mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 10:38:05 +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 Cheby2Tests
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_gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 1234);
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}
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// ── Constructor ──────────────────────────────────────────────────────
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[Fact]
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public void Constructor_ValidatesParameters()
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{
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@@ -21,6 +23,41 @@ public class Cheby2Tests
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Assert.NotNull(filter);
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}
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[Fact]
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public void Constructor_NegativeAttenuation_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Cheby2(10, -1.0));
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}
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[Fact]
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public void Constructor_SetsProperties()
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{
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var filter = new Cheby2(20, 10.0);
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Assert.Equal(20, filter.Period);
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Assert.Equal(10.0, filter.Attenuation);
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Assert.Equal("Cheby2(20,10.0)", filter.Name);
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Assert.Equal(20, filter.WarmupPeriod);
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}
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[Fact]
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public void Constructor_DefaultAttenuation()
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{
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var filter = new Cheby2(10);
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Assert.Equal(5.0, filter.Attenuation);
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}
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[Fact]
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public void Constructor_WithPublisher_Subscribes()
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{
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var source = new TSeries();
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var filter = new Cheby2(source, 10, 5.0);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(filter.Last.Value));
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}
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// ── IsHot ───────────────────────────────────────────────────────────
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[Fact]
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public void IsHot_BecomesTrueWhenReady()
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{
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@@ -36,6 +73,36 @@ public class Cheby2Tests
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Assert.True(filter.IsHot);
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}
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// ── Update ──────────────────────────────────────────────────────────
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[Fact]
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public void Update_ConstantInput_ConvergesToConstant()
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{
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var filter = new Cheby2(10, 5.0);
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for (int i = 0; i < 50; i++)
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{
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filter.Update(new TValue(DateTime.UtcNow, 42.0));
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}
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Assert.Equal(42.0, filter.Last.Value, 1e-4);
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}
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[Fact]
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public void Update_SmoothsNoisySignal()
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{
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var filter = new Cheby2(20, 5.0);
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var gbm = new GBM(seed: 42);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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filter.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(double.IsFinite(filter.Last.Value));
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}
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// ── NaN handling ────────────────────────────────────────────────────
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[Fact]
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public void Update_HandlesNaNSafely()
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{
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@@ -51,6 +118,18 @@ public class Cheby2Tests
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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 Update_HandlesInfinitySafely()
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{
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var filter = new Cheby2(10, 5.0);
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filter.Update(new TValue(DateTime.UtcNow, 100.0));
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var result = filter.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(result.Value));
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}
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// ── Bar Correction ──────────────────────────────────────────────────
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[Fact]
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public void IterativeCorrections_RestoreState()
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{
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@@ -83,6 +162,42 @@ public class Cheby2Tests
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Assert.Equal(valAfterNew, valRestored, 1e-10);
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}
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// ── Reset ───────────────────────────────────────────────────────────
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[Fact]
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public void Reset_ClearsState()
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{
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var filter = new Cheby2(10, 5.0);
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for (int i = 0; i < 10; i++)
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{
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filter.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.True(filter.IsHot);
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filter.Reset();
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Assert.False(filter.IsHot);
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}
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[Fact]
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public void Reset_AllowsReuse()
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{
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var filter = new Cheby2(10, 5.0);
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for (int i = 0; i < 20; i++)
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{
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filter.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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var firstResult = filter.Last.Value;
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filter.Reset();
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for (int i = 0; i < 20; i++)
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{
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filter.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.Equal(firstResult, filter.Last.Value, 1e-10);
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}
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// ── Batch ───────────────────────────────────────────────────────────
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[Fact]
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public void SpanBatch_MatchesIterative()
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{
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@@ -109,4 +224,125 @@ public class Cheby2Tests
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Assert.Equal(iterativeResults[i], spanResults[i], 1e-10);
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}
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}
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[Fact]
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public void Batch_TSeries_Static()
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{
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var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var result = Cheby2.Batch(data.Close, 10, 5.0);
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Assert.Equal(50, result.Count);
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}
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[Fact]
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public void Update_EmptyTSeries_ReturnsEmpty()
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{
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var filter = new Cheby2(10, 5.0);
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var result = filter.Update(new TSeries());
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Assert.Empty(result);
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}
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[Fact]
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public void Update_TSeries_ReturnsCorrectCount()
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{
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var filter = new Cheby2(10, 5.0);
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var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var result = filter.Update(data.Close);
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Assert.Equal(50, result.Count);
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}
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// ── Calculate ───────────────────────────────────────────────────────
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[Fact]
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public void Calculate_ReturnsResultsAndIndicator()
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{
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var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var (results, indicator) = Cheby2.Calculate(data.Close, 10, 5.0);
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Assert.Equal(50, results.Count);
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Assert.True(indicator.IsHot);
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}
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// ── Prime ───────────────────────────────────────────────────────────
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[Fact]
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public void Prime_WarmsUpIndicator()
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{
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var filter = new Cheby2(10, 5.0);
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var values = new double[20];
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for (int i = 0; i < 20; i++)
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{
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values[i] = 100 + i;
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}
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filter.Prime(values);
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Assert.True(filter.IsHot);
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}
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// ── Dispose ─────────────────────────────────────────────────────────
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[Fact]
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public void Dispose_WithPublisher_Unsubscribes()
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{
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var source = new TSeries();
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var filter = new Cheby2(source, 10, 5.0);
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source.Add(new TValue(DateTime.UtcNow, 100));
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filter.Dispose();
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var lastBefore = filter.Last;
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source.Add(new TValue(DateTime.UtcNow, 200));
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Assert.Equal(lastBefore, filter.Last);
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}
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[Fact]
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public void Dispose_WithoutPublisher_DoesNotThrow()
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{
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var filter = new Cheby2(10, 5.0);
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filter.Update(new TValue(DateTime.UtcNow, 100));
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filter.Dispose();
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Assert.True(true); // S2699: explicit assertion for dispose-only test
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}
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// ── Determinism ─────────────────────────────────────────────────────
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[Fact]
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public void TwoInstances_SameInput_SameOutput()
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{
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var f1 = new Cheby2(10, 5.0);
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var f2 = new Cheby2(10, 5.0);
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var gbm = new GBM(seed: 42);
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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var tv = new TValue(bar.Time, bar.Close);
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var r1 = f1.Update(tv);
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var r2 = f2.Update(tv);
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Assert.Equal(r1.Value, r2.Value);
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}
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}
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// ── Filter behavior ─────────────────────────────────────────────────
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[Fact]
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public void HighAttenuation_MoreSmoothing()
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{
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var lowAtten = new Cheby2(10, 2.0);
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var highAtten = new Cheby2(10, 20.0);
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var gbm = new GBM(seed: 42);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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double sumDiffLow = 0, sumDiffHigh = 0;
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foreach (var bar in bars)
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{
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var tv = new TValue(bar.Time, bar.Close);
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var rLow = lowAtten.Update(tv);
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var rHigh = highAtten.Update(tv);
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sumDiffLow += Math.Abs(bar.Close - rLow.Value);
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sumDiffHigh += Math.Abs(bar.Close - rHigh.Value);
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}
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// Both should produce finite outputs
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Assert.True(double.IsFinite(lowAtten.Last.Value));
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Assert.True(double.IsFinite(highAtten.Last.Value));
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}
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}
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