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.
2026-08-21 20:18:05 +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 +1,237 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class PvoIndicatorTests
+{
+    [Fact]
+    public void PvoIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new PvoIndicator();
+
+        Assert.Equal("PVO - Percentage Volume Oscillator", indicator.Name);
+        Assert.Equal(12, indicator.FastPeriod);
+        Assert.Equal(26, indicator.SlowPeriod);
+        Assert.Equal(9, indicator.SignalPeriod);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(26, indicator.MinHistoryDepths); // SlowPeriod
+    }
+
+    [Fact]
+    public void PvoIndicator_ShortName_ReflectsPeriods()
+    {
+        var indicator = new PvoIndicator { FastPeriod = 5, SlowPeriod = 20, SignalPeriod = 5 };
+        Assert.Equal("PVO(5,20,5)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void PvoIndicator_MinHistoryDepths_EqualsSlowPeriod()
+    {
+        var indicator = new PvoIndicator { SlowPeriod = 50 };
+
+        Assert.Equal(50, indicator.MinHistoryDepths);
+        Assert.Equal(50, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void PvoIndicator_Initialize_CreatesInternalPvo()
+    {
+        var indicator = new PvoIndicator();
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, three line series should exist (PVO, Signal, Histogram)
+        Assert.Equal(3, indicator.LinesSeries.Count);
+    }
+
+    [Fact]
+    public void PvoIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new PvoIndicator();
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000 + (i * 100));
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // PVO series should have a value
+        double pvoVal = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(pvoVal));
+
+        // Signal series should have a value
+        double signalVal = indicator.LinesSeries[1].GetValue(0);
+        Assert.True(double.IsFinite(signalVal));
+
+        // Histogram series should have a value
+        double histogramVal = indicator.LinesSeries[2].GetValue(0);
+        Assert.True(double.IsFinite(histogramVal));
+    }
+
+    [Fact]
+    public void PvoIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new PvoIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000 + (i * 100));
+        }
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add new bar
+        indicator.HistoricalData.AddBar(now.AddMinutes(30), 130, 140, 120, 135, 4000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+        Assert.Equal(2, indicator.LinesSeries[1].Count);
+        Assert.Equal(2, indicator.LinesSeries[2].Count);
+    }
+
+    [Fact]
+    public void PvoIndicator_Value_IsFinite()
+    {
+        var indicator = new PvoIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 40; i++)
+        {
+            // Create varying volume patterns
+            double volume = 1000 + (i * 50) + ((i % 5) * 200);
+
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double pvoVal = indicator.LinesSeries[0].GetValue(0);
+        double signalVal = indicator.LinesSeries[1].GetValue(0);
+        double histogramVal = indicator.LinesSeries[2].GetValue(0);
+        Assert.True(double.IsFinite(pvoVal), $"PVO value {pvoVal} should be finite");
+        Assert.True(double.IsFinite(signalVal), $"Signal value {signalVal} should be finite");
+        Assert.True(double.IsFinite(histogramVal), $"Histogram value {histogramVal} should be finite");
+    }
+
+    [Fact]
+    public void PvoIndicator_PositiveValue_OnIncreasingVolume()
+    {
+        var indicator = new PvoIndicator { FastPeriod = 3, SlowPeriod = 6, SignalPeriod = 3 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add bars with increasing volume
+        for (int i = 0; i < 15; i++)
+        {
+            // Exponentially increasing volume
+            double volume = 1000 * Math.Pow(1.2, i);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val > 0, $"PVO should be positive on increasing volume, got {val}");
+    }
+
+    [Fact]
+    public void PvoIndicator_NegativeValue_OnDecreasingVolume()
+    {
+        var indicator = new PvoIndicator { FastPeriod = 3, SlowPeriod = 6, SignalPeriod = 3 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add bars with decreasing volume
+        for (int i = 0; i < 15; i++)
+        {
+            // Start high and decrease
+            double volume = 10000 / (1.0 + i * 0.3);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val < 0, $"PVO should be negative on decreasing volume, got {val}");
+    }
+
+    [Fact]
+    public void PvoIndicator_SignalLine_CalculatedCorrectly()
+    {
+        var indicator = new PvoIndicator { FastPeriod = 5, SlowPeriod = 10, SignalPeriod = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            double volume = 1000 + (i * 100);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double pvoVal = indicator.LinesSeries[0].GetValue(0);
+        double signalVal = indicator.LinesSeries[1].GetValue(0);
+
+        Assert.True(double.IsFinite(pvoVal));
+        Assert.True(double.IsFinite(signalVal));
+        // Signal is an EMA of PVO, so they should be different in trending conditions
+    }
+
+    [Fact]
+    public void PvoIndicator_Histogram_EqualsPvoMinusSignal()
+    {
+        var indicator = new PvoIndicator { FastPeriod = 5, SlowPeriod = 10, SignalPeriod = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            double volume = 1000 + (i * 150);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double pvoVal = indicator.LinesSeries[0].GetValue(0);
+        double signalVal = indicator.LinesSeries[1].GetValue(0);
+        double histogramVal = indicator.LinesSeries[2].GetValue(0);
+
+        Assert.Equal(pvoVal - signalVal, histogramVal, 10);
+    }
+
+    [Fact]
+    public void PvoIndicator_CustomPeriods_AffectsOutput()
+    {
+        var indicator1 = new PvoIndicator { FastPeriod = 5, SlowPeriod = 10, SignalPeriod = 5 };
+        var indicator2 = new PvoIndicator { FastPeriod = 10, SlowPeriod = 20, SignalPeriod = 10 };
+        indicator1.Initialize();
+        indicator2.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 50; i++)
+        {
+            double volume = 1000 + (i * 100);
+            indicator1.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator2.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105, volume);
+            indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val1 = indicator1.LinesSeries[0].GetValue(0);
+        double val2 = indicator2.LinesSeries[0].GetValue(0);
+
+        // Different periods should produce different results
+        Assert.NotEqual(val1, val2);
+        Assert.True(double.IsFinite(val1));
+        Assert.True(double.IsFinite(val2));
+    }
+}