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

2026-08-19 02:58:05 +00:00 · 2026-03-17 13:35:03 -07:00
parent 4552d8529d
commit 4fa29c04b7
15 changed files with 1419 additions and 0 deletions
@@ -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");
+    }
+}