Add validation tests for USF and enhance ATR indicator tests

- Introduced Usf.Validation.Tests.cs to validate the USF (Ehlers Ultimate Smoother Filter) for consistency across batch, streaming, and span modes, as well as mathematical properties and coefficient calculations. - Added comprehensive tests for the ATR indicator in Atr.Quantower.Tests.cs, including constructor validation, historical data processing, and handling of NaN/Infinity inputs. - Enhanced Atr.Tests.cs with additional tests for iterative corrections, warmup behavior, and true range calculations. - Updated Atr.cs to ensure warmup period is derived from RMA. - Added new tests for Adosc in Adosc.Tests.cs to validate handling of NaN and Infinity inputs, and to ensure batch calculations match iterative results. - Created a new Volatility.csproj to organize volatility-related implementations.
2026-08-25 13:58:04 +00:00 · 2025-12-28 23:33:46 -08:00
parent 3cc2726654
commit 84ff67fb50
22 changed files with 2813 additions and 1284 deletions
@@ -0,0 +1,128 @@
+using Xunit;
+using TradingPlatform.BusinessLayer;
+using QuanTAlib;
+
+namespace QuanTAlib.Tests;
+
+public class BetaIndicatorTests
+{
+    [Fact]
+    public void BetaIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new BetaIndicator();
+
+        Assert.Equal(20, indicator.Period);
+        Assert.Equal(SourceType.Close, indicator.AssetSource);
+        Assert.Equal(SourceType.Close, indicator.MarketSource);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("Beta Coefficient", indicator.Name);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+    }
+
+    [Fact]
+    public void BetaIndicator_MinHistoryDepths_EqualsTwo()
+    {
+        var indicator = new BetaIndicator { Period = 20 };
+
+        Assert.Equal(2, BetaIndicator.MinHistoryDepths);
+        IWatchlistIndicator watchlistIndicator = indicator;
+        Assert.Equal(2, watchlistIndicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void BetaIndicator_ShortName_IncludesParameters()
+    {
+        var indicator = new BetaIndicator { Period = 14 };
+
+        Assert.Contains("14", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("Beta", indicator.ShortName, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void BetaIndicator_Initialize_CreatesInternalBeta()
+    {
+        var indicator = new BetaIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+        Assert.Equal("Beta", indicator.LinesSeries[0].Name);
+    }
+
+    [Fact]
+    public void BetaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new BetaIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Add historical data - need enough bars for warmup
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Line series should have a value
+        double beta = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.True(double.IsFinite(beta));
+    }
+
+    [Fact]
+    public void BetaIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new BetaIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        
+        // Add initial bars
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // Add a new bar
+        indicator.HistoricalData.AddBar(now.AddMinutes(10), 110, 120, 100, 115);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(11, indicator.LinesSeries[0].Count);
+        Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
+    }
+
+    [Fact]
+    public void BetaIndicator_DifferentSourceTypes_Work()
+    {
+        var assetSources = new[]
+        {
+            SourceType.Open,
+            SourceType.High,
+            SourceType.Low,
+            SourceType.Close,
+        };
+
+        foreach (var source in assetSources)
+        {
+            var indicator = new BetaIndicator { Period = 5, AssetSource = source, MarketSource = SourceType.Close };
+            indicator.Initialize();
+
+            var now = DateTime.UtcNow;
+            for (int i = 0; i < 10; i++)
+            {
+                indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+                indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            }
+
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
+                $"AssetSource {source} should produce finite value");
+        }
+    }
+}