Add Price Volume Trend (PVT) Indicator and Tests

- Implemented the PvtIndicator class for calculating Price Volume Trend in Quantower. - Created unit tests for the Pvt class to validate calculations and state management. - Added validation tests to ensure consistency with OoplesFinance's implementation. - Developed a comprehensive documentation (Pvt.md) explaining the PVT concept, calculations, and usage. - Included methods for batch calculations and streaming updates for PVT.
2026-08-20 19:48:05 +00:00 · 2026-01-28 17:54:43 -08:00
parent dc1902f4d5
commit 76d2b50cbb
39 changed files with 8633 additions and 14 deletions
@@ -0,0 +1,223 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class PvdIndicatorTests
+{
+    [Fact]
+    public void PvdIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new PvdIndicator();
+
+        Assert.Equal("PVD - Price Volume Divergence", indicator.Name);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(14, indicator.PricePeriod);
+        Assert.Equal(14, indicator.VolumePeriod);
+        Assert.Equal(3, indicator.SmoothingPeriod);
+    }
+
+    [Fact]
+    public void PvdIndicator_ShortName_IsConstant()
+    {
+        var indicator = new PvdIndicator();
+        Assert.Equal("PVD", indicator.ShortName);
+    }
+
+    [Fact]
+    public void PvdIndicator_MinHistoryDepths_CalculatedCorrectly()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 10,
+            VolumePeriod = 20,
+            SmoothingPeriod = 5
+        };
+
+        // max(10,20) + 5 + 1 = 26
+        Assert.Equal(26, indicator.MinHistoryDepths);
+        Assert.Equal(26, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void PvdIndicator_MinHistoryDepths_DefaultValue()
+    {
+        var indicator = new PvdIndicator();
+
+        // max(14,14) + 3 + 1 = 18
+        Assert.Equal(18, indicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void PvdIndicator_Initialize_CreatesInternalPvd()
+    {
+        var indicator = new PvdIndicator();
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void PvdIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 5,
+            VolumePeriod = 5,
+            SmoothingPeriod = 2
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            double close = 100 + i * 0.5;
+            double volume = 100000 + (i % 3 == 0 ? 20000 : -10000);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), close - 1, close + 1, close - 2, close, volume);
+
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(val));
+    }
+
+    [Fact]
+    public void PvdIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 3,
+            VolumePeriod = 3,
+            SmoothingPeriod = 2
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, 100000);
+        }
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add new bar
+        indicator.HistoricalData.AddBar(now.AddMinutes(10), 105, 115, 100, 112, 80000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void PvdIndicator_PositiveDivergence_PriceUpVolumeDown()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 2,
+            VolumePeriod = 2,
+            SmoothingPeriod = 1
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Establish baseline with stable prices and volumes
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        indicator.HistoricalData.AddBar(now.AddMinutes(2), 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        // Price up, volume down = positive divergence
+        indicator.HistoricalData.AddBar(now.AddMinutes(3), 108, 112, 105, 110, 70000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val > 0, $"PVD should be positive when price up and volume down: {val}");
+    }
+
+    [Fact]
+    public void PvdIndicator_NegativeDivergence_PriceUpVolumeUp()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 2,
+            VolumePeriod = 2,
+            SmoothingPeriod = 1
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Establish baseline
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        indicator.HistoricalData.AddBar(now.AddMinutes(2), 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        // Price up, volume up = negative (same direction, no divergence)
+        indicator.HistoricalData.AddBar(now.AddMinutes(3), 108, 112, 105, 110, 130000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val < 0, $"PVD should be negative when price and volume move same direction: {val}");
+    }
+
+    [Fact]
+    public void PvdIndicator_NoDivergence_StablePriceAndVolume()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 2,
+            VolumePeriod = 2,
+            SmoothingPeriod = 1
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // All bars with same values - no momentum
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100, 100000);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.Equal(0, val, precision: 5);
+    }
+
+    [Fact]
+    public void PvdIndicator_CustomPeriods_Applied()
+    {
+        var indicator = new PvdIndicator
+        {
+            PricePeriod = 5,
+            VolumePeriod = 10,
+            SmoothingPeriod = 3
+        };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            double close = 100 + i;
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), close - 1, close + 2, close - 2, close, 100000 + i * 1000);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(val));
+    }
+}