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Fixed ATR and ATRP, improved SMA

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This commit is contained in:
Miha Kralj
2023-01-03 17:55:41 -08:00
parent 83e5d89cbb
commit 5d72f9d3ae
8 changed files with 135 additions and 129 deletions
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Tests/Validations/Trends/Pandas_TA.cs
+3 -1
View File
@@ -1,3 +1,4 @@
/*
using Xunit;
using System;
using QuanTAlib;
@@ -402,4 +403,5 @@ public class PandasTA : IDisposable
}
}
}
}
*/
Tests/Validations/Trends/Skender.cs
+36 -35
View File
@@ -16,7 +16,7 @@ public class Skender
{
bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
period = rnd.Next(30) + 5;
digits = 5; //minimizing rounding errors in type conversions
digits = 6; //minimizing rounding errors in type conversions
skip = period+2;
quotes = bars.Select(q => new Quote
@@ -206,20 +206,21 @@ public class Skender
{
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; i--)
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 > 250; i--)
for (int i = QL.Length; i > skip+2; i--)
{
double QL_item = QL[i - 1].v;
double SK_item = SK.ElementAt(i - 1);
@@ -269,8 +270,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -281,11 +282,11 @@ public class Skender
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits);
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 = Math.Round(QL.Fama[i - 1].v, digits: digits);
SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: 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));
}
}
@@ -296,8 +297,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -308,8 +309,8 @@ public class Skender
var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -319,9 +320,9 @@ public class Skender
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 = Math.Round(QL.Last().v, digits: digits);
double QL_item = QL.Last().v;
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits);
double SK_item = SK.Last()! + (double)quotes.First().Volume!;
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
}
}
@@ -368,8 +369,8 @@ public class Skender
var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -380,8 +381,8 @@ public class Skender
var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -392,8 +393,8 @@ public class Skender
var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -404,8 +405,8 @@ public class Skender
var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -416,8 +417,8 @@ public class Skender
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 = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -426,8 +427,8 @@ public class Skender
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 = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -438,8 +439,8 @@ public class Skender
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -450,8 +451,8 @@ public class Skender
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -462,8 +463,8 @@ public class Skender
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
for (int i = QL.Length; i > skip*2; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
@@ -474,8 +475,8 @@ public class Skender
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
for (int i = QL.Length; i > skip; i--)
{
double QL_item = Math.Round(QL[i - 1].v, digits: digits);
double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits);
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));
}
}
Tests/Validations/Trends/TA_LIB.cs
+3 -1
View File
@@ -74,7 +74,7 @@ public class Ta_Lib
{
ATR_Series QL = new(bars, period, false);
Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
for (int i = QL.Length - 1; i > skip * 15; i--)
for (int i = QL.Length - 1; i > skip; i--)
{
double QL_item = Math.Round(QL[i].v, digits: digits);
double TA_item = Math.Round(TALIB[i - outBegIdx], digits: digits);
@@ -114,6 +114,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CMO() {
CMO_Series QL = new(bars.Close, period, false);
@@ -124,6 +125,7 @@ public class Ta_Lib
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CORR()
{
Tests/Validations/Trends/Tulip.cs
+6 -2
View File
@@ -20,8 +20,8 @@ public class Tulip_Test
{
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
period = rnd.Next(28) + 3;
skip = period+1;
digits = 10;
skip = period+5;
digits = 8;
outdata = new double[bars.Count];
inopen = bars.Open.v.ToArray();
@@ -124,6 +124,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void CMO() {
double[][] arrin = { inclose };
@@ -214,6 +215,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void HMA() {
double[][] arrin = { inclose };
@@ -226,6 +228,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void KAMA() {
double[][] arrin = { inclose };
@@ -238,6 +241,7 @@ public class Tulip_Test
Assert.InRange(TU_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
}
}
[Fact]
public void LINREG() {
double[][] arrin = { inclose };