Add RMA indicator implementation and related tests; update existing indicators to return empty array for zero count

2026-08-25 13:58:04 +00:00 · 2025-12-10 19:24:55 -05:00
parent 8df3480d1f
commit 66b1fc3dca
16 changed files with 854 additions and 8 deletions
@@ -0,0 +1,56 @@
+using Skender.Stock.Indicators;
+
+namespace QuanTAlib.Tests;
+
+public class RmaValidationTests
+{
+    [Fact]
+    public void Rma_Matches_Skender_Smma()
+    {
+        // Arrange
+        int period = 14;
+        int length = 1000;
+        var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 123);
+        var bars = gbm.Fetch(length, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
+        
+        // QuanTAlib RMA
+        var rma = new Rma(period);
+        var quantalibResults = new TSeries();
+        foreach (var bar in bars)
+        {
+            quantalibResults.Add(rma.Update(new TValue(bar.Time, bar.Close)));
+        }
+
+        // Skender SMMA
+        var quotes = bars.Select(b => new Quote
+        {
+            Date = new DateTime(b.Time, DateTimeKind.Utc),
+            Open = (decimal)b.Open,
+            High = (decimal)b.High,
+            Low = (decimal)b.Low,
+            Close = (decimal)b.Close,
+            Volume = (decimal)b.Volume
+        }).ToList();
+
+        var skenderResults = quotes.GetSmma(period).ToList();
+
+        // Assert
+        Assert.Equal(quantalibResults.Count, skenderResults.Count);
+
+        // Skip warmup period for comparison
+        // Skender uses SMA initialization, QuanTAlib uses zero-lag compensator
+        // They should converge after some periods
+        int skip = period * 20;
+
+        for (int i = skip; i < length; i++)
+        {
+            double qValue = quantalibResults[i].Value;
+            double? sValue = skenderResults[i].Smma;
+
+            if (sValue.HasValue)
+            {
+                Assert.Equal(sValue.Value, qValue, 1e-6);
+            }
+        }
+    }
+}