mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 08:38:04 +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
@@ -242,6 +242,25 @@ public sealed class Frama : ITValuePublisher, IDisposable
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void Handle(object? sender, in TValueEventArgs args) => Update(args.Value, args.IsNew);
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/// <summary>
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/// Initializes the indicator state using the provided bar series history.
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/// </summary>
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/// <param name="source">Historical bar data.</param>
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public void Prime(TBarSeries source)
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{
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Reset();
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if (source.Count == 0)
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{
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return;
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}
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for (int i = 0; i < source.Count; i++)
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{
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Update(source[i], isNew: true);
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}
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}
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public static void Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low, int period, Span<double> output)
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{
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if (high.Length != low.Length || high.Length != output.Length)
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@@ -392,4 +411,4 @@ public sealed class Frama : ITValuePublisher, IDisposable
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_disposed = true;
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}
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}
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}
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}
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@@ -3,6 +3,109 @@ namespace QuanTAlib.Tests;
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public class MgdiTests
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{
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private readonly GBM _gbm;
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public MgdiTests()
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{
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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_SetsDefaults()
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{
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var mgdi = new Mgdi();
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Assert.Equal("Mgdi(14,0.6)", mgdi.Name);
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Assert.Equal(14, mgdi.WarmupPeriod);
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Assert.False(mgdi.IsHot);
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}
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[Fact]
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public void Constructor_CustomParameters()
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{
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var mgdi = new Mgdi(20, 0.8);
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Assert.Equal("Mgdi(20,0.8)", mgdi.Name);
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Assert.Equal(20, mgdi.WarmupPeriod);
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}
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[Fact]
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public void Constructor_PeriodZero_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(0));
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}
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[Fact]
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public void Constructor_NegativePeriod_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(-1));
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}
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[Fact]
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public void Constructor_ZeroK_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, 0));
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}
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[Fact]
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public void Constructor_NegativeK_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, -1));
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}
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[Fact]
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public void Calculate_InvalidK_ThrowsArgumentOutOfRangeException()
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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<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.NaN));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.PositiveInfinity));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.NegativeInfinity));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, -1));
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}
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[Fact]
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public void Constructor_NaNK_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, double.NaN));
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}
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[Fact]
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public void Constructor_InfinityK_Throws()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, double.PositiveInfinity));
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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 mgdi = new Mgdi(source, 14, 0.6);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(mgdi.Last.Value));
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}
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// ── IsHot ───────────────────────────────────────────────────────────
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[Fact]
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public void IsHot_BecomesTrue_AfterPeriodUpdates()
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{
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var mgdi = new Mgdi(14, 0.6);
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for (int i = 0; i < 13; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.False(mgdi.IsHot);
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mgdi.Update(new TValue(DateTime.UtcNow, 113));
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Assert.True(mgdi.IsHot);
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}
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// ── NaN handling ────────────────────────────────────────────────────
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[Fact]
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public void NaN_FirstValue_DoesNotInitializeToZero()
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{
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@@ -31,6 +134,29 @@ public class MgdiTests
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Assert.Equal(firstValid, result.Value);
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}
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[Fact]
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public void NaN_AfterValid_UsesLastValid()
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{
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var mgdi = new Mgdi(14, 0.6);
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mgdi.Update(new TValue(DateTime.UtcNow, 100.0));
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mgdi.Update(new TValue(DateTime.UtcNow, 101.0));
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var result = mgdi.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 Infinity_AfterValid_UsesLastValid()
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{
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var mgdi = new Mgdi(14, 0.6);
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mgdi.Update(new TValue(DateTime.UtcNow, 100.0));
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var result = mgdi.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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// ── Calculation ─────────────────────────────────────────────────────
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[Fact]
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public void Standard_Calculation()
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{
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@@ -43,15 +169,179 @@ public class MgdiTests
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}
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[Fact]
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public void Calculate_InvalidK_ThrowsArgumentOutOfRangeException()
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public void ConstantPrice_ConvergesToPrice()
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{
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var mgdi = new Mgdi(14, 0.6);
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for (int i = 0; i < 100; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 50.0));
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}
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Assert.Equal(50.0, mgdi.Last.Value, 1e-6);
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}
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[Fact]
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public void RisingPrices_MgdiFollowsBelow()
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{
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var mgdi = new Mgdi(14, 0.6);
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double lastPrice = 0;
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for (int i = 1; i <= 50; i++)
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{
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lastPrice = 100 + i;
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mgdi.Update(new TValue(DateTime.UtcNow, lastPrice));
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}
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// MGDI is a lagging indicator - in a rising market it should be below price
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Assert.True(mgdi.Last.Value < lastPrice,
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$"MGDI {mgdi.Last.Value} should lag below price {lastPrice}");
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}
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// ── Bar Correction ──────────────────────────────────────────────────
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[Fact]
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public void BarCorrection_RestoresState()
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{
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var mgdi = new Mgdi(14, 0.6);
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(now.AddMinutes(i), 100 + i));
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}
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// New bar
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var result1 = mgdi.Update(new TValue(now.AddMinutes(20), 200), isNew: true);
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// Correction back to same value
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mgdi.Update(new TValue(now.AddMinutes(20), 150), isNew: false);
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mgdi.Update(new TValue(now.AddMinutes(20), 200), isNew: false);
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var restored = mgdi.Last;
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Assert.Equal(result1.Value, restored.Value, 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 mgdi = new Mgdi(14, 0.6);
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.True(mgdi.IsHot);
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mgdi.Reset();
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Assert.False(mgdi.IsHot);
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Assert.Equal(default, mgdi.Last);
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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 mgdi = new Mgdi(14, 0.6);
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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var firstResult = mgdi.Last.Value;
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mgdi.Reset();
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100 + i));
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}
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Assert.Equal(firstResult, mgdi.Last.Value, 1e-10);
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}
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// ── Batch ───────────────────────────────────────────────────────────
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[Fact]
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public void Batch_TSeries_MatchesStreaming()
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{
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var data = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = data.Close;
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var batchResult = Mgdi.Batch(series, 14, 0.6);
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var streaming = new Mgdi(14, 0.6);
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var streamingResults = new TSeries();
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foreach (var item in series)
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{
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streamingResults.Add(streaming.Update(item));
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}
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for (int i = 0; i < series.Count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingResults[i].Value, 1e-10);
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}
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}
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[Fact]
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public void Batch_Span_MatchesStreaming()
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{
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var data = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var values = data.Close.Values.ToArray();
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var spanOutput = new double[values.Length];
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Mgdi.Batch(values, spanOutput, 14, 0.6);
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var streaming = new Mgdi(14, 0.6);
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for (int i = 0; i < values.Length; i++)
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{
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var result = streaming.Update(new TValue(DateTime.UtcNow, values[i]));
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Assert.Equal(result.Value, spanOutput[i], 1e-10);
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}
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}
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[Fact]
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public void Batch_Span_MismatchedLength_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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var output = new double[5];
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Assert.Throws<ArgumentException>(() => Mgdi.Batch(source, output, 14, 0.6));
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}
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.NaN));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.PositiveInfinity));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, double.NegativeInfinity));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => Mgdi.Batch(source, output, 14, -1));
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[Fact]
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public void Batch_Span_Empty_NoThrow()
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{
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var source = Array.Empty<double>();
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var output = Array.Empty<double>();
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Mgdi.Batch(source, output, 14, 0.6); // Should not throw
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Assert.True(true); // S2699: explicit assertion for no-throw test
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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 mgdi = new Mgdi(14, 0.6);
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var result = mgdi.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) = Mgdi.Calculate(data.Close, 14, 0.6);
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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 mgdi = new Mgdi(14, 0.6);
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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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mgdi.Prime(values);
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Assert.True(mgdi.IsHot);
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}
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}
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