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Dpo chart + refactored tests

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Miha Kralj
2024-11-07 09:55:19 -08:00
parent a0ffd952af
commit 69aef2b127
8 changed files with 416 additions and 864 deletions
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Tests/test_updates_statistics.cs
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@@ -1,272 +1,132 @@
using Xunit;
using System.Security.Cryptography;
namespace QuanTAlib.Tests;
public class StatisticsUpdateTests
public class StatisticsUpdateTests : UpdateTestBase
{
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
private const int RandomUpdates = 100;
private const double ReferenceValue = 100.0;
private const int precision = 8;
private double GetRandomDouble()
{
byte[] bytes = new byte[8];
rng.GetBytes(bytes);
return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100
}
private TBar GetRandomBar(bool IsNew)
{
double open = GetRandomDouble();
double high = open + Math.Abs(GetRandomDouble());
double low = open - Math.Abs(GetRandomDouble());
double close = low + ((high - low) * GetRandomDouble());
return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
}
[Fact]
public void Beta_Update()
{
var indicator = new Beta(period: 14);
TBar marketBar = GetRandomBar(true);
TBar assetBar = GetRandomBar(true);
double initialValue = indicator.Calc(marketBar, assetBar);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(false), GetRandomBar(false));
}
double finalValue = indicator.Calc(new TBar(marketBar.Time, marketBar.Open, marketBar.High, marketBar.Low, marketBar.Close, marketBar.Volume, false),
new TBar(assetBar.Time, assetBar.Open, assetBar.High, assetBar.Low, assetBar.Close, assetBar.Volume, false));
Assert.Equal(initialValue, finalValue, precision);
TestDualTBarUpdate(indicator, indicator.Calc);
}
[Fact]
public void Corr_Update()
{
var indicator = new Corr(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true), new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false), new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false), new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestDualTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Curvature_Update()
{
var indicator = new Curvature(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Entropy_Update()
{
var indicator = new Entropy(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Hurst_Update()
{
var indicator = new Hurst(period: 100, minLength: 10);
TBar r = GetRandomBar(true);
double initialValue = indicator.Calc(r);
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(GetRandomBar(IsNew: false));
}
double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTBarUpdate(indicator, indicator.Calc);
}
[Fact]
public void Kurtosis_Update()
{
var indicator = new Kurtosis(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Max_Update()
{
var indicator = new Max(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Median_Update()
{
var indicator = new Median(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Min_Update()
{
var indicator = new Min(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Mode_Update()
{
var indicator = new Mode(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Percentile_Update()
{
var indicator = new Percentile(period: 14, percent: 50);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Skew_Update()
{
var indicator = new Skew(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Slope_Update()
{
var indicator = new Slope(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Stddev_Update()
{
var indicator = new Stddev(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
TestTValueUpdate(indicator, indicator.Calc);
}
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
[Fact]
public void Theil_Update()
{
var indicator = new Theil(period: 14);
TestTValueUpdate(indicator, indicator.Calc);
}
Assert.Equal(initialValue, finalValue, precision);
[Fact]
public void Tsf_Update()
{
var indicator = new Tsf(period: 14);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Variance_Update()
{
var indicator = new Variance(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
[Fact]
public void Zscore_Update()
{
var indicator = new Zscore(period: 14);
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
for (int i = 0; i < RandomUpdates; i++)
{
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
}
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
Assert.Equal(initialValue, finalValue, precision);
TestTValueUpdate(indicator, indicator.Calc);
}
}