Add TRAMA implementation and comprehensive tests

- Implemented the TRAMA (Trend Regularity Adaptive Moving Average) class with adaptive EMA logic. - Added unit tests for TRAMA functionality, including constructor validation, basic calculations, state management, and robustness checks. - Created validation tests to ensure consistency across different modes of operation (streaming, batch, and static calculations). - Enhanced documentation for TRAMA, including performance profiles and quality metrics. - Updated workspace configuration by removing unnecessary folder references.
2026-08-24 13:38:05 +00:00 · 2026-02-21 20:45:38 -08:00
parent 90d5638008
commit 7253f61299
199 changed files with 29577 additions and 234 deletions
@@ -0,0 +1,196 @@
+using System;
+using System.Linq;
+using Xunit;
+
+namespace QuanTAlib.Tests;
+
+/// <summary>
+/// Validation tests for the AGC (Automatic Gain Control) filter.
+/// Since AGC is a proprietary Ehlers normalizer, no external library implementations exist.
+/// Validation uses self-consistency: bounded output, normalization behavior, mode consistency, and determinism.
+/// </summary>
+public class AgcValidationTests
+{
+    [Fact]
+    public void Validate_SineWave_NormalizesToUnitAmplitude()
+    {
+        // A pure sine wave (amplitude=1) should normalize to ~1 peak after warmup
+        const int T = 1000;
+        double[] sine = new double[T];
+        for (int i = 0; i < T; i++)
+        {
+            sine[i] = Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+
+        double[] output = new double[T];
+        Agc.Batch(sine, output, 0.991);
+
+        // After warmup, output peaks should be close to ±1
+        double maxAbs = 0;
+        for (int i = T - 100; i < T; i++)
+        {
+            maxAbs = Math.Max(maxAbs, Math.Abs(output[i]));
+        }
+        Assert.True(maxAbs >= 0.95 && maxAbs <= 1.0001,
+            $"Normalized sine should peak near ±1, got max |output| = {maxAbs}");
+    }
+
+    [Fact]
+    public void Validate_GrowingAmplitude_TracksWithinBounds()
+    {
+        // Sine wave with growing amplitude — AGC should keep output bounded
+        const int T = 1000;
+        double[] input = new double[T];
+        for (int i = 0; i < T; i++)
+        {
+            double amplitude = 1.0 + i * 0.01; // grows from 1 to 11
+            input[i] = amplitude * Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+
+        double[] output = new double[T];
+        Agc.Batch(input, output, 0.991);
+
+        for (int i = 0; i < T; i++)
+        {
+            Assert.True(output[i] >= -1.0001 && output[i] <= 1.0001,
+                $"Output[{i}] = {output[i]} exceeds [-1, +1] bounds");
+        }
+    }
+
+    [Fact]
+    public void Validate_StreamingMatchesSpan()
+    {
+        var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
+        var data = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
+
+        // Use roofing to create oscillating input
+        double[] prices = data.Close.Values.ToArray();
+        double[] filtered = new double[prices.Length];
+        Roofing.Batch(prices, filtered, 48, 10);
+
+        // Span mode
+        double[] spanOut = new double[filtered.Length];
+        Agc.Batch(filtered, spanOut, 0.991);
+
+        // Streaming mode
+        var ind = new Agc(0.991);
+        double[] streamOut = new double[filtered.Length];
+        for (int i = 0; i < filtered.Length; i++)
+        {
+            streamOut[i] = ind.Update(new TValue(DateTime.UtcNow, filtered[i])).Value;
+        }
+
+        for (int i = 0; i < filtered.Length; i++)
+        {
+            Assert.Equal(spanOut[i], streamOut[i], 1e-9);
+        }
+    }
+
+    [Fact]
+    public void Validate_Deterministic()
+    {
+        double[] input = new double[500];
+        for (int i = 0; i < input.Length; i++)
+        {
+            input[i] = Math.Sin(2.0 * Math.PI * i / 25.0) * (1.0 + 0.3 * Math.Sin(2.0 * Math.PI * i / 100.0));
+        }
+
+        double[] out1 = new double[input.Length];
+        double[] out2 = new double[input.Length];
+
+        Agc.Batch(input, out1, 0.991);
+        Agc.Batch(input, out2, 0.991);
+
+        for (int i = 0; i < input.Length; i++)
+        {
+            Assert.Equal(out1[i], out2[i], 15);
+        }
+    }
+
+    [Fact]
+    public void Validate_DecayingAmplitude_OutputGrows()
+    {
+        // When amplitude decays, AGC peak decays too, so normalized output stays near ±1
+        const int T = 1000;
+        double[] input = new double[T];
+        for (int i = 0; i < T; i++)
+        {
+            double amplitude = 10.0 * Math.Exp(-i * 0.005); // exponentially decaying
+            input[i] = amplitude * Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+
+        double[] output = new double[T];
+        Agc.Batch(input, output, 0.991);
+
+        // Output should still oscillate near ±1 in the tail (AGC adapts)
+        double maxTail = 0;
+        for (int i = T - 100; i < T; i++)
+        {
+            maxTail = Math.Max(maxTail, Math.Abs(output[i]));
+        }
+        Assert.True(maxTail > 0.5, $"Decaying amplitude should still produce sizable normalized output, got max = {maxTail}");
+    }
+
+    [Fact]
+    public void Validate_LargeDataset_Stable()
+    {
+        double[] input = new double[10000];
+        for (int i = 0; i < input.Length; i++)
+        {
+            input[i] = Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+        double[] output = new double[input.Length];
+
+        Agc.Batch(input, output, 0.991);
+
+        for (int i = 0; i < output.Length; i++)
+        {
+            Assert.True(double.IsFinite(output[i]), $"Output[{i}] is not finite: {output[i]}");
+        }
+    }
+
+    [Fact]
+    public void Validate_NaN_Batch_Safe()
+    {
+        double[] input = new double[100];
+        for (int i = 0; i < 100; i++)
+        {
+            input[i] = i % 7 == 0 ? double.NaN : Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+        double[] output = new double[100];
+
+        Agc.Batch(input, output, 0.991);
+
+        for (int i = 0; i < output.Length; i++)
+        {
+            Assert.True(double.IsFinite(output[i]), $"Output[{i}] should be finite with NaN input");
+        }
+    }
+
+    [Fact]
+    public void Validate_DifferentDecays_ProduceDifferentOutput()
+    {
+        double[] input = new double[500];
+        for (int i = 0; i < input.Length; i++)
+        {
+            input[i] = Math.Sin(2.0 * Math.PI * i / 20.0);
+        }
+
+        double[] out1 = new double[input.Length];
+        double[] out2 = new double[input.Length];
+
+        Agc.Batch(input, out1, 0.991);
+        Agc.Batch(input, out2, 0.95);
+
+        bool anyDifferent = false;
+        for (int i = 50; i < input.Length; i++)
+        {
+            if (Math.Abs(out1[i] - out2[i]) > 1e-10)
+            {
+                anyDifferent = true;
+                break;
+            }
+        }
+        Assert.True(anyDifferent, "Different decay parameters should produce different output");
+    }
+}