mirror of
https://github.com/mihakralj/QuanTAlib.git
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Enhance documentation and validation for various indicators
This commit is contained in:
Miha Kralj
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Enums;
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using OoplesFinance.StockIndicators.Models;
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using Skender.Stock.Indicators;
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using TALib;
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using Tulip;
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using Xunit;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public class MacdValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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public MacdValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData();
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}
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public void Dispose()
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{
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Dispose(true);
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GC.SuppressFinalize(this);
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}
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protected virtual void Dispose(bool disposing)
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{
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if (disposing)
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{
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_testData.Dispose();
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}
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}
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[Fact]
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public void Validate_Skender_Batch()
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{
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// Standard MACD parameters
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int fastPeriod = 12;
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int slowPeriod = 26;
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int signalPeriod = 9;
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// Calculate QuanTAlib MACD (batch TSeries)
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var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod);
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var qResult = macd.Update(_testData.Data);
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// Calculate Skender MACD
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var sResult = _testData.SkenderQuotes.GetMacd(fastPeriod, slowPeriod, signalPeriod).ToList();
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// Compare last 100 records
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// MACD Line
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Macd);
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// Signal Line
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// We need to extract Signal line from QuanTAlib result.
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// Since Update returns TSeries of MACD line, we need to access Signal property from the indicator instance
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// But for batch update, we need to re-run or capture signal.
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// The Macd.Update(TSeries) returns the MACD line series.
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// To validate Signal and Histogram, we should use the streaming approach or modify Macd to return all lines.
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// For now, let's validate MACD line here, and do full validation in Streaming test.
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}
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[Fact]
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public void Validate_Skender_Streaming()
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{
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int fastPeriod = 12;
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int slowPeriod = 26;
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int signalPeriod = 9;
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// Calculate QuanTAlib MACD (streaming)
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var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod);
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var qMacd = new List<double>();
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var qSignal = new List<double>();
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var qHist = new List<double>();
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foreach (var item in _testData.Data)
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{
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macd.Update(item);
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qMacd.Add(macd.Last.Value);
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qSignal.Add(macd.Signal.Value);
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qHist.Add(macd.Histogram.Value);
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}
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// Calculate Skender MACD
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var sResult = _testData.SkenderQuotes.GetMacd(fastPeriod, slowPeriod, signalPeriod).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qMacd, sResult, (s) => s.Macd);
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ValidationHelper.VerifyData(qSignal, sResult, (s) => s.Signal);
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ValidationHelper.VerifyData(qHist, sResult, (s) => s.Histogram);
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_output.WriteLine("MACD Streaming validated successfully against Skender");
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}
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[Fact]
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public void Validate_Talib_Streaming()
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{
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int fastPeriod = 12;
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int slowPeriod = 26;
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int signalPeriod = 9;
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// Prepare data for TA-Lib (double[])
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double[] tData = _testData.RawData.ToArray();
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double[] outMacd = new double[tData.Length];
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double[] outSignal = new double[tData.Length];
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double[] outHist = new double[tData.Length];
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// Calculate QuanTAlib MACD (streaming)
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var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod);
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var qMacd = new List<double>();
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var qSignal = new List<double>();
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var qHist = new List<double>();
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foreach (var item in _testData.Data)
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{
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macd.Update(item);
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qMacd.Add(macd.Last.Value);
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qSignal.Add(macd.Signal.Value);
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qHist.Add(macd.Histogram.Value);
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}
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// Calculate TA-Lib MACD
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var retCode = TALib.Functions.Macd<double>(tData, 0..^0, outMacd, outSignal, outHist, out var outRange, fastPeriod, slowPeriod, signalPeriod);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.MacdLookback(fastPeriod, slowPeriod, signalPeriod);
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// Compare last 100 records
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ValidationHelper.VerifyData(qMacd, outMacd, outRange, lookback);
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ValidationHelper.VerifyData(qSignal, outSignal, outRange, lookback);
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ValidationHelper.VerifyData(qHist, outHist, outRange, lookback);
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_output.WriteLine("MACD Streaming validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Against_Ooples()
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{
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int fastPeriod = 12;
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int slowPeriod = 26;
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int signalPeriod = 9;
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// Prepare data for Ooples (List<TickerData>)
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var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
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{
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Date = q.Date,
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Close = (double)q.Close,
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High = (double)q.High,
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Low = (double)q.Low,
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Open = (double)q.Open,
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Volume = (double)q.Volume
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}).ToList();
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// Calculate QuanTAlib MACD (streaming)
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var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod);
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var qMacd = new List<double>();
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var qSignal = new List<double>();
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var qHist = new List<double>();
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foreach (var item in _testData.Data)
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{
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macd.Update(item);
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qMacd.Add(macd.Last.Value);
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qSignal.Add(macd.Signal.Value);
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qHist.Add(macd.Histogram.Value);
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}
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// Calculate Ooples MACD
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var stockData = new StockData(ooplesData);
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var oResult = stockData.CalculateMovingAverageConvergenceDivergence(fastLength: fastPeriod, slowLength: slowPeriod, signalLength: signalPeriod);
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var oMacd = oResult.OutputValues["Macd"];
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var oSignal = oResult.OutputValues["Signal"];
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var oHist = oResult.OutputValues["Histogram"];
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// Compare
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ValidationHelper.VerifyData(qMacd, oMacd, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
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ValidationHelper.VerifyData(qSignal, oSignal, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
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ValidationHelper.VerifyData(qHist, oHist, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
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_output.WriteLine("MACD validated successfully against Ooples");
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}
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[Fact]
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public void Validate_Tulip_Streaming()
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{
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// Tulip has a hardcoded override for 12/26 that uses 0.15 and 0.075 instead of standard alpha
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// We use different periods to validate the algorithm correctness without this quirk
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int fastPeriod = 10;
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int slowPeriod = 20;
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int signalPeriod = 9;
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// Prepare data for Tulip (double[])
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double[] tData = _testData.RawData.ToArray();
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// Calculate QuanTAlib MACD (streaming)
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var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod);
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var qMacd = new List<double>();
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var qSignal = new List<double>();
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var qHist = new List<double>();
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foreach (var item in _testData.Data)
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{
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macd.Update(item);
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qMacd.Add(macd.Last.Value);
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qSignal.Add(macd.Signal.Value);
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qHist.Add(macd.Histogram.Value);
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}
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// Calculate Tulip MACD
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var macdIndicator = Tulip.Indicators.macd;
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double[][] inputs = { tData };
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double[] options = { fastPeriod, slowPeriod, signalPeriod };
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// Tulip MACD lookback
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int lookback = macdIndicator.Start(options);
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double[][] outputs = {
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new double[tData.Length - lookback], // MACD
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new double[tData.Length - lookback], // Signal
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new double[tData.Length - lookback] // Histogram
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};
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macdIndicator.Run(inputs, options, outputs);
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var tMacd = outputs[0];
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var tSignal = outputs[1];
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var tHist = outputs[2];
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// Compare last 100 records
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ValidationHelper.VerifyData(qMacd, tMacd, lookback);
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ValidationHelper.VerifyData(qSignal, tSignal, lookback);
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ValidationHelper.VerifyData(qHist, tHist, lookback);
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_output.WriteLine("MACD Streaming validated successfully against Tulip");
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}
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}
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