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SIMD Refactor: Merge simd-dev into dev (#55)
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
This commit is contained in:
Miha Kralj
co-authored by
Claude Opus 4.5
aider
Warp
Claude Opus 4.5
aider
Warp
parent
5bcdf8d614
commit
86fe32a682
@@ -0,0 +1,306 @@
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Models;
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using Skender.Stock.Indicators;
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using TALib;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class UltoscValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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private bool _disposed;
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public UltoscValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData();
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}
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public void Dispose()
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{
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Dispose(true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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[Fact]
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public void Validate_Skender_Batch()
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{
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int[][] periodSets = { [7, 14, 28] };
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (batch TBarSeries)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResult = ultosc.Update(_testData.Bars);
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// Calculate Skender Ultimate Oscillator
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var sResult = _testData.SkenderQuotes.GetUltimate(p1, p2, p3).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Ultimate, tolerance: ValidationHelper.SkenderTolerance);
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}
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_output.WriteLine("Ultosc Batch(TBarSeries) validated successfully against Skender");
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}
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[Fact]
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public void Validate_Skender_Streaming()
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{
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int[][] periodSets = { [7, 14, 28] };
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (streaming)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(ultosc.Update(item).Value);
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}
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// Calculate Skender Ultimate Oscillator
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var sResult = _testData.SkenderQuotes.GetUltimate(p1, p2, p3).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, sResult, (s) => s.Ultimate, tolerance: ValidationHelper.SkenderTolerance);
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}
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_output.WriteLine("Ultosc Streaming validated successfully against Skender");
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}
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[Fact]
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public void Validate_Talib_Batch()
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{
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int[][] periodSets = { [7, 14, 28] };
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// Prepare data for TA-Lib (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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double[] output = new double[hData.Length];
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (batch TBarSeries)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResult = ultosc.Update(_testData.Bars);
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// Calculate TA-Lib UltOsc
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var retCode = TALib.Functions.UltOsc(hData, lData, cData, 0..^0, output, out var outRange, p1, p2, p3);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.UltOscLookback(p1, p2, p3);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
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}
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_output.WriteLine("Ultosc Batch(TBarSeries) validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Talib_Streaming()
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{
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int[][] periodSets = { [7, 14, 28] };
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// Prepare data for TA-Lib (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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double[] output = new double[hData.Length];
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (streaming)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(ultosc.Update(item).Value);
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}
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// Calculate TA-Lib UltOsc
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var retCode = TALib.Functions.UltOsc(hData, lData, cData, 0..^0, output, out var outRange, p1, p2, p3);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.UltOscLookback(p1, p2, p3);
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
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}
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_output.WriteLine("Ultosc Streaming validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Tulip_Batch()
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{
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int[][] periodSets = { [7, 14, 28] };
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// Prepare data for Tulip (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (batch TBarSeries)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResult = ultosc.Update(_testData.Bars);
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// Calculate Tulip UltOsc
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var ultoscIndicator = Tulip.Indicators.ultosc;
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double[][] inputs = { hData, lData, cData };
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double[] options = { p1, p2, p3 };
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// Tulip UltOsc lookback
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int lookback = ultoscIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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ultoscIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
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}
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_output.WriteLine("Ultosc Batch(TBarSeries) validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Tulip_Streaming()
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{
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int[][] periodSets = { [7, 14, 28] };
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// Prepare data for Tulip (double[])
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (streaming)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResults = new List<double>();
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foreach (var item in _testData.Bars)
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{
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qResults.Add(ultosc.Update(item).Value);
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}
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// Calculate Tulip UltOsc
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var ultoscIndicator = Tulip.Indicators.ultosc;
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double[][] inputs = { hData, lData, cData };
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double[] options = { p1, p2, p3 };
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// Tulip UltOsc lookback
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int lookback = ultoscIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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ultoscIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
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}
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_output.WriteLine("Ultosc Streaming validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Ooples_Batch()
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{
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int[][] periodSets = { [7, 14, 28] };
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// Prepare data for Ooples (List<TickerData>)
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var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
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{
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Date = q.Date,
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Close = (double)q.Close,
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High = (double)q.High,
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Low = (double)q.Low,
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Open = (double)q.Open,
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Volume = (double)q.Volume
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}).ToList();
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foreach (var periods in periodSets)
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{
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int p1 = periods[0];
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int p2 = periods[1];
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int p3 = periods[2];
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// Calculate QuanTAlib Ultosc (batch TBarSeries)
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var ultosc = new Ultosc(p1, p2, p3);
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var qResult = ultosc.Update(_testData.Bars);
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// Calculate Ooples Ultimate Oscillator
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var stockData = new StockData(ooplesData);
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var sResult = stockData.CalculateUltimateOscillator(p1, p2, p3).OutputValues.Values.First();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s, 100, ValidationHelper.OoplesTolerance);
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}
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_output.WriteLine("Ultosc Batch(TBarSeries) validated successfully against Ooples");
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}
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[Fact]
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public void Validate_Span_MatchesTBarSeries()
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{
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const int p1 = 7;
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int p2 = 14;
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int p3 = 28;
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// Prepare data
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double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray();
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double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray();
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double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray();
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double[] spanOutput = new double[hData.Length];
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// Calculate using span method
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Ultosc.Calculate(hData, lData, cData, spanOutput, p1, p2, p3);
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// Calculate using TBarSeries batch
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var ultosc = new Ultosc(p1, p2, p3);
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var tbarResult = ultosc.Update(_testData.Bars);
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// Compare results
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for (int i = 0; i < tbarResult.Count; i++)
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{
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Assert.Equal(tbarResult[i].Value, spanOutput[i], 1e-10);
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}
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_output.WriteLine("Ultosc Span calculation matches TBarSeries batch calculation");
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}
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}
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