Convolution Indicator (CONV) with customizable kernel support

2026-08-19 19:18:05 +00:00 · 2025-12-10 11:48:52 -05:00
parent b46e83475e
commit 7a4850956b
8 changed files with 1186 additions and 92 deletions
@@ -0,0 +1,123 @@
+using System;
+using Xunit;
+
+namespace QuanTAlib;
+
+public class ConvValidationTests
+{
+    [Fact]
+    public void Validate_Against_Sma()
+    {
+        // SMA(10) is equivalent to Conv with 10 weights of 1/10
+        int period = 10;
+        double weight = 1.0 / period;
+        double[] kernel = new double[period];
+        Array.Fill(kernel, weight);
+
+        var sma = new Sma(period);
+        var conv = new Conv(kernel);
+
+        var rnd = new Random(123);
+        for (int i = 0; i < 1000; i++)
+        {
+            double price = rnd.NextDouble() * 100;
+            var tValue = new TValue(DateTime.UtcNow, price);
+
+            var smaVal = sma.Update(tValue);
+            var convVal = conv.Update(tValue);
+
+            if (i >= period) // Skip warmup
+            {
+                Assert.Equal(smaVal.Value, convVal.Value, 1e-9);
+            }
+        }
+    }
+
+    [Fact]
+    public void Validate_Against_Wma()
+    {
+        // WMA(10) weights are 1, 2, ..., 10 divided by sum(1..10)
+        int period = 10;
+        double divisor = period * (period + 1) / 2.0;
+        double[] kernel = new double[period];
+        for (int i = 0; i < period; i++)
+        {
+            kernel[i] = (i + 1) / divisor;
+        }
+
+        var wma = new Wma(period);
+        var conv = new Conv(kernel);
+
+        var rnd = new Random(123);
+        for (int i = 0; i < 1000; i++)
+        {
+            double price = rnd.NextDouble() * 100;
+            var tValue = new TValue(DateTime.UtcNow, price);
+
+            var wmaVal = wma.Update(tValue);
+            var convVal = conv.Update(tValue);
+
+            if (i >= period) // Skip warmup
+            {
+                Assert.Equal(wmaVal.Value, convVal.Value, 1e-9);
+            }
+        }
+    }
+
+    [Fact]
+    public void Validate_Against_Trima()
+    {
+        // TRIMA(10) - Even period
+        // Weights: 1, 2, 3, 4, 5, 5, 4, 3, 2, 1
+        // Sum: 30
+        int period = 10;
+        double[] kernel = new double[period];
+        double sum = 0;
+
+        // Generate triangular weights
+        int mid = period / 2;
+        for (int i = 0; i < period; i++)
+        {
+            // For even period 10:
+            // i=0 -> 1
+            // i=4 -> 5
+            // i=5 -> 5
+            // i=9 -> 1
+
+            // Distance from ends?
+            // 0 -> 1
+            // 1 -> 2
+            // ...
+            // mid-1 -> mid
+            // mid -> mid
+
+            double val = (i < mid) ? (i + 1) : (period - i);
+            kernel[i] = val;
+            sum += val;
+        }
+
+        // Normalize
+        for (int i = 0; i < period; i++)
+        {
+            kernel[i] /= sum;
+        }
+
+        var trima = new Trima(period);
+        var conv = new Conv(kernel);
+
+        var rnd = new Random(123);
+        for (int i = 0; i < 1000; i++)
+        {
+            double price = rnd.NextDouble() * 100;
+            var tValue = new TValue(DateTime.UtcNow, price);
+
+            var trimaVal = trima.Update(tValue);
+            var convVal = conv.Update(tValue);
+
+            if (i >= period) // Skip warmup
+            {
+                Assert.Equal(trimaVal.Value, convVal.Value, 1e-9);
+            }
+        }
+    }
+}