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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.
This commit is contained in:
Miha Kralj
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class PmaValidationTests : IDisposable
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{
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private const int DefaultPeriod = 7;
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private const double ValidationTolerance = 1e-9;
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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public PmaValidationTests(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()
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{
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Dispose(true);
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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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// PMA has no direct external library equivalent, so we validate
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// by verifying PMA = 2*WMA - DWMA (component consistency)
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[Fact]
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public void Validate_PmaEqualsComponentFormula_Batch()
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{
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int period = DefaultPeriod;
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var source = _testData.Data;
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// Compute WMA and DWMA separately
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var wmaResult = Wma.Batch(source, period);
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var dwmaResult = Dwma.Batch(source, period);
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// Compute PMA
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var pmaResult = Pma.Batch(source, period);
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// PMA = 2*WMA - DWMA
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int count = pmaResult.Count;
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int warmup = (period * 2) - 1;
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for (int i = warmup; i < count; i++)
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{
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double expected = Math.FusedMultiplyAdd(2.0, wmaResult[i].Value, -dwmaResult[i].Value);
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Assert.Equal(expected, pmaResult[i].Value, ValidationTolerance);
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}
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_output.WriteLine($"PMA({period}) component consistency: PASS ({count - warmup} bars validated at {ValidationTolerance})");
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}
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[Fact]
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public void Validate_PmaEqualsComponentFormula_Streaming()
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{
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int period = DefaultPeriod;
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var source = _testData.Data;
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var wma = new Wma(period);
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var dwma = new Dwma(period);
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var pma = new Pma(period);
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int warmup = (period * 2) - 1;
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int validated = 0;
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for (int i = 0; i < source.Count; i++)
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{
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var wmaVal = wma.Update(source[i]);
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var dwmaVal = dwma.Update(source[i]);
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var pmaVal = pma.Update(source[i]);
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if (i >= warmup)
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{
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double expected = Math.FusedMultiplyAdd(2.0, wmaVal.Value, -dwmaVal.Value);
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Assert.Equal(expected, pmaVal.Value, ValidationTolerance);
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validated++;
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}
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}
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_output.WriteLine($"PMA({period}) streaming component consistency: PASS ({validated} bars validated)");
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}
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[Fact]
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public void Validate_PmaEqualsComponentFormula_Span()
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{
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int period = DefaultPeriod;
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var rawData = _testData.RawData;
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var wmaOutput = new double[rawData.Length];
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var dwmaOutput = new double[rawData.Length];
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var pmaOutput = new double[rawData.Length];
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Wma.Batch(rawData.Span, wmaOutput.AsSpan(), period);
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Dwma.Batch(rawData.Span, dwmaOutput.AsSpan(), period);
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Pma.Batch(rawData.Span, pmaOutput.AsSpan(), period);
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int warmup = (period * 2) - 1;
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int validated = 0;
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for (int i = warmup; i < rawData.Length; i++)
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{
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double expected = Math.FusedMultiplyAdd(2.0, wmaOutput[i], -dwmaOutput[i]);
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Assert.Equal(expected, pmaOutput[i], ValidationTolerance);
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validated++;
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}
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_output.WriteLine($"PMA({period}) span component consistency: PASS ({validated} bars validated)");
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}
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[Fact]
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public void Validate_TriggerEqualsComponentFormula_Streaming()
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{
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int period = DefaultPeriod;
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var source = _testData.Data;
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var wma = new Wma(period);
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var dwma = new Dwma(period);
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var pma = new Pma(period);
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int warmup = (period * 2) - 1;
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int validated = 0;
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for (int i = 0; i < source.Count; i++)
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{
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var wmaVal = wma.Update(source[i]);
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var dwmaVal = dwma.Update(source[i]);
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_ = pma.Update(source[i]);
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if (i >= warmup)
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{
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// Trigger = (4*WMA - DWMA) / 3
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double expected = Math.FusedMultiplyAdd(4.0, wmaVal.Value, -dwmaVal.Value) / 3.0;
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Assert.Equal(expected, pma.Trigger.Value, ValidationTolerance);
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validated++;
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}
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}
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_output.WriteLine($"PMA({period}) trigger component consistency: PASS ({validated} bars validated)");
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}
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[Fact]
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public void Validate_TriggerEqualsComponentFormula_Span()
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{
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int period = DefaultPeriod;
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var rawData = _testData.RawData;
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var wmaOutput = new double[rawData.Length];
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var dwmaOutput = new double[rawData.Length];
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var pmaOutput = new double[rawData.Length];
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var triggerOutput = new double[rawData.Length];
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Wma.Batch(rawData.Span, wmaOutput.AsSpan(), period);
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Dwma.Batch(rawData.Span, dwmaOutput.AsSpan(), period);
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Pma.Batch(rawData.Span, pmaOutput.AsSpan(), triggerOutput.AsSpan(), period);
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int warmup = (period * 2) - 1;
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int validated = 0;
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for (int i = warmup; i < rawData.Length; i++)
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{
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double expected = Math.FusedMultiplyAdd(4.0, wmaOutput[i], -dwmaOutput[i]) / 3.0;
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Assert.Equal(expected, triggerOutput[i], ValidationTolerance);
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validated++;
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}
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_output.WriteLine($"PMA({period}) trigger span consistency: PASS ({validated} bars validated)");
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}
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[Fact]
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public void Validate_BatchMatchesStreaming()
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{
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int period = DefaultPeriod;
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var source = _testData.Data;
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var batchResult = Pma.Batch(source, period);
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var pma = new Pma(period);
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for (int i = 0; i < source.Count; i++)
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{
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pma.Update(source[i]);
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}
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Assert.Equal(batchResult.Last.Value, pma.Last.Value, ValidationTolerance);
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_output.WriteLine($"PMA({period}) batch-streaming equivalence: PASS");
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}
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[Fact]
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public void Validate_SpanMatchesStreaming()
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{
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int period = DefaultPeriod;
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var rawData = _testData.RawData;
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var spanOutput = new double[rawData.Length];
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Pma.Batch(rawData.Span, spanOutput.AsSpan(), period);
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var pma = new Pma(period);
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for (int i = 0; i < rawData.Length; i++)
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{
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pma.Update(new TValue(DateTime.MinValue, rawData.Span[i]));
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}
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Assert.Equal(pma.Last.Value, spanOutput[^1], ValidationTolerance);
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_output.WriteLine($"PMA({period}) span-streaming equivalence: PASS");
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}
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}
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