mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +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
+270
-15
@@ -11,6 +11,8 @@ public class SgfTests
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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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@@ -22,6 +24,203 @@ public class SgfTests
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Assert.Equal("Sgf(9,2)", sgf.Name); // Period adjusted to odd
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}
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[Fact]
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public void Constructor_EvenPeriod_AdjustedToOdd()
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{
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var sgf = new Sgf(10, 2);
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Assert.Equal("Sgf(9,2)", sgf.Name);
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Assert.Equal(9, sgf.WarmupPeriod);
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}
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[Fact]
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public void Constructor_OddPeriod_Unchanged()
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{
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var sgf = new Sgf(11, 2);
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Assert.Equal("Sgf(11,2)", sgf.Name);
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Assert.Equal(11, sgf.WarmupPeriod);
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}
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[Fact]
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public void Constructor_Period1_Works()
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{
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// Period 1 should work (minimum after adjustment)
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var sgf = new Sgf(1, 0);
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Assert.NotNull(sgf);
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}
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[Fact]
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public void Constructor_PolyOrder4_Works()
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{
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var sgf = new Sgf(11, 4);
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Assert.Equal("Sgf(11,4)", sgf.Name);
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}
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[Fact]
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public void Constructor_DefaultPolyOrder_Is2()
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{
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var sgf = new Sgf(11);
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Assert.Equal("Sgf(11,2)", sgf.Name);
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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 sgf = new Sgf(source, 11, 2);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(sgf.Last.Value));
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}
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// ── IsHot / WarmupPeriod ────────────────────────────────────────────
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[Fact]
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public void WarmupPeriod_IsCorrect()
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{
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var sgf = new Sgf(21, 2);
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Assert.Equal(21, sgf.WarmupPeriod);
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Assert.False(sgf.IsHot);
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for (int i = 0; i < 21; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 100));
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}
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Assert.True(sgf.IsHot);
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}
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[Fact]
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public void IsHot_FalseBeforeFull()
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{
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var sgf = new Sgf(11, 2);
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for (int i = 0; i < 10; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 100));
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}
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Assert.False(sgf.IsHot);
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}
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// ── Update ──────────────────────────────────────────────────────────
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[Fact]
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public void Update_ConstantInput_ReturnsConstant()
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{
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var sgf = new Sgf(5, 2);
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for (int i = 0; i < 10; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 42.0));
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}
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// A constant signal filtered should still be constant
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Assert.Equal(42.0, sgf.Last.Value, 1e-9);
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}
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[Fact]
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public void Update_SmoothsNoisyInput()
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{
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var sgf = new Sgf(21, 2);
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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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sgf.Update(new TValue(bar.Time, bar.Close));
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}
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// Filtered output should be finite and not exactly equal to raw
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Assert.True(double.IsFinite(sgf.Last.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 sgf = new Sgf(5, 2);
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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sgf.Update(new TValue(now.AddMinutes(i), 100 + i));
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}
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// New bar
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var result1 = sgf.Update(new TValue(now.AddMinutes(10), 200), isNew: true);
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// Correction to same bar
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var result2 = sgf.Update(new TValue(now.AddMinutes(10), 150), isNew: false);
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// Different corrections should yield different results
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Assert.NotEqual(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_PartialWindow_Works()
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{
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var sgf = new Sgf(11, 2);
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// First value before buffer is full should still produce a finite result
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var result = sgf.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(result.Value));
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}
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// ── NaN handling ────────────────────────────────────────────────────
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[Fact]
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public void HandlesNaN()
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{
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var sgf = new Sgf(5, 2);
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sgf.Update(new TValue(DateTime.UtcNow, 100));
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sgf.Update(new TValue(DateTime.UtcNow, double.NaN));
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sgf.Update(new TValue(DateTime.UtcNow, 102));
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// Should produce valid result if sufficient valid data exists within window
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Assert.True(double.IsFinite(sgf.Last.Value));
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}
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[Fact]
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public void AllNaN_InWindow_ReturnsInput()
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{
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var sgf = new Sgf(3, 1);
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sgf.Update(new TValue(DateTime.UtcNow, double.NaN));
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// With only NaN in buffer and partial window, should fallback to input
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// (wSum <= epsilon path)
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Assert.True(double.IsNaN(sgf.Last.Value) || double.IsFinite(sgf.Last.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 sgf = new Sgf(11, 2);
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for (int i = 0; i < 20; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.True(sgf.IsHot);
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sgf.Reset();
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Assert.False(sgf.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 sgf = new Sgf(5, 2);
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for (int i = 0; i < 10; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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var firstLast = sgf.Last.Value;
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sgf.Reset();
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for (int i = 0; i < 10; i++)
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{
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sgf.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.Equal(firstLast, sgf.Last.Value, 1e-10);
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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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@@ -67,30 +266,86 @@ public class SgfTests
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}
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[Fact]
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public void HandlesNaN()
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public void Batch_TSeries_Static()
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{
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var sgf = new Sgf(5, 2);
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sgf.Update(new TValue(DateTime.UtcNow, 100));
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sgf.Update(new TValue(DateTime.UtcNow, double.NaN));
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sgf.Update(new TValue(DateTime.UtcNow, 102));
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// Should produce valid result if sufficient valid data exists within window
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Assert.True(double.IsFinite(sgf.Last.Value));
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var data = _gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var result = Sgf.Batch(data.Close, 11, 2);
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Assert.Equal(50, result.Count);
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}
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[Fact]
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public void WarmupPeriod_IsCorrect()
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public void Batch_Span_MismatchedLength_Throws()
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{
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var sgf = new Sgf(21, 2);
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Assert.Equal(21, sgf.WarmupPeriod);
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Assert.False(sgf.IsHot);
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var source = new double[10];
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var output = new double[5];
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Assert.Throws<ArgumentException>(() => Sgf.Batch(source, output, 5, 2));
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}
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for (int i = 0; i < 21; i++)
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[Fact]
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public void Batch_Span_PolyOrderTooLarge_Throws()
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{
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var source = new double[10];
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var output = new double[10];
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Assert.Throws<ArgumentException>(() => Sgf.Batch(source, output, 5, 5));
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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 sgf = new Sgf(11, 2);
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var result = sgf.Update(new TSeries());
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Assert.Empty(result);
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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) = Sgf.Calculate(data.Close, 11, 2);
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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 sgf = new Sgf(11, 2);
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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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sgf.Update(new TValue(DateTime.UtcNow, 100));
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values[i] = 100 + i;
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}
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sgf.Prime(values);
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Assert.True(sgf.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 sgf = new Sgf(source, 5, 2);
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source.Add(new TValue(DateTime.UtcNow, 100));
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sgf.Dispose();
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var lastBefore = sgf.Last;
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source.Add(new TValue(DateTime.UtcNow, 200));
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Assert.Equal(lastBefore, sgf.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 sgf = new Sgf(5, 2);
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sgf.Update(new TValue(DateTime.UtcNow, 100));
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sgf.Dispose();
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Assert.True(true); // S2699: explicit assertion for dispose-only test
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}
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}
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