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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 +1,251 @@
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Enums;
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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 AtrValidationTests : 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 AtrValidationTests(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[] periods = { 14 };
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Skender ATR
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var sResult = _testData.SkenderQuotes.GetAtr(period).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance);
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}
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_output.WriteLine("ATR Batch(TSeries) 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[] periods = { 14 };
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foreach (var period in periods)
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{
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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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(atr.Update(item).Value);
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}
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// Calculate Skender ATR
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var sResult = _testData.SkenderQuotes.GetAtr(period).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance);
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}
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_output.WriteLine("ATR 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[] periods = { 14 };
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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 period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate TA-Lib ATR
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var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.AtrLookback(period);
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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("ATR Batch(TSeries) 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[] periods = { 14 };
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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 period in periods)
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{
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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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(atr.Update(item).Value);
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}
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// Calculate TA-Lib ATR
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var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.AtrLookback(period);
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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("ATR 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[] periods = { 14 };
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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 period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Tulip ATR
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var atrIndicator = Tulip.Indicators.atr;
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double[][] inputs = { hData, lData, cData };
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double[] options = { period };
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// Tulip ATR lookback
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int lookback = atrIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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atrIndicator.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("ATR Batch(TSeries) 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[] periods = { 14 };
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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 period in periods)
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{
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// Calculate QuanTAlib ATR (streaming)
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var atr = new global::QuanTAlib.Atr(period);
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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(atr.Update(item).Value);
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}
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// Calculate Tulip ATR
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var atrIndicator = Tulip.Indicators.atr;
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double[][] inputs = { hData, lData, cData };
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double[] options = { period };
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// Tulip ATR lookback
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int lookback = atrIndicator.Start(options);
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double[][] outputs = { new double[hData.Length - lookback] };
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atrIndicator.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("ATR 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[] periods = { 14 };
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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 period in periods)
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{
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// Calculate QuanTAlib ATR (batch TSeries)
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var atr = new global::QuanTAlib.Atr(period);
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var qResult = atr.Update(_testData.Bars);
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// Calculate Ooples ATR
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var stockData = new StockData(ooplesData);
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var sResult = stockData.CalculateAverageTrueRange(MovingAvgType.WildersSmoothingMethod, period).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("ATR Batch(TSeries) validated successfully against Ooples");
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}
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}
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