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This commit is contained in:
Miha Kralj
2024-09-23 22:08:40 -07:00
parent 846429eccf
commit 58d72c06ca
244 changed files with 621 additions and 14397 deletions
Download Patch File Download Diff File Expand all files Collapse all files
archive/Tests/Basic tests/Indicators.cs
-156
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@@ -1,156 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Basics;
#nullable disable
public class Indicators
{
private static Type[] maSeriesTypes = new Type[]
{
typeof(SMA_Series),
typeof(EMA_Series),
typeof(DEMA_Series),
typeof(TEMA_Series),
typeof(WMA_Series),
typeof(ALMA_Series),
typeof(DWMA_Series),
typeof(FWMA_Series),
typeof(HMA_Series),
typeof(ZLEMA_Series),
typeof(RMA_Series),
typeof(HEMA_Series),
typeof(JMA_Series),
typeof(CUSUM_Series),
typeof(SMMA_Series),
typeof(T3_Series),
typeof(KAMA_Series),
typeof(TRIMA_Series),
typeof(MAMA_Series),
typeof(HWMA_Series),
};
[Theory]
[MemberData(nameof(MASeriesData))]
public void Name_exists(Type classType)
{
TSeries data = new("Data") { 1, 2, 3 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
Assert.NotEmpty(MA_Series.Name);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Series_Length(Type classType)
{
GBM_Feed feed = new(1000);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
Assert.Equal(1000, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Return_data(Type classType)
{
TSeries data = new() { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
var result = MA_Series.Add(20);
Assert.Equal(result.v, MA_Series.Last.v);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Update(Type classType)
{
TSeries data = new() { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
var pre_update = MA_Series.Last.v;
double pre_data = data.Last.v;
data.Add(20, true);
data.Add(pre_data, true);
Assert.Equal(pre_update, MA_Series.Last.v);
Assert.Equal(data.Count, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Period_zero(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 0, false) as TSeries;
Assert.Equal(data.Count, MA_Series.Count);
Assert.False(double.IsNaN(MA_Series.Last.v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Reset(Type classType)
{
GBM_Feed feed = new(10);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 10, false) as TSeries;
MA_Series.Reset();
data.Add(0);
Assert.Equal(data.Last.v, MA_Series.Last.v);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Period_one(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 1, false) as TSeries;
Assert.InRange(MA_Series.Last.v - data.Last.v, -10e-6, 10e-6);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void NaN_test(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.True(double.IsNaN(MA_Series[0].v));
Assert.True(double.IsNaN(MA_Series[8].v));
Assert.False(double.IsNaN(MA_Series[9].v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Edge_numbers(Type classType)
{
TSeries data = new() { double.Epsilon, double.PositiveInfinity, double.MaxValue, double.NegativeInfinity };
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.Equal(4, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void handling_NaN(Type classType)
{
TSeries data = new("Name") { 1, 2, 3, 4, 5, 6, double.NaN, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20 };
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.False(double.IsNaN(MA_Series.Last.v));
}
public static IEnumerable<object[]> MASeriesData()
{
foreach (var type in maSeriesTypes)
{
yield return new object[] { type };
}
}
}
#nullable restore
archive/Tests/Basic tests/Oscillators.cs
-161
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@@ -1,161 +0,0 @@
using Xunit;
using System;
using System.Runtime.InteropServices;
using QuanTAlib;
namespace Basics;
#nullable disable
public class Oscillators
{
private static Type[] maSeriesTypes = new[]
{
typeof(BIAS_Series),
typeof(MAX_Series),
typeof(MIN_Series),
typeof(MIDPOINT_Series),
typeof(ZL_Series),
typeof(DECAY_Series),
typeof(ENTROPY_Series),
typeof(KURTOSIS_Series),
typeof(MAD_Series),
typeof(MAPE_Series),
typeof(MAE_Series),
typeof(MSE_Series),
typeof(SDEV_Series),
typeof(SMAPE_Series),
typeof(WMAPE_Series),
typeof(SSDEV_Series),
typeof(VAR_Series),
typeof(SVAR_Series),
typeof(MEDIAN_Series),
typeof(ZSCORE_Series),
typeof(CMO_Series),
typeof(RSI_Series),
typeof(TRIX_Series),
typeof(BBANDS_Series),
};
[Theory]
[MemberData(nameof(MASeriesData))]
public void Name_exists(Type classType)
{
TSeries data = new("Data") { 1, 2, 3 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
Assert.NotEmpty(MA_Series.Name);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Series_Length(Type classType)
{
GBM_Feed feed = new(1000);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
Assert.Equal(1000, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Return_data(Type classType)
{
TSeries data = new() { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
var result = MA_Series.Add(20);
Assert.Equal(result.v, MA_Series.Last.v);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Update(Type classType)
{
TSeries data = new() { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
var MA_Series = Activator.CreateInstance(classType, data, 5, false) as TSeries;
var pre_update = MA_Series.Last.v;
double pre_data = data.Last.v;
data.Add(20, true);
data.Add(pre_data, true);
Assert.Equal(pre_update, MA_Series.Last.v);
Assert.Equal(data.Count, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Period_zero(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 0, false) as TSeries;
Assert.Equal(data.Count, MA_Series.Count);
Assert.False(double.IsNaN(MA_Series.Last.v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Reset(Type classType)
{
GBM_Feed feed = new(10);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 10, false) as TSeries;
MA_Series.Reset();
data.Add(1);
Assert.False(double.IsNaN(MA_Series.Last.v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Period_one(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 1, false) as TSeries;
Assert.False(double.IsNaN(MA_Series[^1].v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void NaN_test(Type classType)
{
GBM_Feed feed = new(100);
TSeries data = feed.OHLC4;
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.True(double.IsNaN(MA_Series[0].v));
Assert.True(double.IsNaN(MA_Series[8].v));
Assert.False(double.IsNaN(MA_Series[9].v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Edge_numbers(Type classType)
{
TSeries data = new() { double.Epsilon, double.PositiveInfinity, double.MaxValue, double.NegativeInfinity };
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.Equal(4, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void handling_NaN(Type classType)
{
TSeries data = new("Name") { 1, 2, 3, 4, 5, 6, double.NaN, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20 };
var MA_Series = Activator.CreateInstance(classType, data, 10, true) as TSeries;
Assert.False(double.IsNaN(MA_Series.Last.v));
}
public static IEnumerable<object[]> MASeriesData()
{
foreach (var type in maSeriesTypes)
{
yield return new object[] { type };
}
}
}
#nullable restore
archive/Tests/Basic tests/TBars_input.cs
-97
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@@ -1,97 +0,0 @@
using Xunit;
using System;
using System.Runtime.InteropServices;
using QuanTAlib;
namespace Basics;
#nullable disable
public class TBars
{
private static Type[] maSeriesTypes = new Type[]
{
typeof(ATR_Series),
typeof(ATRP_Series),
typeof(TR_Series),
typeof(ADL_Series),
typeof(CCI_Series),
typeof(OBV_Series),
typeof(ADOSC_Series),
typeof(MIDPRICE_Series),
};
[Theory]
[MemberData(nameof(MASeriesData))]
public void Name_exists(Type classType)
{
GBM_Feed data = new(10);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
Assert.NotEmpty(MA_Series.Name);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Series_Length(Type classType)
{
GBM_Feed data = new(1000);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
Assert.Equal(1000, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Return_data(Type classType)
{
GBM_Feed data = new(10);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
var result = MA_Series.Add((DateTime.Today, 1, 2, 3, 4, 5));
Assert.Equal(result.v, MA_Series.Last.v);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Update(Type classType)
{
GBM_Feed data = new(10);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
var pre_update = MA_Series.Last;
var pre_data = data.Last;
data.Add((DateTime.Today, 1, 2, 3, 4, 5), true);
data.Add(pre_data, true);
Assert.Equal(pre_update.v, MA_Series.Last.v);
Assert.Equal(data.Count, MA_Series.Count);
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Reset(Type classType)
{
GBM_Feed data = new(10);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
MA_Series.Reset();
data.Add();
Assert.False(double.IsNaN(MA_Series.Last.v));
}
[Theory]
[MemberData(nameof(MASeriesData))]
public void Period_default(Type classType)
{
GBM_Feed data = new(100);
var MA_Series = Activator.CreateInstance(classType, data) as TSeries;
Assert.False(double.IsNaN(MA_Series.Last.v));
}
public static IEnumerable<object[]> MASeriesData()
{
foreach (var type in maSeriesTypes)
{
yield return new object[] { type };
}
}
}
#nullable restore
archive/Tests/Pairs/ADD_Test.cs
-64
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@@ -1,64 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class ADD_Test
{
[Fact]
public void ADDSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void ADDSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(a, 10.0);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
ADD_Series c = new(10.0, a);
Assert.Equal(15, c.Last().v);
}
[Fact]
public void ADDEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(2);
b.Add(2);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void ADDUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
ADD_Series c = new(a, b);
a.Add(0, true);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void ADDUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
ADD_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(20, c.Last().v);
}
}
archive/Tests/Pairs/DIV_Test.cs
-64
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@@ -1,64 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class DIV_Test
{
[Fact]
public void DIVSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
TSeries b = new() { 5, 4, 3, 2, 1, 3 };
DIV_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
DIV_Series c = new(a, 0);
Assert.Equal(double.PositiveInfinity, c.Last().v);
}
[Fact]
public void DIVDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 3.0 };
DIV_Series c = new(12.0, a);
Assert.Equal(4.0, c.Last().v);
}
[Fact]
public void DIVEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
DIV_Series c = new(a, b);
a.Add(12.0);
b.Add(2);
Assert.Equal(6.0, c.Last().v);
}
[Fact]
public void DIVUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 2;
DIV_Series c = new(a, b);
a.Add(10, true);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void DIVUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
DIV_Series c = new(a, b);
a.Add(10, true);
b.Add(2, true);
Assert.Equal(5, c.Last().v);
}
}
archive/Tests/Pairs/MUL_Test.cs
-64
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@@ -1,64 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class MUL_Test
{
[Fact]
public void MULSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
MUL_Series c = new(a, b);
Assert.Equal(5, c.Last().v);
}
[Fact]
public void MULSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(a, 10.0);
Assert.Equal(50, c.Last().v);
}
[Fact]
public void MULDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
MUL_Series c = new(5.0, a);
Assert.Equal(25, c.Last().v);
}
[Fact]
public void MULEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(2);
b.Add(5);
Assert.Equal(10, c.Last().v);
}
[Fact]
public void MULUpdateDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
double b = 10;
MUL_Series c = new(a, b);
a.Add(2, true);
Assert.Equal(20, c.Last().v);
}
[Fact]
public void MULUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
MUL_Series c = new(a, b);
a.Add(10, true);
b.Add(10, true);
Assert.Equal(100, c.Last().v);
}
}
archive/Tests/Pairs/SUB_Test.cs
-64
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@@ -1,64 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Pairs;
public class SUB_Test
{
[Fact]
public void SUBSeriesSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
Assert.Equal(4, c.Last().v);
}
[Fact]
public void SUBSeriesDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(a, 10.0);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBDoubleSeries_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15.0 };
SUB_Series c = new(10.0, a);
Assert.Equal(-5.0, c.Last().v);
}
[Fact]
public void SUBEventing_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 0 };
SUB_Series c = new(a, b);
a.Add(7.0);
b.Add(2);
Assert.Equal(5.0, c.Last().v);
}
[Fact]
public void SUBUpdatewDouble_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 15 };
double b = 10;
SUB_Series c = new(a, b);
a.Add(1, true);
Assert.Equal(-9, c.Last().v);
}
[Fact]
public void SUBUpdating_Test()
{
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
TSeries b = new() { 5, 4, 3, 2, 1, 1 };
SUB_Series c = new(a, b);
a.Add(10, true);
b.Add(0, true);
Assert.Equal(10, c.Last().v);
}
}
archive/Tests/Pairs/TBars_Test.cs
-112
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@@ -1,112 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
namespace Bars;
public class TBars_Test
{
[Fact]
public void InsertingTuple()
{
TBars s = new() { (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue, c: Double.NegativeInfinity, v: Double.PositiveInfinity) };
var tup = (t: DateTime.Today, o: double.Epsilon, h: double.NaN, l: Double.MaxValue,
c: Double.NegativeInfinity, v: Double.PositiveInfinity);
Assert.Equal(tup, s[^1]);
}
[Fact]
public void Casting_Parameters()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false }
};
Assert.Equal(0.1, s[^1].o);
Assert.Equal(1.1, s[^1].h);
Assert.Equal(2.1, s[^1].l);
Assert.Equal(3.1, s[^1].c);
Assert.Equal(4.1, s[^1].v);
Assert.Equal(DateTime.Today, s[^1].t);
Assert.Single(s);
}
[Fact]
public void Updating_Value()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 }
};
s.Add(DateTime.Today, 1.0, 1.0, 1.0, 1.0, 1.0, update: false);
s.Add(DateTime.Today, 0.0, 0.0, 0.0, 0.0, 0.0, update: true);
Assert.Equal(0.0, s[^1].o);
Assert.Equal(0.0, s[^1].h);
Assert.Equal(0.0, s[^1].l);
Assert.Equal(0.0, s[^1].c);
Assert.Equal(0.0, s[^1].v);
Assert.Equal(2, s.Count);
}
[Fact]
public void Extracting_TSeries()
{
TBars s = new()
{
{ DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1 },
{ DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1 }
};
TSeries t = s.Open;
Assert.Equal(t.t, s.Open.t);
Assert.Equal(t.v, s.Open.v);
t = s.High;
Assert.Equal(t.t, s.High.t);
Assert.Equal(t.v, s.High.v);
t = s.Low;
Assert.Equal(t.t, s.Low.t);
Assert.Equal(t.v, s.Low.v);
t = s.Close;
Assert.Equal(t.t, s.Close.t);
Assert.Equal(t.v, s.Close.v);
t = s.Volume;
Assert.Equal(t.t, s.Volume.t);
Assert.Equal(t.v, s.Volume.v);
t = s.HL2;
Assert.Equal(t.t, s.HL2.t);
Assert.Equal(t.v, s.HL2.v);
t = s.OC2;
Assert.Equal(t.t, s.OC2.t);
Assert.Equal(t.v, s.OC2.v);
t = s.OHL3;
Assert.Equal(t.t, s.OHL3.t);
Assert.Equal(t.v, s.OHL3.v);
t = s.HLC3;
Assert.Equal(t.t, s.HLC3.t);
Assert.Equal(t.v, s.HLC3.v);
t = s.OHLC4;
Assert.Equal(t.t, s.OHLC4.t);
Assert.Equal(t.v, s.OHLC4.v);
t = s.HLCC4;
Assert.Equal(t.t, s.HLCC4.t);
Assert.Equal(t.v, s.HLCC4.v);
}
[Fact]
public void Broadcasting_Events()
{
TBars s = new() { (DateTime.Today, 2.1, 3.1, 4.1, 5.1, 6.1) };
TSeries t = new();
s.Close.Pub += t.Sub;
s.Add(DateTime.Today, 0.1, 1.1, 2.1, 3.1, 4.1, false);
Assert.Equal(s.Close.v, t.v);
Assert.Equal(s.Close.Count, t.Count);
}
}
archive/Tests/Tests.csproj
-45
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@@ -1,45 +0,0 @@
<Project Sdk="Microsoft.NET.Sdk">
<PropertyGroup>
<TargetFrameworks>net7.0</TargetFrameworks>
<LangVersion>preview</LangVersion>
<ImplicitUsings>enable</ImplicitUsings>
<Nullable>enable</Nullable>
<IsPackable>false</IsPackable>
<Platforms>AnyCPU;x64</Platforms>
<AssemblyVersion>0.2.1.0</AssemblyVersion>
<FileVersion>0.2.1.0</FileVersion>
<InformationalVersion>0.2.1-dev.2+Branch.dev.Sha.cb5fe2dc86a78fe9358da810d17952c82299ed3d</InformationalVersion>
<Version>0.2.1-dev.2</Version>
<NoWarn>$(NoWarn);NETSDK1057</NoWarn>
<SuppressNETCoreSdkPreviewMessage>true</SuppressNETCoreSdkPreviewMessage>
</PropertyGroup>
<ItemGroup>
<PackageReference Include="coverlet.collector" Version="3.2.0">
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
<PrivateAssets>all</PrivateAssets>
</PackageReference>
<PackageReference Include="pythonnet" Version="3.0.1" />
<PackageReference Include="xunit" Version="2.4.2" />
<PackageReference Include="xunit.runner.visualstudio" Version="2.4.5">
<IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
<PrivateAssets>all</PrivateAssets>
</PackageReference>
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.6.0-preview-20230223-05" />
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
<PackageReference Include="Skender.Stock.Indicators" Version="3.0.0-preview1014-0015" />
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
<PackageReference Include="System.Text.Json" Version="8.0.0-preview.3.23174.8" />
</ItemGroup>
<ItemGroup>
<ProjectReference Include="..\Calculations\Calculations.csproj" />
</ItemGroup>
<ItemGroup>
<None Remove="Python.Included" />
<None Remove="pythonnet" />
<None Remove="Tulip.NETCore" />
<None Remove="System.Text.Json" />
</ItemGroup>
<ItemGroup>
<Folder Include="Statistics\" />
</ItemGroup>
</Project>
archive/Tests/Validations/Trends/Pandas_TA.cs
-484
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@@ -1,484 +0,0 @@
using Xunit;
using System;
using QuanTAlib;
using System.Runtime.InteropServices;
using System.Runtime.InteropServices.Marshalling;
using Python.Runtime;
namespace Validations;
public class PandasTA : IDisposable
{
private bool disposed = false;
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, skip;
private readonly int digits;
private readonly dynamic np;
private readonly dynamic ta;
private readonly dynamic pd;
private readonly dynamic df;
public PandasTA()
{
bars = new GBM_Feed(5000, 0.8, 0.0);
period = rnd.Next(28) + 3;
skip = period + 50;
digits = 8;
var pythonDLL = PythonLibrary.Locate();
Runtime.PythonDLL = pythonDLL;
PythonEngine.Initialize();
np = Py.Import("numpy");
pd = Py.Import("pandas");
ta = Py.Import("pandas_ta");
string[] cols = { "open", "high", "low", "close", "volume" };
var ary = new double[bars.Count, 5];
for (var i = 0; i < bars.Count; i++)
{
ary[i, 0] = bars.Open[i].v;
ary[i, 1] = bars.High[i].v;
ary[i, 2] = bars.Low[i].v;
ary[i, 3] = bars.Close[i].v;
ary[i, 4] = bars.Volume[i].v;
}
df = ta.DataFrame(data: np.array(ary), index: np.array(bars.Close.t), columns: np.array(cols));
}
public void Dispose()
{
Dispose(true);
PythonEngine.Shutdown();
GC.SuppressFinalize(this);
}
~PandasTA()
{
Dispose(false);
}
protected virtual void Dispose(bool disposing)
{
if (!disposed)
{
disposed = true;
}
}
[Fact]
private void ADL()
{
ADL_Series QL = new(bars);
var pta = df.ta.ad(high: df.high, low: df.low, close: df.close, volume: df.volume);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void BBANDS()
{
BBANDS_Series QL = new(bars.Close, period);
var pta = df.ta.bbands(close: df.close, length: period).to_numpy();
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL.Lower[i].v;
var PanTA_item = (double)pta[i][0]; //lower
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Mid[i].v;
PanTA_item = (double)pta[i][1]; //mid
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Upper[i].v;
PanTA_item = (double)pta[i][2]; //upper
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void BIAS()
{
BIAS_Series QL = new(bars.Close, period, false);
var pta = df.ta.bias(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void CCI()
{
CCI_Series QL = new(bars, period, false);
var pta = df.ta.cci(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.dema(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.ema(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void ENTROPY()
{
ENTROPY_Series QL = new(bars.Close, period, false);
var pta = df.ta.entropy(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void HL2()
{
var pta = df.ta.hl2(high: df.high, low: df.low);
for (var i = bars.HL2.Length - 1; i > skip; i--)
{
var QL_item = bars.HL2[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void HLC3()
{
var pta = df.ta.hlc3(high: df.high, low: df.low, close: df.close);
for (var i = bars.HLC3.Length; i > skip; i--)
{
var QL_item = bars.HLC3[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void HMA()
{
HMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.hma(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void KURTOSIS()
{
KURTOSIS_Series QL = new(bars.Close, period, false);
var pta = df.ta.kurtosis(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void MACD()
{
MACD_Series QL = new(bars.Close, 26, 12, 9, false);
var pta = df.ta.macd(close: df.close).to_numpy();
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1][0];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Signal[i - 1].v;
PanTA_item = (double)pta[i - 1][2];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void MAD()
{
MAD_Series QL = new(bars.Close, period, false);
var pta = df.ta.mad(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void MEDIAN()
{
MEDIAN_Series QL = new(bars.Close, period);
var pta = df.ta.median(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void OBV()
{
OBV_Series QL = new(bars);
var pta = df.ta.obv(close: df.close, volume: df.volume);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void OHLC4()
{
var pta = df.ta.ohlc4(open: df.open, high: df.high, low: df.low, close: df.close);
for (var i = bars.OHLC4.Length; i > skip; i--)
{
var QL_item = bars.OHLC4[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void SDEV()
{
SDEV_Series QL = new(bars.Close, period, false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 0);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.sma(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void SSDEV()
{
SSDEV_Series QL = new(bars.Close, period, false);
var pta = df.ta.stdev(close: df.close, length: period, ddof: 1);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void SVARIANCE()
{
SVAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof: 1);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.tema(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void TR()
{
TR_Series QL = new(bars);
var pta = df.ta.true_range(high: df.high, low: df.low, close: df.close);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void TRIMA()
{
// TODO: return length to variable length (period) when Pandas-TA fixes trima to calculate even periods right
TRIMA_Series QL = new(bars.Close, 11);
var pta = df.ta.trima(close: df.close, length: 11);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void VARIANCE()
{
VAR_Series QL = new(bars.Close, period);
var pta = df.ta.variance(close: df.close, length: period, ddof: 0);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
var pta = df.ta.wma(close: df.close, length: period);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
private void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, false);
var pta = df.ta.zscore(close: df.close, length: period, ddof: 0);
for (var i = QL.Length - 1; i > skip; i--)
{
var QL_item = QL[i - 1].v;
var PanTA_item = (double)pta[i - 1];
Assert.InRange(PanTA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
}
public static class PythonLibrary
{
public static string Locate()
{
if (RuntimeInformation.IsOSPlatform(OSPlatform.Windows))
{
string[] paths = Environment.GetEnvironmentVariable("PATH")?.Split(';') ?? Array.Empty<string>();
foreach (string path in paths)
{
string[] pythonDLLs = Directory.GetFiles(path, "python3*.dll");
if (pythonDLLs.Length > 0)
{
foreach (string item in pythonDLLs)
{
if (!item.EndsWith("python3.dll", StringComparison.OrdinalIgnoreCase))
{
return item;
}
}
}
}
throw new FileNotFoundException("Python library not found in PATH");
}
else if (RuntimeInformation.IsOSPlatform(OSPlatform.Linux))
{
return "/usr/lib/x86_64-linux-gnu/libpython3.10.so";
/*
List<string> pythonLibraries = new List<string>();
List<string> directoriesToSearch = new List<string> { "/home/runner/.local/lib" }; // Add more directories as needed
string filePattern = "libpython3.*.so";
SearchFiles(directoriesToSearch, filePattern, pythonLibraries);
if (pythonLibraries.Count > 0) {
return pythonLibraries[0];
}
else {
throw new FileNotFoundException("Python library not found");
}
*/
}
else if (RuntimeInformation.IsOSPlatform(OSPlatform.OSX))
{
throw new NotSupportedException("Not supported yet");
}
else { throw new NotSupportedException("Unsupported operating system"); }
}
static void SearchFiles(List<string> directoriesToSearch, string filePattern, List<string> foundFiles)
{
foreach (string directory in directoriesToSearch)
{
if (Directory.Exists(directory))
{
try
{
string[] files = Directory.GetFiles(directory, filePattern, SearchOption.AllDirectories);
foundFiles.AddRange(files);
}
catch (Exception e)
{
Console.WriteLine("Error searching in directory: " + directory + " - " + e.Message);
}
}
}
}
}
archive/Tests/Validations/Trends/Skender.cs
-489
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@@ -1,489 +0,0 @@
using System;
using QuanTAlib;
using Skender.Stock.Indicators;
using Xunit;
namespace Validations;
public class Skender
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, digits, skip;
private readonly IEnumerable<Quote> quotes;
public Skender()
{
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
period = rnd.Next(30) + 5;
digits = 6; //minimizing rounding errors in type conversions
skip = period + 2;
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 ADL()
{
ADL_Series QL = new(bars);
var SK = quotes.GetAdl().Select(i => i.Adl);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1)!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
*/
[Fact]
public void ALMA()
{
ALMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period: period, useNaN: false);
var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void ATRP()
{
ATRP_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void BBANDS()
{
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
var SK = quotes.GetBollingerBands(period, 2.0);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL.Mid[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Sma!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Upper[i - 1].v;
SK_item = SK.ElementAt(i - 1).UpperBand!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Lower[i - 1].v;
SK_item = SK.ElementAt(i - 1).LowerBand!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Bandwidth[i - 1].v;
SK_item = SK.ElementAt(i - 1).Width!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.PercentB[i - 1].v;
SK_item = SK.ElementAt(i - 1).PercentB!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Zscore[i - 1].v;
SK_item = SK.ElementAt(i - 1).ZScore!.Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void CCI()
{
CCI_Series QL = new(bars, period, false);
var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void CMO()
{
CMO_Series QL = new(bars.Close, period, false);
var SK = quotes.GetCmo(period).Select(i => i.Cmo.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[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).Select(i => i.Correlation.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[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).Select(i => i.Covariance.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false, useSMA: true);
var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void HL2()
{
TSeries QL = bars.HL2;
var SK = quotes.GetBaseQuote(CandlePart.HL2).ToList();
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3;
var SK = quotes.GetBaseQuote(CandlePart.HLC3).ToList();
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void HMA()
{
HMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!);
for (int i = QL.Length; i > skip * 2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void KAMA()
{
// TODO: check precision of KAMA()
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
for (int i = QL.Length; i > skip + 2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void SLOPE()
{
SLOPE_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSlope(period);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = (double)SK.ElementAt(i - 1).Slope!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Intercept[i - 1].v;
SK_item = (double)SK.ElementAt(i - 1).Intercept!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.RSquared[i - 1].v;
SK_item = (double)SK.ElementAt(i - 1).RSquared!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.StdDev[i - 1].v;
SK_item = (double)SK.ElementAt(i - 1).StdDev!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void MACD()
{
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
var SK = quotes.GetMacd(12, 26, 9);
for (int i = QL.Length; i > 27; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Macd.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
//QL_item = QL.Signal[i - 1].v;
//SK_item = SK.ElementAt(i - 1).Signal.Null2NaN()!;
//Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
[Fact]
public void MAD()
{
MAD_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void MAMA()
{
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
QL_item = QL.Fama[i - 1].v;
SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void MAPE()
{
MAPE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void MSE()
{
MSE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void OBV()
{
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period).Select(i => i.Obv!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL.Last().v;
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
double SK_item = SK.Last()! + (double)quotes.First().Volume!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void OC2()
{
TSeries QL = bars.OC2;
var SK = quotes.GetBaseQuote(CandlePart.OC2).ToList();
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void OHL3()
{
TSeries QL = bars.OHL3;
var SK = quotes.GetBaseQuote(CandlePart.OHL3).ToList();
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4;
var SK = quotes.GetBaseQuote(CandlePart.OHLC4).ToList();
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1).Value;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void RSI()
{
RSI_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void SDEV()
{
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void SMMA()
{
SMMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void T3()
{
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false);
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
for (int i = QL.Length; i > period * 15; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void TRIX()
{
TRIX_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
for (int i = QL.Length; i > period * 12; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void TR()
{
TR_Series QL = new(bars);
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
for (int i = QL.Length; i > skip * 2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
[Fact]
public void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
}
}
}
archive/Tests/Validations/Trends/TA_LIB.cs
-487
View File
@@ -1,487 +0,0 @@
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, digits, skip;
private readonly double[] TALIB;
private readonly double[] TALIB2;
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(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = period + 2;
digits = 9;
TALIB = new double[bars.Count];
TALIB2 = 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 _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADL()
{
ADL_Series QL = new(bars);
Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > 0; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ADOSC()
{
ADOSC_Series QL = new(bars, 3, 10, false);
Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip * 2; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period: period, useNaN: false);
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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: period, multiplier: 2.0, false);
Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: period, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL.Upper[i].v;
double TA_item = outUpper[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
QL_item = QL.Mid[i].v;
TA_item = outMiddle[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
QL_item = QL.Lower[i].v;
TA_item = outLower[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/* CMO in TA-LIB is not valid
[Fact]
public void CMO() {
CMO_Series QL = new(bars.Close, period, false);
Core.Cmo(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
*/
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false, useSMA: false);
Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > period * 10; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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 _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HL2()
{
TSeries QL = bars.HL2;
Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3;
Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLCC4()
{
TSeries QL = bars.HLCC4;
Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void KAMA()
{
KAMA_Series QL = new(bars.Close, period, fast: 2, slow: 30);
Core.Kama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period);
for (int i = QL.Length - 1; i > skip * 15; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
// TA-LIB runs EMA without SMA, leaving first 100 values for convergence
Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _, optInFastPeriod: 12, optInSlowPeriod: 26, optInSignalPeriod: 9);
for (int i = QL.Length - 1; i > 100; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Signal[i].v;
TA_item = macdSignal[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void MAMA()
{
MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
for (int i = QL.Length - 1; i > skip * 10; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits-1), Math.Exp(-digits-1));
}
}
*/
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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 _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OBV()
{
OBV_Series QL = new(bars, period, false);
Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4;
Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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 _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SUM()
{
CUSUM_Series QL = new(bars.Close, period, false);
Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void T3()
{
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
Core.T3(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period, optInVFactor: 0.7);
for (int i = QL.Length - 1; i > period * 10; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip * 15; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TR()
{
TR_Series QL = new(bars);
Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TRIX()
{
TRIX_Series QL = new(bars.Close, period, useNaN: false, useSMA: true);
Core.Trix(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > period * 10; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip * 15; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[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);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TA_item = TALIB[i - outBegIdx];
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
}
archive/Tests/Validations/Trends/Tulip.cs
-578
View File
@@ -1,578 +0,0 @@
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 = period + 5;
digits = 8;
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);
Tulip.Indicators.ad.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
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 = QL[i].v;
double TU_item = arrout[0][i];
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 = QL[i].v;
double TU_item = arrout[0][i - period + 1];
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: period, useNaN: false);
Tulip.Indicators.atr.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
//Tulip ATR doesn't use warm-up SMA, compensating with 200 warming bars
for (int i = QL.Length - 1; i > 200 + skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
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 = QL.Lower[i].v;
double TU_item = outlower[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Mid[i].v;
TU_item = outmid[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
QL_item = QL.Upper[i].v;
TU_item = outupper[i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void CCI() {
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
CCI_Series QL = new(bars, period, useNaN: false);
Tulip.Indicators.cci.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--) {
double QL_item = QL[i].v;
double TU_item = outdata[i - period + 1];
Assert.Equal(QL_item,TU_item);
//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 = QL[i].v;
double TU_item = arrout[0][i - period];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void DECAY()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DECAY_Series QL = new(bars.Close, period, useNaN: false);
Tulip.Indicators.decay.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip + 200; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
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 + 200; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - (period + period - 2)];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void DIV()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
DIV_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.div.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void EDECAY()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
DECAY_Series QL = new(bars.Close, period, exponential: true, useNaN: false);
Tulip.Indicators.edecay.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip + 200; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void EMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
// Tulip EMA doesn't use SMA to warm-up
EMA_Series QL = new(bars.Close, period, false, useSMA: 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 = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HL2()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
TSeries QL = bars.HL2;
Tulip.Indicators.medprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLC3()
{
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.HLC3;
Tulip.Indicators.typprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HLCC4()
{
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
TSeries QL = bars.HLCC4;
Tulip.Indicators.wcprice.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HMA()
{
int p = 10;
double[][] arrin = { inclose };
double[][] arrout = { outdata };
HMA_Series QL = new(bars.Close, p, false);
Tulip.Indicators.hma.Run(inputs: arrin, options: new double[] { p }, outputs: arrout);
for (int i = QL.Length - 1; i > skip + 2; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - p - 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits - 2), Math.Exp(-digits - 2));
}
}
[Fact]
public void KAMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
KAMA_Series QL = new(bars.Close, period);
Tulip.Indicators.kama.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > 250; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void LINREG()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
SLOPE_Series QL = new(bars.Close, period);
Tulip.Indicators.linregslope.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MACD()
{
double[] outsignal = new double[bars.Count];
double[] outhist = new double[bars.Count];
double[][] arrin = { inclose };
double[][] arrout = { outdata, outsignal, outhist };
MACD_Series QL = new(bars.Close, slow: 26, fast: 10, signal: 9);
Tulip.Indicators.macd.Run(inputs: arrin, options: new double[] { 10, 26, 9 }, outputs: arrout);
for (int i = QL.Length - 1; i > 150; i--)
{
double QL_item = QL[i].v;
double TU_item = outdata[i - 26 + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MAX()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
MAX_Series QL = new(bars.Close, period, false);
Tulip.Indicators.max.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MIN()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
MIN_Series QL = new(bars.Close, period, false);
Tulip.Indicators.min.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void MUL()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
MUL_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.mul.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OBV()
{
double[][] arrin = { inclose, involume };
double[][] arrout = { outdata };
OBV_Series QL = new(bars, period, false);
Tulip.Indicators.obv.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i] + arrin[1][0];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void OHLC4()
{
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 = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void RMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
RMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.wilders.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void RSI()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
RSI_Series QL = new(bars.Close, period, false);
Tulip.Indicators.rsi.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period];
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 = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SDEV()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
SDEV_Series QL = new(bars.Close, period, false);
Tulip.Indicators.stddev.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SUB()
{
double[][] arrin = { inhigh, inlow };
double[][] arrout = { outdata };
SUB_Series QL = new(bars.High, bars.Low);
Tulip.Indicators.sub.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void SUM()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
CUSUM_Series QL = new(bars.Close, period, false);
Tulip.Indicators.sum.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TR()
{
double[][] arrin = { inhigh, inlow, inclose };
double[][] arrout = { outdata };
TR_Series QL = new(bars);
Tulip.Indicators.tr.Run(inputs: arrin, options: new double[] { }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TEMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TEMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.tema.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip + 200; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - (period - 1) * 3];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void TRIMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TRIMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.trima.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
/*
[Fact]
public void TRIX() {
double[][] arrin = { inclose };
double[][] arrout = { outdata };
TRIX_Series QL = new(bars.Close, period);
Tulip.Indicators.trix.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > period+200; i--) {
double QL_item = QL[i].v;
double TU_item = arrout[0][i - (period*3) + 2];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits+2), Math.Exp(-digits+2));
}
}
*/
[Fact]
public void VAR()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
VAR_Series QL = new(bars.Close, period, false);
Tulip.Indicators.var.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void WMA()
{
double[][] arrin = { inclose };
double[][] arrout = { outdata };
WMA_Series QL = new(bars.Close, period, false);
Tulip.Indicators.wma.Run(inputs: arrin, options: new double[] { period }, outputs: arrout);
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = QL[i].v;
double TU_item = arrout[0][i - period + 1];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void ZLEMA()
{
int p = 4;
double[][] arrin = { inclose };
double[][] arrout = { outdata };
ZLEMA_Series QL = new(bars.Close, p, false);
Tulip.Indicators.zlema.Run(inputs: arrin, options: new double[] { p }, outputs: arrout);
for (int i = QL.Length - 1; i > skip + 20; i--)
{
double QL_item = QL[i].v;
double TU_item = outdata[i];
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits - 2), Math.Exp(-digits - 2));
}
}
}
archive/Tests/requirements.txt
-6
View File
@@ -1,6 +0,0 @@
pytz
six
python-dateutil
numpy
pandas
pandas-ta