mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-19 02:58:05 +00:00
feat: Add Prime method to various indicators for initializing state with historical data
- Implemented Prime method in Vel, Ao, Apo, Frama, Adl, Adosc, Aobv, Cmf, Efi, Eom, Iii, Kvo, Mfi, Nvi, Obv, Pvd, Pvi, Pvo, Pvr, Pvt, Tvi, Twap, Va, Vf, Vo, Vroc, Vwad, Vwap, and Vwma classes. - The Prime method resets the indicator state and processes the provided historical bar data to initialize the indicator. - Added warmup period property to Adl and Wad classes to define the minimum number of data points required for validity. - Updated benchmark tests to use Batch methods for performance evaluation.
This commit is contained in:
Miha Kralj
@@ -12,6 +12,8 @@ public class Cheby1Tests
|
||||
_gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 1234);
|
||||
}
|
||||
|
||||
// ── Constructor ──────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Constructor_ValidatesParameters()
|
||||
{
|
||||
@@ -21,13 +23,48 @@ public class Cheby1Tests
|
||||
Assert.NotNull(filter);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_NegativeRipple_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentOutOfRangeException>(() => new Cheby1(10, -1.0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_SetsProperties()
|
||||
{
|
||||
var filter = new Cheby1(20, 2.0);
|
||||
Assert.Equal(20, filter.Period);
|
||||
Assert.Equal(2.0, filter.Ripple);
|
||||
Assert.Equal("Cheby1(20,2.0)", filter.Name);
|
||||
Assert.Equal(20, filter.WarmupPeriod);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_DefaultRipple()
|
||||
{
|
||||
var filter = new Cheby1(10);
|
||||
Assert.Equal(1.0, filter.Ripple);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_WithPublisher_Subscribes()
|
||||
{
|
||||
var source = new TSeries();
|
||||
var filter = new Cheby1(source, 10, 1.0);
|
||||
|
||||
source.Add(new TValue(DateTime.UtcNow, 100));
|
||||
Assert.True(double.IsFinite(filter.Last.Value));
|
||||
}
|
||||
|
||||
// ── IsHot ───────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BecomesTrueWhenReady()
|
||||
{
|
||||
var filter = new Cheby1(20, 1.0);
|
||||
Assert.False(filter.IsHot);
|
||||
|
||||
// Feed some data
|
||||
// Feed some data - IsHot becomes true when Count >= 2
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100.0));
|
||||
@@ -36,6 +73,36 @@ public class Cheby1Tests
|
||||
Assert.True(filter.IsHot);
|
||||
}
|
||||
|
||||
// ── Update ──────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Update_ConstantInput_ConvergesToConstant()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
filter.Update(new TValue(DateTime.UtcNow, 42.0));
|
||||
}
|
||||
Assert.Equal(42.0, filter.Last.Value, 1e-4);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_SmoothsNoisySignal()
|
||||
{
|
||||
var filter = new Cheby1(20, 1.0);
|
||||
var gbm = new GBM(seed: 42);
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
filter.Update(new TValue(bar.Time, bar.Close));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(filter.Last.Value));
|
||||
}
|
||||
|
||||
// ── NaN handling ────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Update_HandlesNaNSafely()
|
||||
{
|
||||
@@ -51,6 +118,18 @@ public class Cheby1Tests
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_HandlesInfinitySafely()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100.0));
|
||||
|
||||
var result = filter.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
|
||||
Assert.True(double.IsFinite(result.Value));
|
||||
}
|
||||
|
||||
// ── Bar Correction ──────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void IterativeCorrections_RestoreState()
|
||||
{
|
||||
@@ -77,14 +156,48 @@ public class Cheby1Tests
|
||||
Assert.NotEqual(valAfterNew, valAfterCorrection);
|
||||
|
||||
// 3. Correction back to original value (isNew=false)
|
||||
// Note: For IIR this should theoretically restore state, but due to FP math it might drift slightly
|
||||
// But the previous state property should make it exact if we haven't advanced further
|
||||
filter.Update(new TValue(time.AddSeconds(5), 200.0), isNew: false);
|
||||
double valRestored = filter.Last.Value;
|
||||
|
||||
Assert.Equal(valAfterNew, valRestored, 1e-10);
|
||||
}
|
||||
|
||||
// ── Reset ───────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsState()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100 + i));
|
||||
}
|
||||
Assert.True(filter.IsHot);
|
||||
|
||||
filter.Reset();
|
||||
Assert.False(filter.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_AllowsReuse()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100 + i));
|
||||
}
|
||||
var firstResult = filter.Last.Value;
|
||||
|
||||
filter.Reset();
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100 + i));
|
||||
}
|
||||
Assert.Equal(firstResult, filter.Last.Value, 1e-10);
|
||||
}
|
||||
|
||||
// ── Batch ───────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void SpanBatch_MatchesIterative()
|
||||
{
|
||||
@@ -111,4 +224,122 @@ public class Cheby1Tests
|
||||
Assert.Equal(iterativeResults[i], spanResults[i], 1e-10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_TSeries_Static()
|
||||
{
|
||||
var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var result = Cheby1.Batch(data.Close, 10, 1.0);
|
||||
Assert.Equal(50, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_EmptyTSeries_ReturnsEmpty()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
var result = filter.Update(new TSeries());
|
||||
Assert.Empty(result);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_TSeries_ReturnsCorrectCount()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var result = filter.Update(data.Close);
|
||||
Assert.Equal(50, result.Count);
|
||||
}
|
||||
|
||||
// ── Calculate ───────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsResultsAndIndicator()
|
||||
{
|
||||
var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var (results, indicator) = Cheby1.Calculate(data.Close, 10, 1.0);
|
||||
Assert.Equal(50, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
}
|
||||
|
||||
// ── Prime ───────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Prime_WarmsUpIndicator()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
var values = new double[20];
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
values[i] = 100 + i;
|
||||
}
|
||||
|
||||
filter.Prime(values);
|
||||
Assert.True(filter.IsHot);
|
||||
}
|
||||
|
||||
// ── Dispose ─────────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void Dispose_WithPublisher_Unsubscribes()
|
||||
{
|
||||
var source = new TSeries();
|
||||
var filter = new Cheby1(source, 10, 1.0);
|
||||
source.Add(new TValue(DateTime.UtcNow, 100));
|
||||
|
||||
filter.Dispose();
|
||||
var lastBefore = filter.Last;
|
||||
source.Add(new TValue(DateTime.UtcNow, 200));
|
||||
Assert.Equal(lastBefore, filter.Last);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dispose_WithoutPublisher_DoesNotThrow()
|
||||
{
|
||||
var filter = new Cheby1(10, 1.0);
|
||||
filter.Update(new TValue(DateTime.UtcNow, 100));
|
||||
filter.Dispose();
|
||||
Assert.True(true); // S2699: explicit assertion for dispose-only test
|
||||
}
|
||||
|
||||
// ── Determinism ─────────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void TwoInstances_SameInput_SameOutput()
|
||||
{
|
||||
var f1 = new Cheby1(10, 1.0);
|
||||
var f2 = new Cheby1(10, 1.0);
|
||||
var gbm = new GBM(seed: 42);
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var tv = new TValue(bar.Time, bar.Close);
|
||||
var r1 = f1.Update(tv);
|
||||
var r2 = f2.Update(tv);
|
||||
Assert.Equal(r1.Value, r2.Value);
|
||||
}
|
||||
}
|
||||
|
||||
// ── Filter behavior ─────────────────────────────────────────────────
|
||||
|
||||
[Fact]
|
||||
public void DifferentRipple_ProduceDifferentOutputs()
|
||||
{
|
||||
var lowRipple = new Cheby1(10, 0.5);
|
||||
var highRipple = new Cheby1(10, 3.0);
|
||||
|
||||
var gbm = new GBM(seed: 42);
|
||||
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
double lastLow = 0, lastHigh = 0;
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var tv = new TValue(bar.Time, bar.Close);
|
||||
lastLow = lowRipple.Update(tv).Value;
|
||||
lastHigh = highRipple.Update(tv).Value;
|
||||
}
|
||||
|
||||
// Different ripple parameters should generally produce different outputs
|
||||
Assert.NotEqual(lastLow, lastHigh, 1e-6);
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user