DWMA Indicator implementation and tests

2026-08-24 05:28:05 +00:00 · 2025-12-10 18:22:10 -05:00
parent 81830c9031
commit 8df3480d1f
11 changed files with 525 additions and 31 deletions
@@ -0,0 +1,41 @@
+using System;
+using Xunit;
+
+namespace QuanTAlib;
+
+public class DwmaValidationTests
+{
+    [Fact]
+    public void Validate_Against_DoubleWma()
+    {
+        // DWMA should be exactly WMA(WMA(source, period), period)
+        
+        int period = 10;
+        int count = 1000;
+        var source = new TSeries();
+        var rnd = new Random(42);
+        
+        for (int i = 0; i < count; i++)
+        {
+            source.Add(new TValue(DateTime.UtcNow.AddMinutes(i), rnd.NextDouble() * 100));
+        }
+        
+        var dwma = new Dwma(period);
+        var wma1 = new Wma(period);
+        var wma2 = new Wma(period);
+        
+        for (int i = 0; i < count; i++)
+        {
+            var val = source[i];
+            
+            // Calculate DWMA
+            var dwmaVal = dwma.Update(val);
+            
+            // Calculate WMA(WMA) manually
+            var wma1Val = wma1.Update(val);
+            var wma2Val = wma2.Update(wma1Val);
+            
+            Assert.Equal(wma2Val.Value, dwmaVal.Value, 10);
+        }
+    }
+}