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tests cleaned-up

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Miha Kralj
2022-12-21 16:23:47 -08:00
parent 242c7fac9c
commit 552eb2cf0c
4 changed files with 199 additions and 831 deletions
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Tests/Validations/Skender_Stock.cs
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@@ -1,318 +0,0 @@
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
using Xunit;
namespace Validations;
public class Skender_Stock
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly IEnumerable<Quote> quotes;
public Skender_Stock()
{
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
period = rnd.Next(28) + 3;
quotes = bars.Select(
q => new Quote
{
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
});
}
[Fact]
public void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSma(period);
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetEma(period);
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetWma(period);
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetDema(period);
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTema(period);
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MAD()
{
MAD_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MSE()
{
MSE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MAPE()
{
MAPE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void COVAR()
{
COVAR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Covariance!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void CORR()
{
CORR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OBV()
{
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period);
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
Math.Round(QL.Last().v, 5));
}
[Fact]
public void ADL()
{
ADL_Series QL = new(bars, false);
var SK = quotes.GetAdl();
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
}
[Fact]
public void CCI()
{
CCI_Series QL = new(bars, period, false);
var SK = quotes.GetCci(period);
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ATRP()
{
ATRP_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void KAMA()
{
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period);
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HMA()
{
HMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetHma(period);
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void SMMA()
{
SMMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSmma(period);
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MACD()
{
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
var SK = quotes.GetMacd(12, 26, 9);
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
}
[Fact]
public void BBANDS()
{
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
var SK = quotes.GetBollingerBands(period, 2.0);
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
}
[Fact]
public void RSI()
{
RSI_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetRsi(period);
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ALMA()
{
ALMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetAlma(period);
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void SDEV()
{
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void LINREG()
{
LINREG_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSlope(period);
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
}
[Fact]
public void TR()
{
TR_Series QL = new(bars, useNaN: false);
var SK = quotes.GetTr();
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HL2()
{
TSeries QL = bars.HL2;
var SK = quotes.GetBaseQuote(CandlePart.HL2);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OC2()
{
TSeries QL = bars.OC2;
var SK = quotes.GetBaseQuote(CandlePart.OC2);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3;
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OHL3()
{
TSeries QL = bars.OHL3;
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4;
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
}
Tests/Validations/TA_LIB.cs
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using Xunit;
using System;
using TALib;
using QuanTAlib;
namespace Validations;
public class TA_LIB
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly double[] TALIB;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
public TA_LIB()
{
bars = new(5000);
period = rnd.Next(28) + 3;
TALIB = new double[bars.Count];
inopen = bars.Open.v.ToArray();
inhigh = bars.High.v.ToArray();
inlow = bars.Low.v.ToArray();
inclose = bars.Close.v.ToArray();
involume = bars.Volume.v.ToArray();
}
/////////////////////////////////////////
[Fact]
public void ADD()
{
ADD_Series QL = new(bars.Open, bars.Close);
Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void SUB()
{
SUB_Series QL = new(bars.Open, bars.Close);
Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MUL()
{
MUL_Series QL = new(bars.Open, bars.Close);
Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void DIV()
{
DIV_Series QL = new(bars.Open, bars.Close);
Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void CORR()
{
CORR_Series QL = new(bars.Open, bars.Close, period);
Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void SDEV()
{
SDEV_Series QL = new(bars.Close, period, false);
Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void SUM()
{
SUM_Series QL = new(bars.Close, period, false);
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MIDPRICE()
{
MIDPRICE_Series QL = new(bars, period, false);
Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void VAR()
{
VAR_Series QL = new(bars.Close, period, false);
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 4, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 4));
}
[Fact]
public void MIDPOINT()
{
MIDPOINT_Series QL = new(bars.Close, period, false);
Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void TRIMA()
{
TRIMA_Series QL = new(bars.Close, period, false);
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MAX()
{
MAX_Series QL = new(bars.Close, period, false);
Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MIN()
{
MIN_Series QL = new(bars.Close, period, false);
Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void ADL()
{
ADL_Series QL = new(bars, false);
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void OBV()
{
OBV_Series QL = new(bars, period, false);
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void ADOSC()
{
ADOSC_Series QL = new(bars, false);
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period, false);
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void CCI()
{
CCI_Series QL = new(bars, period, false);
Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void RSI()
{
RSI_Series QL = new(bars.Close, period, false);
Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void TR()
{
TR_Series QL = new(bars, false);
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void MACD()
{
double[] macdSignal = new double[bars.Count];
double[] macdHist = new double[bars.Count];
MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
Assert.Equal(Math.Round(macdSignal[macdSignal.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Signal.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void BBANDS()
{
double[] outMiddle = new double[bars.Count];
double[] outUpper = new double[bars.Count];
double[] outLower = new double[bars.Count];
BBANDS_Series QL = new(bars.Close, period: 26, multiplier: 2.0, false);
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: 26, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
Assert.Equal(Math.Round(outUpper[outUpper.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Upper.Last().v, 6, MidpointRounding.AwayFromZero));
Assert.Equal(Math.Round(outMiddle[outMiddle.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Mid.Last().v, 6, MidpointRounding.AwayFromZero));
Assert.Equal(Math.Round(outLower[outLower.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Lower.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void HL2()
{
TSeries QL = bars.HL2;
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3;
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4;
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
[Fact]
public void HLCC4()
{
TSeries QL = bars.HLCC4;
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
Assert.Equal(Math.Round(TALIB[TALIB.Length - outBegIdx - 1], 6, MidpointRounding.AwayFromZero), Math.Round(QL.Last().v, 6, MidpointRounding.AwayFromZero));
}
}
Tests/Validations/Trends/Skender.cs
+2
View File
@@ -448,6 +448,7 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
/*
[Fact]
public void WMA()
{
@@ -460,6 +461,7 @@ public class Skender
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
*/
[Fact]
public void ZSCORE()
{
Tests/Validations/Trends/Tulip.cs
+197 -195
View File
@@ -1,195 +1,197 @@
using Xunit;
using System;
using Tulip;
using QuanTAlib;
namespace Validations;
public class Tulip_Test
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, digits, skip;
private readonly double[] outdata;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
public Tulip_Test()
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = 200;
digits = 10;
outdata = new double[bars.Count];
inopen = bars.Open.v.ToArray();
inhigh = bars.High.v.ToArray();
inlow = bars.Low.v.ToArray();
inclose = bars.Close.v.ToArray()!;
involume = bars.Volume.v.ToArray()!;
}
[Fact]
public void ADL()
{
double[][] arrin = {inhigh, inlow, inclose, involume };
double[][] arrout = { outdata };
ADL_Series QL = new(bars, false);
Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADD()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
ADD_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADOSC()
{
double[][] arrin = { inhigh, inlow, inclose, involume };
double[][] arrout = { outdata };
int s = 3;
ADOSC_Series QL = new(bars, s, period, false);
Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ATR()
{
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
ATR_Series QL = new(bars, period, false);
Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void BBANDS()
{
double[][] arrin = { inclose };
double[] outmid = new double[bars.Count];
double[] outlower = new double[bars.Count];
double[] outupper = new double[bars.Count];
double[][] arrout = { outlower, outmid, outupper};
BBANDS_Series QL = new(bars.Close, period, 2, false);
Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
double TU_item = Math.Round(outlower[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Mid[i].v, digits: digits);
TU_item = Math.Round(outmid[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Upper[i].v, digits: digits);
TU_item = Math.Round(outupper[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void DEMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false);
Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void EMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
EMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void AVGPRICE()
{
double[][] arrin = { inopen, inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.OHLC4;
Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
SMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void HMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
HMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period-1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}*/
[Fact]
public void CMO() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
CMO_Series QL = new(bars.Close, period, useNaN: false);
Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
}
using Xunit;
using System;
using Tulip;
using QuanTAlib;
namespace Validations;
public class Tulip_Test
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, digits, skip;
private readonly double[] outdata;
private readonly double[] inopen;
private readonly double[] inhigh;
private readonly double[] inlow;
private readonly double[] inclose;
private readonly double[] involume;
public Tulip_Test()
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = 200;
digits = 10;
outdata = new double[bars.Count];
inopen = bars.Open.v.ToArray();
inhigh = bars.High.v.ToArray();
inlow = bars.Low.v.ToArray();
inclose = bars.Close.v.ToArray()!;
involume = bars.Volume.v.ToArray()!;
}
[Fact]
public void ADL()
{
double[][] arrin = {inhigh, inlow, inclose, involume };
double[][] arrout = { outdata };
ADL_Series QL = new(bars, false);
Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADD()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
ADD_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.add.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADOSC()
{
double[][] arrin = { inhigh, inlow, inclose, involume };
double[][] arrout = { outdata };
int s = 3;
ADOSC_Series QL = new(bars, s, period, false);
Tulip.Indicators.adosc.Run(inputs: arrin, options: new double[] { s, period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ATR()
{
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
ATR_Series QL = new(bars, period, false);
Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void BBANDS()
{
double[][] arrin = { inclose };
double[] outmid = new double[bars.Count];
double[] outlower = new double[bars.Count];
double[] outupper = new double[bars.Count];
double[][] arrout = { outlower, outmid, outupper};
BBANDS_Series QL = new(bars.Close, period, 2, false);
Tulip.Indicators.bbands.Run(inputs: arrin, options: new double[] { period, 2 }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL.Lower[i].v, digits: digits);
double TU_item = Math.Round(outlower[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Mid[i].v, digits: digits);
TU_item = Math.Round(outmid[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = Math.Round(QL.Upper[i].v, digits: digits);
TU_item = Math.Round(outupper[i - period + 1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void DEMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DEMA_Series QL = new(bars.Close, period, useNaN: false, useSMA: false);
Tulip.Indicators.dema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-(period+period-2)], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[Fact]
public void EMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
EMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.ema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void AVGPRICE()
{
double[][] arrin = { inopen, inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.OHLC4;
Tulip.Indicators.avgprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
SMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.sma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period+1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void HMA() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
HMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period-1], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}*/
[Fact]
public void CMO() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
CMO_Series QL = new(bars.Close, period, useNaN: false);
Tulip.Indicators.cmo.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = Math.Round(QL[i].v, digits: digits);
double TU_item = Math.Round(arrout[0][i-period], digits);
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
}