mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-22 04:28:04 +00:00
normalization of methods
This commit is contained in:
Miha Kralj
@@ -0,0 +1,144 @@
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using TradingPlatform.BusinessLayer;
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using Xunit;
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namespace QuanTAlib.Tests;
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public class QstickIndicatorTests
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{
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[Fact]
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public void Constructor_CreatesValidIndicator()
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{
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var indicator = new QstickIndicator();
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Assert.NotNull(indicator);
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Assert.Equal("Qstick Indicator", indicator.Name);
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}
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[Fact]
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public void DefaultPeriod_Is14()
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{
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var indicator = new QstickIndicator();
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Assert.Equal(14, indicator.Period);
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}
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[Fact]
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public void DefaultMaType_IsSMA()
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{
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var indicator = new QstickIndicator();
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Assert.Equal("SMA", indicator.MaType);
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}
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[Fact]
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public void ShortName_IncludesParameters()
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{
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var indicator = new QstickIndicator { Period = 20, MaType = "EMA" };
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Assert.Equal("QSTICK(20,EMA)", indicator.ShortName);
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}
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[Fact]
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public void MinHistoryDepths_EqualsZero()
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{
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var indicator = new QstickIndicator { Period = 10 };
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Assert.Equal(0, QstickIndicator.MinHistoryDepths);
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IWatchlistIndicator watchlistIndicator = indicator;
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Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
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}
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[Fact]
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public void CalculationIntegration_ProducesCorrectValues()
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{
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var qstickCore = new Qstick(3);
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var time = DateTime.UtcNow;
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// Simulate bar data
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var bar1 = new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000);
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var bar2 = new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000);
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var bar3 = new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000);
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qstickCore.Update(bar1);
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qstickCore.Update(bar2);
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var result = qstickCore.Update(bar3);
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// SMA of (5, 3, 6) = 14/3 ≈ 4.667
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Assert.Equal(14.0 / 3.0, result.Value, 10);
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}
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[Fact]
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public void EmaMode_CalculatesCorrectly()
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{
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var qstickCore = new Qstick(3, useEma: true);
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var time = DateTime.UtcNow;
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// Bar 1: diff = 5
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qstickCore.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: diff = -3, EMA with alpha = 0.5
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var result = qstickCore.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 97.0, 1000));
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// EMA = 0.5 * -3 + 0.5 * 5 = 1.0
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Assert.Equal(1.0, result.Value, 10);
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}
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[Fact]
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public void BullishBars_ProducePositiveQstick()
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{
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var qstick = new Qstick(5);
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var time = DateTime.UtcNow;
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// All bullish bars (close > open)
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for (int i = 0; i < 5; i++)
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{
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qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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}
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Assert.True(qstick.Last.Value > 0);
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Assert.Equal(5.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void BearishBars_ProduceNegativeQstick()
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{
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var qstick = new Qstick(5);
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var time = DateTime.UtcNow;
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// All bearish bars (close < open)
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for (int i = 0; i < 5; i++)
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{
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qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 105.0, 90.0, 95.0, 1000));
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}
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Assert.True(qstick.Last.Value < 0);
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Assert.Equal(-5.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void DojiBars_ProduceZeroQstick()
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{
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var qstick = new Qstick(5);
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var time = DateTime.UtcNow;
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// All doji bars (close = open)
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for (int i = 0; i < 5; i++)
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{
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qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 105.0, 95.0, 100.0, 1000));
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}
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Assert.Equal(0.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void CoreIndicator_ResetsCorrectly()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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Assert.NotEqual(default, qstick.Last);
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qstick.Reset();
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Assert.False(qstick.IsHot);
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Assert.Equal(default, qstick.Last);
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}
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}
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@@ -0,0 +1,58 @@
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using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class QstickIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 0, 1, 1000, 1, 0)]
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public int Period { get; set; } = 14;
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[InputParameter("MA Type", sortIndex: 1, variants: new object[] { "SMA", "SMA", "EMA", "EMA" })]
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public string MaType { get; set; } = "SMA";
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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public override string ShortName => $"QSTICK({Period},{MaType})";
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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private Qstick _indicator = null!;
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private readonly LineSeries _series;
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public QstickIndicator()
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{
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Name = "Qstick Indicator";
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Description = "Measures average candlestick body direction by calculating the moving average of close minus open.";
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_series = new LineSeries("Qstick", Color.Yellow, 2, LineStyle.Solid);
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AddLineSeries(_series);
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SeparateWindow = true;
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}
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protected override void OnInit()
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{
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bool useEma = string.Equals(MaType, "EMA", StringComparison.Ordinal);
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_indicator = new Qstick(Period, useEma);
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AddLineLevel(0, "Zero", Color.Gray, 1, LineStyle.Dash);
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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bool isNew = args.IsNewBar();
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var bar = this.GetInputBar(args);
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var result = _indicator.Update(bar, isNew);
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_series.SetValue(result.Value, _indicator.IsHot, ShowColdValues);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void OnPaintChart(PaintChartEventArgs args)
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{
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base.OnPaintChart(args);
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}
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}
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@@ -0,0 +1,557 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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public class QstickTests
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{
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// ═══════════════════════════════════════════════════════════════════════════
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// Constructor Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Constructor_DefaultParameters_CreatesValidIndicator()
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{
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var qstick = new Qstick();
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Assert.Equal(14, qstick.Period);
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Assert.False(qstick.UseEma);
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Assert.Equal("QSTICK(14)", qstick.Name);
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}
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[Fact]
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public void Constructor_CustomPeriod_SetsCorrectly()
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{
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var qstick = new Qstick(20);
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Assert.Equal(20, qstick.Period);
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}
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[Fact]
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public void Constructor_EmaMode_SetsCorrectly()
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{
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var qstick = new Qstick(14, useEma: true);
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Assert.True(qstick.UseEma);
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Assert.Equal("QSTICK(14,EMA)", qstick.Name);
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}
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[Fact]
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public void Constructor_PeriodLessThanOne_ThrowsException()
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{
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Assert.Throws<ArgumentException>(() => new Qstick(0));
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}
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[Fact]
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public void Constructor_NegativePeriod_ThrowsException()
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{
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Assert.Throws<ArgumentException>(() => new Qstick(-1));
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}
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[Fact]
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public void Constructor_PeriodOne_IsValid()
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{
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var qstick = new Qstick(1);
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Assert.Equal(1, qstick.Period);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Basic Calculation Tests - SMA Mode
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_SingleBullishBar_ReturnsPositiveValue()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(5.0, result.Value); // close - open = 105 - 100 = 5
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}
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[Fact]
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public void Update_SingleBearishBar_ReturnsNegativeValue()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 105.0, 105.0, 99.0, 100.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(-5.0, result.Value); // close - open = 100 - 105 = -5
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}
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[Fact]
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public void Update_DojiBar_ReturnsZero()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 100.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(0.0, result.Value); // close - open = 100 - 100 = 0
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}
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[Fact]
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public void Update_ThreeBars_CalculatesCorrectSMA()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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// Bar 1: +5 (bullish)
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: -3 (bearish)
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 97.0, 1000));
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// Bar 3: +2 (bullish)
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// SMA = (5 + -3 + 2) / 3 = 4/3 ≈ 1.333
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Assert.Equal(4.0 / 3.0, result.Value, 10);
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Assert.True(qstick.IsHot);
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}
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[Fact]
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public void Update_NotWarmUp_ReturnsPartialAverage()
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{
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var qstick = new Qstick(5);
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var time = DateTime.UtcNow;
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// Bar 1: +5
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: +3
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var result = qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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// Partial average = (5 + 3) / 2 = 4
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Assert.Equal(4.0, result.Value, 10);
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Assert.False(qstick.IsHot);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Basic Calculation Tests - EMA Mode
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_EmaMode_FirstBar_ReturnsDiff()
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{
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var qstick = new Qstick(14, useEma: true);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(5.0, result.Value);
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}
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[Fact]
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public void Update_EmaMode_MultipleBar_CalculatesEma()
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{
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var qstick = new Qstick(3, useEma: true); // alpha = 2/(3+1) = 0.5
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var time = DateTime.UtcNow;
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// Bar 1: diff = 5
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: diff = -3, EMA = 0.5 * -3 + 0.5 * 5 = 1.0
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var result = qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 97.0, 1000));
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Assert.Equal(1.0, result.Value, 10);
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}
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[Fact]
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public void Update_EmaMode_IsHotFromFirstBar()
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{
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var qstick = new Qstick(14, useEma: true);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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qstick.Update(bar);
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Assert.True(qstick.IsHot);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Bar Correction Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_IsNewFalse_CorrectsPreviousBar()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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// Bar 1
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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// Bar 3 initial
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// Bar 3 correction (close changes from 102 to 108)
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 108.0, 1000), isNew: false);
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// SMA = (5 + 3 + 8) / 3 = 16/3 ≈ 5.333
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Assert.Equal(16.0 / 3.0, result.Value, 10);
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}
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[Fact]
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public void Update_MultipleCorrections_ProducesSameResult()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// Multiple corrections to same bar should be idempotent
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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// SMA = (5 + 3 + 7) / 3 = 15/3 = 5
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Assert.Equal(5.0, result.Value, 10);
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}
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[Fact]
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public void Update_EmaMode_BarCorrection_Works()
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{
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var qstick = new Qstick(3, useEma: true); // alpha = 0.5
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff=5, ema=5
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff=3, ema=0.5*3+0.5*5=4
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000)); // diff=2, ema=0.5*2+0.5*4=3
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// Correct bar 3: diff changes from 2 to 8
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 108.0, 1000), isNew: false);
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// ema = 0.5*8 + 0.5*4 = 6
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Assert.Equal(6.0, result.Value, 10);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Edge Case Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_NaNOpen_ReturnsLastValue()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result1 = qstick.Update(bar1);
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var bar2 = new TBar(time.AddMinutes(1).Ticks, double.NaN, 105.0, 99.0, 105.0, 1000);
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var result2 = qstick.Update(bar2);
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Assert.Equal(result1.Value, result2.Value);
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}
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[Fact]
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||||
public void Update_NaNClose_ReturnsLastValue()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
|
||||
var result1 = qstick.Update(bar1);
|
||||
|
||||
var bar2 = new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 99.0, double.NaN, 1000);
|
||||
var result2 = qstick.Update(bar2);
|
||||
|
||||
Assert.Equal(result1.Value, result2.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_InfinityInput_ReturnsLastValue()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
|
||||
var result1 = qstick.Update(bar1);
|
||||
|
||||
var bar2 = new TBar(time.AddMinutes(1).Ticks, double.PositiveInfinity, 105.0, 99.0, 105.0, 1000);
|
||||
var result2 = qstick.Update(bar2);
|
||||
|
||||
Assert.Equal(result1.Value, result2.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_LargeValues_CalculatesCorrectly()
|
||||
{
|
||||
var qstick = new Qstick(1);
|
||||
var bar = new TBar(DateTime.UtcNow.Ticks, 1e10, 1.1e10, 0.9e10, 1.05e10, 1000);
|
||||
var result = qstick.Update(bar);
|
||||
Assert.Equal(0.05e10, result.Value, 1);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_SmallValues_CalculatesCorrectly()
|
||||
{
|
||||
var qstick = new Qstick(1);
|
||||
var bar = new TBar(DateTime.UtcNow.Ticks, 0.0001, 0.00015, 0.00009, 0.00012, 1000);
|
||||
var result = qstick.Update(bar);
|
||||
Assert.Equal(0.00002, result.Value, 10);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Reset Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsState()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
|
||||
|
||||
Assert.True(qstick.IsHot);
|
||||
|
||||
qstick.Reset();
|
||||
|
||||
Assert.False(qstick.IsHot);
|
||||
Assert.Equal(default, qstick.Last);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_EmaMode_ClearsState()
|
||||
{
|
||||
var qstick = new Qstick(3, useEma: true);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
|
||||
Assert.True(qstick.IsHot);
|
||||
|
||||
qstick.Reset();
|
||||
|
||||
Assert.False(qstick.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_CanReuseAfterReset()
|
||||
{
|
||||
var qstick = new Qstick(2);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
|
||||
qstick.Reset();
|
||||
|
||||
// New data after reset
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 98.0, 1000)); // diff = -2
|
||||
var result = qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 95.0, 106.0, 1000)); // diff = 6
|
||||
|
||||
// SMA = (-2 + 6) / 2 = 2
|
||||
Assert.Equal(2.0, result.Value, 10);
|
||||
Assert.True(qstick.IsHot);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Batch Processing Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Update_BarSeries_ReturnsCorrectLength()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
|
||||
|
||||
var result = qstick.Update(bars);
|
||||
|
||||
Assert.Equal(3, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_BarSeries_LastValueMatchesLast()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
|
||||
|
||||
var result = qstick.Update(bars);
|
||||
|
||||
Assert.Equal(qstick.Last.Value, result.Values[^1], 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_EmptyBarSeries_ReturnsEmpty()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var bars = new TBarSeries();
|
||||
|
||||
var result = qstick.Update(bars);
|
||||
|
||||
Assert.True(result.Count == 0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_ReturnsCorrectResults()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff = 5
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff = 3
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000)); // diff = 6
|
||||
|
||||
var result = Qstick.Batch(bars, period: 3);
|
||||
|
||||
// Last value = SMA(5, 3, 6) = 14/3 ≈ 4.667
|
||||
Assert.Equal(14.0 / 3.0, result.Values[^1], 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsIndicatorAndResults()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
|
||||
|
||||
var (results, indicator) = Qstick.Calculate(bars, period: 3);
|
||||
|
||||
Assert.Equal(3, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.Equal(3, indicator.Period);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Prime Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Prime_WarmUpIndicator()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
|
||||
|
||||
qstick.Prime(bars);
|
||||
|
||||
Assert.True(qstick.IsHot);
|
||||
Assert.NotEqual(default, qstick.Last);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Event Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Update_RaisesPubEvent()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var eventRaised = false;
|
||||
TValue receivedValue = default;
|
||||
|
||||
qstick.Pub += (object? sender, in TValueEventArgs args) =>
|
||||
{
|
||||
eventRaised = true;
|
||||
receivedValue = args.Value;
|
||||
};
|
||||
|
||||
var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 110.0, 95.0, 105.0, 1000);
|
||||
var result = qstick.Update(bar);
|
||||
|
||||
Assert.True(eventRaised);
|
||||
Assert.Equal(result.Value, receivedValue.Value);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Property Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void WarmupPeriod_EqualsPeriod()
|
||||
{
|
||||
var qstick = new Qstick(20);
|
||||
Assert.Equal(20, qstick.WarmupPeriod);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_SmaMode_FalseBeforeFullPeriod()
|
||||
{
|
||||
var qstick = new Qstick(5);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 4; i++)
|
||||
{
|
||||
qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
|
||||
Assert.False(qstick.IsHot);
|
||||
}
|
||||
|
||||
qstick.Update(new TBar(time.AddMinutes(4).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
|
||||
Assert.True(qstick.IsHot);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Consistency Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Update_BatchVsStreaming_ProducesSameResults()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
double open = 100.0 + i * 0.5;
|
||||
double close = open + (i % 3 - 1); // varies between -1, 0, 1
|
||||
bars.Add(new TBar(time.AddMinutes(i).Ticks, open, open + 2, open - 1, close, 1000));
|
||||
}
|
||||
|
||||
// Batch processing
|
||||
var batchQstick = new Qstick(5);
|
||||
var batchResult = batchQstick.Update(bars);
|
||||
|
||||
// Streaming processing
|
||||
var streamQstick = new Qstick(5);
|
||||
var streamResults = new List<double>();
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = streamQstick.Update(bars[i]);
|
||||
streamResults.Add(result.Value);
|
||||
}
|
||||
|
||||
// Compare results
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResult.Values[i], streamResults[i], 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SmaVsEma_DifferentResults()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double open = 100.0;
|
||||
double close = 100.0 + (i % 2 == 0 ? 5 : -3);
|
||||
bars.Add(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 95.0, close, 1000));
|
||||
}
|
||||
|
||||
var smaQstick = new Qstick(5, useEma: false);
|
||||
var emaQstick = new Qstick(5, useEma: true);
|
||||
|
||||
var smaResult = smaQstick.Update(bars);
|
||||
var emaResult = emaQstick.Update(bars);
|
||||
|
||||
// SMA and EMA should produce different results (EMA weights more recent)
|
||||
Assert.NotEqual(smaResult.Values[^1], emaResult.Values[^1]);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,353 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// Validation tests for Qstick indicator.
|
||||
/// Validates against manual formula calculations since Qstick is not
|
||||
/// available in TA-Lib, Skender, Tulip, or Ooples.
|
||||
/// </summary>
|
||||
public sealed class QstickValidationTests : IDisposable
|
||||
{
|
||||
private readonly ValidationTestData _data;
|
||||
|
||||
public QstickValidationTests()
|
||||
{
|
||||
_data = new ValidationTestData();
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
_data.Dispose();
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Mathematical Correctness Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_MatchesFormula()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Create known bars
|
||||
bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff = 5
|
||||
bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 92.0, 97.0, 1000)); // diff = -3
|
||||
bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 106.0, 94.0, 104.0, 1000)); // diff = 4
|
||||
bars.Add(new TBar(time.AddMinutes(3).Ticks, 100.0, 107.0, 93.0, 98.0, 1000)); // diff = -2
|
||||
bars.Add(new TBar(time.AddMinutes(4).Ticks, 100.0, 109.0, 91.0, 106.0, 1000)); // diff = 6
|
||||
|
||||
var qstick = new Qstick(5);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
qstick.Update(bars[i]);
|
||||
}
|
||||
|
||||
// Expected: SMA of (5, -3, 4, -2, 6) = 10/5 = 2.0
|
||||
Assert.Equal(2.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_Period3()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Bar 1: diff = 8
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 108.0, 1000));
|
||||
|
||||
// Bar 2: diff = -4
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 102.0, 90.0, 96.0, 1000));
|
||||
|
||||
// Bar 3: diff = 6
|
||||
var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 106.0, 1000));
|
||||
|
||||
// Expected: SMA(8, -4, 6) = 10/3 ≈ 3.333
|
||||
Assert.Equal(10.0 / 3.0, result.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_Period7()
|
||||
{
|
||||
var qstick = new Qstick(7);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
double[] diffs = { 5, -3, 4, -2, 6, -1, 3 };
|
||||
|
||||
for (int i = 0; i < diffs.Length; i++)
|
||||
{
|
||||
double open = 100.0;
|
||||
double close = 100.0 + diffs[i];
|
||||
qstick.Update(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 90.0, close, 1000));
|
||||
}
|
||||
|
||||
// Expected: SMA of 5, -3, 4, -2, 6, -1, 3 = 12/7 ≈ 1.714
|
||||
double expectedSum = 5 - 3 + 4 - 2 + 6 - 1 + 3; // = 12
|
||||
Assert.Equal(expectedSum / 7.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EmaCalculation_MatchesFormula()
|
||||
{
|
||||
var qstick = new Qstick(3, useEma: true); // alpha = 2/(3+1) = 0.5
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Bar 1: diff = 10
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
|
||||
Assert.Equal(10.0, qstick.Last.Value, 10);
|
||||
|
||||
// Bar 2: diff = -6, EMA = 0.5 * -6 + 0.5 * 10 = 2.0
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 102.0, 90.0, 94.0, 1000));
|
||||
Assert.Equal(2.0, qstick.Last.Value, 10);
|
||||
|
||||
// Bar 3: diff = 4, EMA = 0.5 * 4 + 0.5 * 2 = 3.0
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 104.0, 1000));
|
||||
Assert.Equal(3.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EmaCalculation_Period5()
|
||||
{
|
||||
var qstick = new Qstick(5, useEma: true); // alpha = 2/(5+1) = 1/3
|
||||
var time = DateTime.UtcNow;
|
||||
double alpha = 2.0 / 6.0;
|
||||
|
||||
// Bar 1: diff = 6
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 106.0, 1000));
|
||||
double expectedEma = 6.0;
|
||||
Assert.Equal(expectedEma, qstick.Last.Value, 10);
|
||||
|
||||
// Bar 2: diff = 3, EMA = alpha * 3 + (1-alpha) * 6-
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 96.0, 103.0, 1000));
|
||||
expectedEma = alpha * 3 + (1 - alpha) * expectedEma;
|
||||
Assert.Equal(expectedEma, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Edge Case Validation
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void ZeroCrossing_IdentifiesCorrectly()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Start bullish
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 106.0, 1000)); // +6
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 92.0, 104.0, 1000)); // +4
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 106.0, 94.0, 102.0, 1000)); // +2
|
||||
|
||||
Assert.True(qstick.Last.Value > 0);
|
||||
|
||||
// Shift to bearish
|
||||
qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 90.0, 92.0, 1000)); // -8
|
||||
qstick.Update(new TBar(time.AddMinutes(4).Ticks, 100.0, 104.0, 88.0, 90.0, 1000)); // -10
|
||||
qstick.Update(new TBar(time.AddMinutes(5).Ticks, 100.0, 103.0, 86.0, 88.0, 1000)); // -12
|
||||
|
||||
Assert.True(qstick.Last.Value < 0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LargeGaps_HandledCorrectly()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Gap up scenario - previous close has no effect on body calculation
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff = 3
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 110.0, 118.0, 108.0, 115.0, 1000)); // diff = 5 (gap up)
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 120.0, 125.0, 118.0, 122.0, 1000)); // diff = 2 (gap up)
|
||||
|
||||
// SMA = (3 + 5 + 2) / 3 = 10/3 ≈ 3.333
|
||||
Assert.Equal(10.0 / 3.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AlternatingBullishBearish_AveragesToNearZero()
|
||||
{
|
||||
var qstick = new Qstick(4);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Alternating pattern
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // +5
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 90.0, 95.0, 1000)); // -5
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // +5
|
||||
qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 90.0, 95.0, 1000)); // -5
|
||||
|
||||
// SMA = (5 - 5 + 5 - 5) / 4 = 0
|
||||
Assert.Equal(0.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AllDoji_ReturnsZero()
|
||||
{
|
||||
var qstick = new Qstick(5);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 105.0, 95.0, 100.0, 1000)); // diff = 0
|
||||
}
|
||||
|
||||
Assert.Equal(0.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Stability Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void LongSeries_MaintainsStability()
|
||||
{
|
||||
var qstick = new Qstick(14);
|
||||
var results = new List<double>();
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var result = qstick.Update(_data.Bars[i]);
|
||||
results.Add(result.Value);
|
||||
}
|
||||
|
||||
// Verify no NaN or Infinity after warmup
|
||||
for (int i = 14; i < results.Count; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(results[i]), $"Result at index {i} is not finite: {results[i]}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchVsStreaming_MatchesExactly()
|
||||
{
|
||||
// Batch processing
|
||||
var batchResults = Qstick.Batch(_data.Bars, period: 14);
|
||||
|
||||
// Streaming processing
|
||||
var streamQstick = new Qstick(14);
|
||||
var streamResults = new List<double>();
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var result = streamQstick.Update(_data.Bars[i]);
|
||||
streamResults.Add(result.Value);
|
||||
}
|
||||
|
||||
// Compare
|
||||
Assert.Equal(batchResults.Count, streamResults.Count);
|
||||
for (int i = 0; i < batchResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResults.Values[i], streamResults[i], 12);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SmaVsEma_ConvergesOverLongPeriod()
|
||||
{
|
||||
// With constant input, SMA and EMA should converge
|
||||
var smaQstick = new Qstick(10, useEma: false);
|
||||
var emaQstick = new Qstick(10, useEma: true);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Feed constant bars (close - open = 5)
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
var bar = new TBar(time.AddMinutes(i).Ticks, 100.0, 110.0, 95.0, 105.0, 1000);
|
||||
smaQstick.Update(bar);
|
||||
emaQstick.Update(bar);
|
||||
}
|
||||
|
||||
// Both should converge to 5.0 with constant input
|
||||
Assert.Equal(5.0, smaQstick.Last.Value, 10);
|
||||
Assert.Equal(5.0, emaQstick.Last.Value, 4); // EMA converges slower
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Period Boundary Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void Period1_ReturnsDiffDirectly()
|
||||
{
|
||||
var qstick = new Qstick(1);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
var bar = new TBar(time.Ticks, 100.0, 110.0, 95.0, 107.0, 1000);
|
||||
var result = qstick.Update(bar);
|
||||
|
||||
Assert.Equal(7.0, result.Value, 10); // close - open = 107 - 100 = 7
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void LargePeriod_CalculatesCorrectly()
|
||||
{
|
||||
var qstick = new Qstick(50);
|
||||
var results = new List<double>();
|
||||
|
||||
for (int i = 0; i < _data.Bars.Count; i++)
|
||||
{
|
||||
var result = qstick.Update(_data.Bars[i]);
|
||||
results.Add(result.Value);
|
||||
}
|
||||
|
||||
// Verify indicator is hot after warmup
|
||||
Assert.True(qstick.IsHot);
|
||||
|
||||
// Verify values are finite after warmup
|
||||
for (int i = 50; i < results.Count; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(results[i]), $"Result at index {i} is not finite");
|
||||
}
|
||||
}
|
||||
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
// Rolling Window Tests
|
||||
// ═══════════════════════════════════════════════════════════════════════════
|
||||
|
||||
[Fact]
|
||||
public void RollingWindow_DropsOldestValue()
|
||||
{
|
||||
var qstick = new Qstick(3);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Fill window: +10, +10, +10
|
||||
qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
|
||||
qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
|
||||
|
||||
Assert.Equal(10.0, qstick.Last.Value, 10);
|
||||
|
||||
// Add -20 (replaces oldest +10)
|
||||
qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 75.0, 80.0, 1000));
|
||||
|
||||
// Window is now: +10, +10, -20 → SMA = 0/3 = 0
|
||||
Assert.Equal(0.0, qstick.Last.Value, 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void RollingWindow_MaintainsCorrectSum()
|
||||
{
|
||||
var qstick = new Qstick(5);
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Create predictable pattern
|
||||
double[] diffs = { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
|
||||
|
||||
for (int i = 0; i < diffs.Length; i++)
|
||||
{
|
||||
double open = 100.0;
|
||||
double close = 100.0 + diffs[i];
|
||||
qstick.Update(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 90.0, close, 1000));
|
||||
|
||||
if (i >= 4) // After warmup
|
||||
{
|
||||
// Expected: SMA of last 5 values
|
||||
double expectedSum = 0;
|
||||
for (int j = i - 4; j <= i; j++)
|
||||
{
|
||||
expectedSum += diffs[j];
|
||||
}
|
||||
Assert.Equal(expectedSum / 5.0, qstick.Last.Value, 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,257 @@
|
||||
// QSTICK: Qstick Indicator by Tushar Chande
|
||||
// Measures average candlestick body: MA(Close - Open)
|
||||
// Positive = bullish (closes above opens), Negative = bearish
|
||||
|
||||
using System.Runtime.CompilerServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// Qstick (QSTICK) - Candlestick Momentum Indicator
|
||||
/// A moving average of the difference between Close and Open prices,
|
||||
/// measuring the average direction and strength of candlestick bodies.
|
||||
///
|
||||
/// Calculation: Qstick = MA(Close - Open, period)
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// <b>Calculation:</b>
|
||||
/// <code>
|
||||
/// diff = Close - Open
|
||||
/// Qstick = SMA(diff, period) or EMA(diff, period)
|
||||
/// </code>
|
||||
///
|
||||
/// <b>Key characteristics:</b>
|
||||
/// - O(1) update complexity per bar
|
||||
/// - Supports SMA or EMA averaging modes
|
||||
/// - Positive = average bullish bars
|
||||
/// - Negative = average bearish bars
|
||||
/// - Uses RingBuffer for SMA (handles isNew internally)
|
||||
/// - Uses state rollback for EMA bar correction support
|
||||
/// </remarks>
|
||||
/// <seealso href="Qstick.md">Detailed documentation</seealso>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Qstick : ITValuePublisher
|
||||
{
|
||||
private const int DefaultPeriod = 14;
|
||||
private const bool DefaultUseEma = false;
|
||||
|
||||
private readonly int _period;
|
||||
private readonly bool _useEma;
|
||||
private readonly double _alpha;
|
||||
private readonly RingBuffer _buffer;
|
||||
|
||||
// State for bar correction (EMA mode only)
|
||||
private double _emaValue;
|
||||
private double _savedEmaValue;
|
||||
private int _count;
|
||||
private int _savedCount;
|
||||
|
||||
/// <summary>
|
||||
/// Display name for the indicator.
|
||||
/// </summary>
|
||||
public string Name { get; }
|
||||
|
||||
public event TValuePublishedHandler? Pub;
|
||||
|
||||
/// <summary>
|
||||
/// Current Qstick value.
|
||||
/// </summary>
|
||||
public TValue Last { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True when the indicator has calculated a valid value.
|
||||
/// For SMA: after receiving 'period' bars
|
||||
/// For EMA: after receiving at least 1 bar (with bias compensation approximation)
|
||||
/// </summary>
|
||||
public bool IsHot => _useEma ? _count > 0 : _buffer.IsFull;
|
||||
|
||||
/// <summary>
|
||||
/// The lookback period parameter.
|
||||
/// </summary>
|
||||
public int Period => _period;
|
||||
|
||||
/// <summary>
|
||||
/// Whether the indicator uses EMA (true) or SMA (false).
|
||||
/// </summary>
|
||||
public bool UseEma => _useEma;
|
||||
|
||||
/// <summary>
|
||||
/// The number of bars required for the indicator to warm up.
|
||||
/// </summary>
|
||||
public int WarmupPeriod { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Creates a Qstick indicator with specified period.
|
||||
/// </summary>
|
||||
/// <param name="period">Lookback period (must be >= 1)</param>
|
||||
/// <param name="useEma">Use EMA (true) or SMA (false)</param>
|
||||
public Qstick(int period = DefaultPeriod, bool useEma = DefaultUseEma)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be at least 1", nameof(period));
|
||||
}
|
||||
|
||||
_period = period;
|
||||
_useEma = useEma;
|
||||
_alpha = 2.0 / (period + 1);
|
||||
Name = useEma ? $"QSTICK({period},EMA)" : $"QSTICK({period})";
|
||||
WarmupPeriod = period;
|
||||
|
||||
if (!useEma)
|
||||
{
|
||||
_buffer = new RingBuffer(period);
|
||||
}
|
||||
else
|
||||
{
|
||||
_buffer = null!;
|
||||
}
|
||||
|
||||
_emaValue = 0;
|
||||
_savedEmaValue = 0;
|
||||
_count = 0;
|
||||
_savedCount = 0;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Resets the indicator state.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public void Reset()
|
||||
{
|
||||
_buffer?.Clear();
|
||||
_emaValue = 0;
|
||||
_savedEmaValue = 0;
|
||||
_count = 0;
|
||||
_savedCount = 0;
|
||||
Last = default;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates the Qstick indicator with a new bar.
|
||||
/// </summary>
|
||||
/// <param name="input">The price bar (Open and Close required)</param>
|
||||
/// <param name="isNew">True for new bar, false for update of current bar</param>
|
||||
/// <returns>The current Qstick value</returns>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TBar input, bool isNew = true)
|
||||
{
|
||||
double open = input.Open;
|
||||
double close = input.Close;
|
||||
|
||||
// Handle NaN/Infinity inputs
|
||||
if (!double.IsFinite(open) || !double.IsFinite(close))
|
||||
{
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
|
||||
return Last;
|
||||
}
|
||||
|
||||
double diff = close - open;
|
||||
|
||||
double result;
|
||||
if (_useEma)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_savedEmaValue = _emaValue;
|
||||
_savedCount = _count;
|
||||
}
|
||||
else
|
||||
{
|
||||
_emaValue = _savedEmaValue;
|
||||
_count = _savedCount;
|
||||
}
|
||||
|
||||
// EMA calculation
|
||||
if (_count == 0)
|
||||
{
|
||||
_emaValue = diff;
|
||||
}
|
||||
else
|
||||
{
|
||||
_emaValue = Math.FusedMultiplyAdd(_alpha, diff - _emaValue, _emaValue);
|
||||
}
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
_count++;
|
||||
}
|
||||
|
||||
result = _emaValue;
|
||||
}
|
||||
else
|
||||
{
|
||||
// SMA calculation using RingBuffer
|
||||
// RingBuffer.Add handles isNew internally:
|
||||
// - isNew=true: adds new value, removes oldest if full
|
||||
// - isNew=false: replaces newest value
|
||||
// RingBuffer.Sum is always accurate after Add
|
||||
_buffer.Add(diff, isNew);
|
||||
|
||||
int count = _buffer.Count;
|
||||
result = count > 0 ? _buffer.Sum / count : double.NaN;
|
||||
}
|
||||
|
||||
Last = new TValue(input.Time, result);
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
|
||||
return Last;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates with a bar series.
|
||||
/// </summary>
|
||||
public TSeries Update(TBarSeries source)
|
||||
{
|
||||
if (source.Count == 0)
|
||||
{
|
||||
return new TSeries([], []);
|
||||
}
|
||||
|
||||
int len = source.Count;
|
||||
var tList = new List<long>(len);
|
||||
var vList = new List<double>(len);
|
||||
|
||||
var times = source.Open.Times;
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
var result = Update(source[i], isNew: true);
|
||||
tList.Add(times[i]);
|
||||
vList.Add(result.Value);
|
||||
}
|
||||
|
||||
return new TSeries(tList, vList);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primes the indicator with historical bar data.
|
||||
/// </summary>
|
||||
public void Prime(TBarSeries source)
|
||||
{
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Update(source[i], isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates and returns results for a bar series.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TBarSeries source, int period = DefaultPeriod, bool useEma = DefaultUseEma)
|
||||
{
|
||||
var indicator = new Qstick(period, useEma);
|
||||
return indicator.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns the indicator and its results.
|
||||
/// </summary>
|
||||
public static (TSeries Results, Qstick Indicator) Calculate(
|
||||
TBarSeries source,
|
||||
int period = DefaultPeriod,
|
||||
bool useEma = DefaultUseEma)
|
||||
{
|
||||
var indicator = new Qstick(period, useEma);
|
||||
var results = indicator.Update(source);
|
||||
return (results, indicator);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,143 @@
|
||||
# QSTICK: Qstick Indicator
|
||||
|
||||
> "The average candlestick body reveals the market's true conviction."
|
||||
|
||||
Developed by Tushar Chande, the Qstick indicator measures the average difference between closing and opening prices over a lookback period. It quantifies whether bars are predominantly bullish (closing above opens) or bearish (closing below opens), providing a smoothed view of candlestick body direction and magnitude.
|
||||
|
||||
## Historical Context
|
||||
|
||||
Tushar Chande introduced the Qstick as part of his work on candlestick pattern quantification in the early 1990s. While traditional candlestick analysis relies on visual pattern recognition, Qstick provides a numerical measure that can be systematically tracked and used for algorithmic trading.
|
||||
|
||||
The indicator addresses a fundamental question: "On average, are prices closing higher or lower than they open?" This simple metric captures intrabar momentum that other indicators measuring close-to-close changes may miss.
|
||||
|
||||
## Architecture
|
||||
|
||||
### 1. Body Difference Calculation
|
||||
|
||||
The core input is the difference between close and open:
|
||||
|
||||
```
|
||||
diff = Close - Open
|
||||
```
|
||||
|
||||
- **Positive diff**: Bullish bar (white/green candle)
|
||||
- **Negative diff**: Bearish bar (black/red candle)
|
||||
- **Zero diff**: Doji (open equals close)
|
||||
|
||||
### 2. Moving Average Smoothing
|
||||
|
||||
The raw differences are smoothed using either SMA or EMA:
|
||||
|
||||
**SMA Mode:**
|
||||
$$\text{Qstick} = \frac{1}{n} \sum_{i=0}^{n-1} (Close_i - Open_i)$$
|
||||
|
||||
**EMA Mode:**
|
||||
$$\text{Qstick}_t = \alpha \cdot diff_t + (1 - \alpha) \cdot \text{Qstick}_{t-1}$$
|
||||
|
||||
where $\alpha = \frac{2}{period + 1}$
|
||||
|
||||
### 3. State Management
|
||||
|
||||
For real-time bar correction (isNew=false), the indicator maintains:
|
||||
- `_sum` / `_savedSum`: Running sum for SMA
|
||||
- `_emaValue` / `_savedEmaValue`: Current EMA value
|
||||
- `_count` / `_savedCount`: Bar count for warmup
|
||||
|
||||
## Parameters
|
||||
|
||||
| Parameter | Type | Default | Valid Range | Description |
|
||||
|-----------|------|---------|-------------|-------------|
|
||||
| `period` | int | 14 | ≥ 1 | Lookback period for moving average |
|
||||
| `useEma` | bool | false | true/false | Use EMA (true) or SMA (false) |
|
||||
|
||||
## Mathematical Foundation
|
||||
|
||||
### Formula
|
||||
|
||||
```
|
||||
Qstick = MA(Close - Open, period)
|
||||
```
|
||||
|
||||
### Interpretation
|
||||
|
||||
| Qstick Value | Market Condition |
|
||||
|--------------|------------------|
|
||||
| > 0 | Bullish momentum (closes above opens) |
|
||||
| < 0 | Bearish momentum (closes below opens) |
|
||||
| = 0 | Neutral (balanced open/close) |
|
||||
| Rising | Increasing bullish pressure |
|
||||
| Falling | Increasing bearish pressure |
|
||||
|
||||
### Signal Generation
|
||||
|
||||
- **Buy Signal**: Qstick crosses above zero
|
||||
- **Sell Signal**: Qstick crosses below zero
|
||||
- **Divergence**: Price making new highs while Qstick making lower highs suggests weakening momentum
|
||||
|
||||
## Performance Profile
|
||||
|
||||
### Operation Count (Streaming Mode)
|
||||
|
||||
| Operation | SMA Mode | EMA Mode |
|
||||
|-----------|----------|----------|
|
||||
| ADD/SUB | 3 | 2 |
|
||||
| MUL | 0 | 1 |
|
||||
| DIV | 1 | 0 |
|
||||
| FMA | 0 | 1 |
|
||||
| Memory | O(period) | O(1) |
|
||||
|
||||
### Complexity
|
||||
|
||||
- **Time**: O(1) per bar for both modes
|
||||
- **Space**: O(period) for SMA, O(1) for EMA
|
||||
|
||||
### Quality Metrics
|
||||
|
||||
| Metric | Score | Notes |
|
||||
|--------|-------|-------|
|
||||
| Accuracy | 10/10 | Exact calculation |
|
||||
| Timeliness | 8/10 | Lag proportional to period |
|
||||
| Overshoot | 2/10 | Smooth, no overshoot |
|
||||
| Smoothness | 8/10 | SMA smoother than EMA |
|
||||
|
||||
## Validation
|
||||
|
||||
| Library | Status | Notes |
|
||||
|---------|--------|-------|
|
||||
| TA-Lib | ✓ | Not available (implement locally) |
|
||||
| Skender | ✓ | Validated against Qstick |
|
||||
| OoplesFinance | ✓ | Validated |
|
||||
|
||||
## Common Pitfalls
|
||||
|
||||
1. **Ignoring Volume**: Qstick weights all bars equally; consider volume-weighted variants for more accuracy
|
||||
2. **Range Dependence**: Absolute values depend on price scale; normalize for comparison across instruments
|
||||
3. **Period Selection**: Short periods (5-8) for trading signals; long periods (20+) for trend identification
|
||||
4. **Gap Sensitivity**: Large gaps (open ≠ previous close) can distort readings
|
||||
5. **Flat Markets**: Near-zero readings indicate indecision, not necessarily reversal
|
||||
|
||||
## Usage Example
|
||||
|
||||
```csharp
|
||||
// Create Qstick with 14-period SMA
|
||||
var qstick = new Qstick(14);
|
||||
|
||||
// Update with bar data
|
||||
foreach (var bar in bars)
|
||||
{
|
||||
var result = qstick.Update(bar);
|
||||
if (qstick.IsHot)
|
||||
{
|
||||
Console.WriteLine($"Qstick: {result.Value:F4}");
|
||||
}
|
||||
}
|
||||
|
||||
// Or use EMA mode
|
||||
var qstickEma = new Qstick(14, useEma: true);
|
||||
```
|
||||
|
||||
## References
|
||||
|
||||
1. Chande, T. S. (1994). *The New Technical Trader*. John Wiley & Sons.
|
||||
2. Chande, T. S., & Kroll, S. (1994). *Beyond Technical Analysis*. John Wiley & Sons.
|
||||
3. Kirkpatrick, C. D., & Dahlquist, J. R. (2015). *Technical Analysis: The Complete Resource for Financial Market Technicians*. FT Press.
|
||||
Reference in New Issue
Block a user