Adl, Adosc, Aobv, Cmf

2026-08-21 03:58:04 +00:00 · 2024-10-28 15:29:29 -07:00
parent 6b79f8158c
commit 45c6f08e1e
14 changed files with 1266 additions and 23 deletions
@@ -0,0 +1,159 @@
+using Xunit;
+using System.Security.Cryptography;
+
+namespace QuanTAlib.Tests;
+
+public class VolumeUpdateTests
+{
+    private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
+    private const int RandomUpdates = 100;
+    private const int precision = 8;
+
+    private double GetRandomDouble()
+    {
+        byte[] bytes = new byte[8];
+        rng.GetBytes(bytes);
+        return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100
+    }
+
+    private TBar GetRandomBar(bool IsNew)
+    {
+        double open = GetRandomDouble();
+        double high = open + Math.Abs(GetRandomDouble());
+        double low = open - Math.Abs(GetRandomDouble());
+        double close = low + (high - low) * GetRandomDouble();
+        double volume = Math.Abs(GetRandomDouble()) * 1000; // Random positive volume
+        return new TBar(DateTime.Now, open, high, low, close, volume, IsNew);
+    }
+
+    [Fact]
+    public void Adl_Update()
+    {
+        var indicator = new Adl();
+        TBar r = GetRandomBar(true);
+
+        // First calculation with IsNew: true
+        double value1 = indicator.Calc(r);
+
+        // Multiple recalculations with IsNew: false should not change the value
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+        }
+
+        // Final calculation with IsNew: false should match initial value
+        double value2 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+        Assert.Equal(value1, value2, precision);
+
+        // New calculation with IsNew: true should update the value
+        double value3 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: true));
+        Assert.NotEqual(value1, value3, precision);
+    }
+
+    [Fact]
+    public void Adosc_Update()
+    {
+        var indicator = new Adosc(shortPeriod: 3, longPeriod: 10);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Aobv_Update()
+    {
+        var indicator = new Aobv();
+        TBar r = GetRandomBar(true);
+
+        // First calculation with IsNew: true
+        double value1 = indicator.Calc(r);
+
+        // Multiple recalculations with IsNew: false should not change the value
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+        }
+
+        // Final calculation with IsNew: false should match initial value
+        double value2 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+        Assert.Equal(value1, value2, precision);
+
+        // New calculation with IsNew: true should update the value
+        double value3 = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: true));
+        Assert.NotEqual(value1, value3, precision);
+    }
+
+    [Fact]
+    public void Cmf_Update()
+    {
+        var indicator = new Cmf(period: 20);
+        TBar r = GetRandomBar(true);
+
+        // Generate a sequence of bars for warmup
+        var warmupBars = new List<TBar>();
+        for (int i = 0; i < indicator.WarmupPeriod; i++)
+        {
+            var bar = GetRandomBar(IsNew: true);
+            warmupBars.Add(bar);
+            indicator.Calc(bar);
+        }
+
+        // Calculate initial value after warmup
+        double initialValue = indicator.Calc(r);
+
+        // Apply random updates
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+
+        // Reset and replay the same sequence
+        indicator.Init();
+        foreach (var bar in warmupBars)
+        {
+            indicator.Calc(bar);
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Eom_Update()
+    {
+        var indicator = new Eom(period: 14);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Kvo_Update()
+    {
+        var indicator = new Kvo(shortPeriod: 34, longPeriod: 55);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+}