mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 13:58:04 +00:00
Refactor tests and implementations for various indicators
- Updated RsiIndicatorTests to ensure proper initialization and state checks. - Added new tests for Rsx, Vel, and Adosc indicators to validate behavior under iterative corrections and edge cases (NaN, Infinity). - Enhanced Bessel indicator tests and implementation with consistent formatting. - Improved Ema and Pwma implementations by ensuring proper handling of values. - Introduced mock classes for charting to facilitate testing without dependencies. - Ensured all indicators produce consistent results across different modes of operation. - Cleaned up code formatting and added missing commas for better readability.
This commit is contained in:
Miha Kralj
@@ -1,19 +1,75 @@
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using System;
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using System.Collections.Generic;
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using System.Runtime.CompilerServices;
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Provides validation utilities for comparing indicator results against external libraries.
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/// Contains tolerance constants and verification methods for cross-library validation.
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/// </summary>
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public static class ValidationHelper
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{
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/// <summary>
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/// Default tolerance for floating-point comparisons (1e-7).
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/// Suitable for most indicator comparisons.
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/// </summary>
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public const double DefaultTolerance = 1e-7;
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/// <summary>
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/// Tolerance for Ooples Finance library comparisons (1e-7).
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/// May need adjustment for specific indicators with different internal precision.
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/// </summary>
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public const double OoplesTolerance = 1e-7;
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/// <summary>
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/// Tolerance for Skender.Stock.Indicators library comparisons (1e-7).
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/// Skender uses decimal internally, so some precision loss is expected.
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/// </summary>
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public const double SkenderTolerance = 1e-7;
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/// <summary>
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/// Tolerance for TA-Lib (TALib.NETCore) library comparisons (1e-7).
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/// TA-Lib uses double precision throughout.
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/// </summary>
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public const double TalibTolerance = 1e-7;
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/// <summary>
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/// Tolerance for Tulip library comparisons (1e-7).
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/// Note: Tulip may have 1-bar shifts due to different initialization strategies.
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/// </summary>
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public const double TulipTolerance = 1e-7;
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/// <summary>
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/// Relative tolerance for percentage-based comparisons (0.5%).
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/// Use when absolute tolerance is not appropriate.
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/// </summary>
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public const double RelativeTolerance = 0.005;
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public static void VerifyData<TResult>(TSeries qSeries, IReadOnlyList<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Default number of bars to verify from the end of the series.
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/// Using 100 bars ensures we're comparing converged values.
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/// </summary>
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public const int DefaultVerificationCount = 100;
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/// <summary>
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/// Verifies TSeries results against an external library's results.
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/// Compares the last 'skip' values by default.
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/// </summary>
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/// <typeparam name="TResult">The type of results from the external library</typeparam>
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/// <param name="qSeries">QuanTAlib TSeries results</param>
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/// <param name="sSeries">External library results</param>
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/// <param name="selector">Function to extract the comparable value from external results</param>
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/// <param name="skip">Number of values to verify from the end (default: 100)</param>
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/// <param name="tolerance">Tolerance for floating-point comparison</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData<TResult>(
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TSeries qSeries,
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IReadOnlyList<TResult> sSeries,
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Func<TResult, double?> selector,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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Assert.Equal(qSeries.Count, sSeries.Count);
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@@ -27,11 +83,22 @@ public static class ValidationHelper
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - sValue.Value) <= tolerance,
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$"Mismatch at index {i}: QuanTAlib={qValue:G17}, External={sValue.Value:G17}, Diff={Math.Abs(qValue - sValue.Value):G17}");
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}
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}
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public static void VerifyData<TResult>(IReadOnlyList<double> qResults, IReadOnlyList<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies IReadOnlyList results against an external library's results.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData<TResult>(
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IReadOnlyList<double> qResults,
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IReadOnlyList<TResult> sSeries,
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Func<TResult, double?> selector,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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Assert.Equal(qResults.Count, sSeries.Count);
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@@ -45,11 +112,22 @@ public static class ValidationHelper
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - sValue.Value) <= tolerance,
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$"Mismatch at index {i}: QuanTAlib={qValue:G17}, External={sValue.Value:G17}, Diff={Math.Abs(qValue - sValue.Value):G17}");
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}
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}
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public static void VerifyData<TResult>(double[] qOutput, IReadOnlyList<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies double array results against an external library's results.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData<TResult>(
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double[] qOutput,
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IReadOnlyList<TResult> sSeries,
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Func<TResult, double?> selector,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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Assert.Equal(qOutput.Length, sSeries.Count);
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@@ -63,11 +141,27 @@ public static class ValidationHelper
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - sValue.Value) <= tolerance,
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$"Mismatch at index {i}: QuanTAlib={qValue:G17}, External={sValue.Value:G17}, Diff={Math.Abs(qValue - sValue.Value):G17}");
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}
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}
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public static void VerifyData(TSeries qSeries, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies TSeries results against TA-Lib style output with lookback offset.
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/// </summary>
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/// <param name="qSeries">QuanTAlib TSeries results</param>
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/// <param name="tOutput">TA-Lib output array</param>
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/// <param name="lookback">TA-Lib lookback period (output is shifted by this amount)</param>
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/// <param name="skip">Number of values to verify from the end</param>
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/// <param name="tolerance">Tolerance for floating-point comparison</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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TSeries qSeries,
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double[] tOutput,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qSeries.Count;
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int start = Math.Max(0, count - skip);
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@@ -83,11 +177,22 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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public static void VerifyData(IReadOnlyList<double> qResults, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies IReadOnlyList results against TA-Lib style output with lookback offset.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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IReadOnlyList<double> qResults,
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double[] tOutput,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qResults.Count;
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int start = Math.Max(0, count - skip);
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@@ -103,11 +208,22 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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public static void VerifyData(double[] qOutput, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies double array results against TA-Lib style output with lookback offset.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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double[] qOutput,
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double[] tOutput,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qOutput.Length;
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int start = Math.Max(0, count - skip);
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@@ -123,11 +239,23 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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public static void VerifyData(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies TSeries results against TA-Lib style output with range and lookback.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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TSeries qSeries,
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double[] tOutput,
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Range outRange,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qSeries.Count;
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int start = Math.Max(0, count - skip);
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@@ -144,11 +272,23 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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public static void VerifyData(IReadOnlyList<double> qResults, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies IReadOnlyList results against TA-Lib style output with range and lookback.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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IReadOnlyList<double> qResults,
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double[] tOutput,
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Range outRange,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qResults.Count;
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int start = Math.Max(0, count - skip);
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@@ -165,11 +305,23 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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public static void VerifyData(double[] qOutput, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
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/// <summary>
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/// Verifies double array results against TA-Lib style output with range and lookback.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void VerifyData(
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double[] qOutput,
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double[] tOutput,
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Range outRange,
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int lookback,
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int skip = DefaultVerificationCount,
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double tolerance = DefaultTolerance)
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{
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int count = qOutput.Length;
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int start = Math.Max(0, count - skip);
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@@ -186,7 +338,111 @@ public static class ValidationHelper
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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Assert.True(
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Math.Abs(qValue - tValue) <= tolerance,
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$"Mismatch at index {i} (TA-Lib index {tIndex}): QuanTAlib={qValue:G17}, TA-Lib={tValue:G17}, Diff={Math.Abs(qValue - tValue):G17}");
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}
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}
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/// <summary>
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/// Verifies that all values in the series are finite (not NaN or Infinity).
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/// </summary>
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/// <param name="series">The series to verify</param>
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/// <param name="startIndex">Starting index for verification (default: 0)</param>
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public static void VerifyAllFinite(TSeries series, int startIndex = 0)
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{
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for (int i = startIndex; i < series.Count; i++)
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{
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Assert.True(
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double.IsFinite(series[i].Value),
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$"Non-finite value at index {i}: {series[i].Value}");
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}
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}
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/// <summary>
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/// Verifies that all values in the array are finite (not NaN or Infinity).
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/// </summary>
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/// <param name="values">The array to verify</param>
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/// <param name="startIndex">Starting index for verification (default: 0)</param>
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public static void VerifyAllFinite(double[] values, int startIndex = 0)
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{
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for (int i = startIndex; i < values.Length; i++)
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{
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Assert.True(
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double.IsFinite(values[i]),
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$"Non-finite value at index {i}: {values[i]}");
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}
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}
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/// <summary>
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/// Verifies that two series produce the same results (for consistency testing).
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/// </summary>
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/// <param name="series1">First series</param>
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/// <param name="series2">Second series</param>
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/// <param name="tolerance">Tolerance for floating-point comparison</param>
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public static void VerifySeriesEqual(TSeries series1, TSeries series2, double tolerance = DefaultTolerance)
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{
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Assert.Equal(series1.Count, series2.Count);
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for (int i = 0; i < series1.Count; i++)
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{
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Assert.True(
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Math.Abs(series1[i].Value - series2[i].Value) <= tolerance,
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$"Mismatch at index {i}: Series1={series1[i].Value:G17}, Series2={series2[i].Value:G17}");
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}
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}
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/// <summary>
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/// Calculates the maximum absolute difference between two series.
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/// Useful for debugging tolerance issues.
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/// </summary>
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public static double MaxAbsoluteDifference<TResult>(
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TSeries qSeries,
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IReadOnlyList<TResult> sSeries,
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Func<TResult, double?> selector)
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{
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if (qSeries.Count != sSeries.Count)
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throw new ArgumentException("Series must have the same count", nameof(sSeries));
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double maxDiff = 0;
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for (int i = 0; i < qSeries.Count; i++)
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{
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double? sValue = selector(sSeries[i]);
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if (!sValue.HasValue) continue;
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double diff = Math.Abs(qSeries[i].Value - sValue.Value);
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if (diff > maxDiff)
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maxDiff = diff;
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}
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return maxDiff;
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}
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/// <summary>
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/// Calculates the maximum relative difference between two series.
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/// Useful for percentage-based tolerance testing.
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/// </summary>
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public static double MaxRelativeDifference<TResult>(
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TSeries qSeries,
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IReadOnlyList<TResult> sSeries,
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Func<TResult, double?> selector)
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{
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if (qSeries.Count != sSeries.Count)
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throw new ArgumentException("Series must have the same count", nameof(sSeries));
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double maxDiff = 0;
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for (int i = 0; i < qSeries.Count; i++)
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{
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double? sValue = selector(sSeries[i]);
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if (!sValue.HasValue || sValue.Value == 0) continue;
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double relDiff = Math.Abs((qSeries[i].Value - sValue.Value) / sValue.Value);
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if (relDiff > maxDiff)
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maxDiff = relDiff;
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}
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return maxDiff;
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}
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}
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