mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-24 05:28:05 +00:00
fix: resolve build and test errors
- Sar.Quantower.Tests.cs: add missing opening quote on string literal (line 48) - Exports.cs: rename Correlation.Batch → Correl.Batch (CS0103) - Ad.Validation.Tests.cs: fix Ooples OutputValues key "Ad" → "Adl"
This commit is contained in:
@@ -0,0 +1,139 @@
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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 DcIndicatorTests
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{
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[Fact]
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public void Constructor_SetsDefaults()
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{
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var ind = new DcIndicator();
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Assert.Equal(20, ind.Period);
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Assert.True(ind.ShowColdValues);
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Assert.Equal("Dc - Donchian Channels", ind.Name);
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Assert.False(ind.SeparateWindow);
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Assert.True(ind.OnBackGround);
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}
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[Fact]
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public void MinHistoryDepths_EqualsPeriod()
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{
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var ind = new DcIndicator { Period = 15 };
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Assert.Equal(15, ind.MinHistoryDepths);
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}
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[Fact]
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public void ShortName_ReflectsParameters()
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{
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var ind = new DcIndicator { Period = 12 };
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Assert.Contains("12", ind.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void Initialize_AddsThreeLineSeries()
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{
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var ind = new DcIndicator { Period = 14 };
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ind.Initialize();
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Assert.Equal(3, ind.LinesSeries.Count);
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Assert.Equal("Middle", ind.LinesSeries[0].Name);
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Assert.Equal("Upper", ind.LinesSeries[1].Name);
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Assert.Equal("Lower", ind.LinesSeries[2].Name);
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}
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[Fact]
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public void ProcessUpdate_Historical_ComputesValues()
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{
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var ind = new DcIndicator { Period = 3 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 110, 90, 102);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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Assert.Equal(1, ind.LinesSeries[0].Count);
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Assert.True(double.IsFinite(ind.LinesSeries[0].GetValue(0)));
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Assert.True(double.IsFinite(ind.LinesSeries[1].GetValue(0)));
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Assert.True(double.IsFinite(ind.LinesSeries[2].GetValue(0)));
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}
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[Fact]
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public void ProcessUpdate_NewBar_Appends()
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{
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var ind = new DcIndicator { Period = 3 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 110, 90, 102);
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ind.HistoricalData.AddBar(now.AddMinutes(1), 102, 112, 92, 104);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, ind.LinesSeries[0].Count);
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}
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[Fact]
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public void ProcessUpdate_NewTick_DoesNotThrow()
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{
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var ind = new DcIndicator { Period = 5 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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ind.HistoricalData.AddBar(now, 100, 105, 95, 102);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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Assert.Equal(2, ind.LinesSeries[0].Count);
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}
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[Fact]
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public void MultipleUpdates_ProducesFiniteSeries()
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{
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var ind = new DcIndicator { Period = 5 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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Assert.Equal(10, ind.LinesSeries[0].Count);
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Assert.Equal(10, ind.LinesSeries[1].Count);
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Assert.Equal(10, ind.LinesSeries[2].Count);
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for (int i = 0; i < 10; i++)
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{
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Assert.True(double.IsFinite(ind.LinesSeries[0].GetValue(i)));
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Assert.True(double.IsFinite(ind.LinesSeries[1].GetValue(i)));
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Assert.True(double.IsFinite(ind.LinesSeries[2].GetValue(i)));
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}
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}
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[Fact]
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public void Bands_Order_Correct()
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{
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var ind = new DcIndicator { Period = 3 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 6; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100, 110 + i, 90 - i, 100, 1000);
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ind.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
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}
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double middle = ind.LinesSeries[0].GetValue(0);
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double upper = ind.LinesSeries[1].GetValue(0);
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double lower = ind.LinesSeries[2].GetValue(0);
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Assert.True(upper >= middle, $"Upper ({upper}) should be >= Middle ({middle})");
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Assert.True(lower <= middle, $"Lower ({lower}) should be <= Middle ({middle})");
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}
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}
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@@ -0,0 +1,246 @@
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using System;
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using QuanTAlib;
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using Xunit;
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namespace QuanTAlib.Tests;
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public class DcTests
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{
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[Fact]
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public void Dc_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Dc(0));
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Assert.Throws<ArgumentException>(() => new Dc(-5));
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var d = new Dc(10);
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Assert.Equal(10, d.WarmupPeriod);
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Assert.Contains("Dc", d.Name, StringComparison.OrdinalIgnoreCase);
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}
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[Fact]
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public void Dc_InitialState_Defaults()
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{
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var d = new Dc(5);
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Assert.Equal(0, d.Last.Value);
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Assert.Equal(0, d.Upper.Value);
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Assert.Equal(0, d.Lower.Value);
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Assert.False(d.IsHot);
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}
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[Fact]
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public void Dc_CalculatesBands()
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{
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var d = new Dc(3);
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d.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000));
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d.Update(new TBar(DateTime.UtcNow, 105, 115, 95, 110, 1000));
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d.Update(new TBar(DateTime.UtcNow, 110, 120, 100, 115, 1000));
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// Highest High = 120, Lowest Low = 90, Middle = 105
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Assert.Equal(120.0, d.Upper.Value, 1e-10);
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Assert.Equal(90.0, d.Lower.Value, 1e-10);
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Assert.Equal(105.0, d.Last.Value, 1e-10);
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Assert.True(d.IsHot);
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}
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[Fact]
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public void Dc_SlidingWindow_Updates()
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{
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var d = new Dc(2);
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d.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
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d.Update(new TBar(DateTime.UtcNow, 101, 111, 91, 101, 1000));
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double mid1 = d.Last.Value;
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d.Update(new TBar(DateTime.UtcNow, 102, 109, 95, 102, 1000));
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Assert.NotEqual(mid1, d.Last.Value);
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// Period=2: last 2 bars have H=[111,109], L=[91,95]
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// Upper=111, Lower=91, Middle=101
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Assert.Equal(111.0, d.Upper.Value, 1e-10);
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Assert.Equal(91.0, d.Lower.Value, 1e-10);
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Assert.Equal(101.0, d.Last.Value, 1e-10);
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}
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[Fact]
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public void Dc_IsHot_TurnsTrueAfterWarmup()
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{
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var d = new Dc(4);
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for (int i = 0; i < 3; i++)
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{
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d.Update(new TBar(DateTime.UtcNow, 100 + i, 101 + i, 99 + i, 100 + i, 1000));
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Assert.False(d.IsHot);
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}
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d.Update(new TBar(DateTime.UtcNow, 200, 201, 199, 200, 1000));
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Assert.True(d.IsHot);
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}
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[Fact]
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public void Dc_IsNewFalse_RebuildsState()
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{
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var d = new Dc(3);
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var gbm = new GBM(startPrice: 100, mu: 0.01, sigma: 0.1, seed: 7);
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TBar remembered = default;
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for (int i = 0; i < 6; i++)
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{
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remembered = gbm.Next(isNew: true);
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d.Update(remembered, isNew: true);
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}
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double mid = d.Last.Value;
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double up = d.Upper.Value;
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double lo = d.Lower.Value;
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for (int i = 0; i < 3; i++)
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{
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var corrected = gbm.Next(isNew: false);
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d.Update(corrected, isNew: false);
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}
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d.Update(remembered, isNew: false);
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Assert.Equal(mid, d.Last.Value, 1e-10);
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Assert.Equal(up, d.Upper.Value, 1e-10);
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Assert.Equal(lo, d.Lower.Value, 1e-10);
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}
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[Fact]
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public void Dc_NaN_UsesLastValid()
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{
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var d = new Dc(3);
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d.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 105, 1000));
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d.Update(new TBar(DateTime.UtcNow, 101, 111, 91, 106, 1000));
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var result = d.Update(new TBar(DateTime.UtcNow, 102, double.NaN, 92, 107, 1000));
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Assert.True(double.IsFinite(result.Value));
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Assert.True(double.IsFinite(d.Upper.Value));
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Assert.True(double.IsFinite(d.Lower.Value));
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var result2 = d.Update(new TBar(DateTime.UtcNow, 103, 113, double.PositiveInfinity, 108, 1000));
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Assert.True(double.IsFinite(result2.Value));
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}
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[Fact]
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public void Dc_Reset_Clears()
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{
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var d = new Dc(3);
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d.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
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d.Update(new TBar(DateTime.UtcNow, 101, 111, 91, 101, 1000));
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d.Reset();
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Assert.Equal(0, d.Last.Value);
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Assert.Equal(0, d.Upper.Value);
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Assert.Equal(0, d.Lower.Value);
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Assert.False(d.IsHot);
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d.Update(new TBar(DateTime.UtcNow, 50, 60, 40, 55, 1000));
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Assert.NotEqual(0, d.Last.Value);
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}
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[Fact]
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public void Dc_BatchVsStreaming_Match()
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{
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var dStream = new Dc(10);
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var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.1, seed: 42);
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var series = new TBarSeries();
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for (int i = 0; i < 200; i++)
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{
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var bar = gbm.Next(isNew: true);
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series.Add(bar);
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dStream.Update(bar, isNew: true);
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}
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double expectedMid = dStream.Last.Value;
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double expectedUp = dStream.Upper.Value;
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double expectedLo = dStream.Lower.Value;
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var (midBatch, upBatch, loBatch) = Dc.Batch(series, 10);
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Assert.Equal(expectedMid, midBatch.Last.Value, 1e-10);
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Assert.Equal(expectedUp, upBatch.Last.Value, 1e-10);
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Assert.Equal(expectedLo, loBatch.Last.Value, 1e-10);
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}
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[Fact]
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public void Dc_SpanBatch_Validates()
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{
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double[] high = [110, 115, 120];
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double[] low = [90, 95, 100];
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double[] middle = new double[3];
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double[] upper = new double[3];
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double[] lower = new double[3];
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double[] highShort = [110, 115];
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double[] smallOut = new double[1];
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Assert.Throws<ArgumentException>(() => Dc.Batch(high.AsSpan(), low.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Dc.Batch(high.AsSpan(), low.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), -1));
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Assert.Throws<ArgumentException>(() => Dc.Batch(highShort.AsSpan(), low.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 2));
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Assert.Throws<ArgumentException>(() => Dc.Batch(high.AsSpan(), low.AsSpan(), smallOut.AsSpan(), upper.AsSpan(), lower.AsSpan(), 2));
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}
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[Fact]
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public void Dc_SpanBatch_ComputesCorrectly()
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{
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double[] high = [110, 115, 120, 125];
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double[] low = [90, 95, 100, 105];
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double[] middle = new double[4];
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double[] upper = new double[4];
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double[] lower = new double[4];
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Dc.Batch(high.AsSpan(), low.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3);
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// Period=3: index 2 is first valid (indices 0,1,2)
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// H=[110,115,120], L=[90,95,100] → Upper=120, Lower=90, Middle=105
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Assert.Equal(120.0, upper[2], 1e-10);
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Assert.Equal(90.0, lower[2], 1e-10);
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Assert.Equal(105.0, middle[2], 1e-10);
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// Index 3: H=[115,120,125], L=[95,100,105] → Upper=125, Lower=95, Middle=110
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Assert.Equal(125.0, upper[3], 1e-10);
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Assert.Equal(95.0, lower[3], 1e-10);
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Assert.Equal(110.0, middle[3], 1e-10);
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}
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[Fact]
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public void Dc_Calculate_ReturnsIndicatorAndResults()
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{
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var series = new TBarSeries();
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series.Add(DateTime.UtcNow, 100, 110, 90, 100, 1000);
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series.Add(DateTime.UtcNow, 105, 115, 95, 105, 1000);
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series.Add(DateTime.UtcNow, 110, 120, 100, 110, 1000);
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var ((mid, up, lo), ind) = Dc.Calculate(series, 2);
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Assert.True(ind.IsHot);
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// Period=2: last 2 bars H=[115,120], L=[95,100] → Upper=120, Lower=95, Middle=107.5
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Assert.Equal(120.0, up.Last.Value, 1e-10);
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Assert.Equal(95.0, lo.Last.Value, 1e-10);
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Assert.Equal(107.5, mid.Last.Value, 1e-10);
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ind.Update(new TBar(DateTime.UtcNow, 120, 130, 110, 120, 1000));
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// Period=2: last 2 bars H=[120,130], L=[100,110] → Upper=130, Lower=100, Middle=115
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Assert.Equal(130.0, ind.Upper.Value, 1e-10);
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Assert.Equal(100.0, ind.Lower.Value, 1e-10);
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Assert.Equal(115.0, ind.Last.Value, 1e-10);
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}
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[Fact]
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public void Dc_Event_Publishes()
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{
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var src = new TBarSeries();
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var d = new Dc(src, 2);
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bool fired = false;
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d.Pub += (object? sender, in TValueEventArgs args) => fired = true;
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src.Add(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
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Assert.True(fired);
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}
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}
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@@ -0,0 +1,350 @@
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using Skender.Stock.Indicators;
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using Xunit.Abstractions;
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Models;
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namespace QuanTAlib.Tests;
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public sealed class DcValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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private bool _disposed;
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public DcValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData();
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}
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public void Dispose() => Dispose(true);
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private void Dispose(bool disposing)
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{
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if (_disposed)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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[Fact]
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public void Validate_ManualCalculation_Period3()
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{
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var series = new TBarSeries();
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var t0 = DateTime.UtcNow;
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series.Add(new TBar(t0, 0, 12, 8, 10, 100));
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series.Add(new TBar(t0.AddMinutes(1), 0, 14, 10, 12, 100));
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series.Add(new TBar(t0.AddMinutes(2), 0, 16, 12, 14, 100));
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var ind = new Dc(3);
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var (mid, up, lo) = ind.Update(series);
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Assert.Equal(16.0, up.Last.Value, 1e-10);
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Assert.Equal(8.0, lo.Last.Value, 1e-10);
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Assert.Equal(12.0, mid.Last.Value, 1e-10);
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Assert.True(ind.IsHot);
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_output.WriteLine("Dc manual period-3 calculation validated");
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}
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[Fact]
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public void Validate_AllModes_Consistency()
|
||||
{
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int[] periods = { 5, 10, 20, 50 };
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||||
|
||||
foreach (int period in periods)
|
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{
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// Batch (instance)
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var inst = new Dc(period);
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var (bMid, bUp, bLo) = inst.Update(_testData.Bars);
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// Static batch
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var (sMid, sUp, sLo) = Dc.Batch(_testData.Bars, period);
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||||
|
||||
ValidationHelper.VerifySeriesEqual(bMid, sMid);
|
||||
ValidationHelper.VerifySeriesEqual(bUp, sUp);
|
||||
ValidationHelper.VerifySeriesEqual(bLo, sLo);
|
||||
|
||||
// Streaming
|
||||
var streaming = new Dc(period);
|
||||
var sMidStream = new TSeries();
|
||||
var sUpStream = new TSeries();
|
||||
var sLoStream = new TSeries();
|
||||
foreach (var bar in _testData.Bars)
|
||||
{
|
||||
streaming.Update(bar);
|
||||
sMidStream.Add(streaming.Last);
|
||||
sUpStream.Add(streaming.Upper);
|
||||
sLoStream.Add(streaming.Lower);
|
||||
}
|
||||
|
||||
ValidationHelper.VerifySeriesEqual(sMid, sMidStream);
|
||||
ValidationHelper.VerifySeriesEqual(sUp, sUpStream);
|
||||
ValidationHelper.VerifySeriesEqual(sLo, sLoStream);
|
||||
|
||||
// Span
|
||||
double[] high = _testData.HighPrices.ToArray();
|
||||
double[] low = _testData.LowPrices.ToArray();
|
||||
double[] spanMid = new double[high.Length];
|
||||
double[] spanUp = new double[high.Length];
|
||||
double[] spanLo = new double[high.Length];
|
||||
Dc.Batch(high.AsSpan(), low.AsSpan(),
|
||||
spanMid.AsSpan(), spanUp.AsSpan(), spanLo.AsSpan(), period);
|
||||
|
||||
for (int i = 0; i < high.Length; i++)
|
||||
{
|
||||
Assert.Equal(sMid[i].Value, spanMid[i], 9);
|
||||
Assert.Equal(sUp[i].Value, spanUp[i], 9);
|
||||
Assert.Equal(sLo[i].Value, spanLo[i], 9);
|
||||
}
|
||||
}
|
||||
|
||||
_output.WriteLine("Dc mode consistency validated (batch/stream/span)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_EventingMode_MatchesBatch()
|
||||
{
|
||||
const int period = 20;
|
||||
var pub = new TBarSeries();
|
||||
var evtInd = new Dc(pub, period);
|
||||
var evtMid = new TSeries();
|
||||
var evtUp = new TSeries();
|
||||
var evtLo = new TSeries();
|
||||
|
||||
foreach (var bar in _testData.Bars)
|
||||
{
|
||||
pub.Add(bar);
|
||||
evtMid.Add(evtInd.Last);
|
||||
evtUp.Add(evtInd.Upper);
|
||||
evtLo.Add(evtInd.Lower);
|
||||
}
|
||||
|
||||
var (bMid, bUp, bLo) = Dc.Batch(_testData.Bars, period);
|
||||
|
||||
ValidationHelper.VerifySeriesEqual(bMid, evtMid);
|
||||
ValidationHelper.VerifySeriesEqual(bUp, evtUp);
|
||||
ValidationHelper.VerifySeriesEqual(bLo, evtLo);
|
||||
|
||||
_output.WriteLine("Dc eventing mode validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Calculate_ReturnsHotIndicator()
|
||||
{
|
||||
const int period = 15;
|
||||
var ((mid, up, lo), ind) = Dc.Calculate(_testData.Bars, period);
|
||||
|
||||
Assert.True(ind.IsHot);
|
||||
Assert.Equal(period, ind.WarmupPeriod);
|
||||
Assert.Equal(mid.Last.Value, ind.Last.Value, 1e-10);
|
||||
Assert.Equal(up.Last.Value, ind.Upper.Value, 1e-10);
|
||||
Assert.Equal(lo.Last.Value, ind.Lower.Value, 1e-10);
|
||||
|
||||
// Continue streaming
|
||||
var next = new TBar(DateTime.UtcNow, 0, 150, 50, 100, 1000);
|
||||
ind.Update(next);
|
||||
Assert.True(ind.IsHot);
|
||||
|
||||
_output.WriteLine("Dc Calculate validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Prime_MatchesBatch()
|
||||
{
|
||||
const int period = 25;
|
||||
|
||||
var (bMid, bUp, bLo) = Dc.Batch(_testData.Bars, period);
|
||||
|
||||
var primed = new Dc(period);
|
||||
var subset = new TBarSeries();
|
||||
for (int i = 0; i < 200; i++)
|
||||
{
|
||||
subset.Add(_testData.Bars[i]);
|
||||
}
|
||||
|
||||
primed.Prime(subset);
|
||||
|
||||
for (int i = 200; i < _testData.Bars.Count; i++)
|
||||
{
|
||||
primed.Update(_testData.Bars[i]);
|
||||
}
|
||||
|
||||
Assert.Equal(bMid.Last.Value, primed.Last.Value, 1e-9);
|
||||
Assert.Equal(bUp.Last.Value, primed.Upper.Value, 1e-9);
|
||||
Assert.Equal(bLo.Last.Value, primed.Lower.Value, 1e-9);
|
||||
|
||||
_output.WriteLine("Dc Prime validated against batch");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_LargeDataset_FiniteOutputs()
|
||||
{
|
||||
var (mid, up, lo) = Dc.Batch(_testData.Bars, 50);
|
||||
|
||||
ValidationHelper.VerifyAllFinite(mid, startIndex: 0);
|
||||
ValidationHelper.VerifyAllFinite(up, startIndex: 0);
|
||||
ValidationHelper.VerifyAllFinite(lo, startIndex: 0);
|
||||
|
||||
for (int i = 50; i < mid.Count; i++)
|
||||
{
|
||||
Assert.True(up[i].Value >= lo[i].Value, $"Upper >= Lower at {i}");
|
||||
}
|
||||
|
||||
_output.WriteLine("Dc large dataset validated");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_Batch_UpperBand()
|
||||
{
|
||||
// Convention difference: Skender Donchian uses prior N bars [i-N, i-1] (excludes current bar)
|
||||
// QuanTAlib Dc uses inclusive N bars [i-N+1, i] (includes current bar).
|
||||
// Therefore: QuanTAlib[i] should match Skender[i+1] for converged values.
|
||||
int[] periods = { 5, 10, 20, 50, 100 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (_, qUp, _) = Dc.Batch(_testData.Bars, period);
|
||||
var sResult = _testData.SkenderQuotes.GetDonchian(period).ToList();
|
||||
|
||||
int count = Math.Min(qUp.Count, sResult.Count);
|
||||
int start = Math.Max(period + 1, count - 100);
|
||||
for (int i = start; i < count - 1; i++)
|
||||
{
|
||||
double qValue = qUp[i].Value;
|
||||
double? sValue = (double?)sResult[i + 1].UpperBand;
|
||||
if (!sValue.HasValue)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.True(
|
||||
Math.Abs(qValue - sValue.Value) <= ValidationHelper.SkenderTolerance,
|
||||
$"Period={period}, Mismatch at q[{i}] vs s[{i + 1}]: QuanTAlib={qValue:G17}, Skender={sValue.Value:G17}");
|
||||
}
|
||||
}
|
||||
_output.WriteLine("Dc upper band validated against Skender GetDonchian (offset +1)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_Batch_LowerBand()
|
||||
{
|
||||
// Same offset convention: QuanTAlib[i] == Skender[i+1]
|
||||
int[] periods = { 5, 10, 20, 50, 100 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (_, _, qLo) = Dc.Batch(_testData.Bars, period);
|
||||
var sResult = _testData.SkenderQuotes.GetDonchian(period).ToList();
|
||||
|
||||
int count = Math.Min(qLo.Count, sResult.Count);
|
||||
int start = Math.Max(period + 1, count - 100);
|
||||
for (int i = start; i < count - 1; i++)
|
||||
{
|
||||
double qValue = qLo[i].Value;
|
||||
double? sValue = (double?)sResult[i + 1].LowerBand;
|
||||
if (!sValue.HasValue)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.True(
|
||||
Math.Abs(qValue - sValue.Value) <= ValidationHelper.SkenderTolerance,
|
||||
$"Period={period}, Mismatch at q[{i}] vs s[{i + 1}]: QuanTAlib={qValue:G17}, Skender={sValue.Value:G17}");
|
||||
}
|
||||
}
|
||||
_output.WriteLine("Dc lower band validated against Skender GetDonchian (offset +1)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_Batch_Centerline()
|
||||
{
|
||||
// Same offset convention: QuanTAlib[i] == Skender[i+1]
|
||||
int[] periods = { 5, 10, 20, 50, 100 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var (qMid, _, _) = Dc.Batch(_testData.Bars, period);
|
||||
var sResult = _testData.SkenderQuotes.GetDonchian(period).ToList();
|
||||
|
||||
int count = Math.Min(qMid.Count, sResult.Count);
|
||||
int start = Math.Max(period + 1, count - 100);
|
||||
for (int i = start; i < count - 1; i++)
|
||||
{
|
||||
double qValue = qMid[i].Value;
|
||||
double? sValue = (double?)sResult[i + 1].Centerline;
|
||||
if (!sValue.HasValue)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.True(
|
||||
Math.Abs(qValue - sValue.Value) <= ValidationHelper.SkenderTolerance,
|
||||
$"Period={period}, Mismatch at q[{i}] vs s[{i + 1}]: QuanTAlib={qValue:G17}, Skender={sValue.Value:G17}");
|
||||
}
|
||||
}
|
||||
_output.WriteLine("Dc centerline validated against Skender GetDonchian (offset +1)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Validate_Skender_Streaming_UpperBand()
|
||||
{
|
||||
// Same offset convention: QuanTAlib[i] == Skender[i+1]
|
||||
int[] periods = { 10, 20, 50 };
|
||||
|
||||
foreach (var period in periods)
|
||||
{
|
||||
var dc = new Dc(period);
|
||||
var qUpResults = new TSeries();
|
||||
foreach (var bar in _testData.Bars)
|
||||
{
|
||||
dc.Update(bar);
|
||||
qUpResults.Add(dc.Upper);
|
||||
}
|
||||
|
||||
var sResult = _testData.SkenderQuotes.GetDonchian(period).ToList();
|
||||
|
||||
int count = Math.Min(qUpResults.Count, sResult.Count);
|
||||
int start = Math.Max(period + 1, count - 100);
|
||||
for (int i = start; i < count - 1; i++)
|
||||
{
|
||||
double qValue = qUpResults[i].Value;
|
||||
double? sValue = (double?)sResult[i + 1].UpperBand;
|
||||
if (!sValue.HasValue)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
Assert.True(
|
||||
Math.Abs(qValue - sValue.Value) <= ValidationHelper.SkenderTolerance,
|
||||
$"Period={period}, Mismatch at q[{i}] vs s[{i + 1}]: QuanTAlib={qValue:G17}, Skender={sValue.Value:G17}");
|
||||
}
|
||||
}
|
||||
_output.WriteLine("Dc streaming upper band validated against Skender GetDonchian (offset +1)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dc_MatchesOoples_Structural()
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
|
||||
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var ooplesData = bars.Select(b => new TickerData
|
||||
{
|
||||
Date = new DateTime(b.Time, DateTimeKind.Utc),
|
||||
Open = b.Open, High = b.High, Low = b.Low,
|
||||
Close = b.Close, Volume = b.Volume
|
||||
}).ToList();
|
||||
var result = new StockData(ooplesData).CalculateDonchianChannels();
|
||||
var values = result.OutputValues.Values.First();
|
||||
int finiteCount = values.Count(v => double.IsFinite(v));
|
||||
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user