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.
2026-08-23 13:08:04 +00:00 · 2025-12-28 21:07:37 -08:00
parent 52af7057bb
commit 3cc2726654
39 changed files with 7535 additions and 840 deletions
@@ -1,42 +1,219 @@
 using System;
 using System.Collections.Generic;
-using System.Linq;
 using Skender.Stock.Indicators;

 namespace QuanTAlib.Tests;

+/// <summary>
+/// Provides standardized test data for validation tests.
+/// Uses GBM (Geometric Brownian Motion) to generate realistic price data
+/// and converts it to formats required by external validation libraries.
+/// </summary>
 public sealed class ValidationTestData : IDisposable
 {
+    /// <summary>
+    /// Default number of bars for validation tests.
+    /// 5000 bars ensures sufficient convergence for most indicators.
+    /// </summary>
+    public const int DefaultCount = 5000;
+
+    /// <summary>
+    /// Default starting price for generated data.
+    /// </summary>
+    public const double DefaultStartPrice = 1000.0;
+
+    /// <summary>
+    /// Default annual drift for GBM (5%).
+    /// </summary>
+    public const double DefaultMu = 0.05;
+
+    /// <summary>
+    /// Default annual volatility for GBM (200%).
+    /// High volatility ensures diverse price scenarios.
+    /// </summary>
+    public const double DefaultSigma = 2.0;
+
+    /// <summary>
+    /// Default random seed for reproducibility.
+    /// </summary>
+    public const int DefaultSeed = 123;
+
+    /// <summary>
+    /// Gets the generated bar series.
+    /// </summary>
    public TBarSeries Bars { get; }
+
+    /// <summary>
+    /// Gets the close price series.
+    /// </summary>
    public TSeries Data { get; }
+
+    /// <summary>
+    /// Gets the quotes in Skender.Stock.Indicators format.
+    /// </summary>
    public IReadOnlyList<Quote> SkenderQuotes { get; }
+
+    /// <summary>
+    /// Gets the raw close price data as a ReadOnlyMemory for span-based APIs.
+    /// </summary>
    public ReadOnlyMemory<double> RawData { get; }

-    public ValidationTestData(int count = 5000, double startPrice = 1000.0, double mu = 0.05, double sigma = 2.0, int seed = 123)
+    /// <summary>
+    /// Gets the raw open prices as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<double> OpenPrices { get; }
+
+    /// <summary>
+    /// Gets the raw high prices as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<double> HighPrices { get; }
+
+    /// <summary>
+    /// Gets the raw low prices as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<double> LowPrices { get; }
+
+    /// <summary>
+    /// Gets the raw close prices as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<double> ClosePrices { get; }
+
+    /// <summary>
+    /// Gets the raw volume data as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<double> VolumeData { get; }
+
+    /// <summary>
+    /// Gets the timestamps as read-only memory.
+    /// </summary>
+    public ReadOnlyMemory<long> Timestamps { get; }
+
+    /// <summary>
+    /// Gets the number of bars in the dataset.
+    /// </summary>
+    public int Count => Bars.Count;
+
+    /// <summary>
+    /// Creates validation test data with default parameters.
+    /// </summary>
+    public ValidationTestData()
+        : this(DefaultCount, DefaultStartPrice, DefaultMu, DefaultSigma, DefaultSeed)
+    {
+    }
+
+    /// <summary>
+    /// Creates validation test data with specified parameters.
+    /// </summary>
+    /// <param name="count">Number of bars to generate</param>
+    /// <param name="startPrice">Starting price</param>
+    /// <param name="mu">Annual drift rate</param>
+    /// <param name="sigma">Annual volatility</param>
+    /// <param name="seed">Random seed for reproducibility</param>
+    public ValidationTestData(
+        int count,
+        double startPrice = DefaultStartPrice,
+        double mu = DefaultMu,
+        double sigma = DefaultSigma,
+        int seed = DefaultSeed)
    {
        var gbm = new GBM(startPrice, mu, sigma, seed: seed);
        Bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
        Data = Bars.Close;
-        RawData = Data.Select(x => x.Value).ToArray();

-        var quotes = new List<Quote>();
-        for (int i = 0; i < Bars.Count; i++)
+        // Extract raw arrays efficiently (avoid LINQ in hot path)
+        int barCount = Bars.Count;
+        var openPrices = new double[barCount];
+        var highPrices = new double[barCount];
+        var lowPrices = new double[barCount];
+        var closePrices = new double[barCount];
+        var volumeData = new double[barCount];
+        var timestamps = new long[barCount];
+
+        // Use span-based access for efficiency
+        var openSpan = Bars.OpenValues;
+        var highSpan = Bars.HighValues;
+        var lowSpan = Bars.LowValues;
+        var closeSpan = Bars.CloseValues;
+        var volumeSpan = Bars.VolumeValues;
+        var timeSpan = Bars.Times;
+
+        openSpan.CopyTo(openPrices);
+        highSpan.CopyTo(highPrices);
+        lowSpan.CopyTo(lowPrices);
+        closeSpan.CopyTo(closePrices);
+        volumeSpan.CopyTo(volumeData);
+        timeSpan.CopyTo(timestamps);
+
+        // Expose as ReadOnlyMemory to prevent external modification
+        OpenPrices = openPrices;
+        HighPrices = highPrices;
+        LowPrices = lowPrices;
+        ClosePrices = closePrices;
+        VolumeData = volumeData;
+        Timestamps = timestamps;
+        RawData = closePrices;
+
+        // Build Skender quotes without LINQ
+        var quotes = new Quote[barCount];
+        for (int i = 0; i < barCount; i++)
        {
-            quotes.Add(new Quote
+            quotes[i] = new Quote
            {
-                Date = new DateTime(Bars.Open.Times[i], DateTimeKind.Utc),
-                Open = (decimal)Bars.Open[i].Value,
-                High = (decimal)Bars.High[i].Value,
-                Low = (decimal)Bars.Low[i].Value,
-                Close = (decimal)Bars.Close[i].Value,
-                Volume = (decimal)Bars.Volume[i].Value
-            });
+                Date = new DateTime(timestamps[i], DateTimeKind.Utc),
+                Open = (decimal)openPrices[i],
+                High = (decimal)highPrices[i],
+                Low = (decimal)lowPrices[i],
+                Close = (decimal)closePrices[i],
+                Volume = (decimal)volumeData[i],
+            };
        }
        SkenderQuotes = quotes;
    }

+    /// <summary>
+    /// Creates a subset of the data for smaller tests.
+    /// </summary>
+    /// <param name="count">Number of bars to include</param>
+    /// <returns>A new ValidationTestData instance with the subset</returns>
+    public ValidationTestData CreateSubset(int count)
+    {
+        if (count <= 0 || count > Count)
+            throw new ArgumentOutOfRangeException(nameof(count), count, $"Count must be between 1 and {Count}");
+
+        return new ValidationTestData(count, DefaultStartPrice, DefaultMu, DefaultSigma, DefaultSeed);
+    }
+
+    /// <summary>
+    /// Gets the close price span for SIMD operations.
+    /// </summary>
+    public ReadOnlySpan<double> GetCloseSpan() => ClosePrices.Span;
+
+    /// <summary>
+    /// Gets the high price span for SIMD operations.
+    /// </summary>
+    public ReadOnlySpan<double> GetHighSpan() => HighPrices.Span;
+
+    /// <summary>
+    /// Gets the low price span for SIMD operations.
+    /// </summary>
+    public ReadOnlySpan<double> GetLowSpan() => LowPrices.Span;
+
+    /// <summary>
+    /// Gets the open price span for SIMD operations.
+    /// </summary>
+    public ReadOnlySpan<double> GetOpenSpan() => OpenPrices.Span;
+
+    /// <summary>
+    /// Gets the volume span for SIMD operations.
+    /// </summary>
+    public ReadOnlySpan<double> GetVolumeSpan() => VolumeData.Span;
+
+    /// <summary>
+    /// Disposes of resources (no-op, but implements pattern for test fixtures).
+    /// </summary>
    public void Dispose()
    {
-        // No resources to dispose
+        // No unmanaged resources to dispose
+        // Implemented for IDisposable pattern compatibility with test fixtures
    }
 }