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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
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@@ -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);