mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 22:08:05 +00:00
python wrapper
This commit is contained in:
Miha Kralj
@@ -1,220 +0,0 @@
|
||||
using Xunit;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class JerkIndicatorTests
|
||||
{
|
||||
[Fact]
|
||||
public void JerkIndicator_Constructor_SetsDefaults()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
|
||||
Assert.Equal(SourceType.Close, indicator.Source);
|
||||
Assert.True(indicator.ShowColdValues);
|
||||
Assert.Equal("JERK - Third Derivative", indicator.Name);
|
||||
Assert.True(indicator.SeparateWindow);
|
||||
Assert.False(indicator.OnBackGround);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_MinHistoryDepths_IsFour()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
Assert.Equal(4, indicator.MinHistoryDepths);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_ShortName_IsJerk()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
Assert.Equal("JERK", indicator.ShortName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_Initialize_CreatesLineSeries()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries.Count);
|
||||
Assert.Equal("Jerk", indicator.LinesSeries[0].Name);
|
||||
Assert.Equal("Zero", indicator.LinesSeries[1].Name);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
|
||||
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
|
||||
Assert.Equal(1, indicator.LinesSeries[0].Count);
|
||||
Assert.Equal(1, indicator.LinesSeries[1].Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_ProcessUpdate_NewBar_ComputesValue()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries[0].Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries[0].Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_MultipleUpdates_ProducesCorrectSequence()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(
|
||||
now.AddMinutes(i),
|
||||
100 + i * 2,
|
||||
105 + i * 2,
|
||||
95 + i * 2,
|
||||
102 + i * 2);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
}
|
||||
|
||||
Assert.Equal(20, indicator.LinesSeries[0].Count);
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(i)));
|
||||
Assert.Equal(0, indicator.LinesSeries[1].GetValue(i));
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_DifferentSourceTypes_Work()
|
||||
{
|
||||
var sources = new[]
|
||||
{
|
||||
SourceType.Open,
|
||||
SourceType.High,
|
||||
SourceType.Low,
|
||||
SourceType.Close,
|
||||
SourceType.HL2,
|
||||
SourceType.HLC3,
|
||||
};
|
||||
|
||||
foreach (var source in sources)
|
||||
{
|
||||
var indicator = new JerkIndicator { Source = source };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
Assert.Equal(1, indicator.LinesSeries[0].Count);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_ShowColdValues_False_SetsNaN()
|
||||
{
|
||||
var indicator = new JerkIndicator { ShowColdValues = false };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
Assert.True(double.IsNaN(indicator.LinesSeries[0].GetValue(0)));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_QuadraticTrend_ProducesZeroJerk()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Quadratic trend: constant acceleration = zero jerk
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double price = 100 + i * i; // constant accel = 2
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
}
|
||||
|
||||
double lastJerk = indicator.LinesSeries[0].GetValue(0);
|
||||
Assert.Equal(0, lastJerk, 6);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_CubicTrend_ProducesConstantJerk()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Cubic trend: f(x) = x³ has third derivative = 6
|
||||
// Using f(i) = i³, the discrete third differences converge to 6
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double price = 100 + i * i * i; // cubic growth
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
}
|
||||
|
||||
double lastJerk = indicator.LinesSeries[0].GetValue(0);
|
||||
// For f(x) = x³, discrete third difference = 6
|
||||
Assert.Equal(6.0, lastJerk, 6);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void JerkIndicator_LinearTrend_ProducesZeroJerk()
|
||||
{
|
||||
var indicator = new JerkIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Linear trend: zero accel = zero jerk
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double price = 100 + i * 5; // constant slope
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
}
|
||||
|
||||
double lastJerk = indicator.LinesSeries[0].GetValue(0);
|
||||
Assert.Equal(0, lastJerk, 6);
|
||||
}
|
||||
}
|
||||
@@ -1,81 +0,0 @@
|
||||
using System.Drawing;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
using static QuanTAlib.IndicatorExtensions;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// JERK (Third Derivative) Quantower indicator.
|
||||
/// Measures the rate of change of acceleration - derivative of accel.
|
||||
/// </summary>
|
||||
public class JerkIndicator : Indicator, IWatchlistIndicator
|
||||
{
|
||||
[DataSourceInput]
|
||||
public SourceType Source { get; set; } = SourceType.Close;
|
||||
|
||||
[InputParameter("Show Cold Values", sortIndex: 100)]
|
||||
public bool ShowColdValues { get; set; } = true;
|
||||
|
||||
private Jerk? _jerk;
|
||||
private Func<IHistoryItem, double>? _selector;
|
||||
|
||||
public int MinHistoryDepths => 4;
|
||||
public override string ShortName => "JERK";
|
||||
|
||||
public JerkIndicator()
|
||||
{
|
||||
Name = "JERK - Third Derivative";
|
||||
Description = "Measures rate of change of acceleration - derivative of accel";
|
||||
SeparateWindow = true;
|
||||
OnBackGround = false;
|
||||
}
|
||||
|
||||
protected override void OnInit()
|
||||
{
|
||||
_jerk = new Jerk();
|
||||
_selector = Source.GetPriceSelector();
|
||||
|
||||
AddLineSeries(new LineSeries("Jerk", Momentum, 2, LineStyle.Histogramm));
|
||||
AddLineSeries(new LineSeries("Zero", Color.Gray, 1, LineStyle.Dot));
|
||||
}
|
||||
|
||||
protected override void OnUpdate(UpdateArgs args)
|
||||
{
|
||||
if (_jerk == null || _selector == null)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
var item = HistoricalData[0, SeekOriginHistory.End];
|
||||
double value = _selector(item);
|
||||
bool isNew = args.IsNewBar();
|
||||
|
||||
TValue input = new(item.TimeLeft, value);
|
||||
_jerk.Update(input, isNew);
|
||||
|
||||
bool isHot = _jerk.IsHot;
|
||||
|
||||
LinesSeries[0].SetValue(_jerk.Last.Value, isHot, ShowColdValues);
|
||||
LinesSeries[1].SetValue(0);
|
||||
|
||||
if (isHot || ShowColdValues)
|
||||
{
|
||||
double jerk = _jerk.Last.Value;
|
||||
Color color;
|
||||
if (jerk > 0)
|
||||
{
|
||||
color = Color.Green;
|
||||
}
|
||||
else if (jerk < 0)
|
||||
{
|
||||
color = Color.Red;
|
||||
}
|
||||
else
|
||||
{
|
||||
color = Color.Gray;
|
||||
}
|
||||
|
||||
LinesSeries[0].SetMarker(0, new IndicatorLineMarker(color));
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -304,4 +304,43 @@ public class JerkTests
|
||||
Assert.Equal(jerkResults[i], chainResults[i], precision: 9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_AllNonFinite_FallsBackToZero()
|
||||
{
|
||||
double[] source = [double.NaN, double.PositiveInfinity, double.NegativeInfinity, double.NaN, double.NaN];
|
||||
double[] output = new double[source.Length];
|
||||
|
||||
Jerk.Batch(source.AsSpan(), output.AsSpan());
|
||||
|
||||
Assert.Equal(0.0, output[0], 12);
|
||||
Assert.Equal(0.0, output[1], 12);
|
||||
Assert.Equal(0.0, output[2], 12);
|
||||
Assert.Equal(0.0, output[3], 12);
|
||||
Assert.Equal(0.0, output[4], 12);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsConfiguredIndicatorAndMatchingResults()
|
||||
{
|
||||
var source = new TSeries();
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
source.Add(now.AddSeconds(i), 100 + i * 0.5);
|
||||
}
|
||||
|
||||
var (results, indicator) = Jerk.Calculate(source);
|
||||
var batch = Jerk.Batch(source);
|
||||
|
||||
Assert.NotNull(indicator);
|
||||
Assert.Equal(4, indicator.WarmupPeriod);
|
||||
Assert.Equal(results.Count, batch.Count);
|
||||
|
||||
for (int i = 0; i < results.Count; i++)
|
||||
{
|
||||
Assert.Equal(batch[i].Value, results[i].Value, 10);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user