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https://github.com/mihakralj/QuanTAlib.git
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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.
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using Xunit;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class TrendflexValidationTests : IDisposable
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{
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private readonly ITestOutputHelper _output;
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private readonly ValidationTestData _testData;
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private const int DefaultPeriod = 20;
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public TrendflexValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData(5000);
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}
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public void Dispose()
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{
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_testData.Dispose();
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}
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private void Dispose(bool disposing)
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{
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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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// ========== Self-consistency Validation ==========
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[Fact]
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public void Trendflex_BatchStreaming_Match()
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{
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// Streaming
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var streaming = new Trendflex(DefaultPeriod);
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var streamResults = new List<double>(_testData.Data.Count);
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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TValue r = streaming.Update(_testData.Data[i], isNew: true);
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streamResults.Add(r.Value);
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}
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// Batch
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TSeries batchResults = Trendflex.Batch(_testData.Data, DefaultPeriod);
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int mismatchCount = 0;
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double maxDiff = 0;
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for (int i = 0; i < streamResults.Count; i++)
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{
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double diff = Math.Abs(streamResults[i] - batchResults[i].Value);
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if (diff > 1e-10)
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{
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mismatchCount++;
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maxDiff = Math.Max(maxDiff, diff);
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}
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}
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_output.WriteLine($"Trendflex({DefaultPeriod}) Batch vs Streaming: {mismatchCount} mismatches, max diff = {maxDiff:E3}");
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Assert.Equal(0, mismatchCount);
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}
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[Fact]
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public void Trendflex_SpanBatch_MatchesStreaming()
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{
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// Streaming
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var streaming = new Trendflex(DefaultPeriod);
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var streamResults = new List<double>(_testData.Data.Count);
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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TValue r = streaming.Update(_testData.Data[i], isNew: true);
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streamResults.Add(r.Value);
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}
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// Span batch
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double[] output = new double[_testData.Data.Count];
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Trendflex.Batch(_testData.Data.Values, output, DefaultPeriod);
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int mismatchCount = 0;
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double maxDiff = 0;
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for (int i = 0; i < streamResults.Count; i++)
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{
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double diff = Math.Abs(streamResults[i] - output[i]);
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if (diff > 1e-10)
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{
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mismatchCount++;
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maxDiff = Math.Max(maxDiff, diff);
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}
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}
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_output.WriteLine($"Trendflex({DefaultPeriod}) Span vs Streaming: {mismatchCount} mismatches, max diff = {maxDiff:E3}");
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Assert.Equal(0, mismatchCount);
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}
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[Fact]
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public void Trendflex_DifferentPeriods_ProduceDifferentResults()
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{
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TSeries result10 = Trendflex.Batch(_testData.Data, 10);
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TSeries result20 = Trendflex.Batch(_testData.Data, 20);
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int lastIdx = _testData.Data.Count - 1;
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_output.WriteLine($"Trendflex(10) last = {result10[lastIdx].Value:F6}");
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_output.WriteLine($"Trendflex(20) last = {result20[lastIdx].Value:F6}");
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Assert.NotEqual(result10[lastIdx].Value, result20[lastIdx].Value);
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}
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[Fact]
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public void Trendflex_ConstantInput_ConvergesToZero()
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{
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var indicator = new Trendflex(10);
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double constantVal = 100.0;
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double lastResult = double.NaN;
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for (int i = 0; i < 1000; i++)
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{
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TValue r = indicator.Update(new TValue(DateTime.UtcNow.AddSeconds(i), constantVal));
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lastResult = r.Value;
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}
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_output.WriteLine($"Trendflex(10) constant input result after 1000 bars: {lastResult:E6}");
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// Constant input → zero slope → zero output
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Assert.True(Math.Abs(lastResult) < 1e-6, $"Expected near-zero for constant input, got {lastResult}");
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}
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[Fact]
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public void Trendflex_Calculate_ReturnsHotIndicator()
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{
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(TSeries results, Trendflex indicator) = Trendflex.Calculate(_testData.Data, DefaultPeriod);
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Assert.Equal(_testData.Data.Count, results.Count);
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Assert.True(indicator.IsHot);
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// Verify the indicator can continue streaming
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TValue next = indicator.Update(new TValue(DateTime.UtcNow, 100.0), isNew: true);
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Assert.True(double.IsFinite(next.Value));
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_output.WriteLine($"Trendflex({DefaultPeriod}) Calculate: {results.Count} bars, last = {results[results.Count - 1].Value:F6}");
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}
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[Fact]
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public void Trendflex_BarCorrection_ProducesConsistentResults()
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{
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// Build reference: 100 bars then bar 101
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var reference = new Trendflex(DefaultPeriod);
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for (int i = 0; i < 100; i++)
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{
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reference.Update(_testData.Data[i], isNew: true);
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}
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reference.Update(new TValue(DateTime.UtcNow, 50.0), isNew: true);
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double referenceVal = reference.Last.Value;
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// Build test: 100 bars, wrong bar 101, then correct bar 101
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var test = new Trendflex(DefaultPeriod);
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for (int i = 0; i < 100; i++)
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{
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test.Update(_testData.Data[i], isNew: true);
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}
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test.Update(new TValue(DateTime.UtcNow, 999.0), isNew: true); // wrong
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test.Update(new TValue(DateTime.UtcNow, 50.0), isNew: false); // correct
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double testVal = test.Last.Value;
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_output.WriteLine($"Reference: {referenceVal:F10}, Corrected: {testVal:F10}");
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Assert.Equal(referenceVal, testVal, 1e-10);
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}
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[Fact]
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public void Trendflex_SubsetValidation_StableBehavior()
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{
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// Verify that smaller subsets produce stable, finite results
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using var subset = _testData.CreateSubset(200);
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TSeries results = Trendflex.Batch(subset.Data, DefaultPeriod);
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int nanCount = 0;
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for (int i = 0; i < results.Count; i++)
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{
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if (!double.IsFinite(results[i].Value))
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{
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nanCount++;
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}
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}
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_output.WriteLine($"Trendflex({DefaultPeriod}) on 200-bar subset: {nanCount} non-finite values");
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Assert.Equal(0, nanCount);
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}
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}
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