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Miha Kralj
2026-02-28 14:14:35 -08:00
parent 82e0248eb0
commit 83e9511261
521 changed files with 62395 additions and 15669 deletions
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lib/numerics/cwt/Cwt.Quantower.Tests.cs
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using Xunit;
using TradingPlatform.BusinessLayer;
namespace QuanTAlib.Tests;
public class CwtIndicatorTests
{
[Fact]
public void CwtIndicator_Constructor_SetsDefaults()
{
var indicator = new CwtIndicator();
Assert.Equal(SourceType.Close, indicator.Source);
Assert.Equal(10.0, indicator.Scale);
Assert.Equal(6.0, indicator.Omega0);
Assert.True(indicator.ShowColdValues);
Assert.Equal("CWT - Continuous Wavelet Transform", indicator.Name);
Assert.True(indicator.SeparateWindow);
Assert.True(indicator.OnBackGround);
}
[Fact]
public void CwtIndicator_MinHistoryDepths_CorrectForScale10()
{
// scale=10: halfWindow=round(30)=30, windowSize=61
var indicator = new CwtIndicator { Scale = 10.0 };
Assert.Equal(61, indicator.MinHistoryDepths);
}
[Fact]
public void CwtIndicator_MinHistoryDepths_CorrectForScale5()
{
// scale=5: halfWindow=round(15)=15, windowSize=31
var indicator = new CwtIndicator { Scale = 5.0 };
Assert.Equal(31, indicator.MinHistoryDepths);
}
[Fact]
public void CwtIndicator_ShortName_IsCorrect()
{
var indicator = new CwtIndicator { Scale = 20.0, Omega0 = 5.0 };
Assert.Equal("CWT(20,5)", indicator.ShortName);
}
[Fact]
public void CwtIndicator_Initialize_CreatesTwoLineSeries()
{
var indicator = new CwtIndicator();
indicator.Initialize();
Assert.Equal(2, indicator.LinesSeries.Count);
Assert.Equal("CWT Magnitude", indicator.LinesSeries[0].Name);
Assert.Equal("Zero", indicator.LinesSeries[1].Name);
}
[Fact]
public void CwtIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
// scale=2: windowSize=13 bars needed
var indicator = new CwtIndicator { Scale = 2.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105 + i, 95 - i, 100 + i);
var args = new UpdateArgs(UpdateReason.HistoricalBar);
indicator.ProcessUpdate(args);
}
// After windowSize bars, should have valid (non-cold) output
double val = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(val), "Output must be finite after warmup");
Assert.True(val >= 0.0, $"CWT magnitude {val} must be >= 0");
}
[Fact]
public void CwtIndicator_ProcessUpdate_NewBar_AddsNewValue()
{
var indicator = new CwtIndicator { Scale = 2.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
// Feed windowSize historical bars
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
// Feed a new bar
indicator.HistoricalData.AddBar(now.AddMinutes(windowSize), 0, 106, 96, 103);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(windowSize + 1, indicator.LinesSeries[0].Count);
}
[Fact]
public void CwtIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new CwtIndicator { Scale = 2.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 0, 105, 95, 100);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
// 2 values: one historical, one intra-bar update
Assert.Equal(2, indicator.LinesSeries[0].Count);
}
[Fact]
public void CwtIndicator_ZeroLine_IsAlwaysZero()
{
var indicator = new CwtIndicator { Scale = 2.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize + 5; i++)
{
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 105, 95, 100 + i);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
// Zero reference line should always be 0
for (int i = 0; i < indicator.LinesSeries[1].Count; i++)
{
double zero = indicator.LinesSeries[1].GetValue(i);
Assert.Equal(0.0, zero, 1e-10);
}
}
[Fact]
public void CwtIndicator_DifferentSourceType_Works()
{
var indicator = new CwtIndicator { Scale = 2.0, Source = SourceType.High };
indicator.Initialize();
var now = DateTime.UtcNow;
int windowSize = indicator.MinHistoryDepths;
for (int i = 0; i < windowSize; i++)
{
// High = 110+i, Low = 90, Close = 100
indicator.HistoricalData.AddBar(now.AddMinutes(i), 0, 110 + i, 90, 100);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
double val = indicator.LinesSeries[0].GetValue(0);
Assert.True(double.IsFinite(val));
Assert.True(val >= 0.0);
}
[Fact]
public void CwtIndicator_OutputNonNegative_AfterManyBars()
{
var indicator = new CwtIndicator { Scale = 3.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 73001);
var bars = gbm.Fetch(100, now.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < bars.Close.Count; i++)
{
double price = bars.Close[i].Value;
indicator.HistoricalData.AddBar(
new DateTime(bars.Close[i].Time, DateTimeKind.Utc),
0, price * 1.01, price * 0.99, price);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
}
// Check all computed values are >= 0
for (int i = 0; i < indicator.LinesSeries[0].Count; i++)
{
double val = indicator.LinesSeries[0].GetValue(i);
Assert.True(val >= 0.0, $"CWT magnitude {val} at index {i} must be >= 0");
}
}
}
lib/numerics/cwt/Cwt.Quantower.cs
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using System.Drawing;
using TradingPlatform.BusinessLayer;
using static QuanTAlib.IndicatorExtensions;
namespace QuanTAlib;
/// <summary>
/// CWT (Continuous Wavelet Transform) Quantower indicator.
/// Computes the Morlet CWT magnitude at a specified scale, providing
/// time-localized frequency-band energy decomposition.
/// </summary>
public class CwtIndicator : Indicator, IWatchlistIndicator
{
[DataSourceInput]
public SourceType Source { get; set; } = SourceType.Close;
[InputParameter("Scale", sortIndex: 0, minimum: 0.5, maximum: 200.0, increment: 0.5, decimalPlaces: 1)]
public double Scale { get; set; } = 10.0;
[InputParameter("Omega0 (Central Frequency)", sortIndex: 1, minimum: 1.0, maximum: 20.0, increment: 0.5, decimalPlaces: 1)]
public double Omega0 { get; set; } = 6.0;
[InputParameter("Show Cold Values", sortIndex: 100)]
public bool ShowColdValues { get; set; } = true;
private Cwt? _cwt;
private Func<IHistoryItem, double>? _selector;
public int MinHistoryDepths => (int)(2 * Math.Round(3.0 * Scale) + 1);
public override string ShortName => $"CWT({Scale:G},{Omega0:G})";
public CwtIndicator()
{
Name = "CWT - Continuous Wavelet Transform";
Description = "Morlet CWT magnitude at a specified scale — time-frequency decomposition";
SeparateWindow = true;
OnBackGround = true;
}
protected override void OnInit()
{
_cwt = new Cwt(Scale, Omega0);
_selector = Source.GetPriceSelector();
AddLineSeries(new LineSeries("CWT Magnitude", Color.Cyan, 2, LineStyle.Solid));
// Reference level at 0 (baseline)
AddLineSeries(new LineSeries("Zero", Color.Gray, 1, LineStyle.Dash));
}
protected override void OnUpdate(UpdateArgs args)
{
if (_cwt == null || _selector == null)
{
return;
}
var item = HistoricalData[0, SeekOriginHistory.End];
double value = _selector(item);
bool isNew = args.IsNewBar();
TValue input = new(item.TimeLeft, value);
_cwt.Update(input, isNew);
bool isHot = _cwt.IsHot;
LinesSeries[0].SetValue(_cwt.Last.Value, isHot, ShowColdValues);
LinesSeries[1].SetValue(0.0, isHot, ShowColdValues);
}
}