mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 11:38:05 +00:00
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.
This commit is contained in:
Miha Kralj
@@ -0,0 +1,378 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// Validation tests for PVD (Price Volume Divergence) indicator.
|
||||
/// PVD is a custom indicator not found in standard libraries (TA-Lib, Skender, Tulip, Ooples).
|
||||
/// Validation focuses on mathematical correctness and self-consistency.
|
||||
/// </summary>
|
||||
public class PvdValidationTests
|
||||
{
|
||||
private readonly TBarSeries _data;
|
||||
private const int TestDataLength = 500;
|
||||
private const double Tolerance = 1e-10;
|
||||
|
||||
public PvdValidationTests()
|
||||
{
|
||||
var gbm = new GBM(seed: 123);
|
||||
_data = new TBarSeries();
|
||||
for (int i = 0; i < TestDataLength; i++)
|
||||
{
|
||||
_data.Add(gbm.Next());
|
||||
}
|
||||
}
|
||||
|
||||
#region Self-Consistency Validation
|
||||
|
||||
[Fact]
|
||||
public void Pvd_StreamingVsBatch_ExactMatch()
|
||||
{
|
||||
int pricePeriod = 14;
|
||||
int volumePeriod = 14;
|
||||
int smoothingPeriod = 3;
|
||||
|
||||
// Streaming calculation
|
||||
var pvdStreaming = new Pvd(pricePeriod, volumePeriod, smoothingPeriod);
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < _data.Count; i++)
|
||||
{
|
||||
streamingResults.Add(pvdStreaming.Update(_data[i], isNew: true).Value);
|
||||
}
|
||||
|
||||
// Batch calculation (uses static Calculate which uses span internally)
|
||||
var batchResults = Pvd.Calculate(_data, pricePeriod, volumePeriod, smoothingPeriod);
|
||||
|
||||
// Compare after full warmup (streaming and span may differ during warmup due to smoothing initialization)
|
||||
Assert.Equal(_data.Count, batchResults.Count);
|
||||
int warmup = Math.Max(pricePeriod, volumePeriod) + smoothingPeriod;
|
||||
for (int i = warmup; i < _data.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_SpanVsBatch_ExactMatch()
|
||||
{
|
||||
int pricePeriod = 10;
|
||||
int volumePeriod = 10;
|
||||
int smoothingPeriod = 5;
|
||||
|
||||
// Extract data for span
|
||||
double[] closes = new double[_data.Count];
|
||||
double[] volumes = new double[_data.Count];
|
||||
for (int i = 0; i < _data.Count; i++)
|
||||
{
|
||||
closes[i] = _data[i].Close;
|
||||
volumes[i] = _data[i].Volume;
|
||||
}
|
||||
|
||||
// Span calculation
|
||||
double[] spanResults = new double[_data.Count];
|
||||
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), spanResults.AsSpan(), pricePeriod, volumePeriod, smoothingPeriod);
|
||||
|
||||
// Batch calculation
|
||||
var batchResults = Pvd.Calculate(_data, pricePeriod, volumePeriod, smoothingPeriod);
|
||||
|
||||
// Compare after warmup
|
||||
int startCompare = Math.Max(pricePeriod, volumePeriod) + smoothingPeriod;
|
||||
for (int i = startCompare; i < _data.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResults[i].Value, spanResults[i], precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
var pvd1 = Pvd.Calculate(_data, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 3);
|
||||
var pvd2 = Pvd.Calculate(_data, pricePeriod: 20, volumePeriod: 20, smoothingPeriod: 3);
|
||||
|
||||
// After warmup, values should differ
|
||||
int compareIdx = _data.Count - 1;
|
||||
Assert.NotEqual(pvd1[compareIdx].Value, pvd2[compareIdx].Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_AsymmetricPeriods_Work()
|
||||
{
|
||||
// Price period longer than volume period
|
||||
var pvd1 = Pvd.Calculate(_data, pricePeriod: 20, volumePeriod: 5, smoothingPeriod: 3);
|
||||
|
||||
// Volume period longer than price period
|
||||
var pvd2 = Pvd.Calculate(_data, pricePeriod: 5, volumePeriod: 20, smoothingPeriod: 3);
|
||||
|
||||
// Results should differ
|
||||
int compareIdx = _data.Count - 1;
|
||||
Assert.NotEqual(pvd1[compareIdx].Value, pvd2[compareIdx].Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Mathematical Correctness Validation
|
||||
|
||||
[Fact]
|
||||
public void Pvd_KnownScenario_PositiveDivergence()
|
||||
{
|
||||
// Price up, volume down = positive divergence
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Build baseline
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
bars.Add(new TBar(time.AddMinutes(i), 100.0, 100.0, 100.0, 100.0, 1000.0));
|
||||
}
|
||||
|
||||
// Price increasing, volume decreasing
|
||||
bars.Add(new TBar(time.AddMinutes(5), 110.0, 110.0, 110.0, 110.0, 800.0));
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
|
||||
|
||||
// Last value should be positive (divergence detected)
|
||||
Assert.True(result[^1].Value > 0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_KnownScenario_NegativeDivergence()
|
||||
{
|
||||
// Price up, volume up = negative (same direction, no divergence)
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Build baseline
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
bars.Add(new TBar(time.AddMinutes(i), 100.0, 100.0, 100.0, 100.0, 1000.0));
|
||||
}
|
||||
|
||||
// Price increasing, volume also increasing
|
||||
bars.Add(new TBar(time.AddMinutes(5), 110.0, 110.0, 110.0, 110.0, 1200.0));
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
|
||||
|
||||
// Last value should be negative (price and volume moving same direction)
|
||||
Assert.True(result[^1].Value < 0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_KnownScenario_NoMomentum()
|
||||
{
|
||||
// No price change = zero divergence
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// All same values
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
bars.Add(new TBar(time.AddMinutes(i), 100.0, 100.0, 100.0, 100.0, 1000.0));
|
||||
}
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
|
||||
|
||||
// Should be zero (no momentum in either direction)
|
||||
Assert.Equal(0.0, result[^1].Value, precision: 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_ManualCalculation_MatchesFormula()
|
||||
{
|
||||
// Create known data
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
double[] closes = [100.0, 102.0, 104.0, 106.0, 105.0];
|
||||
double[] volumes = [1000.0, 1100.0, 900.0, 1200.0, 800.0];
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
bars.Add(new TBar(time.AddMinutes(i), closes[i], closes[i], closes[i], closes[i], volumes[i]));
|
||||
}
|
||||
|
||||
// Manual calculation for last bar with period=2, smoothing=1
|
||||
// Price ROC at index 4: (105 - 104) / 104 * 100 = 0.9615...
|
||||
// Volume ROC at index 4: (800 - 900) / 900 * 100 = -11.111...
|
||||
// Price momentum = 1 (positive)
|
||||
// Volume momentum = -1 (negative)
|
||||
// Magnitude = |0.9615| + |-11.111| = 12.073...
|
||||
// Divergence = 1 * -(-1) * 12.073 = 12.073... (positive: price up, volume down)
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
|
||||
|
||||
// Last value should be positive
|
||||
Assert.True(result[^1].Value > 0);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Smoothing Validation
|
||||
|
||||
[Fact]
|
||||
public void Pvd_SmoothingPeriod1_NoSmoothing()
|
||||
{
|
||||
var result1 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
|
||||
var result3 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 3);
|
||||
|
||||
// Smoothing should make values different (and generally smoother)
|
||||
bool foundDifference = false;
|
||||
for (int i = 20; i < _data.Count; i++)
|
||||
{
|
||||
if (Math.Abs(result1[i].Value - result3[i].Value) > Tolerance)
|
||||
{
|
||||
foundDifference = true;
|
||||
break;
|
||||
}
|
||||
}
|
||||
Assert.True(foundDifference);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_HigherSmoothing_ReducesVolatility()
|
||||
{
|
||||
var result1 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
|
||||
var result10 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 10);
|
||||
|
||||
// Calculate variance of last 100 values
|
||||
double variance1 = CalculateVariance(result1.Skip(400).Select(x => x.Value).ToArray());
|
||||
double variance10 = CalculateVariance(result10.Skip(400).Select(x => x.Value).ToArray());
|
||||
|
||||
// Higher smoothing should reduce variance
|
||||
Assert.True(variance10 <= variance1);
|
||||
}
|
||||
|
||||
private static double CalculateVariance(double[] values)
|
||||
{
|
||||
if (values.Length == 0)
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
double mean = values.Average();
|
||||
return values.Sum(v => (v - mean) * (v - mean)) / values.Length;
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Edge Cases Validation
|
||||
|
||||
[Fact]
|
||||
public void Pvd_ZeroVolume_HandlesGracefully()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
var time = DateTime.UtcNow;
|
||||
|
||||
// Mix of zero and non-zero volumes
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
double volume = i % 3 == 0 ? 0.0 : 1000.0 + i * 10;
|
||||
bars.Add(new TBar(time.AddMinutes(i), 100.0 + i, 101.0 + i, 99.0 + i, 100.5 + i, volume));
|
||||
}
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
|
||||
|
||||
// Should complete without errors
|
||||
Assert.Equal(20, result.Count);
|
||||
Assert.True(double.IsFinite(result[^1].Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_SingleBar_ReturnsZero()
|
||||
{
|
||||
var bars = new TBarSeries();
|
||||
bars.Add(new TBar(DateTime.UtcNow, 100.0, 100.0, 100.0, 100.0, 1000.0));
|
||||
|
||||
var result = Pvd.Calculate(bars, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 2);
|
||||
|
||||
Assert.Single(result);
|
||||
Assert.Equal(0.0, result[0].Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_LargeDataset_CompletesWithoutError()
|
||||
{
|
||||
var gbm = new GBM(seed: 456);
|
||||
var largeData = new TBarSeries();
|
||||
|
||||
for (int i = 0; i < 10000; i++)
|
||||
{
|
||||
largeData.Add(gbm.Next());
|
||||
}
|
||||
|
||||
var result = Pvd.Calculate(largeData, pricePeriod: 14, volumePeriod: 14, smoothingPeriod: 3);
|
||||
|
||||
Assert.Equal(10000, result.Count);
|
||||
Assert.True(double.IsFinite(result[^1].Value));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Reset and State Validation
|
||||
|
||||
[Fact]
|
||||
public void Pvd_ResetAndRecalculate_SameResult()
|
||||
{
|
||||
var pvd = new Pvd(pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 3);
|
||||
|
||||
// First pass
|
||||
for (int i = 0; i < _data.Count; i++)
|
||||
{
|
||||
pvd.Update(_data[i], isNew: true);
|
||||
}
|
||||
double firstResult = pvd.Last.Value;
|
||||
|
||||
// Reset and second pass
|
||||
pvd.Reset();
|
||||
for (int i = 0; i < _data.Count; i++)
|
||||
{
|
||||
pvd.Update(_data[i], isNew: true);
|
||||
}
|
||||
double secondResult = pvd.Last.Value;
|
||||
|
||||
Assert.Equal(firstResult, secondResult, precision: 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pvd_BarCorrection_ProducesConsistentResults()
|
||||
{
|
||||
var pvd = new Pvd(pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 2);
|
||||
|
||||
// Process bars up to correction point
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
pvd.Update(_data[i], isNew: true);
|
||||
}
|
||||
|
||||
_ = pvd.Last.Value;
|
||||
|
||||
// Make multiple corrections
|
||||
for (int c = 0; c < 3; c++)
|
||||
{
|
||||
pvd.Update(_data[50], isNew: false);
|
||||
}
|
||||
|
||||
// Final value after corrections should be consistent
|
||||
pvd.Update(_data[50], isNew: true);
|
||||
double valueAfterCorrections = pvd.Last.Value;
|
||||
|
||||
Assert.True(double.IsFinite(valueAfterCorrections));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Documentation Validation
|
||||
|
||||
/// <summary>
|
||||
/// PVD is not implemented in major libraries.
|
||||
/// This test documents the validation status.
|
||||
/// </summary>
|
||||
[Fact]
|
||||
public void ValidationStatus_NotInMajorLibraries()
|
||||
{
|
||||
// PVD is a custom indicator created for QuanTAlib
|
||||
// Not found in: TA-Lib, Skender.Stock.Indicators, Tulip, OoplesFinance
|
||||
// Validation is performed through self-consistency tests and mathematical verification
|
||||
Assert.True(true, "PVD is a custom indicator - validated through self-consistency and math verification");
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
Reference in New Issue
Block a user