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refactor: clean up Ema and EmaVector tests for consistency, update TValue equality check

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This commit is contained in:
Miha Kralj
2025-11-29 17:30:20 -08:00
parent ce77bc9c85
commit 8f6142cfc0
6 changed files with 113 additions and 100 deletions
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lib/averages/ema/Ema.Tests.cs
+54 -53
View File
@@ -11,7 +11,7 @@ public class EmaTests
{
Assert.Throws<ArgumentException>(() => new Ema(0));
Assert.Throws<ArgumentException>(() => new Ema(-1));
var ema = new Ema(10);
Assert.NotNull(ema);
}
@@ -22,7 +22,7 @@ public class EmaTests
Assert.Throws<ArgumentException>(() => new Ema(0.0));
Assert.Throws<ArgumentException>(() => new Ema(-0.1));
Assert.Throws<ArgumentException>(() => new Ema(1.1));
var ema = new Ema(0.5);
Assert.NotNull(ema);
}
@@ -31,11 +31,11 @@ public class EmaTests
public void Ema_Calc_ReturnsValue()
{
var ema = new Ema(10);
Assert.Equal(0, ema.Value.Value);
TValue result = ema.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(result.Value > 0);
Assert.Equal(result.Value, ema.Value.Value);
}
@@ -44,13 +44,13 @@ public class EmaTests
public void Ema_Calc_IsNew_AcceptsParameter()
{
var ema = new Ema(10);
ema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
double value1 = ema.Value;
ema.Update(new TValue(DateTime.UtcNow, 105), isNew: true);
double value2 = ema.Value;
// Values should change with new bars
Assert.NotEqual(value1, value2);
}
@@ -59,14 +59,14 @@ public class EmaTests
public void Ema_Calc_IsNew_False_UpdatesValue()
{
var ema = new Ema(10);
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
double beforeUpdate = ema.Value;
ema.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
double afterUpdate = ema.Value;
// Update should change the value
Assert.NotEqual(beforeUpdate, afterUpdate);
}
@@ -75,15 +75,15 @@ public class EmaTests
public void Ema_Reset_ClearsState()
{
var ema = new Ema(10);
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, 105));
double valueBefore = ema.Value;
ema.Reset();
Assert.Equal(0, ema.Value.Value);
// After reset, should accept new values
ema.Update(new TValue(DateTime.UtcNow, 50));
Assert.NotEqual(0, ema.Value.Value);
@@ -94,12 +94,12 @@ public class EmaTests
public void Ema_Properties_Accessible()
{
var ema = new Ema(10);
Assert.Equal(0, ema.Value.Value);
Assert.False(ema.IsHot);
ema.Update(new TValue(DateTime.UtcNow, 100));
Assert.NotEqual(0, ema.Value.Value);
}
@@ -107,10 +107,10 @@ public class EmaTests
public void Ema_IsHot_BecomesTrueAfterWarmup()
{
var ema = new Ema(10);
// Initially IsHot should be false
Assert.False(ema.IsHot);
// Feed values until it warms up
// Warmup condition is state.E <= 1e-10
// state.E starts at 1.0 and decays by (1 - alpha) each step
@@ -120,14 +120,14 @@ public class EmaTests
// n * log(0.8181) <= log(1e-10)
// n * -0.200 <= -23.02
// n >= 115 steps roughly
int steps = 0;
while (!ema.IsHot && steps < 1000)
{
ema.Update(new TValue(DateTime.UtcNow, 100));
steps++;
}
Assert.True(ema.IsHot);
Assert.True(steps > 0); // Should take some steps
}
@@ -137,14 +137,14 @@ public class EmaTests
{
int period = 20;
double alpha = 2.0 / (period + 1);
var emaPeriod = new Ema(period);
var emaAlpha = new Ema(alpha);
// Both should accept Calc calls and produce same result
TValue result1 = emaPeriod.Update(new TValue(DateTime.UtcNow, 100));
TValue result2 = emaAlpha.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(result1.Value, result2.Value, 1e-10);
}
@@ -153,7 +153,7 @@ public class EmaTests
{
var ema = new Ema(10);
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
// Feed 10 new values
TValue tenthInput = default;
for (int i = 0; i < 10; i++)
@@ -162,20 +162,20 @@ public class EmaTests
tenthInput = new TValue(bar.Time, bar.Close);
ema.Update(tenthInput, isNew: true);
}
// Remember EMA state after 10 values
double emaAfterTen = ema.Value;
// Generate 9 corrections with isNew=false (different values)
for (int i = 0; i < 9; i++)
{
var bar = gbm.Next(isNew: false);
ema.Update(new TValue(bar.Time, bar.Close), isNew: false);
}
// Feed the remembered 10th input again with isNew=false
TValue finalEma = ema.Update(tenthInput, isNew: false);
// EMA should match the original state after 10 values
Assert.Equal(emaAfterTen, finalEma.Value, 1e-10);
}
@@ -186,7 +186,7 @@ public class EmaTests
var emaIterative = new Ema(10);
var emaBatch = new Ema(10);
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
// Generate data
var series = new TSeries();
for (int i = 0; i < 100; i++)
@@ -194,17 +194,19 @@ public class EmaTests
var bar = gbm.Next(isNew: true);
series.Add(bar.Time, bar.Close);
}
Assert.True(series.Count > 0);
// Calculate iteratively
var iterativeResults = new TSeries();
foreach (var item in series)
{
iterativeResults.Add(emaIterative.Update(item));
}
// Calculate batch
var batchResults = emaBatch.Update(series);
// Compare
Assert.Equal(iterativeResults.Count, batchResults.Count);
for (int i = 0; i < iterativeResults.Count; i++)
@@ -219,10 +221,10 @@ public class EmaTests
{
var ema = new Ema(10);
ema.Update(new TValue(DateTime.UtcNow, 100));
// This should compile and work because TValue has implicit conversion to double
double result = ema.Value;
Assert.Equal(100.0, result, 1e-10);
}
@@ -230,15 +232,14 @@ public class EmaTests
public void Ema_NaN_Input_UsesLastValidValue()
{
var ema = new Ema(10);
// Feed some valid values
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, 110));
double valueBeforeNaN = ema.Value;
// Feed NaN - should use last valid value (110)
var resultAfterNaN = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
// Result should be finite (not NaN)
Assert.True(double.IsFinite(resultAfterNaN.Value));
// EMA should continue to evolve (may differ slightly due to substitution)
@@ -249,15 +250,15 @@ public class EmaTests
public void Ema_Infinity_Input_UsesLastValidValue()
{
var ema = new Ema(10);
// Feed some valid values
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, 110));
// Feed positive infinity - should use last valid value
var resultAfterPosInf = ema.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
Assert.True(double.IsFinite(resultAfterPosInf.Value));
// Feed negative infinity - should use last valid value
var resultAfterNegInf = ema.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
Assert.True(double.IsFinite(resultAfterNegInf.Value));
@@ -267,22 +268,22 @@ public class EmaTests
public void Ema_MultipleNaN_ContinuesWithLastValid()
{
var ema = new Ema(10);
// Feed valid values
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, 110));
ema.Update(new TValue(DateTime.UtcNow, 120));
// Feed multiple NaN values
var r1 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
var r2 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
var r3 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
// All results should be finite
Assert.True(double.IsFinite(r1.Value));
Assert.True(double.IsFinite(r2.Value));
Assert.True(double.IsFinite(r3.Value));
// EMA should converge toward last valid value (120) with repeated substitution
// Values should be getting closer to 120
Assert.True(r3.Value > r1.Value || Math.Abs(r3.Value - 120) < Math.Abs(r1.Value - 120));
@@ -292,7 +293,7 @@ public class EmaTests
public void Ema_BatchCalc_HandlesNaN()
{
var ema = new Ema(10);
// Create series with NaN values interspersed
var series = new TSeries();
series.Add(DateTime.UtcNow.Ticks, 100);
@@ -301,9 +302,9 @@ public class EmaTests
series.Add(DateTime.UtcNow.Ticks + 3, 120);
series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
series.Add(DateTime.UtcNow.Ticks + 5, 130);
var results = ema.Update(series);
// All results should be finite
foreach (var result in results)
{
@@ -315,14 +316,14 @@ public class EmaTests
public void Ema_Reset_ClearsLastValidValue()
{
var ema = new Ema(10);
// Feed values including NaN
ema.Update(new TValue(DateTime.UtcNow, 100));
ema.Update(new TValue(DateTime.UtcNow, double.NaN));
// Reset
ema.Reset();
// After reset, first valid value should establish new baseline
var result = ema.Update(new TValue(DateTime.UtcNow, 50));
Assert.Equal(50.0, result.Value, 1e-10);
lib/averages/ema/Ema.Validation.Tests.cs
+18 -19
View File
@@ -15,7 +15,6 @@ public class EmaValidationTests
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly Random _rnd = new(42);
private readonly ITestOutputHelper _output;
public EmaValidationTests(ITestOutputHelper output)
@@ -25,7 +24,7 @@ public class EmaValidationTests
// 1. Generate 1000 records using GBM feed
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
_bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
// 2. Extract Close TSeries
_data = _bars.Close;
@@ -35,7 +34,7 @@ public class EmaValidationTests
{
_skenderQuotes.Add(new Quote
{
Date = new DateTime(_bars.Open.Times[i]),
Date = new DateTime(_bars.Open.Times[i], DateTimeKind.Utc),
Open = (decimal)_bars.Open[i].Value,
High = (decimal)_bars.High[i].Value,
Low = (decimal)_bars.Low[i].Value,
@@ -60,7 +59,7 @@ public class EmaValidationTests
var sResult = _skenderQuotes.GetEma(period).ToList();
// Compare last 100 records
VerifyData(qResult, sResult, period);
VerifyData(qResult, sResult);
}
_output.WriteLine("EMA validated successfully against Skender");
}
@@ -82,15 +81,15 @@ public class EmaValidationTests
// Calculate TA-Lib EMA
var retCode = TALib.Functions.Ema<double>(tData, 0..^0, output, out var outRange, period);
// Check success
Assert.Equal(Core.RetCode.Success, retCode);
// TA-Lib skips the lookback period, so output[0] corresponds to input[lookback]
int lookback = TALib.Functions.EmaLookback(period);
// Compare last 100 records
VerifyData_Talib(qResult, output, outRange, lookback, period);
VerifyData_Talib(qResult, output, outRange, lookback);
}
_output.WriteLine("EMA validated successfully against TA-Lib");
}
@@ -114,21 +113,21 @@ public class EmaValidationTests
double[][] inputs = { tData };
double[] options = { (double)period };
double[][] outputs = { new double[tData.Length] };
emaIndicator.Run(inputs, options, outputs);
var tResult = outputs[0];
// Compare last 100 records
VerifyData(qResult, tResult.ToList(), period);
VerifyData(qResult, tResult.ToList());
}
_output.WriteLine("EMA validated successfully against Tulip");
}
private void VerifyData(TSeries qSeries, List<double> tSeries, int period)
private static void VerifyData(TSeries qSeries, List<double> tSeries)
{
// Ensure we have enough data
Assert.Equal(qSeries.Count, tSeries.Count);
int count = qSeries.Count;
int skip = count - 100; // Last 100 records
@@ -136,17 +135,17 @@ public class EmaValidationTests
{
double qValue = qSeries[i].Value;
double tValue = tSeries[i];
if (tValue == 0) continue;
if (Math.Abs(tValue) < 1e-10) continue;
Assert.Equal(tValue, qValue, 1e-6);
}
}
private void VerifyData(TSeries qSeries, List<EmaResult> sSeries, int period)
private static void VerifyData(TSeries qSeries, List<EmaResult> sSeries)
{
// Ensure we have enough data
Assert.Equal(qSeries.Count, sSeries.Count);
int count = qSeries.Count;
int skip = count - 100; // Last 100 records
@@ -163,24 +162,24 @@ public class EmaValidationTests
}
}
private void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int period)
private static void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback)
{
int count = qSeries.Count;
int skip = count - 100; // Last 100 records
// outRange.End.Value is the number of elements written to tOutput
int validCount = outRange.End.Value - outRange.Start.Value;
for (int i = skip; i < count; i++)
{
double qValue = qSeries[i].Value;
// Calculate index in tOutput
// If i < lookback, we don't have a value from TA-Lib
if (i < lookback) continue;
int tIndex = i - lookback;
// Check if tIndex is within valid range
if (tIndex >= validCount) continue;
lib/averages/ema/Ema.cs
+29 -18
View File
@@ -3,28 +3,39 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
internal struct EmaState
{
public double Ema { get; set; }
public double E { get; set; }
public bool IsHot { get; set; }
public static EmaState New() => new() { Ema = 0, E = 1.0, IsHot = false };
}
/// <summary>
/// Exponential Moving Average (EMA) - IIR filter with exponential warmup compensator.
/// Provides valid output from first bar with O(1) complexity.
/// EMA: Exponential Moving Average
/// </summary>
/// <remarks>
/// Algorithm uses exponential smoothing with compensator for immediate valid results.
/// Reference: https://github.com/mihakralj/pinescript/blob/main/indicators/trends_IIR/ema.md
/// EMA needs very short history buffer and calculates the EMA value using just the
/// previous EMA value. The weight of the new datapoint (alpha) is alpha = 2 / (period + 1)
///
/// Key characteristics:
/// - Uses no buffer, relying only on the previous EMA value.
/// - The weight of new data points is calculated as alpha = 2 / (period + 1).
/// - Provides a balance between responsiveness and smoothing. No overshooting. Significant lag
///
/// Calculation method:
/// This implementation can use SMA for the first Period bars as a seeding value for EMA when useSma is true.
///
/// Sources:
/// - https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
/// - https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
/// - https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
/// </remarks>
public class Ema
{
private struct State
{
public double Ema;
public double E;
public bool IsHot;
public static State New() => new() { Ema = 0, E = 1.0, IsHot = false };
}
private readonly double _alpha;
private EmaState _state = EmaState.New();
private EmaState _p_state = EmaState.New();
private State _state = State.New();
private State _p_state = State.New();
private double _lastValidValue;
/// <summary>
@@ -81,7 +92,7 @@ public class Ema
/// Assumes input has already been validated via GetValidValue().
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
internal static double Compute(double input, double alpha, ref EmaState state)
private static double Compute(double input, double alpha, ref State state)
{
state.Ema += alpha * (input - state.Ema);
@@ -144,7 +155,7 @@ public class Ema
var sourceTimes = source.Times;
// Local state for batch processing
EmaState state = _state;
State state = _state;
for (int i = 0; i < len; i++)
{
@@ -180,7 +191,7 @@ public class Ema
/// </summary>
public void Reset()
{
_state = EmaState.New();
_state = State.New();
_p_state = _state;
_lastValidValue = 0;
Value = default;
lib/averages/ema/EmaVector.Tests.cs
+1 -1
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@@ -168,7 +168,7 @@ public class EmaVectorTests
for (int i = 0; i < len; i++)
{
var tVal = new TValue(new DateTime(t[i]), v[i]);
var tVal = new TValue(new DateTime(t[i], DateTimeKind.Utc), v[i]);
var streamRes = emaVectorStream.Update(tVal);
for (int j = 0; j < periods.Length; j++)
lib/averages/ema/EmaVector.cs
+10 -8
View File
@@ -23,7 +23,9 @@ public class EmaVector
/// <summary>
/// Current EMA values for all periods.
/// </summary>
public TValue[] Values { get; private set; }
public ReadOnlySpan<TValue> Values => _values;
private readonly TValue[] _values;
/// <summary>
/// Initializes EmaVector with specified periods.
@@ -37,7 +39,7 @@ public class EmaVector
_Es = new double[_count];
_p_emas = new double[_count];
_p_Es = new double[_count];
Values = new TValue[_count];
_values = new TValue[_count];
for (int i = 0; i < _count; i++)
{
@@ -59,7 +61,7 @@ public class EmaVector
_Es = new double[_count];
_p_emas = new double[_count];
_p_Es = new double[_count];
Values = new TValue[_count];
_values = new TValue[_count];
for (int i = 0; i < _count; i++)
{
@@ -100,7 +102,7 @@ public class EmaVector
ResetAt(i);
}
_lastValidValue = 0;
Array.Clear(Values);
Array.Clear(_values);
}
/// <summary>
@@ -177,7 +179,7 @@ public class EmaVector
// Store result
for (int j = 0; j < vecCount; j++)
{
Values[i + j] = new TValue(input.Time, vecResult[j]);
_values[i + j] = new TValue(input.Time, vecResult[j]);
}
}
}
@@ -198,10 +200,10 @@ public class EmaVector
}
}
Values[i] = new TValue(input.Time, result);
_values[i] = new TValue(input.Time, result);
}
return Values;
return _values;
}
/// <summary>
@@ -305,7 +307,7 @@ public class EmaVector
resultSeries[i] = new TSeries(tLists[i], vLists[i]);
var lastT = CollectionsMarshal.AsSpan(tLists[i])[len - 1];
var lastV = CollectionsMarshal.AsSpan(vLists[i])[len - 1];
Values[i] = new TValue(lastT, lastV);
_values[i] = new TValue(lastT, lastV);
}
return resultSeries;
lib/core/tvalue/tvalue.cs
+1 -1
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@@ -48,7 +48,7 @@ public readonly struct TValue : IEquatable<TValue>
public override string ToString() => $"[{AsDateTime:yyyy-MM-dd HH:mm:ss}, {Value:F2}]";
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool Equals(TValue other) => Time == other.Time && Value == other.Value;
public bool Equals(TValue other) => Time == other.Time && Math.Abs(Value - other.Value) < 1e-9;
public override bool Equals(object? obj) => obj is TValue other && Equals(other);
public override int GetHashCode() => HashCode.Combine(Time, Value);