Add Kahan-Babuška Summation Algorithm and Enhance Variance Indicator Tests

- Introduced a new `Sum` class implementing the Kahan-Babuška algorithm for high-precision rolling summation. - Added comprehensive documentation for the `Sum` class, detailing its mathematical foundation, performance profile, and use cases. - Refactored `VarianceIndicator` tests to improve clarity and coverage, including checks for different source types and the ability to change properties. - Enhanced `UsfIndicator` tests to validate initialization, processing of updates, and property changes. - Updated `UsfIndicator` implementation to simplify source handling and improve short name generation. - Modified Qodana configuration to exclude unused auto property accessor warnings.
2026-08-21 20:18:05 +00:00 · 2025-12-29 18:56:10 -08:00
parent bfa92e554b
commit 4dbb093892
28 changed files with 4125 additions and 241 deletions
@@ -5,21 +5,229 @@ namespace QuanTAlib.Quantower.Tests;
 public class UsfIndicatorTests
 {
    [Fact]
-    public void Indicator_InitializesCorrectly()
+    public void UsfIndicator_Constructor_SetsDefaults()
    {
        var indicator = new UsfIndicator();
+
        Assert.Equal(20, indicator.Period);
-        Assert.Equal("USF 20:Close", indicator.ShortName);
+        Assert.Equal(SourceType.Close, indicator.Source);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("USF - Ultimate Smoother Filter", indicator.Name);
+        Assert.False(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
    }

    [Fact]
-    public void Indicator_ProcessesData()
+    public void UsfIndicator_MinHistoryDepths_EqualsZero()
    {
        var indicator = new UsfIndicator();

-        // Simulate Init
-        indicator.GetType().GetMethod("OnInit", System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Instance)?.Invoke(indicator, null);
+        Assert.Equal(0, UsfIndicator.MinHistoryDepths);
+        Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }

+    [Fact]
+    public void UsfIndicator_ShortName_IncludesPeriodAndSource()
+    {
+        var indicator = new UsfIndicator { Period = 14 };
+
+        Assert.True(indicator.ShortName.Contains("USF", StringComparison.Ordinal));
+        Assert.True(indicator.ShortName.Contains("14", StringComparison.Ordinal));
+        Assert.True(indicator.ShortName.Contains("Close", StringComparison.Ordinal));
+    }
+
+    [Fact]
+    public void UsfIndicator_Initialize_CreatesInternalUsf()
+    {
+        var indicator = new UsfIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void UsfIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new UsfIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        // Process update
+        var args = new UpdateArgs(UpdateReason.HistoricalBar);
+        indicator.ProcessUpdate(args);
+
+        // Line series should have a value
+        Assert.Equal(1, indicator.LinesSeries[0].Count);
+        Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
+    }
+
+    [Fact]
+    public void UsfIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new UsfIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void UsfIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
+    {
+        var indicator = new UsfIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Should not throw an exception
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
+
+        // Assert that the indicator still exists (method completed without exception)
        Assert.NotNull(indicator);
    }
+
+    [Fact]
+    public void UsfIndicator_MultipleUpdates_ProducesCorrectSequence()
+    {
+        var indicator = new UsfIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        double[] closes = { 100, 102, 105, 103, 107, 110 };
+
+        foreach (var close in closes)
+        {
+            indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            now = now.AddMinutes(1);
+        }
+
+        // All values should be finite
+        for (int i = 0; i < closes.Length; i++)
+        {
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
+        }
+    }
+
+    [Fact]
+    public void UsfIndicator_DifferentSourceTypes_Work()
+    {
+        var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 };
+
+        foreach (var source in sources)
+        {
+            var indicator = new UsfIndicator { Period = 5, Source = source };
+            indicator.Initialize();
+
+            var now = DateTime.UtcNow;
+            indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
+                $"Source {source} should produce finite value");
+        }
+    }
+
+    [Fact]
+    public void UsfIndicator_Period_CanBeChanged()
+    {
+        var indicator = new UsfIndicator { Period = 10 };
+
+        Assert.Equal(10, indicator.Period);
+
+        indicator.Period = 20;
+        Assert.Equal(20, indicator.Period);
+    }
+
+    [Fact]
+    public void UsfIndicator_Source_CanBeChanged()
+    {
+        var indicator = new UsfIndicator { Source = SourceType.Close };
+
+        Assert.Equal(SourceType.Close, indicator.Source);
+
+        indicator.Source = SourceType.Open;
+        Assert.Equal(SourceType.Open, indicator.Source);
+    }
+
+    [Fact]
+    public void UsfIndicator_ShowColdValues_CanBeChanged()
+    {
+        var indicator = new UsfIndicator { ShowColdValues = true };
+
+        Assert.True(indicator.ShowColdValues);
+
+        indicator.ShowColdValues = false;
+        Assert.False(indicator.ShowColdValues);
+    }
+
+    [Fact]
+    public void UsfIndicator_ShortName_UpdatesWhenPeriodChanges()
+    {
+        var indicator = new UsfIndicator { Period = 10 };
+        string initialName = indicator.ShortName;
+
+        Assert.True(initialName.Contains("10", StringComparison.Ordinal));
+
+        indicator.Period = 20;
+        string updatedName = indicator.ShortName;
+
+        Assert.True(updatedName.Contains("20", StringComparison.Ordinal));
+    }
+
+    [Fact]
+    public void UsfIndicator_ShortName_UpdatesWhenSourceChanges()
+    {
+        var indicator = new UsfIndicator { Source = SourceType.Close };
+        string initialName = indicator.ShortName;
+
+        Assert.True(initialName.Contains("Close", StringComparison.Ordinal));
+
+        indicator.Source = SourceType.Open;
+        string updatedName = indicator.ShortName;
+
+        Assert.True(updatedName.Contains("Open", StringComparison.Ordinal));
+    }
+
+    [Fact]
+    public void UsfIndicator_ProcessUpdate_IgnoresNonBarUpdates()
+    {
+        var indicator = new UsfIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        // Process historical bar first
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Process other update reasons - should not throw
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
+
+        // Assert that the indicator still exists (method completed without exception)
+        Assert.NotNull(indicator);
+    }
+
+    [Fact]
+    public void UsfIndicator_LineSeries_HasCorrectProperties()
+    {
+        var indicator = new UsfIndicator { Period = 10 };
+        indicator.Initialize();
+
+        var lineSeries = indicator.LinesSeries[0];
+
+        Assert.True(lineSeries.Name.Contains("USF 20", StringComparison.Ordinal)); // LineSeries name is set in constructor with default period
+        Assert.Equal(2, lineSeries.Width);
+        Assert.Equal(LineStyle.Solid, lineSeries.Style);
+    }
 }
@@ -18,20 +18,18 @@ public sealed class UsfIndicator : Indicator, IWatchlistIndicator

    private Usf? _ma;
    private readonly LineSeries? _series;
-    private string? _sourceName;
    private Func<IHistoryItem, double>? _priceSelector;

    public static int MinHistoryDepths => 0;
    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;

-    public override string ShortName => $"USF {Period}:{_sourceName}";
+    public override string ShortName => $"USF {Period}:{Source}";
    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/trends/usf/Usf.Quantower.cs";

    public UsfIndicator()
    {
        OnBackGround = true;
        SeparateWindow = false;
-        _sourceName = Source.ToString();
        Name = "USF - Ultimate Smoother Filter";
        Description = "Ehlers Ultimate Smoother Filter";
        _series = new(name: $"USF {Period}", color: IndicatorExtensions.Averages, width: 2, style: LineStyle.Solid);
@@ -42,7 +40,6 @@ public sealed class UsfIndicator : Indicator, IWatchlistIndicator
    protected override void OnInit()
    {
        _ma = new Usf(Period);
-        _sourceName = Source.ToString();
        _priceSelector = Source.GetPriceSelector();
        base.OnInit();
    }