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Add Vortex Indicator implementation and documentation
- Implemented Vortex Indicator in Vortex.cs, including calculation logic and event handling. - Added detailed documentation for Vortex Indicator in Vortex.md, covering historical context, algorithm, outputs, and trading interpretation. - Updated oscillators index to include TTM Wave indicator. - Added TTM Wave documentation with algorithm and trading interpretation. - Updated reversals index to include TTM Scalper Alert indicator. - Added TTM Scalper Alert documentation with algorithm and trading strategy. - Updated NDepend badges to reflect increased code metrics (classes, methods, lines of code, public types, comments, and complexity).
This commit is contained in:
Miha Kralj
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namespace QuanTAlib;
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public class DxTests
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{
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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dx.Update(bars[i]);
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}
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Assert.True(double.IsFinite(dx.Last.Value));
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}
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[Fact]
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public void IsNew_Consistency()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed first 99
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for (int i = 0; i < 99; i++)
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{
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dx.Update(bars[i]);
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}
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// Update with 100th point (isNew=true is default, so omit it)
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dx.Update(bars[99]);
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// Update with modified 100th point (isNew=false)
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var modifiedBar = new TBar(bars[99].Time, bars[99].Open, bars[99].High + 1.0, bars[99].Low - 1.0, bars[99].Close, bars[99].Volume);
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var val2 = dx.Update(modifiedBar, isNew: false);
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// Create new instance and feed up to modified
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var dx2 = new Dx(14);
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for (int i = 0; i < 99; i++)
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{
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dx2.Update(bars[i]);
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}
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var val3 = dx2.Update(modifiedBar);
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Assert.Equal(val3.Value, val2.Value, 1e-9);
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Assert.Equal(dx2.DiPlus.Value, dx.DiPlus.Value, 1e-9);
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Assert.Equal(dx2.DiMinus.Value, dx.DiMinus.Value, 1e-9);
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 50; i++)
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{
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dx.Update(bars[i]);
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}
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var originalValue = dx.Last;
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for (int m = 0; m < 5; m++)
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{
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var modified = new TBar(bars[49].Time, bars[49].Open, bars[49].High + m, bars[49].Low - m, bars[49].Close, bars[49].Volume);
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dx.Update(modified, isNew: false);
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}
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var restored = dx.Update(bars[49], isNew: false);
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Assert.Equal(originalValue.Value, restored.Value, 9);
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}
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[Fact]
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public void Reset_Works()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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dx.Update(bars[i]);
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}
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dx.Reset();
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Assert.Equal(0, dx.Last.Value);
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Assert.False(dx.IsHot);
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// Feed again
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for (int i = 0; i < bars.Count; i++)
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{
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dx.Update(bars[i]);
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}
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Assert.True(double.IsFinite(dx.Last.Value));
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}
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[Fact]
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public void IsHot_BecomesTrueWhenBufferFull()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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Assert.False(dx.IsHot);
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for (int i = 0; i < bars.Count; i++)
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{
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dx.Update(bars[i]);
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if (dx.IsHot)
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{
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break;
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}
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}
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Assert.True(dx.IsHot);
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}
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 40; i++)
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{
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dx.Update(bars[i]);
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}
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var nanBar = new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 100);
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var result = dx.Update(nanBar);
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 40; i++)
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{
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dx.Update(bars[i]);
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}
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var infBar = new TBar(DateTime.UtcNow, double.PositiveInfinity, double.PositiveInfinity, 0, 100, 100);
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var result = dx.Update(infBar);
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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var gbm = new GBM(seed: 123);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// 1. Batch Mode
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var batchResult = Dx.Batch(bars, 14);
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double expected = batchResult.Last.Value;
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// 2. Streaming Mode
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var streamDx = new Dx(14);
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for (int i = 0; i < bars.Count; i++)
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{
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streamDx.Update(bars[i]);
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}
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double streamResult = streamDx.Last.Value;
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Assert.Equal(expected, streamResult, 9);
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}
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[Fact]
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public void TBarSeries_Update_Matches_Streaming()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(dx.Update(bars[i]).Value);
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}
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var dx2 = new Dx(14);
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var seriesResults = dx2.Update(bars);
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Assert.Equal(streamingResults.Count, seriesResults.Count);
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for (int i = 0; i < seriesResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void StaticCalculate_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var dx = new Dx(14);
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(dx.Update(bars[i]).Value);
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}
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var staticResults = Dx.Batch(bars, 14);
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Assert.Equal(streamingResults.Count, staticResults.Count);
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for (int i = 0; i < staticResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void Chainability_Works()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Test TBarSeries chain
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var result = dx.Update(bars);
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Assert.NotNull(result);
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Assert.IsType<TSeries>(result);
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// Test TBar chain (returns TValue)
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var result2 = dx.Update(bars[0]);
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Assert.IsType<TValue>(result2);
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}
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[Fact]
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public void Constructor_InvalidParameters_ThrowsArgumentException()
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{
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Assert.Throws<ArgumentException>(() => new Dx(0));
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Assert.Throws<ArgumentException>(() => new Dx(-1));
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}
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[Fact]
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public void DiPlus_DiMinus_AreValid()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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dx.Update(bars[i]);
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}
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// +DI and -DI should be between 0 and 100
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Assert.InRange(dx.DiPlus.Value, 0, 100);
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Assert.InRange(dx.DiMinus.Value, 0, 100);
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Assert.InRange(dx.Last.Value, 0, 100);
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}
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[Fact]
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public void DX_Range_IsBetween0And100()
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{
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var dx = new Dx(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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var result = dx.Update(bars[i]);
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if (dx.IsHot)
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{
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Assert.InRange(result.Value, 0, 100);
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}
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}
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}
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[Fact]
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public void DefaultPeriod_Is14()
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{
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var dx = new Dx();
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Assert.Equal(14, dx.Period);
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}
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[Fact]
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public void WarmupPeriod_EqualsPeriod()
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{
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var dx = new Dx(20);
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Assert.Equal(20, dx.WarmupPeriod);
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}
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}
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