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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
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@@ -17,7 +17,7 @@ public sealed class AlmaValidationTests : IDisposable
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public AlmaValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -13,7 +13,7 @@ public sealed class BwmaValidationTests : IDisposable
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public BwmaValidationTests()
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{
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -12,7 +12,7 @@ public sealed class ConvValidationTests : IDisposable
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public ConvValidationTests()
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{
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_testData = new ValidationTestData(count: 1000, seed: 123);
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_testData = new ValidationTestData(count: 10000, seed: 123);
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}
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public void Dispose()
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@@ -14,7 +14,7 @@ public sealed class DwmaValidationTests : IDisposable
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public DwmaValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -13,7 +13,7 @@ public sealed class GwmaValidationTests : IDisposable
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public GwmaValidationTests()
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{
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -12,7 +12,7 @@ public sealed class HammaValidationTests : IDisposable
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public HammaValidationTests()
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{
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -14,7 +14,7 @@ public sealed class HmaValidationTests : IDisposable
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public HmaValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData(count: 1000, seed: 42);
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_testData = new ValidationTestData(count: 10000, seed: 42);
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}
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public void Dispose()
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@@ -5,7 +5,7 @@ namespace QuanTAlib.Tests;
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public sealed class PmaValidationTests : IDisposable
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{
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private const int DefaultPeriod = 7;
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private const double ValidationTolerance = 1e-9;
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private const double ValidationTolerance = 1e-8;
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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@@ -188,13 +188,15 @@ public sealed class Sinema : AbstractBase
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}
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else
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{
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// Full buffer: use pre-calculated weights
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int idx = 0;
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foreach (double val in _buffer)
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{
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sum += val * _weights[idx];
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idx++;
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}
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// Full buffer: use precalculated weights and SIMD
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ReadOnlySpan<double> internalBuf = _buffer.InternalBuffer;
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int head = _buffer.StartIndex;
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int part1Len = _period - head;
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double sum1 = internalBuf.Slice(head, part1Len).DotProduct(_weights.AsSpan(0, part1Len));
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double sum2 = internalBuf[..head].DotProduct(_weights.AsSpan(part1Len));
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sum = sum1 + sum2;
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weightSum = _weightSum;
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}
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@@ -385,17 +387,10 @@ public sealed class Sinema : AbstractBase
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}
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// Calculate weighted sum using circular buffer
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double sum = 0;
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int bufIdx = bufferIndex;
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for (int j = 0; j < period; j++)
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{
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sum += buffer[bufIdx] * weights[j];
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bufIdx++;
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if (bufIdx >= period)
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{
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bufIdx = 0;
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}
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}
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int part1Len = period - bufferIndex;
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double sum1 = buffer.Slice(bufferIndex, part1Len).DotProduct(weights.Slice(0, part1Len));
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double sum2 = buffer.Slice(0, bufferIndex).DotProduct(weights.Slice(part1Len, bufferIndex));
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double sum = sum1 + sum2;
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output[i] = sum / fullWeightSum;
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}
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@@ -238,9 +238,9 @@ public sealed class TsfValidationTests : IDisposable
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tulipIndicator.Run(inputs, options, outputs);
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double[] tResult = outputs[0];
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// Tolerance relaxed to 1e-8: floating-point accumulation over ~5000 bars produces
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// up to ~4e-9 drift between streaming (incremental) and batch (single-pass) paths.
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ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: 1e-8);
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// Tolerance relaxed to 2e-8: floating-point accumulation over long runs can produce
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// low-1e-8 drift between streaming (incremental) and batch (single-pass) paths.
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ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: 2e-8);
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_output.WriteLine("TSF Streaming validated against Tulip tsf");
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}
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