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validation and profiles

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This commit is contained in:
Miha Kralj
2026-02-26 22:02:52 -08:00
parent 9ab37c1200
commit 8a1ba95173
317 changed files with 18704 additions and 622 deletions
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lib/cycles/ccyc/Ccyc.Validation.Tests.cs
+21 -1
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@@ -1,5 +1,8 @@
using Xunit;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib.Tests;
/// <summary>
@@ -360,4 +363,21 @@ public class CcycValidationTests
}
#endregion
}
[Fact]
public void Ccyc_MatchesOoples_Structural()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var ooplesData = bars.Select(b => new TickerData
{
Date = new DateTime(b.Time, DateTimeKind.Utc),
Open = b.Open, High = b.High, Low = b.Low,
Close = b.Close, Volume = b.Volume
}).ToList();
var result = new StockData(ooplesData).CalculateEhlersCyberCycle();
var values = result.CustomValuesList;
int finiteCount = values.Count(v => double.IsFinite(v));
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
}
}
lib/cycles/cg/Cg.Validation.Tests.cs
+20
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@@ -1,5 +1,8 @@
using Xunit;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib.Tests;
/// <summary>
@@ -358,4 +361,21 @@ public class CgValidationTests
}
#endregion
[Fact]
public void Cg_MatchesOoples_Structural()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var ooplesData = bars.Select(b => new TickerData
{
Date = new DateTime(b.Time, DateTimeKind.Utc),
Open = b.Open, High = b.High, Low = b.Low,
Close = b.Close, Volume = b.Volume
}).ToList();
var result = new StockData(ooplesData).CalculateEhlersCenterofGravityOscillator();
var values = result.CustomValuesList;
int finiteCount = values.Count(v => double.IsFinite(v));
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
}
}
lib/cycles/dsp/Dsp.Validation.Tests.cs
+20
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@@ -1,5 +1,8 @@
using Xunit;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib.Tests;
/// <summary>
@@ -381,4 +384,21 @@ public class DspValidationTests
}
#endregion
[Fact]
public void Dsp_MatchesOoples_Structural()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var ooplesData = bars.Select(b => new TickerData
{
Date = new DateTime(b.Time, DateTimeKind.Utc),
Open = b.Open, High = b.High, Low = b.Low,
Close = b.Close, Volume = b.Volume
}).ToList();
var result = new StockData(ooplesData).CalculateDetrendedSyntheticPrice();
var values = result.CustomValuesList;
int finiteCount = values.Count(v => double.IsFinite(v));
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
}
}
lib/cycles/eacp/Eacp.cs
+2 -1
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@@ -195,7 +195,8 @@ public sealed class Eacp : AbstractBase
// Super-smoother filter: removes high-frequency noise
double filt2 = s.Filt1;
double filt1 = s.Filt0;
double filt0 = _c1 * (hp0 + hp1) * 0.5 + _c2 * filt1 + _c3 * filt2;
double filt0 = Math.FusedMultiplyAdd(_c1, (hp0 + hp1) * 0.5,
Math.FusedMultiplyAdd(_c2, filt1, _c3 * filt2));
// Add filtered value to history buffer
_filtHistory.Add(filt0);
lib/cycles/ebsw/Ebsw.Validation.Tests.cs
+20
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@@ -1,5 +1,8 @@
using Xunit;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib.Tests;
/// <summary>
@@ -539,4 +542,21 @@ public class EbswValidationTests
}
#endregion
[Fact]
public void Ebsw_MatchesOoples_Structural()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var ooplesData = bars.Select(b => new TickerData
{
Date = new DateTime(b.Time, DateTimeKind.Utc),
Open = b.Open, High = b.High, Low = b.Low,
Close = b.Close, Volume = b.Volume
}).ToList();
var result = new StockData(ooplesData).CalculateEhlersEvenBetterSineWaveIndicator();
var values = result.CustomValuesList;
int finiteCount = values.Count(v => double.IsFinite(v));
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
}
}
lib/cycles/ebsw/Ebsw.cs
+4 -2
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@@ -178,7 +178,8 @@ public sealed class Ebsw : AbstractBase
// Super-smoother filter: filt = c1 * (hp + hp[1]) / 2 + c2 * filt[1] + c3 * filt[2]
double filt2 = s.Filt1;
double filt1 = s.Filt0;
double filt0 = _c1 * (hp0 + hp1) * 0.5 + _c2 * filt1 + _c3 * filt2;
double filt0 = Math.FusedMultiplyAdd(_c1, (hp0 + hp1) * 0.5,
Math.FusedMultiplyAdd(_c2, filt1, _c3 * filt2));
// Wave component: 3-bar average of filtered values
double wave = (filt0 + filt1 + filt2) / 3.0;
@@ -318,7 +319,8 @@ public sealed class Ebsw : AbstractBase
hp0 = Math.FusedMultiplyAdd(hpCoef, src0 - src1, alpha1 * hp1);
// Super-smoother filter
filt0 = c1 * (hp0 + hp1) * 0.5 + c2 * filt1 + c3 * filt2;
filt0 = Math.FusedMultiplyAdd(c1, (hp0 + hp1) * 0.5,
Math.FusedMultiplyAdd(c2, filt1, c3 * filt2));
// Wave component
double wave = (filt0 + filt1 + filt2) / 3.0;
lib/cycles/homod/Homod.Validation.Tests.cs
+20
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@@ -1,5 +1,8 @@
using Xunit;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib.Tests;
/// <summary>
@@ -358,4 +361,21 @@ public class HomodValidationTests
}
#endregion
[Fact]
public void Homod_MatchesOoples_Structural()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42);
var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var ooplesData = bars.Select(b => new TickerData
{
Date = new DateTime(b.Time, DateTimeKind.Utc),
Open = b.Open, High = b.High, Low = b.Low,
Close = b.Close, Volume = b.Volume
}).ToList();
var result = new StockData(ooplesData).CalculateEhlersHomodyneDominantCycle();
var values = result.CustomValuesList;
int finiteCount = values.Count(v => double.IsFinite(v));
Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}");
}
}
lib/cycles/homod/Homod.cs
+11 -11
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@@ -222,17 +222,17 @@ public sealed class Homod : AbstractBase
double i2Raw = i1 - jq;
double q2Raw = q1 + ji;
// EMA smooth I2 and Q2 (alpha = 0.2)
double i2 = 0.2 * i2Raw + 0.8 * s.I2;
double q2 = 0.2 * q2Raw + 0.8 * s.Q2;
// EMA smooth I2 and Q2 (alpha = 0.2): FMA(0.2, x, 0.8*y)
double i2 = Math.FusedMultiplyAdd(0.2, i2Raw, 0.8 * s.I2);
double q2 = Math.FusedMultiplyAdd(0.2, q2Raw, 0.8 * s.Q2);
// Homodyne discriminator: multiply with previous values
double reRaw = i2 * s.I2 + q2 * s.Q2;
double imRaw = i2 * s.Q2 - q2 * s.I2;
double reRaw = Math.FusedMultiplyAdd(i2, s.I2, q2 * s.Q2);
double imRaw = Math.FusedMultiplyAdd(i2, s.Q2, -(q2 * s.I2));
// EMA smooth Re and Im (alpha = 0.2)
double re = 0.2 * reRaw + 0.8 * s.Re;
double im = 0.2 * imRaw + 0.8 * s.Im;
// EMA smooth Re and Im (alpha = 0.2): FMA(0.2, x, 0.8*y)
double re = Math.FusedMultiplyAdd(0.2, reRaw, 0.8 * s.Re);
double im = Math.FusedMultiplyAdd(0.2, imRaw, 0.8 * s.Im);
// Calculate period from angle
double period = s.Period;
@@ -245,13 +245,13 @@ public sealed class Homod : AbstractBase
{
double candidate = TwoPi / angle;
double clamped = Math.Clamp(Math.Abs(candidate), _minPeriod, _maxPeriod);
period = 0.2 * clamped + 0.8 * period;
period = Math.FusedMultiplyAdd(0.2, clamped, 0.8 * period);
}
}
// Smooth the period (alpha = 0.33)
// Smooth the period (alpha = 0.33): FMA(alpha, delta, prevSmooth)
const double alpha = 0.33;
double smoothPeriod = s.SmoothPeriod + alpha * (period - s.SmoothPeriod);
double smoothPeriod = Math.FusedMultiplyAdd(alpha, period - s.SmoothPeriod, s.SmoothPeriod);
// Exponential warmup compensation
double result = smoothPeriod;