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).
2026-08-16 17:48:05 +00:00 · 2026-02-06 07:43:40 -08:00
parent 26280ce80b
commit 58f0812584
37 changed files with 4314 additions and 91 deletions
@@ -0,0 +1,169 @@
+using Skender.Stock.Indicators;
+using QuanTAlib.Tests;
+
+namespace QuanTAlib;
+
+public sealed class VortexValidationTests : IDisposable
+{
+    private readonly ValidationTestData _data;
+
+    public VortexValidationTests()
+    {
+        _data = new ValidationTestData();
+    }
+
+    public void Dispose()
+    {
+        _data.Dispose();
+    }
+
+    [Fact]
+    public void MatchesSkender()
+    {
+        var vortex = new Vortex(14);
+        var viPlusResults = new List<double>();
+        var viMinusResults = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex.Update(_data.Bars[i]);
+            viPlusResults.Add(vortex.ViPlus.Value);
+            viMinusResults.Add(vortex.ViMinus.Value);
+        }
+
+        var skenderResults = _data.SkenderQuotes.GetVortex(14).ToList();
+
+        // Verify VI+
+        ValidationHelper.VerifyData(viPlusResults, skenderResults, x => x.Pvi);
+
+        // Verify VI-
+        ValidationHelper.VerifyData(viMinusResults, skenderResults, x => x.Nvi);
+    }
+
+    [Fact]
+    public void MatchesSkender_Period21()
+    {
+        var vortex = new Vortex(21);
+        var viPlusResults = new List<double>();
+        var viMinusResults = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex.Update(_data.Bars[i]);
+            viPlusResults.Add(vortex.ViPlus.Value);
+            viMinusResults.Add(vortex.ViMinus.Value);
+        }
+
+        var skenderResults = _data.SkenderQuotes.GetVortex(21).ToList();
+
+        // Verify VI+
+        ValidationHelper.VerifyData(viPlusResults, skenderResults, x => x.Pvi);
+
+        // Verify VI-
+        ValidationHelper.VerifyData(viMinusResults, skenderResults, x => x.Nvi);
+    }
+
+    [Fact]
+    public void MatchesSkender_ShortPeriod()
+    {
+        var vortex = new Vortex(7);
+        var viPlusResults = new List<double>();
+        var viMinusResults = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex.Update(_data.Bars[i]);
+            viPlusResults.Add(vortex.ViPlus.Value);
+            viMinusResults.Add(vortex.ViMinus.Value);
+        }
+
+        var skenderResults = _data.SkenderQuotes.GetVortex(7).ToList();
+
+        // Verify VI+
+        ValidationHelper.VerifyData(viPlusResults, skenderResults, x => x.Pvi);
+
+        // Verify VI-
+        ValidationHelper.VerifyData(viMinusResults, skenderResults, x => x.Nvi);
+    }
+
+    [Fact]
+    public void MatchesSkender_LongPeriod()
+    {
+        var vortex = new Vortex(28);
+        var viPlusResults = new List<double>();
+        var viMinusResults = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex.Update(_data.Bars[i]);
+            viPlusResults.Add(vortex.ViPlus.Value);
+            viMinusResults.Add(vortex.ViMinus.Value);
+        }
+
+        var skenderResults = _data.SkenderQuotes.GetVortex(28).ToList();
+
+        // Verify VI+
+        ValidationHelper.VerifyData(viPlusResults, skenderResults, x => x.Pvi);
+
+        // Verify VI-
+        ValidationHelper.VerifyData(viMinusResults, skenderResults, x => x.Nvi);
+    }
+
+    [Fact]
+    public void BatchMatchesSkender()
+    {
+        // Batch returns VI+ as the primary output (TSeries)
+        var batchViPlus = Vortex.Batch(_data.Bars, 14);
+
+        var skenderResults = _data.SkenderQuotes.GetVortex(14).ToList();
+
+        // Verify batch VI+ matches Skender VI+
+        var viPlusResults = batchViPlus.Select(x => x.Value).ToList();
+        ValidationHelper.VerifyData(viPlusResults, skenderResults, x => x.Pvi);
+
+        // For VI-, use streaming since Batch only returns VI+
+        var vortex = new Vortex(14);
+        var viMinusResults = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex.Update(_data.Bars[i]);
+            viMinusResults.Add(vortex.ViMinus.Value);
+        }
+
+        // Verify VI- from streaming matches Skender
+        ValidationHelper.VerifyData(viMinusResults, skenderResults, x => x.Nvi);
+    }
+
+    [Fact]
+    public void ConsistentAcrossMultipleRuns()
+    {
+        var vortex1 = new Vortex(14);
+        var vortex2 = new Vortex(14);
+
+        var results1Plus = new List<double>();
+        var results1Minus = new List<double>();
+        var results2Plus = new List<double>();
+        var results2Minus = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex1.Update(_data.Bars[i]);
+            results1Plus.Add(vortex1.ViPlus.Value);
+            results1Minus.Add(vortex1.ViMinus.Value);
+        }
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            vortex2.Update(_data.Bars[i]);
+            results2Plus.Add(vortex2.ViPlus.Value);
+            results2Minus.Add(vortex2.ViMinus.Value);
+        }
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            Assert.Equal(results1Plus[i], results2Plus[i], 1e-10);
+            Assert.Equal(results1Minus[i], results2Minus[i], 1e-10);
+        }
+    }
+}