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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
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Miha Kralj
@@ -1,214 +0,0 @@
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using Xunit;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class SlopeIndicatorTests
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{
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[Fact]
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public void SlopeIndicator_Constructor_SetsDefaults()
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{
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var indicator = new SlopeIndicator();
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Assert.Equal(SourceType.Close, indicator.Source);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("SLOPE - First Derivative (Velocity)", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.False(indicator.OnBackGround);
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}
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[Fact]
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public void SlopeIndicator_MinHistoryDepths_IsTwo()
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{
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var indicator = new SlopeIndicator();
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Assert.Equal(2, indicator.MinHistoryDepths);
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}
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[Fact]
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public void SlopeIndicator_ShortName_IsSlope()
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{
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var indicator = new SlopeIndicator();
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Assert.Equal("SLOPE", indicator.ShortName);
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}
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[Fact]
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public void SlopeIndicator_Initialize_CreatesLineSeries()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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Assert.Equal(2, indicator.LinesSeries.Count);
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Assert.Equal("Slope", indicator.LinesSeries[0].Name);
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Assert.Equal("Zero", indicator.LinesSeries[1].Name);
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}
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[Fact]
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public void SlopeIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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Assert.Equal(1, indicator.LinesSeries[0].Count);
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Assert.Equal(1, indicator.LinesSeries[1].Count);
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}
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[Fact]
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public void SlopeIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void SlopeIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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[Fact]
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public void SlopeIndicator_MultipleUpdates_ProducesCorrectSequence()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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indicator.HistoricalData.AddBar(
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now.AddMinutes(i),
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100 + i * 2,
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105 + i * 2,
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95 + i * 2,
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102 + i * 2);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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Assert.Equal(20, indicator.LinesSeries[0].Count);
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for (int i = 0; i < 20; i++)
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{
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(i)));
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Assert.Equal(0, indicator.LinesSeries[1].GetValue(i));
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}
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}
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[Fact]
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public void SlopeIndicator_DifferentSourceTypes_Work()
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{
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var sources = new[]
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{
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SourceType.Open,
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SourceType.High,
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SourceType.Low,
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SourceType.Close,
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SourceType.HL2,
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SourceType.HLC3,
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};
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foreach (var source in sources)
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{
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var indicator = new SlopeIndicator { Source = source };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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Assert.Equal(1, indicator.LinesSeries[0].Count);
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}
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}
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[Fact]
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public void SlopeIndicator_ShowColdValues_False_SetsNaN()
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{
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var indicator = new SlopeIndicator { ShowColdValues = false };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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Assert.True(double.IsNaN(indicator.LinesSeries[0].GetValue(0)));
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}
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[Fact]
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public void SlopeIndicator_Uptrend_ProducesPositiveSlope()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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double price = 100 + i * 5;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double lastSlope = indicator.LinesSeries[0].GetValue(0);
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Assert.True(lastSlope > 0);
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}
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[Fact]
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public void SlopeIndicator_Downtrend_ProducesNegativeSlope()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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double price = 200 - i * 5;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double lastSlope = indicator.LinesSeries[0].GetValue(0);
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Assert.True(lastSlope < 0);
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}
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[Fact]
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public void SlopeIndicator_FlatPrices_ProducesZeroSlope()
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{
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var indicator = new SlopeIndicator();
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 105, 95, 100);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double lastSlope = indicator.LinesSeries[0].GetValue(0);
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Assert.Equal(0, lastSlope);
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}
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}
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@@ -1,81 +0,0 @@
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using System.Drawing;
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using TradingPlatform.BusinessLayer;
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using static QuanTAlib.IndicatorExtensions;
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namespace QuanTAlib;
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/// <summary>
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/// SLOPE (First Derivative / Velocity) Quantower indicator.
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/// Measures the instantaneous rate of change between consecutive values.
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/// </summary>
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public class SlopeIndicator : Indicator, IWatchlistIndicator
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{
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[DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Show Cold Values", sortIndex: 100)]
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public bool ShowColdValues { get; set; } = true;
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private Slope? _slope;
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private Func<IHistoryItem, double>? _selector;
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public int MinHistoryDepths => 2;
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public override string ShortName => "SLOPE";
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public SlopeIndicator()
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{
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Name = "SLOPE - First Derivative (Velocity)";
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Description = "Measures instantaneous rate of change between consecutive values";
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SeparateWindow = true;
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OnBackGround = false;
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}
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protected override void OnInit()
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{
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_slope = new Slope();
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_selector = Source.GetPriceSelector();
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AddLineSeries(new LineSeries("Slope", Momentum, 2, LineStyle.Histogramm));
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AddLineSeries(new LineSeries("Zero", Color.Gray, 1, LineStyle.Dot));
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}
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protected override void OnUpdate(UpdateArgs args)
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{
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if (_slope == null || _selector == null)
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{
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return;
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}
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var item = HistoricalData[0, SeekOriginHistory.End];
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double value = _selector(item);
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bool isNew = args.IsNewBar();
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TValue input = new(item.TimeLeft, value);
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_slope.Update(input, isNew);
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bool isHot = _slope.IsHot;
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LinesSeries[0].SetValue(_slope.Last.Value, isHot, ShowColdValues);
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LinesSeries[1].SetValue(0);
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if (isHot || ShowColdValues)
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{
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double slope = _slope.Last.Value;
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Color color;
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if (slope > 0)
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{
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color = Color.Green;
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}
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else if (slope < 0)
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{
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color = Color.Red;
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}
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else
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{
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color = Color.Gray;
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}
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LinesSeries[0].SetMarker(0, new IndicatorLineMarker(color));
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}
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}
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}
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@@ -1,3 +1,5 @@
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using Skender.Stock.Indicators;
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namespace QuanTAlib.Tests;
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/// <summary>
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@@ -112,6 +114,39 @@ public class SlopeValidationTests
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}
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}
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// === Skender Cross-Validation ===
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/// <summary>
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/// Structural validation against Skender <c>GetSlope</c>.
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/// Skender Slope computes linear regression slope over a lookback window,
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/// while QuanTAlib Slope computes simple first difference (current - previous).
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/// Different formulas mean numeric equality is not expected.
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/// Both must produce finite output and agree on trend direction for simple linear data.
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/// </summary>
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[Fact]
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public void Validate_Skender_Slope_Structural()
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{
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using var data = new ValidationTestData();
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const int period = 14;
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// QuanTAlib Slope (streaming, simple difference)
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var slope = new Slope();
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var qResults = new List<double>();
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foreach (var tv in data.Data)
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{
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qResults.Add(slope.Update(tv).Value);
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}
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// Skender Slope (linear regression slope)
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var sResult = data.SkenderQuotes.GetSlope(period).ToList();
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// Structural: both produce finite output after warmup
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Assert.True(double.IsFinite(slope.Last.Value), "QuanTAlib Slope last must be finite");
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int finiteCount = sResult.Count(r => r.Slope is not null && double.IsFinite(r.Slope.Value));
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Assert.True(finiteCount > 100, $"Skender Slope should produce >100 finite values, got {finiteCount}");
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}
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[Fact]
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public void LargeLinearSequence_ProducesConstantSlope()
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{
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