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Merging dev into main (#38)

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This commit is contained in:
Miha Kralj
2024-10-09 14:49:17 -07:00
committed by GitHub
parent 492704538b 5974f54953
commit 51c76bb112
7 changed files with 52 additions and 52 deletions
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Tests/test_eventing.cs
+44 -41
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@@ -17,39 +17,39 @@ public class EventingTests
var input = new TSeries(); var input = new TSeries();
int p = 10; int p = 10;
// Create a list of indicator pairs (direct calculation and event-based) // Create a list of indicator pairs (direct calculation and event-based) with names
var indicators = new List<(AbstractBase Direct, AbstractBase EventBased)> var indicators = new List<(string Name, AbstractBase Direct, AbstractBase EventBased)>
{ {
(new Afirma(p,p,Afirma.WindowType.BlackmanHarris), new Afirma(input, p,p,Afirma.WindowType.BlackmanHarris)), ("Afirma", new Afirma(p,p,Afirma.WindowType.BlackmanHarris), new Afirma(input, p,p,Afirma.WindowType.BlackmanHarris)),
(new Alma(p), new Alma(input, p)), ("Alma", new Alma(p), new Alma(input, p)),
(new Convolution([1,2,3,2,1]), new Convolution(input, [1,2,3,2,1])), ("Convolution", new Convolution(new double[] {1,2,3,2,1}), new Convolution(input, new double[] {1,2,3,2,1})),
(new Dema(p), new Dema(input, p)), ("Dema", new Dema(p), new Dema(input, p)),
(new Dsma(p), new Dsma(input, p)), ("Dsma", new Dsma(p), new Dsma(input, p)),
(new Dwma(p), new Dwma(input, p)), ("Dwma", new Dwma(p), new Dwma(input, p)),
(new Ema(p), new Ema(input, p)), ("Ema", new Ema(p), new Ema(input, p)),
(new Epma(p), new Epma(input, p)), ("Epma", new Epma(p), new Epma(input, p)),
(new Frama(p), new Frama(input, p)), ("Frama", new Frama(p), new Frama(input, p)),
(new Fwma(p), new Fwma(input, p)), ("Fwma", new Fwma(p), new Fwma(input, p)),
(new Gma(p), new Gma(input, p)), ("Gma", new Gma(p), new Gma(input, p)),
(new Hma(p), new Hma(input, p)), ("Hma", new Hma(p), new Hma(input, p)),
(new Htit(), new Htit(input)), ("Htit", new Htit(), new Htit(input)),
(new Hwma(p), new Hwma(input, p)), ("Hwma", new Hwma(p), new Hwma(input, p)),
(new Jma(p), new Jma(input, p)), ("Jma", new Jma(p), new Jma(input, p)),
(new Kama(p), new Kama(input, p)), ("Kama", new Kama(p), new Kama(input, p)),
(new Ltma(gamma: 0.2), new Ltma(input, gamma: 0.2)), ("Ltma", new Ltma(gamma: 0.2), new Ltma(input, gamma: 0.2)),
(new Maaf(p), new Maaf(input, p)), ("Maaf", new Maaf(p), new Maaf(input, p)),
(new Mama(p), new Mama(input, p)), ("Mama", new Mama(p), new Mama(input, p)),
(new Mgdi(p), new Mgdi(input, p)), ("Mgdi", new Mgdi(p, kFactor: 0.6), new Mgdi(input, p, kFactor: 0.6)),
(new Mma(p), new Mma(input, p)), ("Mma", new Mma(p), new Mma(input, p)),
(new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2), new Qema(input, k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2)), ("Qema", new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2), new Qema(input, k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2)),
(new Rema(p), new Rema(input, p)), ("Rema", new Rema(p), new Rema(input, p)),
(new Rma(p), new Rma(input, p)), ("Rma", new Rma(p), new Rma(input, p)),
(new Sma(p), new Sma(input, p)), ("Sma", new Sma(p), new Sma(input, p)),
(new Wma(p), new Wma(input, p)), ("Wma", new Wma(p), new Wma(input, p)),
(new Rma(p), new Rma(input, p)), ("Rma", new Rma(p), new Rma(input, p)),
(new Tema(p), new Tema(input, p)), ("Tema", new Tema(p), new Tema(input, p)),
(new Kama(2, 30, 6), new Kama(input, 2, 30, 6)), ("Kama", new Kama(2, 30, 6), new Kama(input, 2, 30, 6)),
(new Zlema(p), new Zlema(input, p)) ("Zlema", new Zlema(p), new Zlema(input, p))
}; };
// Generate 200 random values and feed them to both direct and event-based indicators // Generate 200 random values and feed them to both direct and event-based indicators
@@ -59,23 +59,26 @@ public class EventingTests
input.Add(randomValue); input.Add(randomValue);
// Calculate direct indicators // Calculate direct indicators
foreach (var (direct, _) in indicators) foreach (var (_, direct, _) in indicators)
{ {
direct.Calc(randomValue); direct.Calc(randomValue);
} }
} }
// Compare the results of direct and event-based calculations // Compare the results of direct and event-based calculations
foreach (var (direct, eventBased) in indicators) for (int i = 0; i < indicators.Count; i++)
{ {
Assert.Equal(direct.Value, eventBased.Value, 9); var (name, direct, eventBased) = indicators[i];
bool areEqual = (double.IsNaN(direct.Value) && double.IsNaN(eventBased.Value)) ||
Math.Abs(direct.Value - eventBased.Value) < 1e-9;
Assert.True(areEqual, $"Indicator {name} failed: Expected {direct.Value}, Actual {eventBased.Value}");
} }
} }
private static double GetRandomDouble(RandomNumberGenerator rng) private static double GetRandomDouble(RandomNumberGenerator rng)
{ {
byte[] bytes = new byte[8]; byte[] bytes = new byte[8];
rng.GetBytes(bytes); rng.GetBytes(bytes);
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue; return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
} }
} }
Tests/test_iTValue.cs
-2
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@@ -3,8 +3,6 @@ using System.Reflection;
using System.Diagnostics.CodeAnalysis; using System.Diagnostics.CodeAnalysis;
using System.Security.Cryptography; using System.Security.Cryptography;
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
namespace QuanTAlib; namespace QuanTAlib;
public class IndicatorTests public class IndicatorTests
Tests/test_talib.cs
+1 -3
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@@ -3,8 +3,6 @@ using TALib;
using System.Diagnostics.CodeAnalysis; using System.Diagnostics.CodeAnalysis;
using System.Security.Cryptography; using System.Security.Cryptography;
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
namespace QuanTAlib; namespace QuanTAlib;
public class TAlibTests public class TAlibTests
@@ -123,7 +121,7 @@ public class TAlibTests
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); } { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
Core.Wma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period); Core.Wma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(QL.Length, TALIB.Count()); Assert.Equal(QL.Length, TALIB.Count());
for (int i = QL.Length - 1; i > period * 10; i--) for (int i = QL.Length - 1; i > 1000; i--)
{ {
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range); Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
} }
lib/averages/Htit.cs
+1 -1
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@@ -1,5 +1,5 @@
//not working yet //not working yet
//TODO consistency test //TODO fails consistency test
namespace QuanTAlib; namespace QuanTAlib;
lib/averages/Jma.cs
+1 -1
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@@ -1,5 +1,5 @@
namespace QuanTAlib; namespace QuanTAlib;
//TODO consistency test //TODO fails consistency test
public class Jma : AbstractBase public class Jma : AbstractBase
{ {
public readonly int Period; public readonly int Period;
lib/averages/Maaf.cs
+1 -1
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@@ -1,4 +1,4 @@
//TODO: consistency test //TODO: fails consistency test
namespace QuanTAlib; namespace QuanTAlib;
lib/averages/Mgdi.cs
+3 -2
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@@ -22,7 +22,7 @@ public class Mgdi : AbstractBase
Init(); Init();
} }
public Mgdi(object source, int period, double kFactor = 1.0) : this(period, kFactor) public Mgdi(object source, int period, double kFactor = 0.6) : this(period, kFactor)
{ {
var pubEvent = source.GetType().GetEvent("Pub"); var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub)); pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
@@ -58,8 +58,9 @@ public class Mgdi : AbstractBase
} }
else else
{ {
double ratio = _prevMd != 0 ? value / _prevMd : 1;
double md = _prevMd + ((value - _prevMd) / double md = _prevMd + ((value - _prevMd) /
(_kFactor * _period * Math.Pow(value / _prevMd, 4))); (_kFactor * _period * Math.Pow(ratio, 4)));
_prevMd = md; _prevMd = md;
} }