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Dpo chart + refactored tests
This commit is contained in:
Miha Kralj
+164
-159
@@ -1,172 +1,112 @@
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using Xunit;
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using System.Security.Cryptography;
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using System.Reflection;
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#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
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namespace QuanTAlib;
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namespace QuanTAlib.Tests;
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public class EventingTests
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{
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[Fact]
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public void EventBasedCalculations()
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private const int TestDataPoints = 200;
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private const int DefaultPeriod = 10;
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private const double Tolerance = 1e-9;
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private static readonly (string Name, object[] DirectParams, object[] EventParams)[] ValueIndicators = new[]
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{
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// Create a cryptographically secure random number generator
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using var rng = RandomNumberGenerator.Create();
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("Afirma", new object[] { DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }, new object[] { new TSeries(), DefaultPeriod, DefaultPeriod, Afirma.WindowType.BlackmanHarris }),
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("Alma", new object[] { DefaultPeriod, 0.85, 6.0 }, new object[] { new TSeries(), DefaultPeriod, 0.85, 6.0 }),
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("Convolution", new object[] { new double[] {1,2,3,2,1} }, new object[] { new TSeries(), new double[] {1,2,3,2,1} }),
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("Dema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Dsma", new object[] { DefaultPeriod, 0.9 }, new object[] { new TSeries(), DefaultPeriod, 0.9 }),
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("Dwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Ema", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
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("Epma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Pwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Frama", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Fwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Gma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Hma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Htit", new object[] { }, new object[] { new TSeries() }),
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("Hwma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Jma", new object[] { DefaultPeriod, 0, 0.45, 10 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.45, 10 }),
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("Kama", new object[] { DefaultPeriod, 2, 30 }, new object[] { new TSeries(), DefaultPeriod, 2, 30 }),
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("Ltma", new object[] { 0.2 }, new object[] { new TSeries(), 0.2 }),
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("Maaf", new object[] { 39, 0.002 }, new object[] { new TSeries(), 39, 0.002 }),
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("Mama", new object[] { 0.5, 0.05 }, new object[] { new TSeries(), 0.5, 0.05 }),
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("Mgdi", new object[] { DefaultPeriod, 0.6 }, new object[] { new TSeries(), DefaultPeriod, 0.6 }),
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("Mma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Qema", new object[] { 0.2, 0.2, 0.2, 0.2 }, new object[] { new TSeries(), 0.2, 0.2, 0.2, 0.2 }),
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("Rema", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
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("Rma", new object[] { DefaultPeriod, true }, new object[] { new TSeries(), DefaultPeriod, true }),
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("Sma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Wma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Tema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Zlema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Sinema", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Smma", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("T3", new object[] { DefaultPeriod, 0.7, true }, new object[] { new TSeries(), DefaultPeriod, 0.7, true }),
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("Trima", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Vidya", new object[] { DefaultPeriod, 0, 0.2 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.2 }),
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("Apo", new object[] { 12, 26 }, new object[] { new TSeries(), 12, 26 }),
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("Macd", new object[] { 12, 26, 9 }, new object[] { new TSeries(), 12, 26, 9 }),
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("Rsi", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rsx", new object[] { DefaultPeriod, 0, 0.55 }, new object[] { new TSeries(), DefaultPeriod, 0, 0.55 }),
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("Cmo", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Cog", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Curvature", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Entropy", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Kurtosis", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Max", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
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("Median", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Min", new object[] { DefaultPeriod, 0.0 }, new object[] { new TSeries(), DefaultPeriod, 0.0 }),
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("Mode", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Percentile", new object[] { DefaultPeriod, 0.5 }, new object[] { new TSeries(), DefaultPeriod, 0.5 }),
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("Skew", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Slope", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Stddev", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
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("Variance", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
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("Zscore", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Beta", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Corr", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Hv", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
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("Jvolty", new object[] { DefaultPeriod, 0 }, new object[] { new TSeries(), DefaultPeriod, 0 }),
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("Rv", new object[] { DefaultPeriod, false }, new object[] { new TSeries(), DefaultPeriod, false }),
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("Rvi", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mae", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mapd", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mape", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mase", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mda", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Me", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mpe", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Mse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Msle", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rae", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rmse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rmsle", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rse", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Smape", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Rsquared", new object[] { DefaultPeriod }, new object[] { new TSeries(), DefaultPeriod }),
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("Huber", new object[] { DefaultPeriod, 1.0 }, new object[] { new TSeries(), DefaultPeriod, 1.0 })
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};
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// Create input series to hold our random values
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var input = new TSeries();
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var barInput = new TBarSeries();
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int p = 10;
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private static readonly (string Name, object[] DirectParams, object[] EventParams)[] BarIndicators = new[]
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{
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("Adl", new object[] { }, new object[] { new TBarSeries() }),
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("Adosc", new object[] { 3, 10 }, new object[] { new TBarSeries(), 3, 10 }),
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("Aobv", new object[] { }, new object[] { new TBarSeries() }),
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("Cmf", new object[] { 20 }, new object[] { new TBarSeries(), 20 }),
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("Eom", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
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("Kvo", new object[] { 34, 55 }, new object[] { new TBarSeries(), 34, 55 }),
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("Atr", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
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("Chop", new object[] { 14 }, new object[] { new TBarSeries(), 14 }),
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("Dosc", new object[] { }, new object[] { new TBarSeries() })
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};
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// Create a list of value-based indicator pairs
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var valueIndicators = new List<(string Name, AbstractBase Direct, AbstractBase EventBased)>
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{
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("Afirma", new Afirma(p,p,Afirma.WindowType.BlackmanHarris), new Afirma(input, p,p,Afirma.WindowType.BlackmanHarris)),
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("Alma", new Alma(p), new Alma(input, p)),
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("Convolution", new Convolution(new double[] {1,2,3,2,1}), new Convolution(input, new double[] {1,2,3,2,1})),
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("Dema", new Dema(p), new Dema(input, p)),
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("Dsma", new Dsma(p), new Dsma(input, p)),
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("Dwma", new Dwma(p), new Dwma(input, p)),
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("Ema", new Ema(p), new Ema(input, p)),
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("Epma", new Epma(p), new Epma(input, p)),
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("Pwma", new Pwma(p), new Pwma(input, p)),
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("Frama", new Frama(p), new Frama(input, p)),
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("Fwma", new Fwma(p), new Fwma(input, p)),
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("Gma", new Gma(p), new Gma(input, p)),
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("Hma", new Hma(p), new Hma(input, p)),
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("Htit", new Htit(), new Htit(input)),
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("Hwma", new Hwma(p), new Hwma(input, p)),
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("Jma", new Jma(p), new Jma(input, p)),
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("Kama", new Kama(p), new Kama(input, p)),
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("Ltma", new Ltma(gamma: 0.2), new Ltma(input, gamma: 0.2)),
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("Maaf", new Maaf(p), new Maaf(input, p)),
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("Mama", new Mama(p), new Mama(input, p)),
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("Mgdi", new Mgdi(p, kFactor: 0.6), new Mgdi(input, p, kFactor: 0.6)),
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("Mma", new Mma(p), new Mma(input, p)),
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("Qema", new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2), new Qema(input, k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2)),
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("Rema", new Rema(p), new Rema(input, p)),
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("Rma", new Rma(p), new Rma(input, p)),
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("Sma", new Sma(p), new Sma(input, p)),
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("Wma", new Wma(p), new Wma(input, p)),
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("Rma", new Rma(p), new Rma(input, p)),
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("Tema", new Tema(p), new Tema(input, p)),
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("Kama", new Kama(2, 30, 6), new Kama(input, 2, 30, 6)),
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("Zlema", new Zlema(p), new Zlema(input, p)),
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("Sinema", new Sinema(p), new Sinema(input, p)),
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("Smma", new Smma(p), new Smma(input, p)),
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("T3", new T3(p), new T3(input, p)),
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("Trima", new Trima(p), new Trima(input, p)),
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("Vidya", new Vidya(p), new Vidya(input, p)),
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("Apo", new Apo(12, 26), new Apo(input, 12, 26)),
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("Macd", new Macd(12, 26, 9), new Macd(input, 12, 26, 9)),
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("Rsi", new Rsi(p), new Rsi(input, p)),
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("Rsx", new Rsx(p), new Rsx(input, p)),
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("Cmo", new Cmo(p), new Cmo(input, p)),
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("Cog", new Cog(p), new Cog(input, p)),
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("Curvature", new Curvature(p), new Curvature(input, p)),
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("Entropy", new Entropy(p), new Entropy(input, p)),
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("Kurtosis", new Kurtosis(p), new Kurtosis(input, p)),
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("Max", new Max(p), new Max(input, p)),
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("Median", new Median(p), new Median(input, p)),
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("Min", new Min(p), new Min(input, p)),
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("Mode", new Mode(p), new Mode(input, p)),
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("Percentile", new Percentile(p, 0.5), new Percentile(input, p, 0.5)),
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("Skew", new Skew(p), new Skew(input, p)),
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("Slope", new Slope(p), new Slope(input, p)),
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("Stddev", new Stddev(p), new Stddev(input, p)),
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("Variance", new Variance(p), new Variance(input, p)),
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("Zscore", new Zscore(p), new Zscore(input, p)),
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("Beta", new Beta(p), new Beta(input, p)),
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("Corr", new Corr(p), new Corr(input, p)),
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// Volatility indicators (value-based)
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("Hv", new Hv(p), new Hv(input, p)),
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("Jvolty", new Jvolty(p), new Jvolty(input, p)),
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("Rv", new Rv(p), new Rv(input, p)),
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("Rvi", new Rvi(p), new Rvi(input, p)),
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// Error classes
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("Mae", new Mae(p), new Mae(input, p)),
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("Mapd", new Mapd(p), new Mapd(input, p)),
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("Mape", new Mape(p), new Mape(input, p)),
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("Mase", new Mase(p), new Mase(input, p)),
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("Mda", new Mda(p), new Mda(input, p)),
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("Me", new Me(p), new Me(input, p)),
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("Mpe", new Mpe(p), new Mpe(input, p)),
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("Mse", new Mse(p), new Mse(input, p)),
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("Msle", new Msle(p), new Msle(input, p)),
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("Rae", new Rae(p), new Rae(input, p)),
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("Rmse", new Rmse(p), new Rmse(input, p)),
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("Rmsle", new Rmsle(p), new Rmsle(input, p)),
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("Rse", new Rse(p), new Rse(input, p)),
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("Smape", new Smape(p), new Smape(input, p)),
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("Rsquared", new Rsquared(p), new Rsquared(input, p)),
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("Huber", new Huber(p), new Huber(input, p))
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};
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public static IEnumerable<object[]> GetValueIndicatorData()
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=> ValueIndicators.Select(x => new object[] { x.Name, x.DirectParams, x.EventParams });
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// Create a list of bar-based indicator pairs
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var barIndicators = new List<(string Name, AbstractBase Direct, AbstractBase EventBased)>
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{
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// Volume indicators
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("Adl", new Adl(), new Adl(barInput)),
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("Adosc", new Adosc(3, 10), new Adosc(barInput, 3, 10)),
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("Aobv", new Aobv(), new Aobv(barInput)),
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("Cmf", new Cmf(20), new Cmf(barInput, 20)),
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("Eom", new Eom(14), new Eom(barInput, 14)),
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("Kvo", new Kvo(34, 55), new Kvo(barInput, 34, 55)),
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// Volatility indicators (bar-based)
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("Atr", new Atr(14), new Atr(barInput, 14)),
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// Oscillators (bar-based)
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("Chop", new Chop(14), new Chop(barInput, 14)),
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("Dosc", new Dosc(), new Dosc(barInput))
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};
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// Generate 200 random values and feed them to indicators
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for (int i = 0; i < 200; i++)
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{
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// Generate random value for value-based indicators
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double randomValue = GetRandomDouble(rng) * 100;
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input.Add(randomValue);
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// Calculate value-based indicators
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foreach (var (_, direct, _) in valueIndicators)
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{
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direct.Calc(randomValue);
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}
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// Generate random bar for bar-based indicators
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var bar = new TBar(
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DateTime.Now,
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randomValue,
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randomValue + Math.Abs(GetRandomDouble(rng) * 10),
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randomValue - Math.Abs(GetRandomDouble(rng) * 10),
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randomValue + (GetRandomDouble(rng) * 5),
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Math.Abs(GetRandomDouble(rng) * 1000),
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true
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);
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barInput.Add(bar);
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// Calculate bar-based indicators
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foreach (var (_, direct, _) in barIndicators)
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{
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direct.Calc(bar);
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}
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}
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// Compare the results for value-based indicators
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foreach (var (name, direct, eventBased) in valueIndicators)
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{
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bool areEqual = (double.IsNaN(direct.Value) && double.IsNaN(eventBased.Value)) ||
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Math.Abs(direct.Value - eventBased.Value) < 1e-9;
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Assert.True(areEqual, $"Value indicator {name} failed: Expected {direct.Value}, Actual {eventBased.Value}");
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}
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// Compare the results for bar-based indicators
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foreach (var (name, direct, eventBased) in barIndicators)
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{
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bool areEqual = (double.IsNaN(direct.Value) && double.IsNaN(eventBased.Value)) ||
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Math.Abs(direct.Value - eventBased.Value) < 1e-9;
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Assert.True(areEqual, $"Bar indicator {name} failed: Expected {direct.Value}, Actual {eventBased.Value}");
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}
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}
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public static IEnumerable<object[]> GetBarIndicatorData()
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=> BarIndicators.Select(x => new object[] { x.Name, x.DirectParams, x.EventParams });
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private static double GetRandomDouble(RandomNumberGenerator rng)
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{
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@@ -174,4 +114,69 @@ public class EventingTests
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rng.GetBytes(bytes);
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return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue;
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}
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private static TBar GenerateRandomBar(RandomNumberGenerator rng, double baseValue)
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{
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return new TBar(
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DateTime.Now,
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baseValue,
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baseValue + Math.Abs(GetRandomDouble(rng) * 10),
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baseValue - Math.Abs(GetRandomDouble(rng) * 10),
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baseValue + (GetRandomDouble(rng) * 5),
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Math.Abs(GetRandomDouble(rng) * 1000),
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true
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);
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}
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[Theory]
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[MemberData(nameof(GetValueIndicatorData))]
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public void ValueIndicatorEventTest(string indicatorName, object[] directParams, object[] eventParams)
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{
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using var rng = RandomNumberGenerator.Create();
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var input = (TSeries)eventParams[0];
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// Create indicator instances using reflection
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var indicatorType = Type.GetType($"QuanTAlib.{indicatorName}, QuanTAlib")!;
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var directIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, directParams)!;
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var eventIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, eventParams)!;
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// Generate test data and calculate
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for (int i = 0; i < TestDataPoints; i++)
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{
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double randomValue = GetRandomDouble(rng) * 100;
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input.Add(randomValue);
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directIndicator.Calc(randomValue);
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}
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bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
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Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
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Assert.True(areEqual, $"Value indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
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}
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[Theory]
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[MemberData(nameof(GetBarIndicatorData))]
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public void BarIndicatorEventTest(string indicatorName, object[] directParams, object[] eventParams)
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{
|
||||
using var rng = RandomNumberGenerator.Create();
|
||||
var barInput = (TBarSeries)eventParams[0];
|
||||
|
||||
// Create indicator instances using reflection
|
||||
var indicatorType = Type.GetType($"QuanTAlib.{indicatorName}, QuanTAlib")!;
|
||||
var directIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, directParams)!;
|
||||
var eventIndicator = (AbstractBase)Activator.CreateInstance(indicatorType, eventParams)!;
|
||||
|
||||
// Generate test data and calculate
|
||||
for (int i = 0; i < TestDataPoints; i++)
|
||||
{
|
||||
var bar = GenerateRandomBar(rng, GetRandomDouble(rng) * 100);
|
||||
barInput.Add(bar);
|
||||
directIndicator.Calc(bar);
|
||||
}
|
||||
|
||||
bool areEqual = (double.IsNaN(directIndicator.Value) && double.IsNaN(eventIndicator.Value)) ||
|
||||
Math.Abs(directIndicator.Value - eventIndicator.Value) < Tolerance;
|
||||
|
||||
Assert.True(areEqual, $"Bar indicator {indicatorName} failed: Expected {directIndicator.Value}, Actual {eventIndicator.Value}");
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user