mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
python wrapper
This commit is contained in:
Miha Kralj
@@ -1,165 +0,0 @@
|
||||
using Xunit;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class SigmoidIndicatorTests
|
||||
{
|
||||
[Fact]
|
||||
public void SigmoidIndicator_Constructor_SetsDefaults()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
|
||||
Assert.Equal(SourceType.Close, indicator.Source);
|
||||
Assert.Equal(1.0, indicator.Steepness);
|
||||
Assert.Equal(0.0, indicator.Midpoint);
|
||||
Assert.True(indicator.ShowColdValues);
|
||||
Assert.Equal("SIGMOID - Logistic Function", indicator.Name);
|
||||
Assert.True(indicator.SeparateWindow);
|
||||
Assert.True(indicator.OnBackGround);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_MinHistoryDepths_IsOne()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
Assert.Equal(1, indicator.MinHistoryDepths);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_ShortName_IncludesParameters()
|
||||
{
|
||||
var indicator = new SigmoidIndicator { Steepness = 2.0, Midpoint = 50.0 };
|
||||
Assert.Equal("SIGMOID(2.00,50.00)", indicator.ShortName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_Initialize_CreatesLineSeries()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
Assert.Single(indicator.LinesSeries);
|
||||
Assert.Equal("Sigmoid", indicator.LinesSeries[0].Name);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 0, 1, -1, 0);
|
||||
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
|
||||
// Sigmoid of 0 with default params is 0.5
|
||||
Assert.Equal(0.5, indicator.LinesSeries[0].GetValue(0), 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_ProcessUpdate_NewBar_ComputesValue()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 0, 1, -1, 0);
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(1), 0, 2, -1, 1);
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries[0].Count);
|
||||
// Sigmoid of 1 is about 0.731
|
||||
double expected = 1.0 / (1.0 + Math.Exp(-1.0));
|
||||
Assert.Equal(expected, indicator.LinesSeries[0].GetValue(0), 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 0, 1, -1, 0);
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
|
||||
|
||||
Assert.Equal(2, indicator.LinesSeries[0].Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_CustomParameters_AreApplied()
|
||||
{
|
||||
var indicator = new SigmoidIndicator
|
||||
{
|
||||
Steepness = 2.0,
|
||||
Midpoint = 50.0
|
||||
};
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 50, 51, 49, 50);
|
||||
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
// Sigmoid at midpoint should be 0.5
|
||||
Assert.Equal(0.5, indicator.LinesSeries[0].GetValue(0), 1e-10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_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 SigmoidIndicator { Source = source };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
indicator.HistoricalData.AddBar(now, 1, 2, 0, 1);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
Assert.Equal(1, indicator.LinesSeries[0].Count);
|
||||
double val = indicator.LinesSeries[0].GetValue(0);
|
||||
// All outputs should be in (0, 1)
|
||||
Assert.True(val > 0 && val < 1);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SigmoidIndicator_OutputAlwaysInRange()
|
||||
{
|
||||
var indicator = new SigmoidIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
// Test with large positive and negative values
|
||||
double[] testValues = { -1000, -100, -10, -1, 0, 1, 10, 100, 1000 };
|
||||
|
||||
foreach (var val in testValues)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(now, val, val + 1, val - 1, val);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
|
||||
|
||||
double output = indicator.LinesSeries[0].GetValue(0);
|
||||
Assert.True(output >= 0 && output <= 1, $"Sigmoid({val}) = {output} should be in [0,1]");
|
||||
|
||||
now = now.AddMinutes(1);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,65 +0,0 @@
|
||||
using System.Drawing;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
using static QuanTAlib.IndicatorExtensions;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// SIGMOID (Logistic Function) Quantower indicator.
|
||||
/// Maps any real-valued input to the range (0, 1) using the logistic function.
|
||||
/// </summary>
|
||||
public class SigmoidIndicator : Indicator, IWatchlistIndicator
|
||||
{
|
||||
[DataSourceInput]
|
||||
public SourceType Source { get; set; } = SourceType.Close;
|
||||
|
||||
[InputParameter("Steepness (k)", sortIndex: 10, minimum: 0.01, maximum: 100, increment: 0.1, decimalPlaces: 2)]
|
||||
public double Steepness { get; set; } = 1.0;
|
||||
|
||||
[InputParameter("Midpoint (x0)", sortIndex: 20, minimum: -10000, maximum: 10000, increment: 1, decimalPlaces: 2)]
|
||||
public double Midpoint { get; set; } = 0.0;
|
||||
|
||||
[InputParameter("Show Cold Values", sortIndex: 100)]
|
||||
public bool ShowColdValues { get; set; } = true;
|
||||
|
||||
private Sigmoid? _sigmoid;
|
||||
private Func<IHistoryItem, double>? _selector;
|
||||
|
||||
public int MinHistoryDepths => 1;
|
||||
public override string ShortName => $"SIGMOID({Steepness:F2},{Midpoint:F2})";
|
||||
|
||||
public SigmoidIndicator()
|
||||
{
|
||||
Name = "SIGMOID - Logistic Function";
|
||||
Description = "Maps any real-valued input to the range (0, 1) using the logistic function";
|
||||
SeparateWindow = true;
|
||||
OnBackGround = true;
|
||||
}
|
||||
|
||||
protected override void OnInit()
|
||||
{
|
||||
_sigmoid = new Sigmoid(Steepness, Midpoint);
|
||||
_selector = Source.GetPriceSelector();
|
||||
|
||||
AddLineSeries(new LineSeries("Sigmoid", Color.Orange, 2, LineStyle.Solid));
|
||||
}
|
||||
|
||||
protected override void OnUpdate(UpdateArgs args)
|
||||
{
|
||||
if (_sigmoid == null || _selector == null)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
var item = HistoricalData[0, SeekOriginHistory.End];
|
||||
double value = _selector(item);
|
||||
bool isNew = args.IsNewBar();
|
||||
|
||||
TValue input = new(item.TimeLeft, value);
|
||||
_sigmoid.Update(input, isNew);
|
||||
|
||||
bool isHot = _sigmoid.IsHot;
|
||||
|
||||
LinesSeries[0].SetValue(_sigmoid.Last.Value, isHot, ShowColdValues);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user