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refactor: move Decay/Edecay from trends_IIR to numerics; update filter signatures
- Move lib/trends_IIR/decay/ → lib/numerics/decay/ - Move lib/trends_IIR/edecay/ → lib/numerics/edecay/ - Update Category in Decay.md/Edecay.md from Trends (IIR) to Numerics - Add DECAY/EDECAY entries to lib/numerics/_index.md and docs/indicators.md - Update filter signature .md files and .svg assets - Update trends_IIR signature docs (htit, mama, holt, etc.) - All 163 tests passing, 0 warnings, 0 errors
This commit is contained in:
Miha Kralj
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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 EDECAY (Exponential Decay) against the Tulip Indicators algorithm.
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/// The Tulip .NET binding does not expose decay/edecay directly, so validation
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/// uses manual computation of the Tulip ti_edecay algorithm:
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/// output[0] = input[0]
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/// output[i] = max(input[i], output[i-1] * (period-1)/period)
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/// </summary>
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public sealed class EdecayValidationTests(ITestOutputHelper output) : IDisposable
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{
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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 = 5;
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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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/// <summary>
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/// Reference implementation of Tulip ti_edecay for validation.
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/// </summary>
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private static double[] TulipEdecay(double[] input, int period)
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{
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double[] output = new double[input.Length];
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double scale = (period - 1.0) / period;
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output[0] = input[0];
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for (int i = 1; i < input.Length; i++)
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{
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double d = output[i - 1] * scale;
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output[i] = input[i] > d ? input[i] : d;
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}
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return output;
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}
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#region Tulip Algorithm Validation
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[Fact]
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public void Edecay_MatchesTulipEdecay_Batch()
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{
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double[] input = _testData.RawData.ToArray();
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var quantResult = Edecay.Batch(_testData.Data, TestPeriod);
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double[] tulipResult = TulipEdecay(input, TestPeriod);
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int count = quantResult.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.True(
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Math.Abs(quantResult[i].Value - tulipResult[i]) <= TulipTolerance,
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$"Mismatch at index {i}: QuanTAlib={quantResult[i].Value:G17}, Tulip={tulipResult[i]:G17}");
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}
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_output.WriteLine("Edecay Batch validated successfully against Tulip edecay algorithm");
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}
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[Fact]
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public void Edecay_MatchesTulipEdecay_Streaming()
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{
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double[] input = _testData.RawData.ToArray();
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var edecay = new Edecay(TestPeriod);
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var streamingResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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streamingResults.Add(edecay.Update(item).Value);
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}
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double[] tulipResult = TulipEdecay(input, TestPeriod);
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int count = streamingResults.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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Assert.True(
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Math.Abs(streamingResults[i] - tulipResult[i]) <= TulipTolerance,
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$"Mismatch at index {i}: QuanTAlib={streamingResults[i]:G17}, Tulip={tulipResult[i]:G17}");
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}
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_output.WriteLine("Edecay Streaming validated successfully against Tulip edecay algorithm");
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}
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[Fact]
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public void Edecay_MatchesTulipEdecay_Span()
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{
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double[] input = _testData.RawData.ToArray();
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var quantOutput = new double[input.Length];
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Edecay.Batch(new ReadOnlySpan<double>(input), quantOutput, TestPeriod);
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double[] tulipResult = TulipEdecay(input, TestPeriod);
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int count = quantOutput.Length;
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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.True(
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Math.Abs(quantOutput[i] - tulipResult[i]) <= TulipTolerance,
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$"Mismatch at index {i}: QuanTAlib={quantOutput[i]:G17}, Tulip={tulipResult[i]:G17}");
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}
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_output.WriteLine("Edecay Span validated successfully against Tulip edecay algorithm");
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}
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#endregion
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#region Different Periods
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[Theory]
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[InlineData(1)]
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[InlineData(5)]
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[InlineData(10)]
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[InlineData(20)]
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[InlineData(50)]
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public void Edecay_MatchesTulipEdecay_DifferentPeriods(int period)
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{
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double[] input = _testData.RawData.ToArray();
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var quantResult = Edecay.Batch(_testData.Data, period);
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double[] tulipResult = TulipEdecay(input, period);
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int count = quantResult.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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Assert.True(
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Math.Abs(quantResult[i].Value - tulipResult[i]) <= TulipTolerance,
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$"Period={period}, Mismatch at index {i}: QuanTAlib={quantResult[i].Value:G17}, Tulip={tulipResult[i]:G17}");
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}
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}
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#endregion
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#region Edge Cases
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[Fact]
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public void Edecay_HandlesConstantValues()
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{
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var constantData = new TSeries(100);
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for (int i = 0; i < 100; i++)
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{
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constantData.Add(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0), true);
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}
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var result = Edecay.Batch(constantData, TestPeriod);
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// Constant input: output always equals input since input >= decayed
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(100.0, result[i].Value, TulipTolerance);
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}
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}
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[Fact]
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public void Edecay_HandlesExponentiallyDecreasing()
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{
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double[] input = new double[20];
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for (int i = 0; i < 20; i++)
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{
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input[i] = 100.0 * Math.Pow(0.9, i);
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}
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var quantOutput = new double[20];
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Edecay.Batch(input, quantOutput, TestPeriod);
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double[] tulipResult = TulipEdecay(input, TestPeriod);
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for (int i = 0; i < 20; i++)
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{
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Assert.Equal(tulipResult[i], quantOutput[i], TulipTolerance);
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}
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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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var batchResult = Edecay.Batch(_testData.Data, TestPeriod);
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var edecay = new Edecay(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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streamingResults.Add(edecay.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("Edecay Batch vs Streaming consistency validated");
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}
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[Fact]
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public void Edecay_OutputAlwaysGreaterOrEqualInput()
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{
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double[] input = _testData.RawData.ToArray();
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var quantOutput = new double[input.Length];
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Edecay.Batch(input, quantOutput, TestPeriod);
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for (int i = 0; i < input.Length; i++)
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{
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Assert.True(quantOutput[i] >= input[i] - 1e-15,
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$"Output {quantOutput[i]} must be >= input {input[i]} at index {i}");
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}
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}
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[Fact]
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public void Edecay_DecayIsMultiplicative()
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{
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// With period=5, scale = 4/5 = 0.8
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// After a spike, each subsequent bar without new highs should multiply by 0.8
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double[] input = [100.0, 0.0, 0.0, 0.0, 0.0, 0.0];
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double[] tulipResult = TulipEdecay(input, TestPeriod);
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// output[0] = 100.0
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// output[1] = max(0, 100 * 0.8) = 80.0
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// output[2] = max(0, 80 * 0.8) = 64.0
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// output[3] = max(0, 64 * 0.8) = 51.2
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// output[4] = max(0, 51.2 * 0.8) = 40.96
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// output[5] = max(0, 40.96 * 0.8) = 32.768
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Assert.Equal(100.0, tulipResult[0], TulipTolerance);
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Assert.Equal(80.0, tulipResult[1], TulipTolerance);
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Assert.Equal(64.0, tulipResult[2], TulipTolerance);
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Assert.Equal(51.2, tulipResult[3], TulipTolerance);
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Assert.Equal(40.96, tulipResult[4], TulipTolerance);
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Assert.Equal(32.768, tulipResult[5], TulipTolerance);
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var quantOutput = new double[6];
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Edecay.Batch(input, quantOutput, TestPeriod);
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for (int i = 0; i < 6; i++)
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{
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Assert.Equal(tulipResult[i], quantOutput[i], TulipTolerance);
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}
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}
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#endregion
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}
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