// Tests with different parameter combinations.
+    /// </summary>
+    [Theory]
+    [InlineData(5, 5)]
+    [InlineData(8, 10)]
+    [InlineData(10, 10)]
+    [InlineData(10, 20)]
+    [InlineData(20, 10)]
+    public void Validate_Manual_DifferentParams(int smoothLength, int rsiLength)
+    {
+        double[] values = _testData.RawData.ToArray();
+
+        double[] batchOutput = new double[values.Length];
+        Rrsi.Batch(values.AsSpan(), batchOutput.AsSpan(), smoothLength, rsiLength);
+
+        double[] manualOutput = ManualRocketRsi(values, smoothLength, rsiLength);
+
+        int startIdx = smoothLength + rsiLength;
+        int validCount = 0;
+        for (int i = startIdx; i < values.Length; i++)
+        {
+            Assert.True(Math.Abs(manualOutput[i] - batchOutput[i]) < 1e-9,
+                $"RocketRSI mismatch at i={i}, smooth={smoothLength}, rsi={rsiLength}: " +
+                $"manual={manualOutput[i]:F9}, batch={batchOutput[i]:F9}");
+            validCount++;
+        }
+
+        Assert.True(validCount > 0, $"No valid comparison points for smooth={smoothLength}, rsi={rsiLength}");
+        _output.WriteLine($"RocketRSI smooth={smoothLength}, rsi={rsiLength}: validated {validCount} points.");
+    }
+
+    /// <summary>
+    /// Validates arctanh identity used in Fisher Transform step.
+    /// </summary>
+    [Fact]
+    public void Validate_Arctanh_Identity()
+    {
+        double[] testValues = [-0.999, -0.9, -0.5, 0.0, 0.5, 0.9, 0.999];
+
+        foreach (double v in testValues)
+        {
+            double formula = 0.5 * Math.Log((1.0 + v) / (1.0 - v));
+            double builtin = Math.Atanh(v);
+
+            Assert.True(Math.Abs(formula - builtin) < 1e-12,
+                $"arctanh({v}): formula={formula}, builtin={builtin}");
+        }
+
+        _output.WriteLine("arctanh mathematical identity verified for RocketRSI.");
+    }
+
+    #endregion
+
+    #region Consistency Validation
+
+    /// <summary>
+    /// Validates streaming matches batch across all data points.
+    /// </summary>
+    [Fact]
+    [SkipLocalsInit]
+    public void Validate_Streaming_Batch_Span_Agree()
+    {
+        double[] tData = _testData.RawData.ToArray();
+
+        // Batch TSeries
+        TSeries batchSeries = Rrsi.Batch(_testData.Data, TestSmooth, TestRsi);
+
+        // Batch Span
+        double[] spanOutput = new double[tData.Length];
+        Rrsi.Batch(tData.AsSpan(), spanOutput.AsSpan(), TestSmooth, TestRsi);
+
+        // Batch and Span should be identical
+        for (int i = 0; i < tData.Length; i++)
+        {
+            Assert.Equal(batchSeries.Values[i], spanOutput[i], 12);
+        }
+
+        // Streaming
+        var rrsi = new Rrsi(TestSmooth, TestRsi);
+        double[] streamResults = new double[tData.Length];
+        for (int i = 0; i < tData.Length; i++)
+        {
+            streamResults[i] = rrsi.Update(_testData.Data[i]).Value;
+        }
+
+        // Streaming vs Batch should match
+        for (int i = 0; i < tData.Length; i++)
+        {
+            Assert.Equal(streamResults[i], batchSeries.Values[i], 9);
+        }
+
+        _output.WriteLine("RocketRSI streaming/batch/span agreement verified.");
+    }
+
+    /// <summary>
+    /// Validates event-based matches streaming.
+    /// </summary>
+    [Fact]
+    [SkipLocalsInit]
+    public void Validate_Event_Matches_Streaming()
+    {
+        // Streaming
+        var streamRrsi = new Rrsi(TestSmooth, TestRsi);
+        double[] streamResults = new double[_testData.Data.Count];
+        for (int i = 0; i < _testData.Data.Count; i++)
+        {
+            streamResults[i] = streamRrsi.Update(_testData.Data[i]).Value;
+        }
+
+        // Event-based
+        var eventSource = new TSeries();
+        var eventRrsi = new Rrsi(eventSource, TestSmooth, TestRsi);
+        double[] eventResults = new double[_testData.Data.Count];
+        for (int i = 0; i < _testData.Data.Count; i++)
+        {
+            eventSource.Add(_testData.Data[i]);
+            eventResults[i] = eventRrsi.Last.Value;
+        }
+
+        for (int i = 0; i < _testData.Data.Count; i++)
+        {
+            Assert.Equal(streamResults[i], eventResults[i], 12);
+        }
+
+        _output.WriteLine("RocketRSI event-based matches streaming.");
+    }
+
+    /// <summary>
+    /// All batch outputs must be finite.
+    /// </summary>
+    [Theory]
+    [InlineData(5, 5)]
+    [InlineData(10, 10)]
+    [InlineData(20, 20)]
+    [InlineData(50, 10)]
+    public void Validate_All_Outputs_Finite(int smoothLength, int rsiLength)
+    {
+        double[] values = _testData.RawData.ToArray();
+        double[] results = new double[values.Length];
+
+        Rrsi.Batch(values.AsSpan(), results.AsSpan(), smoothLength, rsiLength);
+
+        for (int i = 0; i < values.Length; i++)
+        {
+            Assert.True(double.IsFinite(results[i]),
+                $"RocketRSI not finite at i={i}, smooth={smoothLength}, rsi={rsiLength}: {results[i]}");
+        }
+
+        _output.WriteLine($"RocketRSI smooth={smoothLength}, rsi={rsiLength}: all {values.Length} outputs finite.");
+    }
+
+    #endregion
+
+    #region Super Smoother Component Validation
+
+    /// <summary>
+    /// Validates that the Super Smoother coefficients satisfy the constraint c1 + c2 + c3 = 1
+    /// (unity DC gain).
+    /// </summary>
+    [Theory]
+    [InlineData(5)]
+    [InlineData(8)]
+    [InlineData(10)]
+    [InlineData(20)]
+    [InlineData(50)]
+    public void Validate_SuperSmoother_Coefficients_UnitGain(int smoothLength)
+    {
+        double a1 = Math.Exp(-1.414 * Math.PI / smoothLength);
+        double b1 = 2.0 * a1 * Math.Cos(1.414 * Math.PI / smoothLength);
+        double c2 = b1;
+        double c3 = -(a1 * a1);
+        double c1 = 1.0 - c2 - c3;
+
+        double sum = c1 + c2 + c3;
+        Assert.True(Math.Abs(sum - 1.0) < 1e-12,
+            $"SuperSmoother DC gain should be 1.0, got {sum} for smoothLength={smoothLength}");
+
+        _output.WriteLine($"SuperSmoother coefficients for L={smoothLength}: c1={c1:F6}, c2={c2:F6}, c3={c3:F6}, sum={sum:F12}");
+    }
+
+    #endregion
+
+    #region Manual Reference Implementation
+
+    /// <summary>
+    /// Pure reference implementation of Ehlers Rocket RSI (TASC May 2018).
+    /// This is a direct transcription of the EasyLanguage code for verification.
+    /// </summary>
+    private static double[] ManualRocketRsi(double[] source, int smoothLength, int rsiLength)
+    {
+        int len = source.Length;
+        double[] output = new double[len];
+        double[] mom = new double[len];
+        double[] filt = new double[len];
+
+        // Super Smoother coefficients
+        double a1 = Math.Exp(-1.414 * Math.PI / smoothLength);
+        double b1 = 2.0 * a1 * Math.Cos(1.414 * Math.PI / smoothLength);
+        double c2 = b1;
+        double c3 = -(a1 * a1);
+        double c1 = 1.0 - c2 - c3;
+
+        // Pass 1: Momentum
+        for (int i = 0; i < len; i++)
+        {
+            mom[i] = (i >= rsiLength - 1) ? source[i] - source[i - rsiLength + 1] : 0.0;
+        }
+
+        // Pass 2: Super Smoother Filter
+        filt[0] = mom[0];
+        if (len > 1)
+        {
+            filt[1] = (c1 * (mom[1] + mom[0]) * 0.5) + (c2 * filt[0]);
+        }
+        for (int i = 2; i < len; i++)
+        {
+            filt[i] = (c1 * (mom[i] + mom[i - 1]) * 0.5) + (c2 * filt[i - 1]) + (c3 * filt[i - 2]);
+        }
+
+        // Pass 3: Ehlers RSI + Fisher Transform
+        for (int i = 0; i < len; i++)
+        {
+            double cu = 0.0;
+            double cd = 0.0;
+            int lookback = Math.Min(rsiLength, i);
+
+            for (int j = 0; j < lookback; j++)
+            {
+                double diff = filt[i - j] - filt[i - j - 1];
+                if (diff > 0.0)
+                {
+                    cu += diff;
+                }
+                else if (diff < 0.0)
+                {
+                    cd -= diff;
+                }
+            }
+
+            double cuCd = cu + cd;
+            double myRsi = (cuCd > 1e-10) ? (cu - cd) / cuCd : 0.0;
+
+            // Clamp
+            if (myRsi > 0.999) { myRsi = 0.999; }
+            else if (myRsi < -0.999) { myRsi = -0.999; }
+
+            output[i] = 0.5 * Math.Log((1.0 + myRsi) / (1.0 - myRsi));
+        }
+
+        return output;
+    }
+
+    #endregion
+}