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DWMA Indicator implementation and tests

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This commit is contained in:
Miha Kralj
2025-12-10 18:22:10 -05:00
parent 81830c9031
commit 8df3480d1f
11 changed files with 525 additions and 31 deletions
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lib/trends/lsma/Lsma.Tests.cs
+20 -18
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@@ -26,7 +26,7 @@ public class LsmaTests
public void Update_SingleValue_ReturnsSameValue()
{
var lsma = new Lsma(14);
var result = lsma.Update(new TValue(DateTime.Now, 100));
var result = lsma.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100, result.Value);
}
@@ -39,7 +39,7 @@ public class LsmaTests
for (int i = 0; i < period * 2; i++)
{
var result = lsma.Update(new TValue(DateTime.Now, i));
var result = lsma.Update(new TValue(DateTime.UtcNow, i));
if (i >= period) // After warmup
{
Assert.Equal(i, result.Value, 1e-9);
@@ -56,7 +56,7 @@ public class LsmaTests
for (int i = 0; i < period * 2; i++)
{
var result = lsma.Update(new TValue(DateTime.Now, value));
var result = lsma.Update(new TValue(DateTime.UtcNow, value));
Assert.Equal(value, result.Value, 1e-9);
}
}
@@ -75,7 +75,7 @@ public class LsmaTests
for (int i = 0; i < 20; i++)
{
double y = 2 * i + 1;
var result = lsma.Update(new TValue(DateTime.Now, y));
var result = lsma.Update(new TValue(DateTime.UtcNow, y));
if (i >= period)
{
@@ -93,20 +93,20 @@ public class LsmaTests
// Fill buffer
for (int i = 0; i < 5; i++)
{
lsma.Update(new TValue(DateTime.Now, i));
lsma.Update(new TValue(DateTime.UtcNow, i));
}
// New bar
var result1 = lsma.Update(new TValue(DateTime.Now, 10));
var result1 = lsma.Update(new TValue(DateTime.UtcNow, 10));
// Update same bar with different value
var result2 = lsma.Update(new TValue(DateTime.Now, 20), isNew: false);
var result2 = lsma.Update(new TValue(DateTime.UtcNow, 20), isNew: false);
Assert.NotEqual(result1.Value, result2.Value);
// Verify internal state by adding next bar
// If state was corrupted, this would fail
var result3 = lsma.Update(new TValue(DateTime.Now, 30));
var result3 = lsma.Update(new TValue(DateTime.UtcNow, 30));
Assert.True(double.IsFinite(result3.Value));
}
@@ -115,9 +115,9 @@ public class LsmaTests
{
var lsma = new Lsma(5);
lsma.Update(new TValue(DateTime.Now, 1));
lsma.Update(new TValue(DateTime.Now, 2));
var result = lsma.Update(new TValue(DateTime.Now, double.NaN));
lsma.Update(new TValue(DateTime.UtcNow, 1));
lsma.Update(new TValue(DateTime.UtcNow, 2));
var result = lsma.Update(new TValue(DateTime.UtcNow, double.NaN));
// Input sequence becomes: 1, 2, 2 (NaN replaced by last valid 2)
// Regression on (2,1), (1,2), (0,2)
@@ -131,11 +131,12 @@ public class LsmaTests
int period = 10;
int count = 100;
var source = new TSeries();
var rnd = new Random(42);
var gbm = new GBM(startPrice: 100, seed: 42);
for (int i = 0; i < count; i++)
{
source.Add(new TValue(DateTime.Now.AddMinutes(i), rnd.NextDouble() * 100));
var bar = gbm.Next();
source.Add(bar.C);
}
var lsma = new Lsma(period);
@@ -156,11 +157,12 @@ public class LsmaTests
int count = 100;
var values = new double[count];
var output = new double[count];
var rnd = new Random(42);
var gbm = new GBM(startPrice: 100, seed: 42);
for (int i = 0; i < count; i++)
{
values[i] = rnd.NextDouble() * 100;
var bar = gbm.Next();
values[i] = bar.Close;
}
Lsma.Calculate(values, output, period);
@@ -168,7 +170,7 @@ public class LsmaTests
var lsma = new Lsma(period);
for (int i = 0; i < count; i++)
{
var result = lsma.Update(new TValue(DateTime.Now, values[i]));
var result = lsma.Update(new TValue(DateTime.UtcNow, values[i]));
Assert.Equal(result.Value, output[i], 1e-9);
}
}
@@ -179,7 +181,7 @@ public class LsmaTests
var lsma = new Lsma(5);
for (int i = 0; i < 10; i++)
{
lsma.Update(new TValue(DateTime.Now, i));
lsma.Update(new TValue(DateTime.UtcNow, i));
}
Assert.True(lsma.IsHot);
@@ -190,7 +192,7 @@ public class LsmaTests
Assert.Equal(0, lsma.Last.Value);
// Should behave like new instance
var result = lsma.Update(new TValue(DateTime.Now, 100));
var result = lsma.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(100, result.Value);
}
}