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Enhance documentation and validation for various indicators
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Miha Kralj
@@ -1,67 +1,249 @@
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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 QuanTAlib.Tests;
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using Xunit.Abstractions;
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namespace QuanTAlib;
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namespace QuanTAlib.Tests;
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public sealed class AtrValidationTests : IDisposable
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public class AtrValidationTests : IDisposable
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{
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private readonly ValidationTestData _data;
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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public AtrValidationTests()
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public AtrValidationTests(ITestOutputHelper output)
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{
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_data = new ValidationTestData();
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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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_data.Dispose();
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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 MatchesSkender()
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public void Validate_Skender_Batch()
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{
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var atr = new Atr(14);
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var results = new List<double>();
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int[] periods = { 14 };
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for (int i = 0; i < _data.Bars.Count; i++)
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foreach (var period in periods)
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{
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var res = atr.Update(_data.Bars[i]);
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results.Add(res.Value);
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Skender ATR
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var sResult = _testData.SkenderQuotes.GetAtr(period).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance);
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}
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var skenderResults = _data.SkenderQuotes.GetAtr(14).ToList();
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// ATR involves smoothing, so early values might differ slightly depending on initialization.
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// Skender uses Wilder's initialization method.
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ValidationHelper.VerifyData(results, skenderResults, x => x.Atr);
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_output.WriteLine("ATR Batch(TSeries) validated successfully against Skender");
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}
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[Fact]
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public void MatchesTalib()
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public void Validate_Skender_Streaming()
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{
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var atr = new Atr(14);
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var results = new List<double>();
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int[] periods = { 14 };
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for (int i = 0; i < _data.Bars.Count; i++)
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foreach (var period in periods)
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{
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var res = atr.Update(_data.Bars[i]);
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results.Add(res.Value);
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(atr.Update(item).Value);
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}
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// Calculate Skender ATR
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var sResult = _testData.SkenderQuotes.GetAtr(period).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance);
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}
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_output.WriteLine("ATR Streaming validated successfully against Skender");
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}
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double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
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double[] outReal = new double[_data.Bars.Count];
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[Fact]
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public void Validate_Talib_Batch()
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{
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int[] periods = { 14 };
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var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, outReal, out var outRange, 14);
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Assert.Equal(Core.RetCode.Success, retCode);
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// Prepare data for TA-Lib (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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double[] output = new double[hData.Length];
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int lookback = TALib.Functions.AtrLookback(14);
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ValidationHelper.VerifyData(results, outReal, outRange, lookback);
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate TA-Lib ATR
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var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.AtrLookback(period);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
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}
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_output.WriteLine("ATR Batch(TSeries) validated successfully against TA-Lib");
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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[] periods = { 14 };
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// Prepare data for TA-Lib (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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double[] output = new double[hData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(atr.Update(item).Value);
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}
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// Calculate TA-Lib ATR
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var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.AtrLookback(period);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
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}
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_output.WriteLine("ATR Streaming validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Tulip_Batch()
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{
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int[] periods = { 14 };
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// Prepare data for Tulip (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Tulip ATR
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var atrIndicator = Tulip.Indicators.atr;
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double[][] inputs = { hData, lData, cData };
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double[] options = { period };
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// Tulip ATR lookback
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int lookback = atrIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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atrIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
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}
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_output.WriteLine("ATR Batch(TSeries) validated successfully against Tulip");
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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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int[] periods = { 14 };
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// Prepare data for Tulip (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(atr.Update(item).Value);
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}
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// Calculate Tulip ATR
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var atrIndicator = Tulip.Indicators.atr;
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double[][] inputs = { hData, lData, cData };
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double[] options = { period };
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// Tulip ATR lookback
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int lookback = atrIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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atrIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
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}
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_output.WriteLine("ATR Streaming validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Ooples_Batch()
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{
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int[] periods = { 14 };
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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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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Ooples ATR
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var stockData = new StockData(ooplesData);
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var sResult = Calculations.CalculateAverageTrueRange(stockData, MovingAvgType.WildersSmoothingMethod, period).OutputValues.Values.First();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s, 100, ValidationHelper.OoplesTolerance);
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}
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_output.WriteLine("ATR Batch(TSeries) validated successfully against Ooples");
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}
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}
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+15
-11
@@ -57,21 +57,25 @@ $$
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## Performance Profile
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ATR is computationally cheap but mathematically robust.
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| Metric | Complexity | Notes |
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| Metric | Score | Notes |
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| :--- | :--- | :--- |
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| **Throughput** | ~5ns / bar | Simple arithmetic + 1 EMA update |
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| **Allocations** | 0 bytes | Hot path is allocation-free |
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| **Complexity** | O(1) | Constant time per update |
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| **Precision** | `double` | Required for accurate gap measurement |
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| **Throughput** | 10 | High; O(1) calculation via RMA. |
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| **Allocations** | 0 | Zero-allocation in hot paths. |
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| **Complexity** | O(1) | Constant time regardless of period. |
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| **Accuracy** | 10 | Matches TA-Lib exactly. |
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| **Timeliness** | 4 | Lags due to RMA smoothing; reflects past volatility. |
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| **Overshoot** | 0 | Absolute measure; cannot overshoot. |
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| **Smoothness** | 8 | Smooth decay due to RMA inertia. |
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## Validation
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Validation is performed against **TA-Lib** and **Skender.Stock.Indicators**.
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- **Accuracy**: Matches external libraries to 9 decimal places.
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- **Edge Cases**: Correctly handles the first bar (where $C_{t-1}$ is undefined) by using $H-L$.
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| Library | Status | Notes |
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| :--- | :--- | :--- |
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| **QuanTAlib** | ✅ | Validated. |
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| **TA-Lib** | ✅ | Matches `TA_ATR` exactly. |
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| **Skender** | ✅ | Matches `GetAtr` exactly. |
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| **Tulip** | ✅ | Matches `atr` exactly. |
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| **Ooples** | ✅ | Matches `CalculateAverageTrueRange`. |
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### Common Pitfalls
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