mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-17 10:08:05 +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
@@ -14,6 +14,8 @@ public class NotchTests
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_gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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}
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// ── Constructor ──────────────────────────────────────────────────────
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[Fact]
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public void Constructor_ValidatesInput()
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{
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@@ -21,6 +23,74 @@ public class NotchTests
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Assert.Throws<ArgumentOutOfRangeException>(() => new Notch(10, -0.5));
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}
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[Fact]
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public void Constructor_Period1_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Notch(1));
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}
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[Fact]
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public void Constructor_ZeroQ_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Notch(10, 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 notch = new Notch(10, 2.0);
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Assert.Equal(10, notch.NotchFreq);
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Assert.Equal(2.0, notch.Bandwidth);
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Assert.Equal("Notch(10,2)", notch.Name);
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Assert.Equal(10, notch.WarmupPeriod);
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}
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[Fact]
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public void Constructor_DefaultQ()
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{
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var notch = new Notch(10);
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Assert.Equal(1.0, notch.Bandwidth);
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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 notch = new Notch(source, 10, 1.0);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(notch.Last.Value));
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}
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// ── IsHot ───────────────────────────────────────────────────────────
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[Fact]
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public void IsHot_BecomesTrueAfterWarmup()
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{
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var notch = new Notch(10, 1.0);
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Assert.False(notch.IsHot);
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for (int i = 0; i < 10; i++)
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{
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notch.Update(new TValue(DateTime.UtcNow, 100));
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}
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Assert.True(notch.IsHot);
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}
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[Fact]
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public void IsHot_FalseBeforeWarmup()
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{
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var notch = new Notch(10, 1.0);
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for (int i = 0; i < 9; i++)
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{
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notch.Update(new TValue(DateTime.UtcNow, 100));
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}
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Assert.False(notch.IsHot);
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}
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// ── Update ──────────────────────────────────────────────────────────
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[Fact]
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public void Calc_ReturnsValue()
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{
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@@ -29,6 +99,159 @@ public class NotchTests
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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_BarCorrection_Works()
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{
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var notch = new Notch(10, 1.0);
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var now = DateTime.UtcNow;
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for (int i = 0; i < 15; i++)
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{
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notch.Update(new TValue(now.AddMinutes(i), 100 + i));
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}
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// New bar
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var result1 = notch.Update(new TValue(now.AddMinutes(15), 200), isNew: true);
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// Correction
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notch.Update(new TValue(now.AddMinutes(15), 150), isNew: false);
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// Restore to original value
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notch.Update(new TValue(now.AddMinutes(15), 200), isNew: false);
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var restored = notch.Last;
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Assert.Equal(result1.Value, restored.Value, 1e-10);
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}
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// ── NaN handling ────────────────────────────────────────────────────
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[Fact]
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public void Update_NaN_UsesLastValid()
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{
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var notch = new Notch(10, 1.0);
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notch.Update(new TValue(DateTime.UtcNow, 100));
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var result = notch.Update(new TValue(DateTime.UtcNow, double.NaN));
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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_Infinity_UsesLastValid()
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{
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var notch = new Notch(10, 1.0);
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notch.Update(new TValue(DateTime.UtcNow, 100));
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var result = notch.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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// ── Reset ───────────────────────────────────────────────────────────
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[Fact]
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public void Reset_ClearsState()
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{
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var notch = new Notch(10, 1.0);
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for (int i = 0; i < 15; i++)
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{
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notch.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.True(notch.IsHot);
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notch.Reset();
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Assert.False(notch.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 notch = new Notch(10, 1.0);
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for (int i = 0; i < 20; i++)
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{
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notch.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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var firstResult = notch.Last.Value;
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notch.Reset();
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for (int i = 0; i < 20; i++)
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{
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notch.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.Equal(firstResult, notch.Last.Value, 1e-10);
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}
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// ── Filter behavior ─────────────────────────────────────────────────
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[Fact]
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public void Notch_Passes_DC()
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{
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// DC input (constant value) should pass through with Gain 1
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var notch = new Notch(period: 10, q: 1.0);
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double input = 100.0;
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double output = 0;
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// Warmup to stabilize (IIR transient)
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for (int i = 0; i < 100; i++)
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{
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output = notch.Update(new TValue(DateTime.UtcNow, input)).Value;
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}
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Assert.Equal(input, output, precision: 6);
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}
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[Fact]
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public void Notch_Attenuates_CenterFrequency()
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{
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// Period 10 means frequency is 1/10 cycles per sample.
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int period = 10;
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double q = 5.0; // High Q for sharp notch
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var notch = new Notch(period, q);
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double omega = 2.0 * Math.PI / period;
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double maxAmp = 0;
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for (int i = 0; i < 200; i++)
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{
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double val = Math.Sin(omega * i); // Input amplitude 1
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double outVal = notch.Update(new TValue(DateTime.UtcNow, val)).Value;
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if (i > 50) // ignore transient
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{
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maxAmp = Math.Max(maxAmp, Math.Abs(outVal));
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}
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}
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// At exact notch frequency, ideal is 0.
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Assert.True(maxAmp < 0.1, $"Amplitude {maxAmp} should be attenuated ( < 0.1 )");
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}
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[Fact]
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public void Notch_PassesNonNotchFrequency()
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{
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// Non-notch frequency should pass through with ~unity gain
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int notchPeriod = 10;
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var notch = new Notch(notchPeriod, 1.0);
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// Use a frequency far from the notch (period 50 instead of 10)
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double omega = 2.0 * Math.PI / 50.0;
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double maxAmp = 0;
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for (int i = 0; i < 300; i++)
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{
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double val = Math.Sin(omega * i);
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double outVal = notch.Update(new TValue(DateTime.UtcNow, val)).Value;
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if (i > 100) // ignore transient
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{
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maxAmp = Math.Max(maxAmp, Math.Abs(outVal));
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}
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}
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// At non-notch frequency, output should be close to input amplitude (1.0)
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Assert.True(maxAmp > 0.7, $"Non-notch amplitude {maxAmp} should be high (> 0.7)");
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}
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// ── Batch ───────────────────────────────────────────────────────────
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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@@ -66,47 +289,110 @@ public class NotchTests
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}
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[Fact]
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public void Notch_Passes_DC()
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public void Batch_TSeries_Static()
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{
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// DC input (constant value) should pass through with Gain 1
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var notch = new Notch(period: 10, q: 1.0);
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double input = 100.0;
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double output = 0;
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// Warmup to stabilize (IIR transient)
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for (int i = 0; i < 100; i++)
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{
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output = notch.Update(new TValue(DateTime.UtcNow, input)).Value;
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}
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Assert.Equal(input, output, precision: 6);
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var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var result = Notch.Batch(data.Close, 10, 1.0);
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Assert.Equal(50, result.Count);
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}
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[Fact]
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public void Notch_Attenuates_CenterFrequency()
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public void Update_EmptyTSeries_ReturnsEmpty()
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{
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// Period 10 means frequency is 1/10 cycles per sample.
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// theta = 2*pi/10
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int period = 10;
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double q = 5.0; // High Q for sharp notch
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var notch = new Notch(period, q);
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var notch = new Notch(10, 1.0);
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var result = notch.Update(new TSeries());
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Assert.Empty(result);
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}
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double omega = 2.0 * Math.PI / period;
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// ── Calculate ───────────────────────────────────────────────────────
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double maxAmp = 0;
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for (int i = 0; i < 200; i++)
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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) = Notch.Calculate(data.Close, 10, 1.0);
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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 notch = new Notch(10, 1.0);
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var values = new double[15];
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for (int i = 0; i < 15; i++)
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{
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double val = Math.Sin(omega * i); // Input amplitude 1
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double outVal = notch.Update(new TValue(DateTime.UtcNow, val)).Value;
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if (i > 50) // ignore transient
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{
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maxAmp = Math.Max(maxAmp, Math.Abs(outVal));
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}
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values[i] = 100 + i;
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}
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// At exact notch frequency, ideal is 0.
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// With Q=5, it should be very small.
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Assert.True(maxAmp < 0.1, $"Amplitude {maxAmp} should be attenuated ( < 0.1 )");
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notch.Prime(values);
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Assert.True(notch.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 notch = new Notch(source, 10, 1.0);
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source.Add(new TValue(DateTime.UtcNow, 100));
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notch.Dispose();
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var lastBefore = notch.Last;
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source.Add(new TValue(DateTime.UtcNow, 200));
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Assert.Equal(lastBefore, notch.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 notch = new Notch(10, 1.0);
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notch.Update(new TValue(DateTime.UtcNow, 100));
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notch.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 n1 = new Notch(10, 1.0);
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var n2 = new Notch(10, 1.0);
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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 = n1.Update(tv);
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var r2 = n2.Update(tv);
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Assert.Equal(r1.Value, r2.Value);
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}
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}
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// ── Q Factor ────────────────────────────────────────────────────────
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[Fact]
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public void DifferentQ_ProduceDifferentOutputs()
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{
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var narrowNotch = new Notch(10, 0.5);
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var wideNotch = new Notch(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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double lastNarrow = 0, lastWide = 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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lastNarrow = narrowNotch.Update(tv).Value;
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lastWide = wideNotch.Update(tv).Value;
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}
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Assert.NotEqual(lastNarrow, lastWide, 1e-6);
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}
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}
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