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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-26 06:18:05 +00:00
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
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using Skender.Stock.Indicators;
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using Xunit;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Validation tests for ROC (Rate of Change) against Tulip MOM (Momentum).
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/// Tulip's MOM calculates absolute change: current - past
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/// Validation tests for ROC (Rate of Change) against external libraries.
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/// ROC computes absolute change: current - past (same as momentum).
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///
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/// Tulip's MOM calculates absolute change: current - past.
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/// Skender's GetRoc returns RocResult with .Momentum (absolute change).
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/// </summary>
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public class RocValidationTests
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public sealed class RocValidationTests(ITestOutputHelper output) : IDisposable
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{
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private readonly GBM _gbm = new(sigma: 0.5, mu: 0.05, seed: 60200);
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private readonly ValidationTestData _testData = new();
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private readonly ITestOutputHelper _output = output;
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private bool _disposed;
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private const int TestPeriod = 9;
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private const int DataPoints = 500;
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private const double TulipTolerance = 1e-9;
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public void Dispose()
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{
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Dispose(disposing: true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed) { return; }
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_disposed = true;
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if (disposing) { _testData?.Dispose(); }
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}
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#region Tulip MOM Validation
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[Fact]
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public void Roc_MatchesTulipMom_Batch()
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{
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var bars = _gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tulipInput = source.Values.ToArray();
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double[] tulipInput = _testData.RawData.ToArray();
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// Get QuanTAlib ROC result
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var quantResult = Roc.Batch(source, TestPeriod);
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var quantResult = Roc.Batch(_testData.Data, TestPeriod);
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// Calculate Tulip MOM (momentum = current - past)
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var momIndicator = Tulip.Indicators.mom;
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@@ -35,29 +52,23 @@ public class RocValidationTests
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momIndicator.Run(inputs, options, outputs);
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var tulipResult = outputs[0];
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// Compare (accounting for Tulip's offset due to lookback)
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], quantResult[qIdx].Value, TulipTolerance);
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}
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ValidationHelper.VerifyData(quantResult, tulipResult, lookback);
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_output.WriteLine("ROC Batch validated successfully against Tulip MOM");
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}
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[Fact]
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public void Roc_MatchesTulipMom_Streaming()
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{
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var bars = _gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tulipInput = source.Values.ToArray();
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double[] tulipInput = _testData.RawData.ToArray();
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// Get QuanTAlib ROC result via streaming
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var roc = new Roc(TestPeriod);
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var streamingResults = new List<double>();
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for (int i = 0; i < source.Count; i++)
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foreach (var item in _testData.Data)
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{
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var tv = roc.Update(new TValue(source[i].Time, source[i].Value), true);
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streamingResults.Add(tv.Value);
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streamingResults.Add(roc.Update(item).Value);
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}
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// Calculate Tulip MOM
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@@ -70,24 +81,19 @@ public class RocValidationTests
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momIndicator.Run(inputs, options, outputs);
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var tulipResult = outputs[0];
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// Compare after warmup
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], streamingResults[qIdx], TulipTolerance);
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}
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ValidationHelper.VerifyData(streamingResults, tulipResult, lookback);
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_output.WriteLine("ROC Streaming validated successfully against Tulip MOM");
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}
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[Fact]
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public void Roc_MatchesTulipMom_Span()
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{
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var bars = _gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tulipInput = source.Values.ToArray();
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double[] tulipInput = _testData.RawData.ToArray();
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// Get QuanTAlib ROC result via span
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var quantOutput = new double[DataPoints];
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Roc.Batch(source.Values, quantOutput, TestPeriod);
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var quantOutput = new double[tulipInput.Length];
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Roc.Batch(new ReadOnlySpan<double>(tulipInput), quantOutput, TestPeriod);
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// Calculate Tulip MOM
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var momIndicator = Tulip.Indicators.mom;
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@@ -99,12 +105,9 @@ public class RocValidationTests
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momIndicator.Run(inputs, options, outputs);
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var tulipResult = outputs[0];
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// Compare after warmup
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], quantOutput[qIdx], TulipTolerance);
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}
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ValidationHelper.VerifyData(quantOutput, tulipResult, lookback);
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_output.WriteLine("ROC Span validated successfully against Tulip MOM");
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}
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#endregion
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@@ -119,11 +122,9 @@ public class RocValidationTests
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[InlineData(50)]
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public void Roc_MatchesTulipMom_DifferentPeriods(int period)
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{
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var bars = _gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tulipInput = source.Values.ToArray();
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double[] tulipInput = _testData.RawData.ToArray();
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var quantResult = Roc.Batch(source, period);
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var quantResult = Roc.Batch(_testData.Data, period);
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// Calculate Tulip MOM
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var momIndicator = Tulip.Indicators.mom;
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@@ -135,11 +136,68 @@ public class RocValidationTests
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momIndicator.Run(inputs, options, outputs);
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var tulipResult = outputs[0];
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for (int i = 0; i < tulipResult.Length; i++)
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ValidationHelper.VerifyData(quantResult, tulipResult, lookback);
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}
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#endregion
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#region Skender Validation
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[Fact]
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public void Roc_MatchesSkender_Batch()
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{
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// QuanTAlib ROC
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var qResult = Roc.Batch(_testData.Data, TestPeriod);
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// Skender GetRoc returns RocResult with .Momentum (absolute change)
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var sResult = _testData.SkenderQuotes.GetRoc(TestPeriod).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Momentum);
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_output.WriteLine("ROC Batch validated successfully against Skender (GetRoc.Momentum)");
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}
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[Fact]
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public void Roc_MatchesSkender_Streaming()
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{
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// QuanTAlib ROC (streaming)
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var roc = new Roc(TestPeriod);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], quantResult[qIdx].Value, TulipTolerance);
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qResults.Add(roc.Update(item).Value);
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}
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// Skender GetRoc
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var sResult = _testData.SkenderQuotes.GetRoc(TestPeriod).ToList();
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int count = qResults.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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if (sResult[i].Momentum is null) { continue; }
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Assert.True(
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Math.Abs(qResults[i] - sResult[i].Momentum!.Value) <= ValidationHelper.SkenderTolerance,
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$"Mismatch at index {i}: QuanTAlib={qResults[i]:G17}, Skender={sResult[i].Momentum:G17}");
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}
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_output.WriteLine("ROC Streaming validated successfully against Skender (GetRoc.Momentum)");
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}
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[Theory]
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[InlineData(1)]
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[InlineData(5)]
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[InlineData(20)]
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[InlineData(50)]
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public void Roc_MatchesSkender_DifferentPeriods(int period)
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{
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var qResult = Roc.Batch(_testData.Data, period);
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var sResult = _testData.SkenderQuotes.GetRoc(period).ToList();
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Momentum);
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}
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#endregion
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@@ -185,11 +243,9 @@ public class RocValidationTests
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[Fact]
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public void Roc_Period1_MatchesTulipMom()
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{
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var bars = _gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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double[] tulipInput = source.Values.ToArray();
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double[] tulipInput = _testData.RawData.ToArray();
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var quantResult = Roc.Batch(source, 1);
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var quantResult = Roc.Batch(_testData.Data, 1);
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// Calculate Tulip MOM with period 1
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var momIndicator = Tulip.Indicators.mom;
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@@ -201,12 +257,32 @@ public class RocValidationTests
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momIndicator.Run(inputs, options, outputs);
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var tulipResult = outputs[0];
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// Period 1 is single-bar change
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for (int i = 0; i < tulipResult.Length; i++)
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ValidationHelper.VerifyData(quantResult, tulipResult, lookback);
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_output.WriteLine("ROC Period=1 validated against Tulip MOM");
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}
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[Fact]
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public void Batch_MatchesStreaming_IdenticalResults()
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{
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// Batch
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var batchResult = Roc.Batch(_testData.Data, TestPeriod);
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// Streaming
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var roc = new Roc(TestPeriod);
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var streamingResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], quantResult[qIdx].Value, TulipTolerance);
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streamingResults.Add(roc.Update(item).Value);
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}
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int count = _testData.Data.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingResults[i], ValidationHelper.DefaultTolerance);
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}
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_output.WriteLine("ROC Batch vs Streaming consistency validated");
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}
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#endregion
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