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Enhance validation tests for various indicators with external library comparisons
- Added detailed comments explaining the validation limitations for MMA and ZLEMA due to differences in algorithm implementations. - Implemented validation tests for True Range against TALib and Tulip, ensuring directional agreement. - Updated Ulcer Index validation to clarify differences in algorithmic approaches between QuanTAlib and Skender. - Enhanced Ease of Movement tests to verify directional agreement with Tulip's EMV, noting differences in volume scaling. - Expanded Klinger Volume Oscillator tests to validate against Skender and Tulip, focusing on directional agreement across multiple period configurations. - Improved Negative Volume Index tests to compare percentage changes with Tulip, addressing differences in starting values. - Updated Positive Volume Index tests to validate against Tulip, emphasizing percentage change comparisons. - Enhanced Williams Accumulation/Distribution tests to verify directional agreement with Tulip, highlighting formula differences.
This commit is contained in:
Miha Kralj
@@ -383,84 +383,96 @@ public sealed class KchannelValidationTests : IDisposable
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}
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[Fact]
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public void Validate_SkenderComparison_BandStructure()
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public void Validate_Skender_MiddleBand()
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{
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// Skender uses ATR-based bands similar to our implementation
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// Validate structural correctness: upper > middle > lower, symmetric bands
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// Skender GetKeltner uses EMA center + ATR bands, same as QuanTAlib.
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// IMPORTANT: Skender defaults atrPeriods=10, but QuanTAlib uses the same period
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// for both EMA and ATR. We must pass atrPeriods=emaPeriods for exact comparison.
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// Both use warmup compensation differently, so we skip early bars.
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var skenderPeriod = 20;
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var skenderMultiplier = 2.0;
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int[] periods = { 5, 10, 20, 50 };
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double multiplier = 2.0;
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// Get Skender results (they use EMA middle + ATR bands)
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var skenderResults = _testData.SkenderQuotes
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.GetKeltner(skenderPeriod, skenderMultiplier)
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.ToList();
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// Get our results
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var (ourMid, _, _) = Kchannel.Batch(_testData.Bars, skenderPeriod, skenderMultiplier);
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// Both should have upper > middle > lower structure
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int warmup = skenderPeriod * 2;
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for (int i = warmup; i < ourMid.Count && i < skenderResults.Count; i++)
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foreach (var period in periods)
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{
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var sk = skenderResults[i];
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if (sk.UpperBand.HasValue && sk.LowerBand.HasValue && sk.Centerline.HasValue)
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{
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// Structural check
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Assert.True(sk.UpperBand.Value > sk.Centerline.Value, $"Skender Upper > Middle at {i}");
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Assert.True(sk.LowerBand.Value < sk.Centerline.Value, $"Skender Lower < Middle at {i}");
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var (qMiddle, _, _) = Kchannel.Batch(_testData.Bars, period, multiplier);
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// Both use symmetric ATR-based bands
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double skWidth = sk.UpperBand.Value - sk.LowerBand.Value;
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// Skender: atrPeriods = period to match QuanTAlib's single-period design
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var sResult = _testData.SkenderQuotes
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.GetKeltner(period, multiplier, period)
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.ToList();
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Assert.True(skWidth > 0, $"Skender width > 0 at {i}");
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}
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// Compare middle band (EMA of close) using ValidationHelper
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ValidationHelper.VerifyData(qMiddle, sResult, s => s.Centerline);
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}
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_output.WriteLine($"Kchannel vs Skender structure validated (period={skenderPeriod}, mult={skenderMultiplier})");
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_output.WriteLine("Kchannel middle band validated against Skender for all periods");
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}
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[Fact]
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public void Validate_SkenderComparison_ApproximateMatch()
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public void Validate_Skender_UpperBand()
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{
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// Note: Skender may use slightly different ATR/EMA warmup, so we check approximate match
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// Our implementation uses sum/weight warmup compensation; Skender may not
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int[] periods = { 5, 10, 20, 50 };
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double multiplier = 2.0;
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var skenderPeriod = 20;
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var skenderMultiplier = 2.0;
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foreach (var period in periods)
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{
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var (_, up, _) = Kchannel.Batch(_testData.Bars, period, multiplier);
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var skenderResults = _testData.SkenderQuotes
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.GetKeltner(skenderPeriod, skenderMultiplier)
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var sResult = _testData.SkenderQuotes
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.GetKeltner(period, multiplier, period)
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.ToList();
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ValidationHelper.VerifyData(up, sResult, s => s.UpperBand);
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}
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_output.WriteLine("Kchannel upper band validated against Skender for all periods");
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}
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[Fact]
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public void Validate_Skender_LowerBand()
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{
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int[] periods = { 5, 10, 20, 50 };
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double multiplier = 2.0;
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foreach (var period in periods)
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{
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var (_, _, lo) = Kchannel.Batch(_testData.Bars, period, multiplier);
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var sResult = _testData.SkenderQuotes
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.GetKeltner(period, multiplier, period)
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.ToList();
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ValidationHelper.VerifyData(lo, sResult, s => s.LowerBand);
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}
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_output.WriteLine("Kchannel lower band validated against Skender for all periods");
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}
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[Fact]
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public void Validate_Skender_BandStructure()
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{
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// Structural validation: upper > middle > lower, symmetric bands
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var period = 20;
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var multiplier = 2.0;
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var sResult = _testData.SkenderQuotes
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.GetKeltner(period, multiplier, period)
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.ToList();
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var (ourMid, _, _) = Kchannel.Batch(_testData.Bars, skenderPeriod, skenderMultiplier);
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var (ourMid, ourUp, ourLo) = Kchannel.Batch(_testData.Bars, period, multiplier);
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// Compare after significant warmup (values should converge)
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int compareStart = skenderPeriod * 5; // Well past warmup
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int closeCount = 0;
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for (int i = compareStart; i < Math.Min(ourMid.Count, skenderResults.Count); i++)
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int warmup = period * 2;
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for (int i = warmup; i < ourMid.Count && i < sResult.Count; i++)
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{
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var sk = skenderResults[i];
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if (sk.Centerline.HasValue)
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var sk = sResult[i];
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if (sk.UpperBand.HasValue && sk.LowerBand.HasValue && sk.Centerline.HasValue)
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{
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double midDiff = Math.Abs(ourMid[i].Value - sk.Centerline.Value);
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double midPct = midDiff / Math.Max(1, Math.Abs(sk.Centerline.Value));
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// After warmup, values should be within 5% (warmup methods may differ)
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if (midPct < 0.05)
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{
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closeCount++;
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}
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Assert.True(sk.UpperBand.Value > sk.Centerline.Value, $"Skender Upper > Middle at {i}");
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Assert.True(sk.LowerBand.Value < sk.Centerline.Value, $"Skender Lower < Middle at {i}");
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Assert.True(ourUp[i].Value > ourMid[i].Value, $"Q Upper > Middle at {i}");
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Assert.True(ourLo[i].Value < ourMid[i].Value, $"Q Lower < Middle at {i}");
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}
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}
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// Most values should be close
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int total = Math.Min(ourMid.Count, skenderResults.Count) - compareStart;
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double closeRatio = (double)closeCount / total;
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Assert.True(closeRatio > 0.9, $"Close ratio {closeRatio:P0} should be > 90%");
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_output.WriteLine($"Kchannel vs Skender approximate match: {closeRatio:P0} within 5%");
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_output.WriteLine($"Kchannel vs Skender band structure validated");
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}
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[Fact]
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