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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
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Miha Kralj
@@ -1,114 +0,0 @@
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using TradingPlatform.BusinessLayer;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public sealed class HurstIndicatorTests
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{
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[Fact]
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public void HurstIndicator_Constructor_SetsDefaults()
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{
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var indicator = new HurstIndicator();
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Assert.Equal(100, indicator.Period);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("Hurst - Hurst Exponent", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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Assert.Equal(SourceType.Close, indicator.Source);
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}
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[Fact]
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public void HurstIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new HurstIndicator { Period = 100 };
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Assert.Equal(0, HurstIndicator.MinHistoryDepths);
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IWatchlistIndicator watchlistIndicator = indicator;
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Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
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}
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[Fact]
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public void HurstIndicator_Initialize_CreatesInternalHurst()
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{
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var indicator = new HurstIndicator { Period = 20 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist (Hurst line + 0.5 reference line)
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Assert.Equal(2, indicator.LinesSeries.Count);
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Assert.Equal("Hurst", indicator.LinesSeries[0].Name);
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Assert.Equal("0.5", indicator.LinesSeries[1].Name);
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}
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[Fact]
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public void HurstIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new HurstIndicator { Period = 20 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 50; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double hurst = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(hurst));
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}
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[Fact]
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public void HurstIndicator_DifferentSourceTypes()
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{
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var indicator = new HurstIndicator { Period = 20, Source = SourceType.Open };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double hurst = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(hurst));
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}
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[Fact]
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public void HurstIndicator_ShortName_IncludesPeriod()
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{
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var indicator = new HurstIndicator { Period = 50 };
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Assert.Equal("Hurst 50", indicator.ShortName);
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}
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[Fact]
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public void HurstIndicator_NewBar_UpdatesValue()
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{
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var indicator = new HurstIndicator { Period = 20 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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_ = indicator.LinesSeries[0].GetValue(0);
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// Add a new bar with a very different value
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indicator.HistoricalData.AddBar(now.AddMinutes(30), 200, 210, 190, 205);
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var newArgs = new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(newArgs);
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double valueAfter = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(valueAfter));
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}
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}
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@@ -1,64 +0,0 @@
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using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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[SkipLocalsInit]
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public sealed class HurstIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 20, 2000, 1, 0)]
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public int Period { get; set; } = 100;
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[IndicatorExtensions.DataSourceInput]
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public SourceType Source { get; set; } = SourceType.Close;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Hurst _hurst = null!;
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private readonly LineSeries _series;
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private readonly LineSeries _halfLine;
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private Func<IHistoryItem, double> _priceSelector = null!;
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"Hurst {Period}";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/hurst/Hurst.Quantower.cs";
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public HurstIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "Hurst - Hurst Exponent";
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Description = "Measures long-range dependence using Rescaled Range (R/S) analysis. H > 0.5 = trending, H < 0.5 = mean-reverting, H ≈ 0.5 = random walk";
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_series = new LineSeries(name: "Hurst", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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_halfLine = new LineSeries(name: "0.5", color: Color.Gray, width: 1, style: LineStyle.Dash);
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AddLineSeries(_series);
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AddLineSeries(_halfLine);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnInit()
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{
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_hurst = new Hurst(Period);
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_priceSelector = Source.GetPriceSelector();
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
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double value = _priceSelector(item);
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var time = this.HistoricalData.Time();
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var input = new TValue(time, value);
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TValue result = _hurst.Update(input, args.IsNewBar());
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_series.SetValue(result.Value, _hurst.IsHot, ShowColdValues);
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_halfLine.SetValue(0.5);
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}
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}
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@@ -1,4 +1,7 @@
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using Skender.Stock.Indicators;
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using QuanTAlib.Tests;
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// HURST Validation Tests - Hurst Exponent via Rescaled Range (R/S) Analysis
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// Validated against self-consistency and known mathematical properties
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// No external library provides a direct R/S-based Hurst exponent equivalent
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@@ -181,4 +184,40 @@ public sealed class HurstValidationTests
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Assert.Equal(h1.Last.Value, h2.Last.Value, 1e-15);
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}
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/// <summary>
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/// Structural comparison with Skender GetHurst — both compute Hurst exponent
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/// but may use different R/S subdivision strategies and regression methods.
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/// Validates that Skender produces finite results in the same range.
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/// </summary>
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[Fact]
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public void Validate_Skender_Hurst_Structural()
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{
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const int period = 20;
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using var data = new ValidationTestData(10000);
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// QuanTAlib streaming
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var indicator = new Hurst(period);
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foreach (var tv in data.Data)
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{
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indicator.Update(tv);
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}
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// Skender
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var sResult = data.SkenderQuotes.GetHurst(period).ToList();
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// QuanTAlib produces finite output
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Assert.True(double.IsFinite(indicator.Last.Value), "QuanTAlib Hurst last must be finite");
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// Skender produces finite Hurst exponents
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int sFinite = sResult.Count(r => r.HurstExponent is not null && double.IsFinite(r.HurstExponent.Value));
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Assert.True(sFinite > 50, $"Skender produced only {sFinite} finite Hurst values");
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// Both Hurst exponents should be finite
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foreach (var r in sResult.Where(r => r.HurstExponent is not null))
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{
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Assert.True(double.IsFinite(r.HurstExponent!.Value),
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$"Skender Hurst value {r.HurstExponent.Value} is not finite");
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}
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}
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}
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