gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-23 13:08:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

prep

Browse Source
This commit is contained in:
Miha
2024-11-10 11:11:38 -08:00
parent 770b1e0d27
commit 428611315e
9 changed files with 430 additions and 71 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Tests/test_eventing.cs
+31 -58
View File
@@ -10,101 +10,74 @@ public class EventingTests
private const int DefaultPeriod = 10;
private const double Tolerance = 1e-9;
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] ValueIndicators = new[]
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] ValueIndicators =
{
("Afirma", new object[] { DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }, new object[] { new TSeries(), DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }),
("Alma", new object[] { DefaultPeriod, 0.85, 6.0 }, new object[] { new TSeries(), DefaultPeriod, 0.85, 6.0 }),
("Beta", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Convolution", new object[] { new double[] {1,2,3,2,1} }, new object[] { new TSeries(), new double[] {1,2,3,2,1} }),
("Corr", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Covar", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Curvature", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Dema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Dsma", new object[] { DefaultPeriod, 0.9 }, new object[] { new TSeries(), DefaultPeriod, 0.9 }),
("Dwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Ema", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
("Entropy", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Epma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Pwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Fisher", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Frama", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Fwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Gma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Granger", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Hma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Htit", System.Array.Empty<object>(), new object[] { new TSeries() }),
("Htit", Array.Empty<object>(), new object[] { new TSeries() }),
("Hwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Jma", new object[] { DefaultPeriod, 0, 0.45, 10 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.45, 10 }),
("Kama", new object[] { DefaultPeriod, 2, 30 }, new object[] { new TSeries(), DefaultPeriod, 2, 30 }),
("Kendall", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Kurtosis", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Ltma", new object[] { 0.2 }, new object[] { new TSeries(), 0.2 }),
("Maaf", new object[] { 39, 0.002 }, new object[] { new TSeries(), 39, 0.002 }),
("Mama", new object[] { 0.5, 0.05 }, new object[] { new TSeries(), 0.5, 0.05 }),
("Max", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
("Median", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mgdi", new object[] { DefaultPeriod, 0.6 }, new object[] { new TSeries(), DefaultPeriod, 0.6 }),
("Min", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
("Mma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mode", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Percentile", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
("Pwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Qema", new object[] { 0.2, 0.2, 0.2, 0.2 }, new object[] { new TSeries(), 0.2, 0.2, 0.2, 0.2 }),
("Rema", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
("Rma", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
("Sma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Wma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Tema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Zlema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Sinema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Smma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("T3", new object[] { DefaultPeriod, 0.7, true }, new object[] { new TSeries(), DefaultPeriod, 0.7, true }),
("Trima", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Vidya", new object[] { DefaultPeriod, 0, 0.2 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.2 }),
("Apo", new object[] { 12, 26 }, new object[] { new TSeries(), 12, 26 }),
("Macd", new object[] { 12, 26, 9 }, new object[] { new TSeries(), 12, 26, 9 }),
("Rsi", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rsx", new object[] { DefaultPeriod, 0, 0.55 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.55 }),
("Cmo", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Cog", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Curvature", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Entropy", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Kurtosis", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Max", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
("Median", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Min", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
("Mode", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Percentile", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
("Skew", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Slope", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Stddev", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("Variance", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("Zscore", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Beta", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Corr", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Covar", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Kendall", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Sma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Smma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Spearman", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Hv", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("Jvolty", new object[] { DefaultPeriod, 0 }, new object[] { new TSeries(), DefaultPeriod, 0 }),
("Rv", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("Rvi", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mae", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mapd", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mape", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mase", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mda", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Me", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mpe", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Mse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Msle", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rae", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rmse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rmsle", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Smape", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Rsquared", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Huber", new object[] { DefaultPeriod, 1.0 }, new object[] { new TSeries(), DefaultPeriod, 1.0 }),
("Cti", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod })
("Stddev", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("T3", new object[] { DefaultPeriod, 0.7, true }, new object[] { new TSeries(), DefaultPeriod, 0.7, true }),
("Tema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Trima", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Variance", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
("Vidya", new object[] { DefaultPeriod, 0, 0.2 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.2 }),
("Wma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Zlema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
("Zscore", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod })
};
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] BarIndicators = new[]
private static readonly (string Name, object[] DirectParams, object[] EventParams)[] BarIndicators =
{
("Adl", System.Array.Empty<object>(), new object[] { new TBarSeries() }),
("Adl", Array.Empty<object>(), new object[] { new TBarSeries() }),
("Adosc", new object[] { 3, 10 }, new object[] { new TBarSeries(), 3, 10 }),
("Aobv", System.Array.Empty<object>(), new object[] { new TBarSeries() }),
("Aobv", Array.Empty<object>(), new object[] { new TBarSeries() }),
("Cmf", new object[] { 20 }, new object[] { new TBarSeries(), 20 }),
("Eom", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
("Kvo", new object[] { 34, 55 }, new object[] { new TBarSeries(), 34, 55 }),
("Atr", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
("Chop", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
("Dosc", System.Array.Empty<object>(), new object[] { new TBarSeries() })
("Dosc", Array.Empty<object>(), new object[] { new TBarSeries() })
};
public static IEnumerable<object[]> GetValueIndicatorData()
Tests/test_updates_statistics.cs
+7
View File
@@ -39,6 +39,13 @@ public class StatisticsUpdateTests : UpdateTestBase
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Granger_Update()
{
var indicator = new Granger(lags: 5);
TestDualTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Hurst_Update()
{