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python wrapper
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Miha Kralj
@@ -1,230 +0,0 @@
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Quantower.Tests;
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public class VarianceIndicatorTests
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{
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[Fact]
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public void VarianceIndicator_Constructor_SetsDefaults()
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{
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var indicator = new VarianceIndicator();
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Assert.Equal(20, indicator.Period);
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Assert.False(indicator.IsPopulation);
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Assert.Equal(SourceType.Close, indicator.Source);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("Variance - Rolling Variance", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void VarianceIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new VarianceIndicator();
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Assert.Equal(0, VarianceIndicator.MinHistoryDepths);
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Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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[Fact]
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public void VarianceIndicator_ShortName_IncludesPeriod()
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{
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var indicator = new VarianceIndicator { Period = 14 };
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Assert.True(indicator.ShortName.Contains("Variance", StringComparison.Ordinal));
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Assert.True(indicator.ShortName.Contains("14", StringComparison.Ordinal));
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}
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[Fact]
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public void VarianceIndicator_Initialize_CreatesInternalVariance()
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{
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var indicator = new VarianceIndicator { Period = 10 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void VarianceIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new VarianceIndicator { Period = 5 };
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indicator.Initialize();
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// Add historical data
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
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// Process update
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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// Line series should have a value
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Assert.Equal(1, indicator.LinesSeries[0].Count);
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
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}
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[Fact]
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public void VarianceIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new VarianceIndicator { Period = 5 };
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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 VarianceIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new VarianceIndicator { Period = 5 };
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indicator.Initialize();
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// Should not throw an exception
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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// Assert that the indicator still exists (method completed without exception)
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Assert.NotNull(indicator);
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}
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[Fact]
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public void VarianceIndicator_MultipleUpdates_ProducesCorrectSequence()
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{
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var indicator = new VarianceIndicator { Period = 5 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 102, 105, 103, 107, 110 };
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foreach (var close in closes)
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{
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indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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// All values should be finite
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for (int i = 0; i < closes.Length; i++)
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{
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
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}
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}
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[Fact]
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public void VarianceIndicator_DifferentSourceTypes_Work()
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{
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var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 };
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foreach (var source in sources)
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{
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var indicator = new VarianceIndicator { Period = 5, 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.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
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$"Source {source} should produce finite value");
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}
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}
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[Fact]
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public void VarianceIndicator_Period_CanBeChanged()
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{
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var indicator = new VarianceIndicator { Period = 10 };
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Assert.Equal(10, indicator.Period);
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indicator.Period = 20;
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Assert.Equal(20, indicator.Period);
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}
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[Fact]
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public void VarianceIndicator_IsPopulation_CanBeChanged()
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{
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var indicator = new VarianceIndicator { IsPopulation = false };
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Assert.False(indicator.IsPopulation);
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indicator.IsPopulation = true;
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Assert.True(indicator.IsPopulation);
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}
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[Fact]
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public void VarianceIndicator_Source_CanBeChanged()
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{
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var indicator = new VarianceIndicator { Source = SourceType.Close };
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Assert.Equal(SourceType.Close, indicator.Source);
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indicator.Source = SourceType.Open;
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Assert.Equal(SourceType.Open, indicator.Source);
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}
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[Fact]
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public void VarianceIndicator_ShowColdValues_CanBeChanged()
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{
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var indicator = new VarianceIndicator { ShowColdValues = true };
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Assert.True(indicator.ShowColdValues);
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indicator.ShowColdValues = false;
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Assert.False(indicator.ShowColdValues);
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}
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[Fact]
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public void VarianceIndicator_ShortName_UpdatesWhenPeriodChanges()
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{
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var indicator = new VarianceIndicator { Period = 10 };
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string initialName = indicator.ShortName;
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Assert.True(initialName.Contains("10", StringComparison.Ordinal));
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indicator.Period = 20;
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string updatedName = indicator.ShortName;
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Assert.True(updatedName.Contains("20", StringComparison.Ordinal));
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}
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[Fact]
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public void VarianceIndicator_ProcessUpdate_IgnoresNonBarUpdates()
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{
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var indicator = new VarianceIndicator { Period = 5 };
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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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// Process historical bar first
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// Process other update reasons - should not throw
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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// Assert that the indicator still exists (method completed without exception)
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Assert.NotNull(indicator);
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}
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[Fact]
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public void VarianceIndicator_LineSeries_HasCorrectProperties()
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{
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var indicator = new VarianceIndicator { Period = 10 };
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indicator.Initialize();
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var lineSeries = indicator.LinesSeries[0];
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Assert.Equal("Variance", lineSeries.Name);
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Assert.Equal(2, lineSeries.Width);
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Assert.Equal(LineStyle.Solid, lineSeries.Style);
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}
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}
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@@ -1,68 +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 VarianceIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Period", sortIndex: 1, 1, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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[InputParameter("Population Variance", sortIndex: 2)]
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public bool IsPopulation { get; set; } = false;
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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 Variance _variance = 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 => $"Variance {Period}";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/variance/Variance.Quantower.cs";
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public VarianceIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "Variance - Rolling Variance";
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Description = "Measures the dispersion of a set of data points around their mean";
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_series = new LineSeries(name: "Variance", 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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_variance = new Variance(Period, IsPopulation);
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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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if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar)
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{
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return;
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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 = _variance.Update(input, args.IsNewBar());
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_series.SetValue(result.Value, _variance.IsHot, ShowColdValues);
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}
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}
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@@ -717,4 +717,44 @@ public class VarianceTests
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Assert.Equal(0, output[0]); // N=1
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Assert.Equal(50, output[1]); // Var([10,20]) = 50
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}
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[Fact]
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public void Batch_AllNonFinite_UsesScalarFallbackAndReturnsFinite()
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{
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double[] source = [double.NaN, double.PositiveInfinity, double.NegativeInfinity, double.NaN];
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double[] output = new double[source.Length];
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Variance.Batch(source.AsSpan(), output.AsSpan(), 2);
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foreach (double value in output)
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{
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Assert.True(double.IsFinite(value));
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Assert.True(value >= 0);
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}
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}
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[Fact]
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public void Calculate_ReturnsConfiguredIndicatorAndMatchingResults()
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{
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const int period = 5;
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var source = new TSeries();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 25; i++)
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{
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source.Add(now.AddSeconds(i), 100 + i);
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}
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var (results, indicator) = Variance.Calculate(source, period, isPopulation: true);
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var batch = Variance.Batch(source, period, isPopulation: true);
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Assert.NotNull(indicator);
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Assert.Equal(period, indicator.WarmupPeriod);
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Assert.Equal(batch.Count, results.Count);
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for (int i = 0; i < results.Count; i++)
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{
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Assert.Equal(batch[i].Value, results[i].Value, 10);
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}
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}
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}
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