feat: Add Blackman Window Moving Average (BLMA) implementation and documentation

2026-08-20 11:38:05 +00:00 · 2025-12-22 22:15:27 -08:00
parent 7b1e0c738d
commit 57aaec1ac8
14 changed files with 755 additions and 215 deletions
@@ -1,131 +0,0 @@
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using Xunit;
-using QuanTAlib;
-
-namespace QuanTAlib.Tests;
-
-public class AdxOoplesReproTests
-{
-    [Fact]
-    public void CalculateTrueRange_SimplifiedLogic()
-    {
-        var gbm = new GBM();
-        var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
-        var trList = new List<double>();
-        double prevClose = 0;
-
-        for (int i = 0; i < bars.Count; i++)
-        {
-            double currentHigh = bars[i].High;
-            double currentLow = bars[i].Low;
-            double currentClose = bars[i].Close;
-
-            // CalculateTrueRange
-            // Ooples logic: prevClose is 0 for the first bar
-            // TR = Max(H-L, |H-prevClose|, |L-prevClose|)
-            // Simplified: Since prevClose is 0 at i=0, the formula works for all i.
-            double tr = Math.Max(currentHigh - currentLow, Math.Max(Math.Abs(currentHigh - prevClose), Math.Abs(currentLow - prevClose)));
-            
-            trList.Add(Math.Round(tr, 4));
-            prevClose = currentClose;
-        }
-        
-        Assert.NotEmpty(trList);
-        Assert.Equal(bars.Count, trList.Count);
-    }
-
-    [Fact]
-    public void Ooples_WWMA_Initialization_Causes_Deviation()
-    {
-        // This test reproduces the Ooples WWMA logic provided by the user
-        // and demonstrates why it deviates from standard RMA (Wilder's Smoothing).
-        
-        int length = 14;
-        var input = new List<double>();
-        for (int i = 0; i < 100; i++) input.Add(100.0); // Constant input for clarity
-
-        // 1. Ooples Implementation (from user feedback)
-        var ooplesWwma = new List<double>();
-        double k = 1.0 / length;
-        double prevWwma = 0; // Ooples initializes with 0 (LastOrDefault on empty list)
-
-        for (int i = 0; i < input.Count; i++)
-        {
-            double currentValue = input[i];
-            // Ooples logic: wwma = (currentValue * k) + (prevWwma * (1 - k))
-            double wwma = (currentValue * k) + (prevWwma * (1.0 - k));
-            ooplesWwma.Add(wwma);
-            prevWwma = wwma;
-        }
-
-        // 2. Standard RMA (QuanTAlib/TA-Lib)
-        // Standard RMA usually initializes with SMA of first N periods
-        var rma = new Rma(length);
-        var standardRma = new List<double>();
-        for (int i = 0; i < input.Count; i++)
-        {
-            standardRma.Add(rma.Update(new TValue(DateTime.UtcNow, input[i])).Value);
-        }
-
-        // Verification
-        // At index 0:
-        // Ooples: (100 * 1/14) + (0 * 13/14) = 7.14
-        // Standard: 0 (or 100 if initialized with value, or SMA after N periods)
-        // QuanTAlib RMA returns 0 until period N, then SMA, then RMA.
-        
-        // Let's check the value at index 50 (well past warmup)
-        // Ooples should be slowly converging to 100 from 0.
-        // Standard should be 100.
-        
-        double ooplesVal = ooplesWwma[50];
-        double standardVal = standardRma[50];
-
-        // Ooples value will be significantly less than 100 because it started at 0
-        // and decays very slowly (alpha = 1/14).
-        Assert.True(ooplesVal < 99.0, $"Ooples value {ooplesVal} should be significantly lower than input 100 due to 0-initialization");
-        Assert.Equal(100.0, standardVal, 0.001); // Standard RMA of constant 100 is 100
-        
-        // This confirms why ADX (which uses RMA) is significantly different.
-    }
-
-    [Fact]
-    public void Ooples_WWMA_Converges_With_Enough_Bars()
-    {
-        // Verify if Ooples WWMA eventually converges to the correct value
-        int length = 14;
-        int bars = 5000; // Try with a large number of bars
-        var input = new List<double>();
-        for (int i = 0; i < bars; i++) input.Add(100.0);
-
-        // Ooples Implementation
-        var ooplesWwma = new List<double>();
-        double k = 1.0 / length;
-        double prevWwma = 0;
-
-        for (int i = 0; i < input.Count; i++)
-        {
-            double currentValue = input[i];
-            double wwma = (currentValue * k) + (prevWwma * (1.0 - k));
-            ooplesWwma.Add(wwma);
-            prevWwma = wwma;
-        }
-
-        // Check convergence at the end
-        double finalValue = ooplesWwma.Last();
-        double expectedValue = 100.0;
-        
-        // After 5000 bars, the error should be negligible
-        // Error decay is (13/14)^5000 which is effectively 0
-        Assert.Equal(expectedValue, finalValue, 0.0001);
-        
-        // Check how long it takes to get within 1% (value > 99.0)
-        int barsToConverge = ooplesWwma.FindIndex(x => x > 99.0);
-        Assert.True(barsToConverge > 0);
-        // It takes significant time to recover from 0-initialization
-        // Formula: 100 * (1 - (13/14)^n) > 99 => (13/14)^n < 0.01
-        // n > log(0.01) / log(13/14) ≈ -4.6 / -0.032 ≈ 143 bars
-        Assert.InRange(barsToConverge, 60, 150); 
-    }
-}