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Enhance documentation and validation for various indicators

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This commit is contained in:
Miha Kralj
2025-12-22 20:42:26 -08:00
parent 5bb8c122c0
commit 4efa0e773e
81 changed files with 4267 additions and 640 deletions
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lib/trends/kama/Kama.Validation.Tests.cs
+145 -1
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@@ -4,12 +4,14 @@ using System.Linq;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using Skender.Stock.Indicators;
using TALib;
using Tulip;
using Xunit;
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class KamaValidationTests
public class KamaValidationTests : IDisposable
{
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
@@ -20,6 +22,20 @@ public class KamaValidationTests
_testData = new ValidationTestData();
}
public void Dispose()
{
Dispose(true);
GC.SuppressFinalize(this);
}
protected virtual void Dispose(bool disposing)
{
if (disposing)
{
_testData.Dispose();
}
}
[Fact]
public void Validate_Skender_Batch()
{
@@ -90,6 +106,134 @@ public class KamaValidationTests
_output.WriteLine("KAMA Span validated successfully against Skender");
}
[Fact]
public void Validate_Talib_Batch()
{
int[] periods = { 10, 14, 20 };
// TA-Lib KAMA uses default fast=2, slow=30 and doesn't expose them in the standard API
// Prepare data for TA-Lib (double[])
double[] cData = _testData.Data.Select(x => x.Value).ToArray();
double[] output = new double[cData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib KAMA (batch TSeries)
// Use default fast=2, slow=30 to match TA-Lib
var kama = new global::QuanTAlib.Kama(period);
var qResult = kama.Update(_testData.Data);
// Calculate TA-Lib KAMA
var retCode = TALib.Functions.Kama(cData, 0..^0, output, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.KamaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qResult, output, outRange, lookback);
}
_output.WriteLine("KAMA Batch(TSeries) validated successfully against TA-Lib");
}
[Fact]
public void Validate_Talib_Streaming()
{
int[] periods = { 10, 14, 20 };
// Prepare data for TA-Lib (double[])
double[] cData = _testData.Data.Select(x => x.Value).ToArray();
double[] output = new double[cData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib KAMA (streaming)
var kama = new global::QuanTAlib.Kama(period);
var qResults = new List<double>();
foreach (var item in _testData.Data)
{
qResults.Add(kama.Update(item).Value);
}
// Calculate TA-Lib KAMA
var retCode = TALib.Functions.Kama(cData, 0..^0, output, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.KamaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qResults, output, outRange, lookback);
}
_output.WriteLine("KAMA Streaming validated successfully against TA-Lib");
}
[Fact]
public void Validate_Tulip_Batch()
{
int[] periods = { 10, 14, 20 };
// Prepare data for Tulip (double[])
double[] cData = _testData.Data.Select(x => x.Value).ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib KAMA (batch TSeries)
var kama = new global::QuanTAlib.Kama(period);
var qResult = kama.Update(_testData.Data);
// Calculate Tulip KAMA
var kamaIndicator = Tulip.Indicators.kama;
double[][] inputs = { cData };
double[] options = { period };
// Tulip KAMA lookback
int lookback = kamaIndicator.Start(options);
double[][] outputs = { new double[cData.Length - lookback] };
kamaIndicator.Run(inputs, options, outputs);
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("KAMA Batch(TSeries) validated successfully against Tulip");
}
[Fact]
public void Validate_Tulip_Streaming()
{
int[] periods = { 10, 14, 20 };
// Prepare data for Tulip (double[])
double[] cData = _testData.Data.Select(x => x.Value).ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib KAMA (streaming)
var kama = new global::QuanTAlib.Kama(period);
var qResults = new List<double>();
foreach (var item in _testData.Data)
{
qResults.Add(kama.Update(item).Value);
}
// Calculate Tulip KAMA
var kamaIndicator = Tulip.Indicators.kama;
double[][] inputs = { cData };
double[] options = { period };
// Tulip KAMA lookback
int lookback = kamaIndicator.Start(options);
double[][] outputs = { new double[cData.Length - lookback] };
kamaIndicator.Run(inputs, options, outputs);
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("KAMA Streaming validated successfully against Tulip");
}
[Fact]
public void Validate_Against_Ooples()
{
lib/trends/kama/Kama.md
+9 -5
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@@ -34,7 +34,8 @@ KAMA is very efficient, with O(1) complexity thanks to the incremental volatilit
| Metric | Score | Notes |
| :--- | :--- | :--- |
| **Throughput** | High | O(1) updates |
| **Throughput** | [N] ns/bar | O(1) updates |
| **Allocations** | 0 | Stack-based calculations only |
| **Complexity** | O(1) | Constant time update |
| **Accuracy** | 7/10 | Flattens in noise, tracks in trends |
| **Timeliness** | 8/10 | Accelerates quickly in strong trends |
@@ -43,12 +44,15 @@ KAMA is very efficient, with O(1) complexity thanks to the incremental volatilit
## Validation
Validated against TA-Lib and Skender.
Validated against TA-Lib, Skender, Tulip, and Ooples.
| Provider | Error Tolerance | Notes |
| Library | Status | Notes |
| :--- | :--- | :--- |
| **TA-Lib** | $10^{-9}$ | Matches `TA_KAMA` |
| **Skender** | $10^{-9}$ | Matches `GetKama` |
| **QuanTAlib** | ✅ | Validated. |
| **TA-Lib** | ✅ | Matches `Kama` |
| **Skender** | ✅ | Matches `GetKama` |
| **Tulip** | ✅ | Matches `kama` |
| **Ooples** | ✅ | Matches `CalculateKaufmanAdaptiveMovingAverage` |
### Common Pitfalls