feat: add DMH (Ehlers Directional Movement with Hann) indicator

This commit is contained in:
Miha Kralj
2026-03-17 13:35:03 -07:00
parent 4552d8529d
commit 4fa29c04b7
15 changed files with 1419 additions and 0 deletions
@@ -0,0 +1,138 @@
using TradingPlatform.BusinessLayer;
using QuanTAlib;
namespace QuanTAlib.Tests;
public class DmhIndicatorTests
{
[Fact]
public void DmhIndicator_Constructor_SetsDefaults()
{
var indicator = new DmhIndicator();
Assert.Equal(14, indicator.Period);
Assert.True(indicator.ShowColdValues);
Assert.Equal("DMH - Ehlers Directional Movement with Hann", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void DmhIndicator_MinHistoryDepths_IsZero()
{
var indicator = new DmhIndicator { Period = 20 };
Assert.Equal(0, DmhIndicator.MinHistoryDepths);
IWatchlistIndicator watchlistIndicator = indicator;
Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
}
[Fact]
public void DmhIndicator_ShortName_IncludesPeriod()
{
var indicator = new DmhIndicator { Period = 20 };
indicator.Initialize();
Assert.Contains("DMH", indicator.ShortName, StringComparison.Ordinal);
Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal);
}
[Fact]
public void DmhIndicator_Name_ContainsEhlers()
{
var indicator = new DmhIndicator();
Assert.Contains("Ehlers", indicator.Name, StringComparison.Ordinal);
}
[Fact]
public void DmhIndicator_SourceCodeLink_IsValid()
{
var indicator = new DmhIndicator();
Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
Assert.Contains("Dmh.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
}
[Fact]
public void DmhIndicator_Initialize_CreatesInternalDmh()
{
var indicator = new DmhIndicator { Period = 14 };
indicator.Initialize();
Assert.Single(indicator.LinesSeries);
}
[Fact]
public void DmhIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new DmhIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
}
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
Assert.Equal(1, indicator.LinesSeries[0].Count);
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
}
[Fact]
public void DmhIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new DmhIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
}
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.HistoricalData.AddBar(now.AddMinutes(10), 110, 120, 100, 115);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void DmhIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new DmhIndicator { Period = 5 };
indicator.Initialize();
var now = DateTime.UtcNow;
for (int i = 0; i < 10; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
}
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
double firstValue = indicator.LinesSeries[0].GetValue(0);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
double secondValue = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(firstValue));
Assert.True(double.IsFinite(secondValue));
}
[Fact]
public void DmhIndicator_Parameters_CanBeChanged()
{
var indicator = new DmhIndicator { Period = 14 };
Assert.Equal(14, indicator.Period);
indicator.Period = 20;
Assert.Equal(20, indicator.Period);
Assert.Equal(0, DmhIndicator.MinHistoryDepths);
}
}
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namespace QuanTAlib;
public class DmhTests
{
[Fact]
public void Constructor_InvalidParameters_ThrowsException()
{
var ex1 = Assert.Throws<ArgumentOutOfRangeException>(() => new Dmh(0));
Assert.Contains("period", ex1.Message, StringComparison.OrdinalIgnoreCase);
var ex2 = Assert.Throws<ArgumentOutOfRangeException>(() => new Dmh(-1));
Assert.Contains("period", ex2.Message, StringComparison.OrdinalIgnoreCase);
}
[Fact]
public void Constructor_ValidPeriod_NoThrow()
{
var dmh = new Dmh(1);
Assert.Equal("Dmh(1)", dmh.Name);
var dmh14 = new Dmh(14);
Assert.Equal("Dmh(14)", dmh14.Name);
Assert.Equal(15, dmh14.WarmupPeriod);
}
[Fact]
public void BasicCalculation_DoesNotCrash()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(double.IsFinite(dmh.Last.Value));
}
[Fact]
public void IsHot_BecomesTrue_AfterWarmup()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < dmh.WarmupPeriod - 1; i++)
{
dmh.Update(bars[i]);
Assert.False(dmh.IsHot, $"Should not be hot at bar {i}");
}
dmh.Update(bars[dmh.WarmupPeriod - 1]);
Assert.True(dmh.IsHot, "Should be hot after warmup");
}
[Fact]
public void IsNew_Consistency()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < 99; i++)
{
dmh.Update(bars[i]);
}
dmh.Update(bars[99], true);
var modifiedBar = new TBar(bars[99].Time, bars[99].Open, bars[99].High + 1.0, bars[99].Low - 1.0, bars[99].Close, bars[99].Volume);
var val2 = dmh.Update(modifiedBar, false);
var dmh2 = new Dmh(14);
for (int i = 0; i < 99; i++)
{
dmh2.Update(bars[i]);
}
var val3 = dmh2.Update(modifiedBar, true);
Assert.Equal(val3.Value, val2.Value, 1e-9);
}
[Fact]
public void IterativeCorrections_RestoreToOriginalState()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < 50; i++)
{
dmh.Update(bars[i]);
}
var originalValue = dmh.Last;
for (int m = 0; m < 5; m++)
{
var modified = new TBar(bars[49].Time, bars[49].Open, bars[49].High + m, bars[49].Low - m, bars[49].Close, bars[49].Volume);
dmh.Update(modified, isNew: false);
}
var restored = dmh.Update(bars[49], isNew: false);
Assert.Equal(originalValue.Value, restored.Value, 9);
}
[Fact]
public void Reset_Works()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
dmh.Reset();
Assert.Equal(0, dmh.Last.Value);
Assert.False(dmh.IsHot);
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(double.IsFinite(dmh.Last.Value));
Assert.True(dmh.IsHot);
}
[Fact]
public void NaN_Input_UsesLastValidValue()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < 30; i++)
{
dmh.Update(bars[i]);
}
var nanBar = new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 100);
var result = dmh.Update(nanBar);
Assert.True(double.IsFinite(result.Value));
}
[Fact]
public void Infinity_Input_UsesLastValidValue()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < 30; i++)
{
dmh.Update(bars[i]);
}
var infBar = new TBar(DateTime.UtcNow, double.PositiveInfinity, double.PositiveInfinity, 0, 100, 100);
var result = dmh.Update(infBar);
Assert.True(double.IsFinite(result.Value));
}
[Fact]
public void AllModes_ProduceSameResult()
{
var gbm = new GBM(seed: 123);
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
// 1. Batch Mode
var batchResult = Dmh.Batch(bars, 14);
double expected = batchResult.Last.Value;
// 2. Streaming Mode
var streamDmh = new Dmh(14);
for (int i = 0; i < bars.Count; i++)
{
streamDmh.Update(bars[i]);
}
double streamResult = streamDmh.Last.Value;
Assert.Equal(expected, streamResult, 9);
}
[Fact]
public void TBarSeries_Update_Matches_Streaming()
{
var dmh = new Dmh(14);
var gbm = new GBM();
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var streamingResults = new List<double>();
for (int i = 0; i < bars.Count; i++)
{
streamingResults.Add(dmh.Update(bars[i]).Value);
}
var dmh2 = new Dmh(14);
var seriesResults = dmh2.Update(bars);
Assert.Equal(streamingResults.Count, seriesResults.Count);
for (int i = 0; i < seriesResults.Count; i++)
{
Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
}
}
[Fact]
public void FirstBar_Handling()
{
var dmh = new Dmh(14);
var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000);
var result = dmh.Update(bar);
Assert.Equal(0, result.Value);
}
[Fact]
public void StaticBatch_Matches_Streaming()
{
var gbm = new GBM();
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh = new Dmh(14);
var streamingResults = new List<double>();
for (int i = 0; i < bars.Count; i++)
{
streamingResults.Add(dmh.Update(bars[i]).Value);
}
var staticResults = Dmh.Batch(bars, 14);
Assert.Equal(streamingResults.Count, staticResults.Count);
for (int i = 0; i < streamingResults.Count; i++)
{
Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
}
}
[Fact]
public void Chainability_Works()
{
var dmh = new Dmh(14);
var sma = new Sma(dmh, 10);
var gbm = new GBM();
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(double.IsFinite(sma.Last.Value));
}
[Fact]
public void Uptrend_Produces_Positive_Values()
{
var dmh = new Dmh(14);
var bars = new TBarSeries();
var time = DateTime.UtcNow;
double price = 100;
for (int i = 0; i < 50; i++)
{
bars.Add(time, price, price + 2, price - 1, price + 1, 1000);
time = time.AddMinutes(1);
price += 1.0;
}
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(dmh.Last.Value > 0, $"DMH should be positive in uptrend, got {dmh.Last.Value}");
}
[Fact]
public void Downtrend_Produces_Negative_Values()
{
var dmh = new Dmh(14);
var bars = new TBarSeries();
var time = DateTime.UtcNow;
double price = 200;
for (int i = 0; i < 50; i++)
{
bars.Add(time, price, price + 1, price - 2, price - 1, 1000);
time = time.AddMinutes(1);
price -= 1.0;
}
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(dmh.Last.Value < 0, $"DMH should be negative in downtrend, got {dmh.Last.Value}");
}
[Fact]
public void SpanBatch_LengthMismatch_Throws()
{
var high = new double[10];
var low = new double[5];
var dest = new double[10];
Assert.Throws<ArgumentException>(() => Dmh.Batch(high, low, 14, dest));
}
[Fact]
public void SpanBatch_InvalidPeriod_Throws()
{
var high = new double[10];
var low = new double[10];
var dest = new double[10];
Assert.Throws<ArgumentOutOfRangeException>(() => Dmh.Batch(high, low, 0, dest));
}
[Fact]
public void DifferentPeriods_ProduceDifferentResults()
{
var gbm = new GBM(seed: 42);
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh5 = new Dmh(5);
var dmh20 = new Dmh(20);
for (int i = 0; i < bars.Count; i++)
{
dmh5.Update(bars[i]);
dmh20.Update(bars[i]);
}
Assert.NotEqual(dmh5.Last.Value, dmh20.Last.Value);
}
[Fact]
public void EventPub_Fires()
{
var dmh = new Dmh(14);
int eventCount = 0;
dmh.Pub += (object? _, in TValueEventArgs _e) => eventCount++;
var gbm = new GBM();
var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.Equal(10, eventCount);
}
[Fact]
public void PrimePeriod_EqualsWarmupPeriod()
{
var dmh = new Dmh(14);
Assert.Equal(15, dmh.WarmupPeriod);
var dmh7 = new Dmh(7);
Assert.Equal(8, dmh7.WarmupPeriod);
}
[Fact]
public void Prime_Initializes_State()
{
var gbm = new GBM(seed: 42);
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh1 = new Dmh(14);
for (int i = 0; i < bars.Count; i++)
{
dmh1.Update(bars[i]);
}
var dmh2 = new Dmh(14);
dmh2.Prime(bars);
Assert.Equal(dmh1.Last.Value, dmh2.Last.Value, 1e-9);
Assert.Equal(dmh1.IsHot, dmh2.IsHot);
}
[Fact]
public void Calculate_Returns_Results_And_Indicator()
{
var gbm = new GBM(seed: 42);
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var (results, indicator) = Dmh.Calculate(bars, 14);
Assert.Equal(bars.Count, results.Count);
Assert.True(indicator.IsHot);
Assert.True(double.IsFinite(results.Last.Value));
}
[Fact]
public void ConstantPrice_Produces_Zero()
{
var dmh = new Dmh(14);
var time = DateTime.UtcNow;
for (int i = 0; i < 50; i++)
{
var bar = new TBar(time, 100, 100, 100, 100, 1000);
dmh.Update(bar);
time = time.AddMinutes(1);
}
Assert.Equal(0.0, dmh.Last.Value, 1e-12);
}
[Fact]
public void Period1_Works()
{
var dmh = new Dmh(1);
var gbm = new GBM();
var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(double.IsFinite(dmh.Last.Value));
}
[Fact]
public void LargePeriod_Works()
{
var dmh = new Dmh(200);
var gbm = new GBM();
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Count; i++)
{
dmh.Update(bars[i]);
}
Assert.True(double.IsFinite(dmh.Last.Value));
}
}
@@ -0,0 +1,200 @@
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class DmhValidationTests
{
private readonly ITestOutputHelper _output;
public DmhValidationTests(ITestOutputHelper output)
{
_output = output;
}
[Fact]
public void Validate_Consistency_UpdateVsSeries()
{
var gbm = new GBM();
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh = new Dmh(14);
var streamResult = new TSeries();
for (int i = 0; i < bars.Count; i++)
{
streamResult.Add(dmh.Update(bars[i]));
}
var dmh2 = new Dmh(14);
var seriesResult = dmh2.Update(bars);
Assert.Equal(streamResult.Count, seriesResult.Count);
for (int i = 0; i < bars.Count; i++)
{
Assert.Equal(streamResult[i].Value, seriesResult[i].Value, ValidationHelper.DefaultTolerance);
}
_output.WriteLine("DMH Update vs Series validated successfully");
}
[Fact]
public void Validate_SpanBatch_Matches_Streaming()
{
var gbm = new GBM(seed: 99);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh = new Dmh(14);
var streamResults = new double[bars.Count];
for (int i = 0; i < bars.Count; i++)
{
streamResults[i] = dmh.Update(bars[i]).Value;
}
var destination = new double[bars.Count];
Dmh.Batch(bars.High.Values, bars.Low.Values, 14, destination);
for (int i = 0; i < bars.Count; i++)
{
Assert.Equal(streamResults[i], destination[i], ValidationHelper.DefaultTolerance);
}
_output.WriteLine("DMH Span batch vs Streaming validated successfully");
}
[Fact]
public void Validate_Trend_Direction()
{
// Synthetic uptrend
var bars = new TBarSeries();
var time = DateTime.UtcNow;
double price = 100;
for (int i = 0; i < 100; i++)
{
bars.Add(time, price, price + 2, price - 1, price + 1, 1000);
time = time.AddMinutes(1);
price += 1.0;
}
var dmh = new Dmh(14);
var result = dmh.Update(bars);
for (int i = 80; i < 100; i++)
{
Assert.True(result[i].Value > 0, $"DMH should be positive in uptrend at index {i}, got {result[i].Value}");
}
// Synthetic downtrend
bars = new TBarSeries();
time = DateTime.UtcNow;
price = 200;
for (int i = 0; i < 100; i++)
{
bars.Add(time, price, price + 1, price - 2, price - 1, 1000);
time = time.AddMinutes(1);
price -= 1.0;
}
dmh = new Dmh(14);
result = dmh.Update(bars);
for (int i = 80; i < 100; i++)
{
Assert.True(result[i].Value < 0, $"DMH should be negative in downtrend at index {i}, got {result[i].Value}");
}
_output.WriteLine("DMH trend direction validated successfully");
}
[Fact]
public void Validate_ConstantPrice_ZeroOutput()
{
var bars = new TBarSeries();
var time = DateTime.UtcNow;
for (int i = 0; i < 100; i++)
{
bars.Add(time, 100, 100, 100, 100, 1000);
time = time.AddMinutes(1);
}
var dmh = new Dmh(14);
var result = dmh.Update(bars);
for (int i = 0; i < 100; i++)
{
Assert.Equal(0.0, result[i].Value, 1e-12);
}
_output.WriteLine("DMH constant price → zero validated successfully");
}
[Fact]
public void Validate_DifferentPeriods()
{
var gbm = new GBM(seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
foreach (int period in new[] { 5, 10, 14, 20, 50 })
{
var dmh = new Dmh(period);
for (int i = 0; i < bars.Count; i++)
{
var val = dmh.Update(bars[i]);
Assert.True(double.IsFinite(val.Value), $"DMH period={period}, bar={i}: non-finite value {val.Value}");
}
}
_output.WriteLine("DMH different periods validated successfully");
}
[Fact]
public void Validate_BarCorrection_Consistency()
{
var gbm = new GBM(seed: 77);
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmh = new Dmh(14);
for (int i = 0; i < 100; i++)
{
dmh.Update(bars[i]);
}
var valueBeforeCorrection = dmh.Last.Value;
// Apply multiple corrections
for (int c = 0; c < 10; c++)
{
var modified = new TBar(bars[99].Time, bars[99].Open + c, bars[99].High + c, bars[99].Low - c, bars[99].Close + c, bars[99].Volume);
dmh.Update(modified, isNew: false);
}
// Restore original bar
var restored = dmh.Update(bars[99], isNew: false);
Assert.Equal(valueBeforeCorrection, restored.Value, 1e-9);
_output.WriteLine("DMH bar correction consistency validated successfully");
}
[Fact]
public void Validate_Subset_Stability()
{
var gbm = new GBM(seed: 55);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var dmhFull = new Dmh(14);
for (int i = 0; i < 500; i++)
{
dmhFull.Update(bars[i]);
}
var dmhSubset = new Dmh(14);
for (int i = 0; i < 300; i++)
{
dmhSubset.Update(bars[i]);
}
// Values at bar 299 should match
var dmhRef = new Dmh(14);
double val299 = 0;
for (int i = 0; i < 300; i++)
{
val299 = dmhRef.Update(bars[i]).Value;
}
Assert.Equal(val299, dmhSubset.Last.Value, 1e-9);
_output.WriteLine("DMH subset stability validated successfully");
}
}