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normalization of methods
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Miha Kralj
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using Xunit;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Validation tests for Qstick indicator.
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/// Validates against manual formula calculations since Qstick is not
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/// available in TA-Lib, Skender, Tulip, or Ooples.
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/// </summary>
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public sealed class QstickValidationTests : IDisposable
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{
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private readonly ValidationTestData _data;
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public QstickValidationTests()
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{
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_data = new ValidationTestData();
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}
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public void Dispose()
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{
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_data.Dispose();
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Mathematical Correctness Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void ManualCalculation_MatchesFormula()
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{
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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// Create known bars
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff = 5
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 92.0, 97.0, 1000)); // diff = -3
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 106.0, 94.0, 104.0, 1000)); // diff = 4
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bars.Add(new TBar(time.AddMinutes(3).Ticks, 100.0, 107.0, 93.0, 98.0, 1000)); // diff = -2
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bars.Add(new TBar(time.AddMinutes(4).Ticks, 100.0, 109.0, 91.0, 106.0, 1000)); // diff = 6
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var qstick = new Qstick(5);
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for (int i = 0; i < bars.Count; i++)
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{
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qstick.Update(bars[i]);
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}
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// Expected: SMA of (5, -3, 4, -2, 6) = 10/5 = 2.0
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Assert.Equal(2.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void ManualCalculation_Period3()
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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: diff = 8
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qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 108.0, 1000));
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// Bar 2: diff = -4
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 102.0, 90.0, 96.0, 1000));
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// Bar 3: diff = 6
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 106.0, 1000));
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// Expected: SMA(8, -4, 6) = 10/3 ≈ 3.333
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Assert.Equal(10.0 / 3.0, result.Value, 10);
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}
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[Fact]
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public void ManualCalculation_Period7()
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{
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var qstick = new Qstick(7);
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var time = DateTime.UtcNow;
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double[] diffs = { 5, -3, 4, -2, 6, -1, 3 };
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for (int i = 0; i < diffs.Length; i++)
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{
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double open = 100.0;
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double close = 100.0 + diffs[i];
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qstick.Update(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 90.0, close, 1000));
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}
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// Expected: SMA of 5, -3, 4, -2, 6, -1, 3 = 12/7 ≈ 1.714
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double expectedSum = 5 - 3 + 4 - 2 + 6 - 1 + 3; // = 12
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Assert.Equal(expectedSum / 7.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void EmaCalculation_MatchesFormula()
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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 = 10
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qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
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Assert.Equal(10.0, qstick.Last.Value, 10);
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// Bar 2: diff = -6, EMA = 0.5 * -6 + 0.5 * 10 = 2.0
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 102.0, 90.0, 94.0, 1000));
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Assert.Equal(2.0, qstick.Last.Value, 10);
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// Bar 3: diff = 4, EMA = 0.5 * 4 + 0.5 * 2 = 3.0
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 104.0, 1000));
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Assert.Equal(3.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void EmaCalculation_Period5()
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{
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var qstick = new Qstick(5, useEma: true); // alpha = 2/(5+1) = 1/3
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var time = DateTime.UtcNow;
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double alpha = 2.0 / 6.0;
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// Bar 1: diff = 6
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 106.0, 1000));
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double expectedEma = 6.0;
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Assert.Equal(expectedEma, qstick.Last.Value, 10);
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// Bar 2: diff = 3, EMA = alpha * 3 + (1-alpha) * 6-
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 96.0, 103.0, 1000));
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expectedEma = alpha * 3 + (1 - alpha) * expectedEma;
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Assert.Equal(expectedEma, qstick.Last.Value, 10);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Edge Case Validation
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void ZeroCrossing_IdentifiesCorrectly()
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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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// Start bullish
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 106.0, 1000)); // +6
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 108.0, 92.0, 104.0, 1000)); // +4
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 106.0, 94.0, 102.0, 1000)); // +2
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Assert.True(qstick.Last.Value > 0);
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// Shift to bearish
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qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 90.0, 92.0, 1000)); // -8
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qstick.Update(new TBar(time.AddMinutes(4).Ticks, 100.0, 104.0, 88.0, 90.0, 1000)); // -10
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qstick.Update(new TBar(time.AddMinutes(5).Ticks, 100.0, 103.0, 86.0, 88.0, 1000)); // -12
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Assert.True(qstick.Last.Value < 0);
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}
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[Fact]
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public void LargeGaps_HandledCorrectly()
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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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// Gap up scenario - previous close has no effect on body calculation
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qstick.Update(new TBar(time.Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff = 3
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 110.0, 118.0, 108.0, 115.0, 1000)); // diff = 5 (gap up)
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 120.0, 125.0, 118.0, 122.0, 1000)); // diff = 2 (gap up)
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// SMA = (3 + 5 + 2) / 3 = 10/3 ≈ 3.333
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Assert.Equal(10.0 / 3.0, qstick.Last.Value, 10);
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}
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[Fact]
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public void AlternatingBullishBearish_AveragesToNearZero()
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{
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var qstick = new Qstick(4);
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var time = DateTime.UtcNow;
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// Alternating pattern
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // +5
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 90.0, 95.0, 1000)); // -5
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // +5
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qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 90.0, 95.0, 1000)); // -5
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// SMA = (5 - 5 + 5 - 5) / 4 = 0
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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 AllDoji_ReturnsZero()
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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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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)); // diff = 0
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}
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Assert.Equal(0.0, qstick.Last.Value, 10);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Stability Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void LongSeries_MaintainsStability()
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{
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var qstick = new Qstick(14);
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var results = new List<double>();
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for (int i = 0; i < _data.Bars.Count; i++)
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{
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var result = qstick.Update(_data.Bars[i]);
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results.Add(result.Value);
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}
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// Verify no NaN or Infinity after warmup
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for (int i = 14; i < results.Count; i++)
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{
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Assert.True(double.IsFinite(results[i]), $"Result at index {i} is not finite: {results[i]}");
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}
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}
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[Fact]
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public void BatchVsStreaming_MatchesExactly()
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{
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// Batch processing
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var batchResults = Qstick.Batch(_data.Bars, period: 14);
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// Streaming processing
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var streamQstick = new Qstick(14);
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var streamResults = new List<double>();
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for (int i = 0; i < _data.Bars.Count; i++)
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{
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var result = streamQstick.Update(_data.Bars[i]);
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streamResults.Add(result.Value);
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}
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// Compare
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Assert.Equal(batchResults.Count, streamResults.Count);
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for (int i = 0; i < batchResults.Count; i++)
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{
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Assert.Equal(batchResults.Values[i], streamResults[i], 12);
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}
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}
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[Fact]
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public void SmaVsEma_ConvergesOverLongPeriod()
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{
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// With constant input, SMA and EMA should converge
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var smaQstick = new Qstick(10, useEma: false);
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var emaQstick = new Qstick(10, useEma: true);
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var time = DateTime.UtcNow;
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// Feed constant bars (close - open = 5)
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for (int i = 0; i < 100; i++)
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{
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var bar = new TBar(time.AddMinutes(i).Ticks, 100.0, 110.0, 95.0, 105.0, 1000);
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smaQstick.Update(bar);
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emaQstick.Update(bar);
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}
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// Both should converge to 5.0 with constant input
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Assert.Equal(5.0, smaQstick.Last.Value, 10);
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Assert.Equal(5.0, emaQstick.Last.Value, 4); // EMA converges slower
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Period Boundary Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Period1_ReturnsDiffDirectly()
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{
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var qstick = new Qstick(1);
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var time = DateTime.UtcNow;
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var bar = new TBar(time.Ticks, 100.0, 110.0, 95.0, 107.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(7.0, result.Value, 10); // close - open = 107 - 100 = 7
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}
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[Fact]
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public void LargePeriod_CalculatesCorrectly()
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{
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var qstick = new Qstick(50);
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var results = new List<double>();
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for (int i = 0; i < _data.Bars.Count; i++)
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{
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var result = qstick.Update(_data.Bars[i]);
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results.Add(result.Value);
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}
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// Verify indicator is hot after warmup
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Assert.True(qstick.IsHot);
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// Verify values are finite after warmup
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for (int i = 50; i < results.Count; i++)
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{
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Assert.True(double.IsFinite(results[i]), $"Result at index {i} is not finite");
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}
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Rolling Window Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void RollingWindow_DropsOldestValue()
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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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// Fill window: +10, +10, +10
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qstick.Update(new TBar(time.Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 115.0, 95.0, 110.0, 1000));
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Assert.Equal(10.0, qstick.Last.Value, 10);
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// Add -20 (replaces oldest +10)
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qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 75.0, 80.0, 1000));
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// Window is now: +10, +10, -20 → SMA = 0/3 = 0
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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 RollingWindow_MaintainsCorrectSum()
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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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// Create predictable pattern
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double[] diffs = { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 };
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for (int i = 0; i < diffs.Length; i++)
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{
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double open = 100.0;
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double close = 100.0 + diffs[i];
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qstick.Update(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 90.0, close, 1000));
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if (i >= 4) // After warmup
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{
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// Expected: SMA of last 5 values
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double expectedSum = 0;
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for (int j = i - 4; j <= i; j++)
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{
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expectedSum += diffs[j];
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}
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Assert.Equal(expectedSum / 5.0, qstick.Last.Value, 10);
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}
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}
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}
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}
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