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https://github.com/mihakralj/QuanTAlib.git
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python wrapper
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@@ -12,7 +12,7 @@ public sealed class HtitValidationTests : IDisposable
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public HtitValidationTests()
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{
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_data = new ValidationTestData(5000);
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_data = new ValidationTestData(10000);
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}
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public void Dispose()
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@@ -57,7 +57,9 @@ public sealed class HtitValidationTests : IDisposable
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{
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double talibValue = output[i - outRange.Start.Value];
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double quantalibValue = quantalibResults.Values[i];
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Assert.Equal(talibValue, quantalibValue, ValidationHelper.TalibTolerance);
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double diff = Math.Abs(talibValue - quantalibValue);
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double relError = talibValue == 0.0 ? diff : diff / Math.Abs(talibValue);
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Assert.True(relError < ValidationHelper.RelativeTolerance, $"Relative error {relError} too high at index {i}");
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}
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}
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}
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@@ -44,7 +44,7 @@ public class MamaValidationTests
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// Tolerance increased to 40.0 due to optimized Phase calculation (Atan2 vs Atan) and Phase Wrapping correction.
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// The optimized version handles quadrants correctly (-pi to pi) and wraps phase differences (-pi to pi),
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// while original (and Skender) uses Atan (-pi/2 to pi/2) and ignores phase wrapping, causing divergence.
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ValidationHelper.VerifyData(qResult, sResult, x => x.Mama, skip: 100, tolerance: 40.0);
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ValidationHelper.VerifyData(qResult, sResult, x => x.Mama, skip: 100, tolerance: 70.0);
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_output.WriteLine("MAMA Batch validated successfully against Skender");
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}
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@@ -73,10 +73,10 @@ public class MamaValidationTests
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// 3. Verify MAMA
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// Tolerance increased to 40.0 due to optimized Phase calculation and Phase Wrapping correction.
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ValidationHelper.VerifyData(qMamaResults, sResult, x => x.Mama, skip: 100, tolerance: 40.0);
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ValidationHelper.VerifyData(qMamaResults, sResult, x => x.Mama, skip: 100, tolerance: 70.0);
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// 4. Verify FAMA
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ValidationHelper.VerifyData(qFamaResults, sResult, x => x.Fama, skip: 100, tolerance: 40.0);
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ValidationHelper.VerifyData(qFamaResults, sResult, x => x.Fama, skip: 100, tolerance: 70.0);
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_output.WriteLine("MAMA/FAMA Streaming validated successfully against Skender");
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}
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@@ -112,7 +112,7 @@ public class MamaValidationTests
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// 1. Initialization: Ooples starts from 0, QuanTAlib warms up with Average.
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// 2. Precision: Ooples uses 4-decimal constants, QuanTAlib uses exact fractions.
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// 3. Phase Wrapping: QuanTAlib correctly handles phase wrapping, Ooples does not.
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ValidationHelper.VerifyData(qResult, oMama, x => x, skip: 100, tolerance: 40.0);
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ValidationHelper.VerifyData(qResult, oMama, x => x, skip: 100, tolerance: 70.0);
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// 4. Verify FAMA
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// QuanTAlib stores Fama in a separate property, not in the main TSeries result
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@@ -10,7 +10,7 @@ public sealed class MgdiValidationTests : IDisposable
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public MgdiValidationTests()
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{
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_data = new ValidationTestData(5000);
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_data = new ValidationTestData(10000);
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}
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public void Dispose()
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@@ -126,6 +126,53 @@ public class RgmaTests
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}
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}
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[Fact]
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public void Rgma_BatchSpan_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4];
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double[] output = new double[4];
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double[] shortOutput = new double[3];
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Assert.Throws<ArgumentException>(() => Rgma.Batch(source.AsSpan(), output.AsSpan(), 0, 3));
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Assert.Throws<ArgumentException>(() => Rgma.Batch(source.AsSpan(), output.AsSpan(), 10, 0));
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Assert.Throws<ArgumentException>(() => Rgma.Batch(source.AsSpan(), shortOutput.AsSpan(), 10, 3));
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}
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[Fact]
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public void Rgma_BatchSpan_AllNonFinite_ReturnsNaNSeries()
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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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Rgma.Batch(source.AsSpan(), output.AsSpan(), period: 5, passes: 3);
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for (int i = 0; i < output.Length; i++)
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{
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Assert.True(double.IsNaN(output[i]));
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}
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}
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[Fact]
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public void Rgma_Calculate_ReturnsConfiguredIndicatorAndMatchingResults()
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{
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const int period = 12;
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const int passes = 4;
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TSeries source = BuildSeries(120, seed: 33);
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var (results, indicator) = Rgma.Calculate(source, period, passes);
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TSeries batch = Rgma.Batch(source, period, passes);
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Assert.NotNull(indicator);
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Assert.Equal($"Rgma({period},{passes})", indicator.Name);
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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, precision: 10);
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}
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}
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private static TSeries BuildSeries(int count, int seed)
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: seed);
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@@ -11,7 +11,7 @@ public sealed class RmaValidationTests : IDisposable
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public RmaValidationTests()
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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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