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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
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Miha Kralj
@@ -1,193 +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 PolyfitIndicatorTests
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{
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// ── 1. Constructor defaults ───────────────────────────────────────────────
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[Fact]
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public void Constructor_DefaultValues()
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{
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var ind = new PolyfitIndicator();
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Assert.Equal(20, ind.Period);
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Assert.Equal(2, ind.Degree);
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Assert.True(ind.ShowColdValues);
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Assert.Equal("Polyfit - Polynomial Fitting", ind.Name);
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Assert.False(ind.SeparateWindow);
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Assert.True(ind.OnBackGround);
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Assert.Equal(SourceType.Close, ind.Source);
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}
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[Fact]
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public void Constructor_ShortName_IncludesPeriodDegree()
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{
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var ind = new PolyfitIndicator { Period = 10, Degree = 3 };
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Assert.Equal("Polyfit 10,3", ind.ShortName);
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}
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// ── 2. MinHistoryDepths ───────────────────────────────────────────────────
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[Fact]
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public void MinHistoryDepths_IsZero()
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{
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Assert.Equal(0, PolyfitIndicator.MinHistoryDepths);
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}
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[Fact]
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public void MinHistoryDepths_InterfaceImplementation()
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{
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IWatchlistIndicator ind = new PolyfitIndicator();
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Assert.Equal(0, ind.MinHistoryDepths);
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}
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// ── 3. Initialize creates internal indicator and line series ──────────────
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[Fact]
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public void Initialize_CreatesLineSeries()
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{
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var ind = new PolyfitIndicator { Period = 10 };
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ind.Initialize();
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Assert.Single(ind.LinesSeries);
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Assert.Equal("Polyfit", ind.LinesSeries[0].Name);
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}
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[Fact]
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public void Initialize_CustomPeriodDegree()
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{
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var ind = new PolyfitIndicator { Period = 8, Degree = 3 };
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ind.Initialize();
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Assert.Equal("Polyfit 8,3", ind.ShortName);
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}
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// ── 4. ProcessUpdate — historical data ────────────────────────────────────
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[Fact]
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public void ProcessUpdate_HistoricalBars_ProducesFiniteValues()
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{
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var ind = new PolyfitIndicator { Period = 5, Degree = 2 };
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ind.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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ind.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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ind.ProcessUpdate(args);
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}
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double val = ind.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void ProcessUpdate_NewBar_UpdatesValue()
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{
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var ind = new PolyfitIndicator { Period = 5, Degree = 2 };
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ind.Initialize();
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var now = DateTime.UtcNow;
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// Fill warmup with historical bars
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for (int i = 0; i < 5; i++)
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{
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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val1 = ind.LinesSeries[0].GetValue(0);
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// Add one more new bar
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ind.HistoricalData.AddBar(now.AddMinutes(5), 110, 120, 100, 115);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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double val2 = ind.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val1));
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Assert.True(double.IsFinite(val2));
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}
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[Fact]
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public void ProcessUpdate_SameBarUpdate_ProducesFiniteValue()
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{
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var ind = new PolyfitIndicator { Period = 5, Degree = 2 };
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ind.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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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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// Non-new bar update (bar correction)
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ind.HistoricalData.AddBar(now.AddMinutes(4), 108, 118, 98, 112);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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double val = ind.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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// ── 5. Different source types ─────────────────────────────────────────────
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[Theory]
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[InlineData(SourceType.Close)]
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[InlineData(SourceType.Open)]
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[InlineData(SourceType.High)]
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[InlineData(SourceType.Low)]
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[InlineData(SourceType.HL2)]
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public void DifferentSourceTypes_ProducesFiniteValues(SourceType sourceType)
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{
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var ind = new PolyfitIndicator { Period = 5, Degree = 2, Source = sourceType };
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ind.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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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val = ind.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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// ── 6. Different degree variants ─────────────────────────────────────────
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[Theory]
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[InlineData(1)]
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[InlineData(2)]
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[InlineData(3)]
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public void DifferentDegrees_ProducesFiniteValues(int degree)
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{
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var ind = new PolyfitIndicator { Period = 10, Degree = degree };
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ind.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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ind.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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ind.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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double val = ind.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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Assert.True(val > 0, "Expected positive overlay value");
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}
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// ── 7. SeparateWindow and SourceCodeLink ──────────────────────────────────
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[Fact]
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public void SeparateWindow_IsFalse_Overlay()
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{
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var ind = new PolyfitIndicator();
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Assert.False(ind.SeparateWindow);
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}
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[Fact]
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public void SourceCodeLink_ContainsPolyfit()
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{
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var ind = new PolyfitIndicator();
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Assert.Contains("Polyfit", ind.SourceCodeLink, StringComparison.Ordinal);
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}
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}
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@@ -1,63 +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 PolyfitIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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[InputParameter("Degree", sortIndex: 2, 1, 6, 1, 0)]
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public int Degree { get; set; } = 2;
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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 Polyfit _polyfit = null!;
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private readonly LineSeries _series;
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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 => $"Polyfit {Period},{Degree}";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/polyfit/Polyfit.Quantower.cs";
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public PolyfitIndicator()
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{
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OnBackGround = true;
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SeparateWindow = false;
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Name = "Polyfit - Polynomial Fitting";
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Description = "Rolling polynomial regression of configurable degree; returns fitted value at current bar";
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_series = new LineSeries(name: "Polyfit", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
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AddLineSeries(_series);
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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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_polyfit = new Polyfit(Period, Degree);
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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 = _polyfit.Update(input, args.IsNewBar());
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_series.SetValue(result.Value, _polyfit.IsHot, ShowColdValues);
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}
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}
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