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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-13 16:18:05 +00:00
Add Standardize class for Z-Score normalization and update project files
- Implemented the Standardize class for calculating Z-Score normalization over a specified lookback period. - Updated NDepend badge SVG files to reflect new metrics. - Modified NDepend project files to reference the updated solution file name. - Removed outdated documentation files related to indicator proposals and channel documentation remediation. - Updated workspace configuration to point to the new solution file.
This commit is contained in:
Miha Kralj
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using TradingPlatform.BusinessLayer;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public class IchimokuIndicatorTests
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{
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[Fact]
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public void IchimokuIndicator_Constructor_SetsDefaults()
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{
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var indicator = new IchimokuIndicator();
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Assert.Equal(9, indicator.TenkanPeriod);
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Assert.Equal(26, indicator.KijunPeriod);
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Assert.Equal(52, indicator.SenkouBPeriod);
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Assert.Equal(26, indicator.Displacement);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("Ichimoku Kinko Hyo", indicator.Name);
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Assert.False(indicator.SeparateWindow); // Overlay on price chart
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void IchimokuIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new IchimokuIndicator { TenkanPeriod = 10 };
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Assert.Equal(0, IchimokuIndicator.MinHistoryDepths);
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IWatchlistIndicator watchlistIndicator = indicator;
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Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
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}
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[Fact]
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public void IchimokuIndicator_ShortName_IncludesParameters()
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{
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var indicator = new IchimokuIndicator { TenkanPeriod = 9, KijunPeriod = 26, SenkouBPeriod = 52 };
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indicator.Initialize();
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Assert.Contains("ICHIMOKU", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("9", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("26", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("52", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void IchimokuIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new IchimokuIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Ichimoku.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void IchimokuIndicator_Initialize_CreatesInternalIchimoku()
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{
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var indicator = new IchimokuIndicator { TenkanPeriod = 9, KijunPeriod = 26, SenkouBPeriod = 52 };
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// Initialize should not throw
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indicator.Initialize();
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// After init, line series should exist (Tenkan, Kijun, SenkouA, SenkouB, Chikou)
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Assert.Equal(5, indicator.LinesSeries.Count);
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}
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[Fact]
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public void IchimokuIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new IchimokuIndicator { TenkanPeriod = 9, KijunPeriod = 26, SenkouBPeriod = 52 };
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indicator.Initialize();
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// Add historical data - need enough bars for longest period (SenkouB = 52)
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var now = DateTime.UtcNow;
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for (int i = 0; i < 60; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
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// Process update for each bar to simulate history loading
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// Line series should have values
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double tenkan = indicator.LinesSeries[0].GetValue(0);
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double kijun = indicator.LinesSeries[1].GetValue(0);
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double senkouA = indicator.LinesSeries[2].GetValue(0);
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double senkouB = indicator.LinesSeries[3].GetValue(0);
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double chikou = indicator.LinesSeries[4].GetValue(0);
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Assert.True(double.IsFinite(tenkan));
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Assert.True(double.IsFinite(kijun));
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Assert.True(double.IsFinite(senkouA));
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Assert.True(double.IsFinite(senkouB));
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Assert.True(double.IsFinite(chikou));
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}
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[Fact]
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public void IchimokuIndicator_FiveLineSeries_HaveCorrectNames()
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{
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var indicator = new IchimokuIndicator();
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indicator.Initialize();
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Assert.Equal(5, indicator.LinesSeries.Count);
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Assert.Equal("Tenkan-sen", indicator.LinesSeries[0].Name);
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Assert.Equal("Kijun-sen", indicator.LinesSeries[1].Name);
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Assert.Equal("Senkou A", indicator.LinesSeries[2].Name);
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Assert.Equal("Senkou B", indicator.LinesSeries[3].Name);
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Assert.Equal("Chikou", indicator.LinesSeries[4].Name);
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}
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[Fact]
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public void IchimokuIndicator_CustomParameters_AppliesCorrectly()
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{
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var indicator = new IchimokuIndicator
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{
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TenkanPeriod = 10,
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KijunPeriod = 30,
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SenkouBPeriod = 60,
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Displacement = 30
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};
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indicator.Initialize();
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Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("30", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("60", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void IchimokuIndicator_ConstantPrice_ProducesEqualLines()
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{
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var indicator = new IchimokuIndicator
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{
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TenkanPeriod = 3,
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KijunPeriod = 5,
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SenkouBPeriod = 10,
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Displacement = 5
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};
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indicator.Initialize();
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// Add constant price bars
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var now = DateTime.UtcNow;
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for (int i = 0; i < 15; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 100, 100, 100);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// All Donchian midpoints should equal 100
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double tenkan = indicator.LinesSeries[0].GetValue(0);
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double kijun = indicator.LinesSeries[1].GetValue(0);
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double senkouA = indicator.LinesSeries[2].GetValue(0);
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double senkouB = indicator.LinesSeries[3].GetValue(0);
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Assert.Equal(100.0, tenkan, precision: 10);
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Assert.Equal(100.0, kijun, precision: 10);
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Assert.Equal(100.0, senkouA, precision: 10);
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Assert.Equal(100.0, senkouB, precision: 10);
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}
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[Fact]
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public void IchimokuIndicator_TrendingMarket_ComputesCorrectly()
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{
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var indicator = new IchimokuIndicator
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{
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TenkanPeriod = 3,
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KijunPeriod = 5,
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SenkouBPeriod = 10,
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Displacement = 5
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};
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indicator.Initialize();
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// Add uptrending bars
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var now = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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double basePrice = 100 + i * 2;
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indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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// In uptrend, faster lines should be higher
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double tenkan = indicator.LinesSeries[0].GetValue(0);
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double kijun = indicator.LinesSeries[1].GetValue(0);
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Assert.True(tenkan >= kijun);
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}
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[Fact]
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public void IchimokuIndicator_Chikou_EqualsClose()
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{
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var indicator = new IchimokuIndicator
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{
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TenkanPeriod = 3,
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KijunPeriod = 5,
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SenkouBPeriod = 10,
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Displacement = 5
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};
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indicator.Initialize();
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// Add bars with specific close price
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var now = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 110, 90, 105.5);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double chikou = indicator.LinesSeries[4].GetValue(0);
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Assert.Equal(105.5, chikou, precision: 10);
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}
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}
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@@ -0,0 +1,90 @@
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using System.Drawing;
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using System.Runtime.CompilerServices;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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/// <summary>
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/// Ichimoku Kinko Hyo (One Glance Equilibrium Chart) for Quantower.
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/// Displays all five Ichimoku components: Tenkan-sen, Kijun-sen, Senkou Span A/B, and Chikou Span.
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/// The cloud (Kumo) is formed between Senkou Span A and B.
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/// </summary>
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[SkipLocalsInit]
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public sealed class IchimokuIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Tenkan Period", sortIndex: 1, 1, 500, 1, 0)]
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public int TenkanPeriod { get; set; } = 9;
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[InputParameter("Kijun Period", sortIndex: 2, 1, 500, 1, 0)]
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public int KijunPeriod { get; set; } = 26;
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[InputParameter("Senkou B Period", sortIndex: 3, 1, 500, 1, 0)]
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public int SenkouBPeriod { get; set; } = 52;
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[InputParameter("Displacement", sortIndex: 4, 1, 500, 1, 0)]
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public int Displacement { get; set; } = 26;
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[InputParameter("Show cold values", sortIndex: 21)]
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public bool ShowColdValues { get; set; } = true;
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private Ichimoku _ichimoku = null!;
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private readonly LineSeries _tenkanSeries;
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private readonly LineSeries _kijunSeries;
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private readonly LineSeries _senkouASeries;
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private readonly LineSeries _senkouBSeries;
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private readonly LineSeries _chikouSeries;
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public static int MinHistoryDepths => 0;
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int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
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public override string ShortName => $"ICHIMOKU({TenkanPeriod},{KijunPeriod},{SenkouBPeriod})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/dynamics/ichimoku/Ichimoku.Quantower.cs";
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public IchimokuIndicator()
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{
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OnBackGround = true;
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SeparateWindow = false; // Overlay on price chart
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Name = "Ichimoku Kinko Hyo";
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Description = "Japanese equilibrium chart with Tenkan-sen, Kijun-sen, Senkou Spans, and Chikou Span";
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// Standard Ichimoku colors following traditional conventions
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_tenkanSeries = new LineSeries(name: "Tenkan-sen", color: Color.Blue, width: 1, style: LineStyle.Solid);
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_kijunSeries = new LineSeries(name: "Kijun-sen", color: Color.Red, width: 2, style: LineStyle.Solid);
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_senkouASeries = new LineSeries(name: "Senkou A", color: Color.Green, width: 1, style: LineStyle.Solid);
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_senkouBSeries = new LineSeries(name: "Senkou B", color: Color.Salmon, width: 1, style: LineStyle.Solid);
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_chikouSeries = new LineSeries(name: "Chikou", color: Color.Purple, width: 1, style: LineStyle.Solid);
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AddLineSeries(_tenkanSeries);
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AddLineSeries(_kijunSeries);
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AddLineSeries(_senkouASeries);
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AddLineSeries(_senkouBSeries);
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AddLineSeries(_chikouSeries);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnInit()
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{
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_ichimoku = new Ichimoku(TenkanPeriod, KijunPeriod, SenkouBPeriod, Displacement);
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base.OnInit();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void OnUpdate(UpdateArgs args)
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{
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_ichimoku.Update(this.GetInputBar(args), args.IsNewBar());
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// Tenkan-sen and Kijun-sen are plotted at current bar (no offset)
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_tenkanSeries.SetValue(_ichimoku.Tenkan.Value, _ichimoku.IsHot, ShowColdValues);
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_kijunSeries.SetValue(_ichimoku.Kijun.Value, _ichimoku.IsHot, ShowColdValues);
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// Senkou Spans are plotted Displacement bars forward
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// Note: In Quantower, LineSeries offset handling may need platform-specific implementation
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// The values here represent current calculations; charting offset is handled by platform
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_senkouASeries.SetValue(_ichimoku.SenkouA.Value, _ichimoku.IsHot, ShowColdValues);
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_senkouBSeries.SetValue(_ichimoku.SenkouB.Value, _ichimoku.IsHot, ShowColdValues);
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// Chikou Span is plotted Displacement bars backward
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// Note: Similar to above, the offset is a display concern
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_chikouSeries.SetValue(_ichimoku.Chikou.Value, _ichimoku.IsHot, ShowColdValues);
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}
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}
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@@ -0,0 +1,560 @@
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using System;
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using Xunit;
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namespace QuanTAlib.Tests;
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public class IchimokuTests
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{
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private const double Precision = 1e-10;
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#region Constructor Tests
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[Fact]
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public void Constructor_DefaultParameters_SetsCorrectValues()
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{
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var ichimoku = new Ichimoku();
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Assert.Equal(9, ichimoku.TenkanPeriod);
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Assert.Equal(26, ichimoku.KijunPeriod);
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Assert.Equal(52, ichimoku.SenkouBPeriod);
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Assert.Equal(26, ichimoku.Displacement);
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Assert.Equal(52, ichimoku.WarmupPeriod); // Max of all periods
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}
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[Fact]
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public void Constructor_CustomParameters_SetsCorrectValues()
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{
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var ichimoku = new Ichimoku(10, 30, 60, 30);
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Assert.Equal(10, ichimoku.TenkanPeriod);
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Assert.Equal(30, ichimoku.KijunPeriod);
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Assert.Equal(60, ichimoku.SenkouBPeriod);
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Assert.Equal(30, ichimoku.Displacement);
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Assert.Equal(60, ichimoku.WarmupPeriod);
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}
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[Fact]
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public void Constructor_ZeroTenkanPeriod_ThrowsArgumentOutOfRangeException()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ichimoku(0, 26, 52, 26));
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}
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[Fact]
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public void Constructor_NegativeKijunPeriod_ThrowsArgumentOutOfRangeException()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ichimoku(9, -1, 52, 26));
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}
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[Fact]
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public void Constructor_ZeroSenkouBPeriod_ThrowsArgumentOutOfRangeException()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ichimoku(9, 26, 0, 26));
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}
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[Fact]
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public void Constructor_ZeroDisplacement_ThrowsArgumentOutOfRangeException()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ichimoku(9, 26, 52, 0));
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}
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[Fact]
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public void Name_FormatsCorrectly()
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{
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var ichimoku = new Ichimoku(9, 26, 52, 26);
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Assert.Equal("Ichimoku(9,26,52,26)", ichimoku.Name);
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}
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#endregion
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#region Warmup Tests
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[Fact]
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public void IsHot_BeforeWarmup_ReturnsFalse()
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{
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var ichimoku = new Ichimoku(9, 26, 52, 26);
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var bar = new TBar(DateTimeOffset.UtcNow.ToUnixTimeMilliseconds(), 100, 105, 95, 102, 1000);
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ichimoku.Update(bar);
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Assert.False(ichimoku.IsHot);
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}
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[Fact]
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public void IsHot_AfterWarmup_ReturnsTrue()
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{
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var ichimoku = new Ichimoku(9, 26, 52, 26);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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for (int i = 0; i < 52; i++)
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{
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var bar = new TBar(baseTime + i * 60000, 100 + i, 105 + i, 95 + i, 102 + i, 1000);
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ichimoku.Update(bar);
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}
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Assert.True(ichimoku.IsHot);
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}
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[Fact]
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public void WarmupPeriod_BasedOnLongestPeriod()
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{
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var ichimoku1 = new Ichimoku(9, 26, 52, 26);
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Assert.Equal(52, ichimoku1.WarmupPeriod);
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var ichimoku2 = new Ichimoku(100, 50, 30, 26);
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Assert.Equal(100, ichimoku2.WarmupPeriod);
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}
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#endregion
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#region Calculation Tests
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[Fact]
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public void Tenkan_CalculatesDonchianMidpoint()
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{
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var ichimoku = new Ichimoku(3, 5, 10, 5);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Add 3 bars with known high/low
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// Bar 1: H=110, L=90
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// Bar 2: H=115, L=85
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// Bar 3: H=105, L=95
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// 3-period high = 115, 3-period low = 85
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// Tenkan = (115 + 85) / 2 = 100
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ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
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ichimoku.Update(new TBar(baseTime + 60000, 100, 115, 85, 100, 1000));
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ichimoku.Update(new TBar(baseTime + 120000, 100, 105, 95, 100, 1000));
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Assert.Equal(100.0, ichimoku.Tenkan.Value, Precision);
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}
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[Fact]
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public void Kijun_CalculatesDonchianMidpoint()
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{
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var ichimoku = new Ichimoku(2, 3, 5, 3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Add 3 bars
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// Bar 1: H=110, L=90
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// Bar 2: H=120, L=80
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// Bar 3: H=115, L=85
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// 3-period high = 120, 3-period low = 80
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// Kijun = (120 + 80) / 2 = 100
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ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 120, 80, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 115, 85, 100, 1000));
|
||||
|
||||
Assert.Equal(100.0, ichimoku.Kijun.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SenkouA_AverageOfTenkanAndKijun()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 3, 5, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create scenario where Tenkan and Kijun have known values
|
||||
// Using same setup: 2-period for Tenkan, 3-period for Kijun
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000)); // T: (110+90)/2=100, K: (110+90)/2=100
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 120, 80, 100, 1000)); // T: (120+80)/2=100, K: (120+80)/2=100
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 100, 100, 100, 1000)); // T: (120+80)/2=100, K: (120+80)/2=100
|
||||
|
||||
// SenkouA = (Tenkan + Kijun) / 2 = (100 + 100) / 2 = 100
|
||||
Assert.Equal(100.0, ichimoku.SenkouA.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SenkouB_CalculatesLongestPeriodMidpoint()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 3, 4, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Add 4 bars for full Senkou B calculation
|
||||
// Bar 1: H=100, L=90
|
||||
// Bar 2: H=110, L=85
|
||||
// Bar 3: H=105, L=88
|
||||
// Bar 4: H=108, L=92
|
||||
// 4-period high = 110, 4-period low = 85
|
||||
// SenkouB = (110 + 85) / 2 = 97.5
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 95, 100, 90, 95, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 110, 85, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 95, 105, 88, 95, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 180000, 100, 108, 92, 100, 1000));
|
||||
|
||||
Assert.Equal(97.5, ichimoku.SenkouB.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chikou_EqualsCurrentClose()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
var bar = new TBar(time, 100, 105, 95, 102.5, 1000);
|
||||
ichimoku.Update(bar);
|
||||
|
||||
Assert.Equal(102.5, ichimoku.Chikou.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Last_ReturnsKijun()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
var bar = new TBar(time, 100, 105, 95, 102, 1000);
|
||||
ichimoku.Update(bar);
|
||||
|
||||
Assert.Equal(ichimoku.Kijun.Value, ichimoku.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Single Value Update Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_SingleValue_TreatsAsHLC()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 3, 5, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// When using single value, H=L=C=value
|
||||
ichimoku.Update(new TValue(baseTime, 100.0));
|
||||
ichimoku.Update(new TValue(baseTime + 60000, 100.0));
|
||||
ichimoku.Update(new TValue(baseTime + 120000, 100.0));
|
||||
|
||||
// All lines should equal 100 when all H=L=100
|
||||
Assert.Equal(100.0, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.Kijun.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.SenkouA.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Bar Correction Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_BarCorrection_RestoresPreviousState()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Add some initial bars
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 100, 1000));
|
||||
}
|
||||
|
||||
// Capture state before update (use underscore to indicate intentionally unused)
|
||||
_ = ichimoku.Tenkan.Value;
|
||||
|
||||
// Update with new bar
|
||||
ichimoku.Update(new TBar(baseTime + 3 * 60000, 110, 120, 100, 115, 1000), isNew: true);
|
||||
double tenkanAfterNew = ichimoku.Tenkan.Value;
|
||||
|
||||
// Correct the bar (isNew=false) with different values
|
||||
ichimoku.Update(new TBar(baseTime + 3 * 60000, 90, 95, 85, 90, 1000), isNew: false);
|
||||
double tenkanAfterCorrection = ichimoku.Tenkan.Value;
|
||||
|
||||
// Values should differ based on the correction
|
||||
Assert.NotEqual(tenkanAfterNew, tenkanAfterCorrection);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_SequentialCorrections_ProduceConsistentResults()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Fill buffer
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 100, 1000));
|
||||
}
|
||||
|
||||
// First update
|
||||
ichimoku.Update(new TBar(baseTime + 5 * 60000, 105, 110, 100, 105, 1000), isNew: true);
|
||||
double firstTenkan = ichimoku.Tenkan.Value;
|
||||
|
||||
// Multiple corrections should converge
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + 5 * 60000, 105, 110, 100, 105, 1000), isNew: false);
|
||||
}
|
||||
|
||||
Assert.Equal(firstTenkan, ichimoku.Tenkan.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region NaN/Invalid Input Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_NaNHigh_UsesLastValidHigh()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 120, 80, 100, 1000));
|
||||
|
||||
// Now update with NaN high
|
||||
var barWithNaN = new TBar(baseTime + 120000, double.NaN, double.NaN, 85, 100, 1000);
|
||||
ichimoku.Update(barWithNaN);
|
||||
|
||||
// Should still produce valid output
|
||||
Assert.True(double.IsFinite(ichimoku.Tenkan.Value));
|
||||
Assert.True(double.IsFinite(ichimoku.Kijun.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_NaNLow_UsesLastValidLow()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 115, double.NaN, 100, 1000));
|
||||
|
||||
Assert.True(double.IsFinite(ichimoku.Tenkan.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_InfinityValues_FallbackToPrevious()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, 100, 1000));
|
||||
|
||||
// Should handle gracefully
|
||||
Assert.True(double.IsFinite(ichimoku.Tenkan.Value));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Reset Tests
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsAllState()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Process some bars
|
||||
for (int i = 0; i < 60; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100 + i, 105 + i, 95 + i, 100 + i, 1000));
|
||||
}
|
||||
|
||||
Assert.True(ichimoku.IsHot);
|
||||
|
||||
ichimoku.Reset();
|
||||
|
||||
Assert.False(ichimoku.IsHot);
|
||||
Assert.Equal(default, ichimoku.Tenkan);
|
||||
Assert.Equal(default, ichimoku.Kijun);
|
||||
Assert.Equal(default, ichimoku.SenkouA);
|
||||
Assert.Equal(default, ichimoku.SenkouB);
|
||||
Assert.Equal(default, ichimoku.Chikou);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_AllowsReuse()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// First use
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 110, 90, 100, 1000));
|
||||
}
|
||||
|
||||
double firstTenkan = ichimoku.Tenkan.Value;
|
||||
|
||||
// Reset and reuse
|
||||
ichimoku.Reset();
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 110, 90, 100, 1000));
|
||||
}
|
||||
|
||||
Assert.Equal(firstTenkan, ichimoku.Tenkan.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Batch Processing Tests
|
||||
|
||||
[Fact]
|
||||
public void Batch_ReturnsAllComponents()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 60; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 110, 90, 100, 1000));
|
||||
}
|
||||
|
||||
var (tenkan, kijun, senkouA, senkouB, chikou) = Ichimoku.Batch(source);
|
||||
|
||||
Assert.Equal(60, tenkan.Count);
|
||||
Assert.Equal(60, kijun.Count);
|
||||
Assert.Equal(60, senkouA.Count);
|
||||
Assert.Equal(60, senkouB.Count);
|
||||
Assert.Equal(60, chikou.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_EmptySource_ReturnsEmptySeries()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
|
||||
var (tenkan, kijun, senkouA, senkouB, chikou) = Ichimoku.Batch(source);
|
||||
|
||||
Assert.Empty(tenkan);
|
||||
Assert.Empty(kijun);
|
||||
Assert.Empty(senkouA);
|
||||
Assert.Empty(senkouB);
|
||||
Assert.Empty(chikou);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_CustomParameters_AppliesCorrectly()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100 + i, 110 + i, 90 + i, 100 + i, 1000));
|
||||
}
|
||||
|
||||
var (tenkan, _, _, _, _) = Ichimoku.Batch(source, 3, 5, 10, 5);
|
||||
|
||||
Assert.Equal(20, tenkan.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsBothResultsAndIndicator()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 60; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 110, 90, 100, 1000));
|
||||
}
|
||||
|
||||
var (results, indicator) = Ichimoku.Calculate(source);
|
||||
|
||||
Assert.Equal(60, results.Tenkan.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.Equal(52, indicator.WarmupPeriod);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Edge Case Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_ConstantPrice_AllLinesEqual()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Constant high=low=close=100
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 100, 100, 100, 1000));
|
||||
}
|
||||
|
||||
Assert.Equal(100.0, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.Kijun.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.SenkouA.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.SenkouB.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.Chikou.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_SingleBar_ComputesCorrectly()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
var bar = new TBar(time, 100, 110, 90, 100, 1000);
|
||||
ichimoku.Update(bar);
|
||||
|
||||
// With single bar: high=110, low=90
|
||||
// All midpoints = (110 + 90) / 2 = 100
|
||||
Assert.Equal(100.0, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.Kijun.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.SenkouA.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.SenkouB.Value, Precision);
|
||||
Assert.Equal(100.0, ichimoku.Chikou.Value, Precision); // Close
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_TrendingMarket_CloudFormsCorrectly()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Uptrend: increasing highs and lows
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
double basePrice = 100 + i * 2;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, basePrice, basePrice + 5, basePrice - 5, basePrice, 1000));
|
||||
}
|
||||
|
||||
// In uptrend, Tenkan should be above Kijun (faster vs slower)
|
||||
// And SenkouA should be above SenkouB (bullish cloud)
|
||||
Assert.True(ichimoku.Tenkan.Value >= ichimoku.Kijun.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AllOutputs_HaveCorrectTimestamps()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long time = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
var bar = new TBar(time, 100, 110, 90, 100, 1000);
|
||||
ichimoku.Update(bar);
|
||||
|
||||
Assert.Equal(time, ichimoku.Tenkan.Time);
|
||||
Assert.Equal(time, ichimoku.Kijun.Time);
|
||||
Assert.Equal(time, ichimoku.SenkouA.Time);
|
||||
Assert.Equal(time, ichimoku.SenkouB.Time);
|
||||
Assert.Equal(time, ichimoku.Chikou.Time);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Rolling Window Tests
|
||||
|
||||
[Fact]
|
||||
public void RollingWindow_OldValuesDroppedCorrectly()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 3, 3, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Add first 3 bars: H ranging 100-120
|
||||
ichimoku.Update(new TBar(baseTime, 100, 100, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 110, 110, 100, 110, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 120, 120, 110, 120, 1000));
|
||||
|
||||
// Donchian midpoint = (120 + 90) / 2 = 105
|
||||
Assert.Equal(105.0, ichimoku.Tenkan.Value, Precision);
|
||||
|
||||
// Add 4th bar with H=130, L=120
|
||||
// Now window is bars 2,3,4: H=110,120,130 L=100,110,120
|
||||
// Donchian midpoint = (130 + 100) / 2 = 115
|
||||
ichimoku.Update(new TBar(baseTime + 180000, 130, 130, 120, 130, 1000));
|
||||
Assert.Equal(115.0, ichimoku.Tenkan.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,491 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class IchimokuValidationTests
|
||||
{
|
||||
private const double Precision = 1e-10;
|
||||
|
||||
#region Tenkan-sen Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void Tenkan_ManualCalculation_MatchesDonchianMidpoint()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bar sequence with known highs and lows:
|
||||
// Bar 1: H=110, L=90
|
||||
// Bar 2: H=115, L=85
|
||||
// Bar 3: H=108, L=92
|
||||
// 3-period high = max(110, 115, 108) = 115
|
||||
// 3-period low = min(90, 85, 92) = 85
|
||||
// Tenkan = (115 + 85) / 2 = 100
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 115, 85, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 108, 92, 100, 1000));
|
||||
|
||||
double expected = (115.0 + 85.0) / 2.0;
|
||||
Assert.Equal(expected, ichimoku.Tenkan.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tenkan_SlidingWindow_DropsOldValues()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Initial 3 bars: H range 100-120, L range 80-90
|
||||
ichimoku.Update(new TBar(baseTime, 90, 100, 80, 90, 1000)); // H=100, L=80
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 110, 85, 100, 1000)); // H=110, L=85
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 110, 120, 90, 110, 1000)); // H=120, L=90
|
||||
|
||||
// Tenkan with bars 1-3: max(100,110,120)=120, min(80,85,90)=80
|
||||
// Tenkan = (120 + 80) / 2 = 100
|
||||
Assert.Equal(100.0, ichimoku.Tenkan.Value, Precision);
|
||||
|
||||
// Add 4th bar: H=105, L=95
|
||||
// Window now includes bars 2,3,4: H=110,120,105, L=85,90,95
|
||||
// max(110,120,105)=120, min(85,90,95)=85
|
||||
// Tenkan = (120 + 85) / 2 = 102.5
|
||||
ichimoku.Update(new TBar(baseTime + 180000, 100, 105, 95, 100, 1000));
|
||||
Assert.Equal(102.5, ichimoku.Tenkan.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Kijun-sen Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void Kijun_ManualCalculation_MatchesDonchianMidpoint()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 4, 8, 4);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// 4 bars for Kijun calculation
|
||||
// Bar 1: H=105, L=95
|
||||
// Bar 2: H=110, L=90
|
||||
// Bar 3: H=115, L=85
|
||||
// Bar 4: H=108, L=92
|
||||
// 4-period high = max(105,110,115,108) = 115
|
||||
// 4-period low = min(95,90,85,92) = 85
|
||||
// Kijun = (115 + 85) / 2 = 100
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 100, 105, 95, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 115, 85, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 180000, 100, 108, 92, 100, 1000));
|
||||
|
||||
double expected = (115.0 + 85.0) / 2.0;
|
||||
Assert.Equal(expected, ichimoku.Kijun.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kijun_LongerPeriodThanTenkan_SmoothsMoreData()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 4, 8, 4);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Add 4 bars with increasing trend
|
||||
for (int i = 0; i < 4; i++)
|
||||
{
|
||||
double basePrice = 100 + i * 5;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, basePrice, basePrice + 5, basePrice - 5, basePrice, 1000));
|
||||
}
|
||||
|
||||
// Tenkan (2-period) uses last 2 bars: bars 3,4
|
||||
// H range: 110+5, 115+5 = 115, 120 -> max=120
|
||||
// L range: 110-5, 115-5 = 105, 110 -> min=105
|
||||
// Tenkan = (120 + 105) / 2 = 112.5
|
||||
|
||||
// Kijun (4-period) uses all 4 bars
|
||||
// H range: 100+5, 105+5, 110+5, 115+5 = 105, 110, 115, 120 -> max=120
|
||||
// L range: 100-5, 105-5, 110-5, 115-5 = 95, 100, 105, 110 -> min=95
|
||||
// Kijun = (120 + 95) / 2 = 107.5
|
||||
|
||||
Assert.Equal(112.5, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(107.5, ichimoku.Kijun.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Senkou Span A Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void SenkouA_ManualCalculation_AverageOfTenkanKijun()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 3, 5, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create scenario where we can calculate Tenkan and Kijun independently
|
||||
// Bar 1: H=100, L=80
|
||||
// Bar 2: H=120, L=70
|
||||
// Bar 3: H=110, L=90
|
||||
|
||||
ichimoku.Update(new TBar(baseTime, 90, 100, 80, 90, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 95, 120, 70, 95, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 110, 90, 100, 1000));
|
||||
|
||||
// Tenkan (2-period): bars 2,3 -> H=120,110 max=120, L=70,90 min=70
|
||||
// Tenkan = (120 + 70) / 2 = 95
|
||||
|
||||
// Kijun (3-period): bars 1,2,3 -> H=100,120,110 max=120, L=80,70,90 min=70
|
||||
// Kijun = (120 + 70) / 2 = 95
|
||||
|
||||
// SenkouA = (Tenkan + Kijun) / 2 = (95 + 95) / 2 = 95
|
||||
|
||||
double expectedTenkan = (120.0 + 70.0) / 2.0;
|
||||
double expectedKijun = (120.0 + 70.0) / 2.0;
|
||||
double expectedSenkouA = (expectedTenkan + expectedKijun) / 2.0;
|
||||
|
||||
Assert.Equal(expectedTenkan, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(expectedKijun, ichimoku.Kijun.Value, Precision);
|
||||
Assert.Equal(expectedSenkouA, ichimoku.SenkouA.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SenkouA_DifferentTenkanKijun_CorrectAverage()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 4, 8, 4);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bars designed to give different Tenkan and Kijun
|
||||
ichimoku.Update(new TBar(baseTime, 100, 100, 60, 80, 1000)); // Very low bar
|
||||
ichimoku.Update(new TBar(baseTime + 60000, 100, 110, 90, 100, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 120000, 100, 120, 100, 110, 1000));
|
||||
ichimoku.Update(new TBar(baseTime + 180000, 110, 130, 110, 120, 1000));
|
||||
|
||||
// Tenkan (2-period): bars 3,4 -> H=120,130 max=130, L=100,110 min=100
|
||||
// Tenkan = (130 + 100) / 2 = 115
|
||||
|
||||
// Kijun (4-period): all bars -> H=100,110,120,130 max=130, L=60,90,100,110 min=60
|
||||
// Kijun = (130 + 60) / 2 = 95
|
||||
|
||||
// SenkouA = (115 + 95) / 2 = 105
|
||||
|
||||
double expectedTenkan = (130.0 + 100.0) / 2.0; // 115
|
||||
double expectedKijun = (130.0 + 60.0) / 2.0; // 95
|
||||
double expectedSenkouA = (expectedTenkan + expectedKijun) / 2.0; // 105
|
||||
|
||||
Assert.Equal(expectedTenkan, ichimoku.Tenkan.Value, Precision);
|
||||
Assert.Equal(expectedKijun, ichimoku.Kijun.Value, Precision);
|
||||
Assert.Equal(expectedSenkouA, ichimoku.SenkouA.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Senkou Span B Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void SenkouB_ManualCalculation_LongestPeriodMidpoint()
|
||||
{
|
||||
var ichimoku = new Ichimoku(2, 3, 5, 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// 5 bars for Senkou B calculation
|
||||
double[] highs = { 100, 110, 120, 115, 105 };
|
||||
double[] lows = { 90, 85, 80, 88, 92 };
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, (highs[i] + lows[i]) / 2, highs[i], lows[i], (highs[i] + lows[i]) / 2, 1000));
|
||||
}
|
||||
|
||||
// 5-period: max(100,110,120,115,105) = 120, min(90,85,80,88,92) = 80
|
||||
// SenkouB = (120 + 80) / 2 = 100
|
||||
|
||||
double expectedSenkouB = (120.0 + 80.0) / 2.0;
|
||||
Assert.Equal(expectedSenkouB, ichimoku.SenkouB.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void SenkouB_LongestPeriod_IncorporatesAllData()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Add 10 bars with extreme at bar 1
|
||||
ichimoku.Update(new TBar(baseTime, 50, 200, 50, 125, 1000)); // Extreme high=200, low=50
|
||||
|
||||
for (int i = 1; i < 10; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 110, 90, 100, 1000));
|
||||
}
|
||||
|
||||
// 10-period includes the extreme bar
|
||||
// max(200,110,110,...) = 200, min(50,90,90,...) = 50
|
||||
// SenkouB = (200 + 50) / 2 = 125
|
||||
|
||||
Assert.Equal(125.0, ichimoku.SenkouB.Value, Precision);
|
||||
|
||||
// Add another bar to drop the extreme
|
||||
ichimoku.Update(new TBar(baseTime + 10 * 60000, 100, 110, 90, 100, 1000));
|
||||
|
||||
// Now 10-period window doesn't include extreme bar
|
||||
// max(110,110,...) = 110, min(90,90,...) = 90
|
||||
// SenkouB = (110 + 90) / 2 = 100
|
||||
|
||||
Assert.Equal(100.0, ichimoku.SenkouB.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Chikou Span Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void Chikou_EqualsCurrentClosePrice()
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
var testPrices = new double[] { 100.5, 102.3, 99.8, 105.0, 98.2 };
|
||||
|
||||
foreach (double closePrice in testPrices)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime, 100, 110, 90, closePrice, 1000));
|
||||
Assert.Equal(closePrice, ichimoku.Chikou.Value, Precision);
|
||||
baseTime += 60000;
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Chikou_FollowsCloseExactly()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 15; i++)
|
||||
{
|
||||
double expectedClose = 100 + i * 1.5;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, expectedClose, expectedClose + 5, expectedClose - 5, expectedClose, 1000));
|
||||
Assert.Equal(expectedClose, ichimoku.Chikou.Value, Precision);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Cloud Formation Tests
|
||||
|
||||
[Fact]
|
||||
public void Cloud_BullishConfiguration_SenkouAAboveB()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Strong uptrend with recently higher prices
|
||||
// Short-term (Tenkan) and medium-term (Kijun) should be higher than long-term (SenkouB)
|
||||
// This creates bullish cloud where SenkouA > SenkouB
|
||||
|
||||
// Start with low prices
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double price = 50 + i; // 50 to 59
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
// Then jump to much higher prices - affects Tenkan and Kijun more than SenkouB
|
||||
for (int i = 10; i < 15; i++)
|
||||
{
|
||||
double price = 100 + (i - 10) * 2;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
// In this scenario, SenkouA should be above SenkouB (bullish cloud)
|
||||
// because Tenkan and Kijun are averaging recent higher prices
|
||||
// while SenkouB still includes older lower prices
|
||||
Assert.True(ichimoku.SenkouA.Value >= ichimoku.SenkouB.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Cloud_BearishConfiguration_SenkouBAboveA()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Downtrend scenario: start high, end low
|
||||
// SenkouB will remember old highs while Tenkan/Kijun fall
|
||||
|
||||
// Start with high prices
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double price = 150 - i; // 150 down to 141
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
// Then drop to much lower prices
|
||||
for (int i = 10; i < 15; i++)
|
||||
{
|
||||
double price = 100 - (i - 10) * 3;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
// In downtrend, SenkouB (longer term) should be above SenkouA (bearish cloud)
|
||||
Assert.True(ichimoku.SenkouB.Value >= ichimoku.SenkouA.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Standard Ichimoku Parameters Tests
|
||||
|
||||
[Fact]
|
||||
public void StandardParameters_9_26_52_26_WorksCorrectly()
|
||||
{
|
||||
var ichimoku = new Ichimoku(); // Uses default 9, 26, 52, 26
|
||||
var barSeries = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Generate 100 bars of simulated price data
|
||||
double price = 100;
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
// Random walk-ish price movement
|
||||
double change = Math.Sin(i * 0.1) * 2 + Math.Cos(i * 0.05);
|
||||
price += change;
|
||||
barSeries.Add(new TBar(baseTime + i * 60000, price, price + 2, price - 2, price, 1000));
|
||||
}
|
||||
|
||||
// Process all bars
|
||||
foreach (var bar in barSeries)
|
||||
{
|
||||
ichimoku.Update(bar);
|
||||
}
|
||||
|
||||
// After 52 bars, should be warmed up
|
||||
Assert.True(ichimoku.IsHot);
|
||||
|
||||
// All outputs should be finite
|
||||
Assert.True(double.IsFinite(ichimoku.Tenkan.Value));
|
||||
Assert.True(double.IsFinite(ichimoku.Kijun.Value));
|
||||
Assert.True(double.IsFinite(ichimoku.SenkouA.Value));
|
||||
Assert.True(double.IsFinite(ichimoku.SenkouB.Value));
|
||||
Assert.True(double.IsFinite(ichimoku.Chikou.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void CryptoParameters_10_30_60_30_WorksCorrectly()
|
||||
{
|
||||
// Common crypto market settings (doubled because 24/7 markets)
|
||||
var ichimoku = new Ichimoku(10, 30, 60, 30);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Process enough bars to warmup
|
||||
for (int i = 0; i < 70; i++)
|
||||
{
|
||||
double price = 40000 + Math.Sin(i * 0.05) * 1000;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 50, price - 50, price, 10));
|
||||
}
|
||||
|
||||
Assert.True(ichimoku.IsHot);
|
||||
Assert.Equal(60, ichimoku.WarmupPeriod); // Based on SenkouB period
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Batch Processing Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void Batch_MatchesSequentialProcessing()
|
||||
{
|
||||
var barSeries = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 60; i++)
|
||||
{
|
||||
double price = 100 + i;
|
||||
barSeries.Add(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
// Batch processing
|
||||
var (batchTenkan, batchKijun, batchSenkouA, batchSenkouB, batchChikou) = Ichimoku.Batch(barSeries);
|
||||
|
||||
// Sequential processing
|
||||
var sequential = new Ichimoku();
|
||||
var seqTenkan = new List<double>();
|
||||
var seqKijun = new List<double>();
|
||||
var seqSenkouA = new List<double>();
|
||||
var seqSenkouB = new List<double>();
|
||||
var seqChikou = new List<double>();
|
||||
|
||||
foreach (var bar in barSeries)
|
||||
{
|
||||
sequential.Update(bar);
|
||||
seqTenkan.Add(sequential.Tenkan.Value);
|
||||
seqKijun.Add(sequential.Kijun.Value);
|
||||
seqSenkouA.Add(sequential.SenkouA.Value);
|
||||
seqSenkouB.Add(sequential.SenkouB.Value);
|
||||
seqChikou.Add(sequential.Chikou.Value);
|
||||
}
|
||||
|
||||
// Compare results
|
||||
Assert.Equal(seqTenkan.Count, batchTenkan.Count);
|
||||
for (int i = 0; i < seqTenkan.Count; i++)
|
||||
{
|
||||
Assert.Equal(seqTenkan[i], batchTenkan[i].Value, Precision);
|
||||
Assert.Equal(seqKijun[i], batchKijun[i].Value, Precision);
|
||||
Assert.Equal(seqSenkouA[i], batchSenkouA[i].Value, Precision);
|
||||
Assert.Equal(seqSenkouB[i], batchSenkouB[i].Value, Precision);
|
||||
Assert.Equal(seqChikou[i], batchChikou[i].Value, Precision);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsWarmIndicator()
|
||||
{
|
||||
var barSeries = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 60; i++)
|
||||
{
|
||||
double price = 100 + i;
|
||||
barSeries.Add(new TBar(baseTime + i * 60000, price, price + 5, price - 5, price, 1000));
|
||||
}
|
||||
|
||||
var (results, indicator) = Ichimoku.Calculate(barSeries);
|
||||
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.Equal(52, indicator.WarmupPeriod);
|
||||
|
||||
// Last values in results should match indicator state
|
||||
Assert.Equal(indicator.Tenkan.Value, results.Tenkan.Last.Value, Precision);
|
||||
Assert.Equal(indicator.Kijun.Value, results.Kijun.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Cross Validation Tests
|
||||
|
||||
[Fact]
|
||||
public void TenkanKijunCross_BullishSignal()
|
||||
{
|
||||
var ichimoku = new Ichimoku(3, 5, 10, 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create scenario where Tenkan starts below Kijun, then crosses above
|
||||
|
||||
// Phase 1: Ranging market - Tenkan ≈ Kijun
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 100, 1000));
|
||||
}
|
||||
|
||||
// Capture initial state (using discards since we're testing the response to change)
|
||||
_ = ichimoku.Tenkan.Value;
|
||||
_ = ichimoku.Kijun.Value;
|
||||
|
||||
// Phase 2: Sharp upward move - Tenkan should rise faster
|
||||
for (int i = 5; i < 10; i++)
|
||||
{
|
||||
double price = 100 + (i - 5) * 5;
|
||||
ichimoku.Update(new TBar(baseTime + i * 60000, price, price + 3, price - 3, price, 1000));
|
||||
}
|
||||
|
||||
// Tenkan (short-term) should react faster to the uptrend
|
||||
// In uptrend, Tenkan >= Kijun
|
||||
Assert.True(ichimoku.Tenkan.Value >= ichimoku.Kijun.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,478 @@
|
||||
// ICHIMOKU: Ichimoku Kinko Hyo (One Glance Equilibrium Chart)
|
||||
// A comprehensive trend-following indicator system with five components.
|
||||
|
||||
using System.Runtime.CompilerServices;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// ICHIMOKU: Ichimoku Kinko Hyo (One Glance Equilibrium Chart)
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// The Ichimoku Cloud is a multi-functional indicator developed by Japanese journalist
|
||||
/// Goichi Hosoda, published in 1969. It provides support/resistance levels, trend direction,
|
||||
/// momentum, and trading signals in a single view.
|
||||
///
|
||||
/// Five Components:
|
||||
/// 1. Tenkan-sen (Conversion Line): (9-period high + 9-period low) / 2
|
||||
/// - Short-term equilibrium, similar to fast MA
|
||||
/// - Indicates short-term trend direction
|
||||
///
|
||||
/// 2. Kijun-sen (Base Line): (26-period high + 26-period low) / 2
|
||||
/// - Medium-term equilibrium, similar to slow MA
|
||||
/// - Key support/resistance level, used for stop-loss placement
|
||||
///
|
||||
/// 3. Senkou Span A (Leading Span A): (Tenkan-sen + Kijun-sen) / 2, plotted 26 periods ahead
|
||||
/// - First boundary of the cloud (Kumo)
|
||||
/// - Average of short and medium equilibrium
|
||||
///
|
||||
/// 4. Senkou Span B (Leading Span B): (52-period high + 52-period low) / 2, plotted 26 periods ahead
|
||||
/// - Second boundary of the cloud (Kumo)
|
||||
/// - Long-term equilibrium, usually flatter than Span A
|
||||
///
|
||||
/// 5. Chikou Span (Lagging Span): Current close plotted 26 periods behind
|
||||
/// - Confirms trend by comparing current price to past
|
||||
///
|
||||
/// Cloud (Kumo): The area between Senkou Span A and B
|
||||
/// - Provides key support/resistance zones
|
||||
/// - Green cloud (A above B) = bullish
|
||||
/// - Red cloud (B above A) = bearish
|
||||
/// - Cloud thickness indicates strength of support/resistance
|
||||
///
|
||||
/// Default Parameters:
|
||||
/// - Tenkan period: 9 (conversion line, short-term)
|
||||
/// - Kijun period: 26 (base line, medium-term)
|
||||
/// - Senkou B period: 52 (leading span B, long-term)
|
||||
/// - Displacement: 26 (forward/backward shift for spans)
|
||||
///
|
||||
/// Sources:
|
||||
/// Goichi Hosoda, "Ichimoku Kinko Hyo" (1969)
|
||||
/// https://school.stockcharts.com/doku.php?id=technical_indicators:ichimoku_cloud
|
||||
/// https://www.investopedia.com/terms/i/ichimoku-cloud.asp
|
||||
/// </remarks>
|
||||
/// <seealso href="ichimoku.pine">Reference Pine Script implementation</seealso>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Ichimoku : ITValuePublisher
|
||||
{
|
||||
private readonly int _tenkanPeriod;
|
||||
private readonly int _kijunPeriod;
|
||||
private readonly int _senkouBPeriod;
|
||||
private readonly int _displacement;
|
||||
|
||||
// Ring buffers for high/low tracking
|
||||
private readonly double[] _highBuffer;
|
||||
private readonly double[] _lowBuffer;
|
||||
private readonly double[] _p_highBuffer;
|
||||
private readonly double[] _p_lowBuffer;
|
||||
|
||||
// State tracking
|
||||
[StructLayout(LayoutKind.Auto)]
|
||||
private record struct State(
|
||||
int Head,
|
||||
int Count,
|
||||
double LastValidHigh,
|
||||
double LastValidLow,
|
||||
double LastValidClose,
|
||||
bool IsHot);
|
||||
|
||||
private State _state;
|
||||
private State _p_state;
|
||||
|
||||
public string Name { get; }
|
||||
public int WarmupPeriod { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Tenkan-sen (Conversion Line): Short-term equilibrium.
|
||||
/// Calculated as (9-period high + 9-period low) / 2.
|
||||
/// </summary>
|
||||
public TValue Tenkan { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Kijun-sen (Base Line): Medium-term equilibrium.
|
||||
/// Calculated as (26-period high + 26-period low) / 2.
|
||||
/// Key support/resistance level.
|
||||
/// </summary>
|
||||
public TValue Kijun { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Senkou Span A (Leading Span A): First cloud boundary.
|
||||
/// Calculated as (Tenkan + Kijun) / 2.
|
||||
/// Note: This is the current value; displacement to future is applied in charting.
|
||||
/// </summary>
|
||||
public TValue SenkouA { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Senkou Span B (Leading Span B): Second cloud boundary.
|
||||
/// Calculated as (52-period high + 52-period low) / 2.
|
||||
/// Note: This is the current value; displacement to future is applied in charting.
|
||||
/// </summary>
|
||||
public TValue SenkouB { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Chikou Span (Lagging Span): Current close value.
|
||||
/// Note: This value is plotted 26 periods behind in charting.
|
||||
/// </summary>
|
||||
public TValue Chikou { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Primary output (Kijun-sen) for compatibility.
|
||||
/// Kijun is often used as the main trend reference.
|
||||
/// </summary>
|
||||
public TValue Last => Kijun;
|
||||
|
||||
/// <summary>
|
||||
/// True when all components have sufficient data.
|
||||
/// </summary>
|
||||
public bool IsHot => _state.IsHot;
|
||||
|
||||
/// <summary>
|
||||
/// The displacement period for Senkou Spans and Chikou Span.
|
||||
/// </summary>
|
||||
public int Displacement => _displacement;
|
||||
|
||||
public event TValuePublishedHandler? Pub;
|
||||
|
||||
/// <summary>
|
||||
/// Creates an Ichimoku Cloud indicator with default parameters.
|
||||
/// Default: Tenkan=9, Kijun=26, Senkou B=52, Displacement=26.
|
||||
/// </summary>
|
||||
public Ichimoku() : this(9, 26, 52, 26)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates an Ichimoku Cloud indicator with specified parameters.
|
||||
/// </summary>
|
||||
/// <param name="tenkanPeriod">Period for Tenkan-sen (Conversion Line), typically 9</param>
|
||||
/// <param name="kijunPeriod">Period for Kijun-sen (Base Line), typically 26</param>
|
||||
/// <param name="senkouBPeriod">Period for Senkou Span B (Leading Span B), typically 52</param>
|
||||
/// <param name="displacement">Forward/backward shift for Senkou/Chikou spans, typically 26</param>
|
||||
public Ichimoku(int tenkanPeriod, int kijunPeriod, int senkouBPeriod, int displacement)
|
||||
{
|
||||
if (tenkanPeriod <= 0)
|
||||
{
|
||||
throw new ArgumentOutOfRangeException(nameof(tenkanPeriod), "Tenkan period must be greater than 0");
|
||||
}
|
||||
if (kijunPeriod <= 0)
|
||||
{
|
||||
throw new ArgumentOutOfRangeException(nameof(kijunPeriod), "Kijun period must be greater than 0");
|
||||
}
|
||||
if (senkouBPeriod <= 0)
|
||||
{
|
||||
throw new ArgumentOutOfRangeException(nameof(senkouBPeriod), "Senkou B period must be greater than 0");
|
||||
}
|
||||
if (displacement <= 0)
|
||||
{
|
||||
throw new ArgumentOutOfRangeException(nameof(displacement), "Displacement must be greater than 0");
|
||||
}
|
||||
|
||||
_tenkanPeriod = tenkanPeriod;
|
||||
_kijunPeriod = kijunPeriod;
|
||||
_senkouBPeriod = senkouBPeriod;
|
||||
_displacement = displacement;
|
||||
|
||||
int maxPeriod = Math.Max(Math.Max(tenkanPeriod, kijunPeriod), senkouBPeriod);
|
||||
_highBuffer = new double[maxPeriod];
|
||||
_lowBuffer = new double[maxPeriod];
|
||||
_p_highBuffer = new double[maxPeriod];
|
||||
_p_lowBuffer = new double[maxPeriod];
|
||||
|
||||
WarmupPeriod = maxPeriod;
|
||||
Name = $"Ichimoku({tenkanPeriod},{kijunPeriod},{senkouBPeriod},{displacement})";
|
||||
|
||||
Reset();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates an Ichimoku Cloud indicator and primes it with a source series.
|
||||
/// </summary>
|
||||
public Ichimoku(TBarSeries source, int tenkanPeriod = 9, int kijunPeriod = 26,
|
||||
int senkouBPeriod = 52, int displacement = 26)
|
||||
: this(tenkanPeriod, kijunPeriod, senkouBPeriod, displacement)
|
||||
{
|
||||
Prime(source);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void PubEvent(TValue value, bool isNew = true) =>
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
|
||||
|
||||
/// <summary>
|
||||
/// Resets the indicator state.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public void Reset()
|
||||
{
|
||||
_state = new State(0, 0, double.NaN, double.NaN, double.NaN, false);
|
||||
_p_state = _state;
|
||||
Array.Fill(_highBuffer, double.NaN);
|
||||
Array.Fill(_lowBuffer, double.NaN);
|
||||
Array.Copy(_highBuffer, _p_highBuffer!, _highBuffer.Length);
|
||||
Array.Copy(_lowBuffer, _p_lowBuffer!, _lowBuffer.Length);
|
||||
Tenkan = default;
|
||||
Kijun = default;
|
||||
SenkouA = default;
|
||||
SenkouB = default;
|
||||
Chikou = default;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private (double high, double low, double close) GetValidHLC(TBar bar)
|
||||
{
|
||||
double high = bar.High;
|
||||
double low = bar.Low;
|
||||
double close = bar.Close;
|
||||
|
||||
if (double.IsFinite(high))
|
||||
{
|
||||
_state = _state with { LastValidHigh = high };
|
||||
}
|
||||
else
|
||||
{
|
||||
high = double.IsFinite(_state.LastValidHigh) ? _state.LastValidHigh : 0.0;
|
||||
}
|
||||
|
||||
if (double.IsFinite(low))
|
||||
{
|
||||
_state = _state with { LastValidLow = low };
|
||||
}
|
||||
else
|
||||
{
|
||||
low = double.IsFinite(_state.LastValidLow) ? _state.LastValidLow : 0.0;
|
||||
}
|
||||
|
||||
if (double.IsFinite(close))
|
||||
{
|
||||
_state = _state with { LastValidClose = close };
|
||||
}
|
||||
else
|
||||
{
|
||||
close = double.IsFinite(_state.LastValidClose) ? _state.LastValidClose : 0.0;
|
||||
}
|
||||
|
||||
return (high, low, close);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private (double high, double low) GetDonchianMidpoint(int period)
|
||||
{
|
||||
int count = Math.Min(_state.Count, period);
|
||||
if (count == 0)
|
||||
{
|
||||
return (double.NaN, double.NaN);
|
||||
}
|
||||
|
||||
double highest = double.MinValue;
|
||||
double lowest = double.MaxValue;
|
||||
|
||||
int head = _state.Head;
|
||||
int bufLen = _highBuffer.Length;
|
||||
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
int idx = (head - 1 - i + bufLen) % bufLen;
|
||||
double h = _highBuffer[idx];
|
||||
double l = _lowBuffer[idx];
|
||||
|
||||
if (double.IsFinite(h) && h > highest)
|
||||
{
|
||||
highest = h;
|
||||
}
|
||||
if (double.IsFinite(l) && l < lowest)
|
||||
{
|
||||
lowest = l;
|
||||
}
|
||||
}
|
||||
|
||||
return (highest, lowest);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates the indicator with a new price bar.
|
||||
/// </summary>
|
||||
/// <param name="bar">Price bar with High, Low, Close</param>
|
||||
/// <param name="isNew">True for new bar, false for bar update/correction</param>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TBar bar, bool isNew = true)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_p_state = _state;
|
||||
Array.Copy(_highBuffer, _p_highBuffer!, _highBuffer.Length);
|
||||
Array.Copy(_lowBuffer, _p_lowBuffer!, _lowBuffer.Length);
|
||||
}
|
||||
else
|
||||
{
|
||||
_state = _p_state;
|
||||
Array.Copy(_p_highBuffer!, _highBuffer, _highBuffer.Length);
|
||||
Array.Copy(_p_lowBuffer!, _lowBuffer, _lowBuffer.Length);
|
||||
}
|
||||
|
||||
var (high, low, close) = GetValidHLC(bar);
|
||||
|
||||
// Add to ring buffer
|
||||
int head = _state.Head;
|
||||
_highBuffer[head] = high;
|
||||
_lowBuffer[head] = low;
|
||||
|
||||
int newHead = (head + 1) % _highBuffer.Length;
|
||||
int newCount = Math.Min(_state.Count + 1, _highBuffer.Length);
|
||||
|
||||
_state = _state with { Head = newHead, Count = newCount };
|
||||
|
||||
// Calculate Tenkan-sen (9-period)
|
||||
var (tenkanHigh, tenkanLow) = GetDonchianMidpoint(_tenkanPeriod);
|
||||
double tenkanValue = (tenkanHigh + tenkanLow) / 2.0;
|
||||
|
||||
// Calculate Kijun-sen (26-period)
|
||||
var (kijunHigh, kijunLow) = GetDonchianMidpoint(_kijunPeriod);
|
||||
double kijunValue = (kijunHigh + kijunLow) / 2.0;
|
||||
|
||||
// Calculate Senkou Span A: (Tenkan + Kijun) / 2
|
||||
double senkouAValue = (tenkanValue + kijunValue) / 2.0;
|
||||
|
||||
// Calculate Senkou Span B (52-period)
|
||||
var (senkouBHigh, senkouBLow) = GetDonchianMidpoint(_senkouBPeriod);
|
||||
double senkouBValue = (senkouBHigh + senkouBLow) / 2.0;
|
||||
|
||||
// Chikou Span is just the current close (plotted backwards in charting)
|
||||
double chikouValue = close;
|
||||
|
||||
// Check if warmed up
|
||||
if (!_state.IsHot && _state.Count >= WarmupPeriod)
|
||||
{
|
||||
_state = _state with { IsHot = true };
|
||||
}
|
||||
|
||||
// Set outputs
|
||||
Tenkan = new TValue(bar.Time, tenkanValue);
|
||||
Kijun = new TValue(bar.Time, kijunValue);
|
||||
SenkouA = new TValue(bar.Time, senkouAValue);
|
||||
SenkouB = new TValue(bar.Time, senkouBValue);
|
||||
Chikou = new TValue(bar.Time, chikouValue);
|
||||
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates the indicator with a single value (uses value as high, low, and close).
|
||||
/// </summary>
|
||||
/// <param name="input">Input value</param>
|
||||
/// <param name="isNew">True for new bar, false for bar update/correction</param>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TValue input, bool isNew = true)
|
||||
{
|
||||
// Treat single value as H=L=C
|
||||
var bar = new TBar(input.Time, input.Value, input.Value, input.Value, input.Value, 0);
|
||||
return Update(bar, isNew);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Processes a TBarSeries and returns tuple of all component series.
|
||||
/// </summary>
|
||||
public (TSeries Tenkan, TSeries Kijun, TSeries SenkouA, TSeries SenkouB, TSeries Chikou) Update(TBarSeries source)
|
||||
{
|
||||
if (source.Count == 0)
|
||||
{
|
||||
return (new TSeries([], []), new TSeries([], []), new TSeries([], []),
|
||||
new TSeries([], []), new TSeries([], []));
|
||||
}
|
||||
|
||||
int len = source.Count;
|
||||
var tList = new List<long>(len);
|
||||
var tenkanList = new List<double>(len);
|
||||
var kijunList = new List<double>(len);
|
||||
var senkouAList = new List<double>(len);
|
||||
var senkouBList = new List<double>(len);
|
||||
var chikouList = new List<double>(len);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
var bar = source[i];
|
||||
Update(bar, isNew: true);
|
||||
tList.Add(bar.Time);
|
||||
tenkanList.Add(Tenkan.Value);
|
||||
kijunList.Add(Kijun.Value);
|
||||
senkouAList.Add(SenkouA.Value);
|
||||
senkouBList.Add(SenkouB.Value);
|
||||
chikouList.Add(Chikou.Value);
|
||||
}
|
||||
|
||||
return (
|
||||
new TSeries(tList, tenkanList),
|
||||
new TSeries(tList, kijunList),
|
||||
new TSeries(tList, senkouAList),
|
||||
new TSeries(tList, senkouBList),
|
||||
new TSeries(tList, chikouList)
|
||||
);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primes the indicator with historical bar data.
|
||||
/// </summary>
|
||||
public void Prime(TBarSeries source)
|
||||
{
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Update(source[i], isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primes the indicator with historical value data.
|
||||
/// </summary>
|
||||
public void Prime(TSeries source)
|
||||
{
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Update(source[i], isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates Ichimoku for the entire bar series using default parameters.
|
||||
/// </summary>
|
||||
public static (TSeries Tenkan, TSeries Kijun, TSeries SenkouA, TSeries SenkouB, TSeries Chikou) Batch(TBarSeries source)
|
||||
{
|
||||
var ichimoku = new Ichimoku();
|
||||
return ichimoku.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates Ichimoku for the entire bar series using custom parameters.
|
||||
/// </summary>
|
||||
public static (TSeries Tenkan, TSeries Kijun, TSeries SenkouA, TSeries SenkouB, TSeries Chikou) Batch(
|
||||
TBarSeries source, int tenkanPeriod, int kijunPeriod, int senkouBPeriod, int displacement)
|
||||
{
|
||||
var ichimoku = new Ichimoku(tenkanPeriod, kijunPeriod, senkouBPeriod, displacement);
|
||||
return ichimoku.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates Ichimoku and returns both results and the warm indicator.
|
||||
/// </summary>
|
||||
public static ((TSeries Tenkan, TSeries Kijun, TSeries SenkouA, TSeries SenkouB, TSeries Chikou) Results, Ichimoku Indicator)
|
||||
Calculate(TBarSeries source, int tenkanPeriod = 9, int kijunPeriod = 26, int senkouBPeriod = 52, int displacement = 26)
|
||||
{
|
||||
var ichimoku = new Ichimoku(tenkanPeriod, kijunPeriod, senkouBPeriod, displacement);
|
||||
var results = ichimoku.Update(source);
|
||||
return (results, ichimoku);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the Tenkan-sen period.
|
||||
/// </summary>
|
||||
public int TenkanPeriod => _tenkanPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Gets the Kijun-sen period.
|
||||
/// </summary>
|
||||
public int KijunPeriod => _kijunPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Gets the Senkou Span B period.
|
||||
/// </summary>
|
||||
public int SenkouBPeriod => _senkouBPeriod;
|
||||
}
|
||||
@@ -0,0 +1,144 @@
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class ImiIndicatorTests
|
||||
{
|
||||
[Fact]
|
||||
public void ImiIndicator_Constructor_SetsDefaults()
|
||||
{
|
||||
var indicator = new ImiIndicator();
|
||||
|
||||
Assert.Equal(14, indicator.Period);
|
||||
Assert.True(indicator.ShowColdValues);
|
||||
Assert.Equal("Intraday Momentum Index", indicator.Name);
|
||||
Assert.True(indicator.SeparateWindow);
|
||||
Assert.True(indicator.OnBackGround);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_MinHistoryDepths_EqualsZero()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 20 };
|
||||
|
||||
Assert.Equal(0, ImiIndicator.MinHistoryDepths);
|
||||
IWatchlistIndicator watchlistIndicator = indicator;
|
||||
Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_ShortName_IncludesParameters()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 20 };
|
||||
indicator.Initialize();
|
||||
|
||||
Assert.Contains("IMI", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_SourceCodeLink_IsValid()
|
||||
{
|
||||
var indicator = new ImiIndicator();
|
||||
|
||||
Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
Assert.Contains("Imi.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_Initialize_CreatesInternalImi()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 14 };
|
||||
|
||||
// Initialize should not throw
|
||||
indicator.Initialize();
|
||||
|
||||
// After init, line series should exist (single IMI line)
|
||||
Assert.Single(indicator.LinesSeries);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 5 };
|
||||
indicator.Initialize();
|
||||
|
||||
// Add historical data
|
||||
var now = DateTime.UtcNow;
|
||||
// Need enough bars for Period
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
|
||||
|
||||
// Process update for each bar to simulate history loading
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
}
|
||||
|
||||
// Line series should have a value
|
||||
double imi = indicator.LinesSeries[0].GetValue(0);
|
||||
|
||||
Assert.True(double.IsFinite(imi));
|
||||
Assert.InRange(imi, 0.0, 100.0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_AllUpBars_Returns100()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 3 };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
// Up bars: close > open
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100, 115, 99, 110);
|
||||
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
}
|
||||
|
||||
// All up bars should result in 100
|
||||
Assert.Equal(100.0, indicator.LinesSeries[0].GetValue(0), 0.0001);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_AllDownBars_Returns0()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 3 };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
// Down bars: close < open
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 110, 115, 99, 100);
|
||||
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
}
|
||||
|
||||
// All down bars should result in 0
|
||||
Assert.Equal(0.0, indicator.LinesSeries[0].GetValue(0), 0.0001);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImiIndicator_MixedBars_Returns50()
|
||||
{
|
||||
var indicator = new ImiIndicator { Period = 2 };
|
||||
indicator.Initialize();
|
||||
|
||||
var now = DateTime.UtcNow;
|
||||
|
||||
// Up bar: gain = 10
|
||||
indicator.HistoricalData.AddBar(now, 100, 115, 99, 110);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
// Down bar: loss = 10
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(1), 110, 115, 99, 100);
|
||||
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
|
||||
|
||||
// Equal gains and losses should result in 50
|
||||
Assert.Equal(50.0, indicator.LinesSeries[0].GetValue(0), 0.0001);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,51 @@
|
||||
using System.Drawing;
|
||||
using System.Runtime.CompilerServices;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
[SkipLocalsInit]
|
||||
public sealed class ImiIndicator : Indicator, IWatchlistIndicator
|
||||
{
|
||||
[InputParameter("Period", sortIndex: 1, 1, 1000, 1, 0)]
|
||||
public int Period { get; set; } = 14;
|
||||
|
||||
[InputParameter("Show cold values", sortIndex: 21)]
|
||||
public bool ShowColdValues { get; set; } = true;
|
||||
|
||||
private Imi _imi = null!;
|
||||
private readonly LineSeries _imiSeries;
|
||||
|
||||
public static int MinHistoryDepths => 0;
|
||||
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
||||
|
||||
public override string ShortName => $"IMI {Period}";
|
||||
public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/dynamics/imi/Imi.Quantower.cs";
|
||||
|
||||
public ImiIndicator()
|
||||
{
|
||||
OnBackGround = true;
|
||||
SeparateWindow = true;
|
||||
Name = "Intraday Momentum Index";
|
||||
Description = "Technical indicator combining candlestick analysis with RSI-like calculation (Tushar Chande)";
|
||||
|
||||
_imiSeries = new LineSeries(name: "IMI", color: Color.Yellow, width: 2, style: LineStyle.Solid);
|
||||
|
||||
AddLineSeries(_imiSeries);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void OnInit()
|
||||
{
|
||||
_imi = new Imi(Period);
|
||||
base.OnInit();
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void OnUpdate(UpdateArgs args)
|
||||
{
|
||||
TValue result = _imi.Update(this.GetInputBar(args), args.IsNewBar());
|
||||
|
||||
_imiSeries.SetValue(result.Value, _imi.IsHot, ShowColdValues);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,495 @@
|
||||
using System;
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class ImiTests
|
||||
{
|
||||
private const double Precision = 1e-10;
|
||||
|
||||
#region Constructor Tests
|
||||
|
||||
[Fact]
|
||||
public void Constructor_DefaultPeriod_Is14()
|
||||
{
|
||||
var imi = new Imi();
|
||||
Assert.Equal(14, imi.Period);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_CustomPeriod_IsSet()
|
||||
{
|
||||
var imi = new Imi(20);
|
||||
Assert.Equal(20, imi.Period);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_Period1_IsValid()
|
||||
{
|
||||
var imi = new Imi(1);
|
||||
Assert.Equal(1, imi.Period);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_ZeroPeriod_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new Imi(0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_NegativePeriod_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new Imi(-1));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Name_ReflectsPeriod()
|
||||
{
|
||||
var imi = new Imi(10);
|
||||
Assert.Equal("IMI(10)", imi.Name);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WarmupPeriod_EqualsToPeriod()
|
||||
{
|
||||
var imi = new Imi(14);
|
||||
Assert.Equal(14, imi.WarmupPeriod);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region IsHot Tests
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BeforeWarmup_ReturnsFalse()
|
||||
{
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 4; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
Assert.False(imi.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_AfterWarmup_ReturnsTrue()
|
||||
{
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
Assert.True(imi.IsHot);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Basic Calculation Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_AllUpBars_Returns100()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// All bars have Close > Open (bullish candlesticks)
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 108, 1000)); // +8
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 112, 104, 111, 1000)); // +6
|
||||
imi.Update(new TBar(baseTime + 120000, 108, 115, 107, 114, 1000)); // +6
|
||||
|
||||
Assert.Equal(100.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_AllDownBars_Returns0()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// All bars have Close < Open (bearish candlesticks)
|
||||
imi.Update(new TBar(baseTime, 108, 110, 99, 100, 1000)); // -8
|
||||
imi.Update(new TBar(baseTime + 60000, 111, 112, 104, 105, 1000)); // -6
|
||||
imi.Update(new TBar(baseTime + 120000, 114, 115, 107, 108, 1000)); // -6
|
||||
|
||||
Assert.Equal(0.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_MixedBars_CorrectCalculation()
|
||||
{
|
||||
var imi = new Imi(4);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Up bar: gain = 5, loss = 0
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 105, 1000));
|
||||
|
||||
// Down bar: gain = 0, loss = 3
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 106, 100, 102, 1000));
|
||||
|
||||
// Up bar: gain = 4, loss = 0
|
||||
imi.Update(new TBar(baseTime + 120000, 102, 108, 101, 106, 1000));
|
||||
|
||||
// Down bar: gain = 0, loss = 2
|
||||
imi.Update(new TBar(baseTime + 180000, 106, 107, 103, 104, 1000));
|
||||
|
||||
// Gains = 5 + 4 = 9, Losses = 3 + 2 = 5
|
||||
// IMI = 100 * 9 / (9 + 5) = 100 * 9 / 14 = 64.285714...
|
||||
double expected = 100.0 * 9.0 / 14.0;
|
||||
Assert.Equal(expected, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_AllDoji_Returns50()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// All bars have Close == Open (doji candlesticks)
|
||||
imi.Update(new TBar(baseTime, 100, 105, 95, 100, 1000));
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 108, 92, 100, 1000));
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 103, 97, 100, 1000));
|
||||
|
||||
// Sum of gains = 0, Sum of losses = 0, total = 0, returns 50 (neutral)
|
||||
Assert.Equal(50.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_EqualGainsAndLosses_Returns50()
|
||||
{
|
||||
var imi = new Imi(2);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Up bar: gain = 5
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 105, 1000));
|
||||
|
||||
// Down bar: loss = 5
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 106, 99, 100, 1000));
|
||||
|
||||
// Gains = 5, Losses = 5, IMI = 50
|
||||
Assert.Equal(50.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Rolling Window Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_RollingWindow_DropsOldValues()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Fill with up bars
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 110, 1000)); // +10
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 110, 99, 110, 1000)); // +10
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 110, 99, 110, 1000)); // +10
|
||||
Assert.Equal(100.0, imi.Last.Value, Precision);
|
||||
|
||||
// Add a down bar - oldest up bar should drop off
|
||||
imi.Update(new TBar(baseTime + 180000, 110, 111, 99, 100, 1000)); // -10
|
||||
|
||||
// Now: gains = 10 + 10 = 20, losses = 10
|
||||
// IMI = 100 * 20 / 30 = 66.666...
|
||||
double expected = 100.0 * 20.0 / 30.0;
|
||||
Assert.Equal(expected, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Bar Correction Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_BarCorrection_RestoresPreviousState()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Fill initial data
|
||||
imi.Update(new TBar(baseTime, 100, 105, 95, 103, 1000));
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 105, 95, 104, 1000));
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 105, 95, 105, 1000));
|
||||
|
||||
// Add new bar (up)
|
||||
imi.Update(new TBar(baseTime + 180000, 100, 107, 99, 106, 1000), isNew: true);
|
||||
double valueAfterNew = imi.Last.Value;
|
||||
|
||||
// Correct the bar (now down)
|
||||
imi.Update(new TBar(baseTime + 180000, 106, 107, 93, 94, 1000), isNew: false);
|
||||
double valueAfterCorrection = imi.Last.Value;
|
||||
|
||||
// Values should differ based on the correction
|
||||
Assert.NotEqual(valueAfterNew, valueAfterCorrection);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_MultipleCorrections_ProduceConsistentResults()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Fill buffer
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
// New bar
|
||||
imi.Update(new TBar(baseTime + 3 * 60000, 100, 110, 99, 108, 1000), isNew: true);
|
||||
double firstValue = imi.Last.Value;
|
||||
|
||||
// Correction 1
|
||||
imi.Update(new TBar(baseTime + 3 * 60000, 100, 115, 99, 92, 1000), isNew: false);
|
||||
|
||||
// Correction 2 - same as first new bar
|
||||
imi.Update(new TBar(baseTime + 3 * 60000, 100, 110, 99, 108, 1000), isNew: false);
|
||||
double secondValue = imi.Last.Value;
|
||||
|
||||
Assert.Equal(firstValue, secondValue, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region NaN/Infinity Handling Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_NaNOpen_KeepsPreviousValue()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
imi.Update(new TBar(baseTime, 100, 105, 95, 103, 1000));
|
||||
double validValue = imi.Last.Value;
|
||||
|
||||
imi.Update(new TBar(baseTime + 60000, double.NaN, 110, 99, 108, 1000));
|
||||
|
||||
Assert.Equal(validValue, imi.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_NaNClose_KeepsPreviousValue()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
imi.Update(new TBar(baseTime, 100, 105, 95, 103, 1000));
|
||||
double validValue = imi.Last.Value;
|
||||
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 110, 99, double.NaN, 1000));
|
||||
|
||||
Assert.Equal(validValue, imi.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_InfinityValues_KeepsPreviousValue()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
imi.Update(new TBar(baseTime, 100, 105, 95, 103, 1000));
|
||||
double validValue = imi.Last.Value;
|
||||
|
||||
imi.Update(new TBar(baseTime + 60000, double.PositiveInfinity, 110, 99, 108, 1000));
|
||||
|
||||
Assert.Equal(validValue, imi.Last.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Reset Tests
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsState()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 110, 99, 108, 1000));
|
||||
}
|
||||
|
||||
Assert.True(imi.IsHot);
|
||||
|
||||
imi.Reset();
|
||||
|
||||
Assert.False(imi.IsHot);
|
||||
Assert.Equal(0, imi.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_AllowsFreshStart()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// All up bars
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 110, 99, 108, 1000));
|
||||
}
|
||||
Assert.Equal(100.0, imi.Last.Value, Precision);
|
||||
|
||||
imi.Reset();
|
||||
|
||||
// All down bars
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
imi.Update(new TBar(baseTime + i * 60000, 108, 110, 99, 100, 1000));
|
||||
}
|
||||
Assert.Equal(0.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Prime Tests
|
||||
|
||||
[Fact]
|
||||
public void Prime_FillsBuffer()
|
||||
{
|
||||
var imi = new Imi(5);
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 110, 99, 108, 1000));
|
||||
}
|
||||
|
||||
imi.Prime(source);
|
||||
|
||||
Assert.True(imi.IsHot);
|
||||
Assert.Equal(100.0, imi.Last.Value, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Batch Tests
|
||||
|
||||
[Fact]
|
||||
public void Batch_ReturnsSeriesOfCorrectLength()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100 + i, 110 + i, 90 + i, 105 + i, 1000));
|
||||
}
|
||||
|
||||
var result = Imi.Batch(source);
|
||||
|
||||
Assert.Equal(20, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_EmptySource_ReturnsEmpty()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
var result = Imi.Batch(source);
|
||||
|
||||
Assert.Empty(result);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_CustomPeriod_AppliesCorrectly()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 110, 99, 108, 1000));
|
||||
}
|
||||
|
||||
var result = Imi.Batch(source, 5);
|
||||
|
||||
Assert.Equal(20, result.Count);
|
||||
Assert.Equal(100.0, result[^1].Value, Precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsBothResultsAndIndicator()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 110, 99, 108, 1000));
|
||||
}
|
||||
|
||||
var (results, indicator) = Imi.Calculate(source, 10);
|
||||
|
||||
Assert.Equal(20, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.Equal(10, indicator.Period);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Event Publishing Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_PublishesEvent()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
int eventCount = 0;
|
||||
imi.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
|
||||
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 105, 1000));
|
||||
|
||||
Assert.Equal(1, eventCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_EventContainsCorrectValue()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
TValue? receivedValue = null;
|
||||
imi.Pub += (object? sender, in TValueEventArgs args) => receivedValue = args.Value;
|
||||
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
imi.Update(new TBar(baseTime, 100, 110, 99, 110, 1000));
|
||||
|
||||
Assert.NotNull(receivedValue);
|
||||
Assert.Equal(imi.Last.Value, receivedValue.Value.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region GBM Random Data Test
|
||||
|
||||
[Fact]
|
||||
public void Update_GbmData_ReturnsValueInRange()
|
||||
{
|
||||
var imi = new Imi(14);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
var random = new Random(42);
|
||||
|
||||
double price = 100.0;
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
double change = (random.NextDouble() - 0.5) * 4;
|
||||
double open = price;
|
||||
double high = Math.Max(open, open + Math.Abs(change) + random.NextDouble() * 2);
|
||||
double low = Math.Min(open, open - Math.Abs(change) - random.NextDouble() * 2);
|
||||
double close = open + change;
|
||||
|
||||
imi.Update(new TBar(baseTime + i * 60000, open, high, low, close, 1000));
|
||||
price = close;
|
||||
|
||||
// IMI should always be in [0, 100]
|
||||
Assert.InRange(imi.Last.Value, 0.0, 100.0);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,332 @@
|
||||
using System;
|
||||
using Xunit;
|
||||
using Xunit.Abstractions;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// Validation tests for IMI (Intraday Momentum Index) implementation.
|
||||
/// These tests validate the calculation against the published formula by Tushar Chande:
|
||||
/// IMI = 100 × Sum(Gains) / (Sum(Gains) + Sum(Losses))
|
||||
/// where Gain = Close - Open if Close > Open, else 0
|
||||
/// and Loss = Open - Close if Close < Open, else 0
|
||||
/// </summary>
|
||||
public sealed class ImiValidationTests : IDisposable
|
||||
{
|
||||
private readonly ITestOutputHelper _output;
|
||||
|
||||
public ImiValidationTests(ITestOutputHelper output)
|
||||
{
|
||||
_output = output;
|
||||
}
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
// Cleanup if needed
|
||||
}
|
||||
|
||||
#region Manual Calculation Verification
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_SimpleUpBars()
|
||||
{
|
||||
// Given 3 up bars with known gains
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bar 1: Open=100, Close=105 → Gain=5
|
||||
imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000));
|
||||
|
||||
// Bar 2: Open=105, Close=108 → Gain=3
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 110, 104, 108, 1000));
|
||||
|
||||
// Bar 3: Open=108, Close=110 → Gain=2
|
||||
imi.Update(new TBar(baseTime + 120000, 108, 112, 107, 110, 1000));
|
||||
|
||||
// Total gains = 5 + 3 + 2 = 10
|
||||
// Total losses = 0
|
||||
// IMI = 100 × 10 / (10 + 0) = 100
|
||||
|
||||
Assert.Equal(100.0, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine($"Gains: 5 + 3 + 2 = 10");
|
||||
_output.WriteLine($"Losses: 0");
|
||||
_output.WriteLine($"IMI = 100 × 10 / 10 = {imi.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_SimpleDownBars()
|
||||
{
|
||||
// Given 3 down bars with known losses
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bar 1: Open=105, Close=100 → Loss=5
|
||||
imi.Update(new TBar(baseTime, 105, 108, 98, 100, 1000));
|
||||
|
||||
// Bar 2: Open=100, Close=97 → Loss=3
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 102, 95, 97, 1000));
|
||||
|
||||
// Bar 3: Open=97, Close=95 → Loss=2
|
||||
imi.Update(new TBar(baseTime + 120000, 97, 99, 93, 95, 1000));
|
||||
|
||||
// Total gains = 0
|
||||
// Total losses = 5 + 3 + 2 = 10
|
||||
// IMI = 100 × 0 / (0 + 10) = 0
|
||||
|
||||
Assert.Equal(0.0, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine($"Gains: 0");
|
||||
_output.WriteLine($"Losses: 5 + 3 + 2 = 10");
|
||||
_output.WriteLine($"IMI = 100 × 0 / 10 = {imi.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ManualCalculation_MixedBars()
|
||||
{
|
||||
// Given a mix of up and down bars
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bar 1: Open=100, Close=106 → Gain=6
|
||||
imi.Update(new TBar(baseTime, 100, 108, 98, 106, 1000));
|
||||
|
||||
// Bar 2: Open=106, Close=102 → Loss=4
|
||||
imi.Update(new TBar(baseTime + 60000, 106, 108, 100, 102, 1000));
|
||||
|
||||
// Bar 3: Open=102, Close=105 → Gain=3
|
||||
imi.Update(new TBar(baseTime + 120000, 102, 107, 101, 105, 1000));
|
||||
|
||||
// Bar 4: Open=105, Close=105 → Doji (Gain=0, Loss=0)
|
||||
imi.Update(new TBar(baseTime + 180000, 105, 108, 102, 105, 1000));
|
||||
|
||||
// Bar 5: Open=105, Close=103 → Loss=2
|
||||
imi.Update(new TBar(baseTime + 240000, 105, 107, 101, 103, 1000));
|
||||
|
||||
// Total gains = 6 + 3 = 9
|
||||
// Total losses = 4 + 2 = 6
|
||||
// IMI = 100 × 9 / (9 + 6) = 100 × 9 / 15 = 60
|
||||
|
||||
double expected = 100.0 * 9.0 / 15.0;
|
||||
Assert.Equal(expected, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine($"Gains: 6 + 0 + 3 + 0 + 0 = 9");
|
||||
_output.WriteLine($"Losses: 0 + 4 + 0 + 0 + 2 = 6");
|
||||
_output.WriteLine($"IMI = 100 × 9 / 15 = {expected}");
|
||||
_output.WriteLine($"Actual: {imi.Last.Value}");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Rolling Window Validation
|
||||
|
||||
[Fact]
|
||||
public void RollingWindow_DropsOldestValue()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Fill with 3 up bars (gains: 5, 5, 5)
|
||||
imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 108, 98, 105, 1000)); // +5
|
||||
|
||||
Assert.Equal(100.0, imi.Last.Value, 1e-10);
|
||||
|
||||
// Add a down bar (loss: 5) - oldest gain (5) drops off
|
||||
imi.Update(new TBar(baseTime + 180000, 105, 108, 98, 100, 1000)); // -5
|
||||
|
||||
// Now: gains = 5 + 5 = 10, losses = 5
|
||||
// IMI = 100 × 10 / 15 = 66.666...
|
||||
double expected = 100.0 * 10.0 / 15.0;
|
||||
Assert.Equal(expected, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine($"After 4th bar:");
|
||||
_output.WriteLine($" Window: [+5, +5, -5]");
|
||||
_output.WriteLine($" Gains: 5 + 5 = 10");
|
||||
_output.WriteLine($" Losses: 5");
|
||||
_output.WriteLine($" IMI = {expected}");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Edge Case Validation
|
||||
|
||||
[Fact]
|
||||
public void EdgeCase_AllDojiBars_Returns50()
|
||||
{
|
||||
// When all bars are doji (Open == Close), IMI should be 50 (neutral)
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
// Doji: Open == Close
|
||||
imi.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 100, 1000));
|
||||
}
|
||||
|
||||
Assert.Equal(50.0, imi.Last.Value, 1e-10);
|
||||
_output.WriteLine("All doji bars (O==C) → IMI = 50 (neutral)");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EdgeCase_VerySmallMovements()
|
||||
{
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Very small gains
|
||||
imi.Update(new TBar(baseTime, 100.0, 100.1, 99.9, 100.0001, 1000));
|
||||
imi.Update(new TBar(baseTime + 60000, 100.0, 100.1, 99.9, 100.0002, 1000));
|
||||
imi.Update(new TBar(baseTime + 120000, 100.0, 100.1, 99.9, 100.0003, 1000));
|
||||
|
||||
// All are tiny up bars, should still be 100
|
||||
Assert.Equal(100.0, imi.Last.Value, 1e-10);
|
||||
_output.WriteLine($"Very small gains still → IMI = {imi.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EdgeCase_Period1()
|
||||
{
|
||||
// With period 1, each bar is its own calculation
|
||||
var imi = new Imi(1);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Up bar
|
||||
imi.Update(new TBar(baseTime, 100, 110, 95, 108, 1000));
|
||||
Assert.Equal(100.0, imi.Last.Value, 1e-10);
|
||||
|
||||
// Down bar
|
||||
imi.Update(new TBar(baseTime + 60000, 108, 110, 95, 100, 1000));
|
||||
Assert.Equal(0.0, imi.Last.Value, 1e-10);
|
||||
|
||||
// Doji
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 105, 95, 100, 1000));
|
||||
Assert.Equal(50.0, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine("Period=1: Each bar → immediate IMI response");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Investopedia Example Validation
|
||||
|
||||
[Fact]
|
||||
public void InvestopediaFormula_MatchesDefinition()
|
||||
{
|
||||
// Validate against Investopedia formula:
|
||||
// IMI = (Sum of Up Closes / (Sum of Up Closes + Sum of Down Closes)) × 100
|
||||
// Where Up Close = Close - Open when Close > Open
|
||||
|
||||
var imi = new Imi(4);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Day 1: Close > Open (Up day: +3)
|
||||
imi.Update(new TBar(baseTime, 50, 54, 49, 53, 1000));
|
||||
|
||||
// Day 2: Close < Open (Down day: -2)
|
||||
imi.Update(new TBar(baseTime + 86400000, 53, 54, 50, 51, 1000));
|
||||
|
||||
// Day 3: Close > Open (Up day: +4)
|
||||
imi.Update(new TBar(baseTime + 172800000, 51, 56, 50, 55, 1000));
|
||||
|
||||
// Day 4: Close > Open (Up day: +1)
|
||||
imi.Update(new TBar(baseTime + 259200000, 55, 57, 54, 56, 1000));
|
||||
|
||||
// Sum of Up Closes = 3 + 4 + 1 = 8
|
||||
// Sum of Down Closes = 2
|
||||
// IMI = 100 × 8 / (8 + 2) = 80
|
||||
|
||||
double expected = 100.0 * 8.0 / 10.0;
|
||||
Assert.Equal(expected, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine("Investopedia formula validation:");
|
||||
_output.WriteLine($" Up gains: 3 + 4 + 1 = 8");
|
||||
_output.WriteLine($" Down losses: 2");
|
||||
_output.WriteLine($" IMI = 100 × 8 / 10 = {expected}");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Comparison with RSI Concept
|
||||
|
||||
[Fact]
|
||||
public void ImiVsRsiConcept_UsesIntradayNotInterday()
|
||||
{
|
||||
// IMI differs from RSI in that it uses Open-to-Close (intraday)
|
||||
// rather than Close-to-Close (interday)
|
||||
|
||||
var imi = new Imi(3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Bar 1: Open=100, Close=105 (up bar, +5)
|
||||
// Bar 2: Open=110, Close=108 (down bar, -2)
|
||||
// Note: This is up from prev close (105→108) but down intraday!
|
||||
// Bar 3: Open=105, Close=110 (up bar, +5)
|
||||
|
||||
imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000));
|
||||
imi.Update(new TBar(baseTime + 60000, 110, 112, 106, 108, 1000)); // Intraday down
|
||||
imi.Update(new TBar(baseTime + 120000, 105, 112, 104, 110, 1000));
|
||||
|
||||
// Gains = 5 + 5 = 10
|
||||
// Losses = 2
|
||||
// IMI = 100 × 10 / 12 = 83.333...
|
||||
|
||||
double expected = 100.0 * 10.0 / 12.0;
|
||||
Assert.Equal(expected, imi.Last.Value, 1e-10);
|
||||
|
||||
_output.WriteLine("IMI uses Open-to-Close (intraday), not Close-to-Close (interday)");
|
||||
_output.WriteLine($"Bar 2: Opens at 110, closes at 108 → DOWN day for IMI");
|
||||
_output.WriteLine($"IMI = {imi.Last.Value:F4}");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Overbought/Oversold Levels
|
||||
|
||||
[Fact]
|
||||
public void OverboughtLevel_Above70()
|
||||
{
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create scenario with IMI > 70 (overbought)
|
||||
// Need gains > 2.33 × losses for IMI > 70
|
||||
// 4 up bars (+5 each), 1 down bar (-3)
|
||||
// Gains = 20, Losses = 3
|
||||
// IMI = 100 × 20/23 = 86.96
|
||||
|
||||
imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 60000, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 120000, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 180000, 100, 108, 98, 105, 1000)); // +5
|
||||
imi.Update(new TBar(baseTime + 240000, 100, 102, 95, 97, 1000)); // -3
|
||||
|
||||
Assert.True(imi.Last.Value > 70);
|
||||
_output.WriteLine($"Overbought (>70): IMI = {imi.Last.Value:F2}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void OversoldLevel_Below30()
|
||||
{
|
||||
var imi = new Imi(5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create scenario with IMI < 30 (oversold)
|
||||
// Need losses > 2.33 × gains for IMI < 30
|
||||
// 4 down bars (-5 each), 1 up bar (+3)
|
||||
// Gains = 3, Losses = 20
|
||||
// IMI = 100 × 3/23 = 13.04
|
||||
|
||||
imi.Update(new TBar(baseTime, 105, 108, 98, 100, 1000)); // -5
|
||||
imi.Update(new TBar(baseTime + 60000, 105, 108, 98, 100, 1000)); // -5
|
||||
imi.Update(new TBar(baseTime + 120000, 105, 108, 98, 100, 1000)); // -5
|
||||
imi.Update(new TBar(baseTime + 180000, 105, 108, 98, 100, 1000)); // -5
|
||||
imi.Update(new TBar(baseTime + 240000, 100, 108, 98, 103, 1000)); // +3
|
||||
|
||||
Assert.True(imi.Last.Value < 30);
|
||||
_output.WriteLine($"Oversold (<30): IMI = {imi.Last.Value:F2}");
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,251 @@
|
||||
// IMI: Intraday Momentum Index
|
||||
// Developed by Tushar Chande
|
||||
// Combines candlestick analysis with RSI-like calculation
|
||||
// Uses gain/loss based on intraday Open-Close relationship
|
||||
|
||||
using System.Runtime.CompilerServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// IMI: Intraday Momentum Index
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// A technical indicator developed by Tushar Chande that combines candlestick analysis
|
||||
/// with RSI-like overbought/oversold signals. Unlike RSI which uses close-to-close changes,
|
||||
/// IMI uses the relationship between each bar's open and close prices.
|
||||
///
|
||||
/// Calculation:
|
||||
/// <c>Gain = Close - Open (when Close > Open, otherwise 0)</c>
|
||||
/// <c>Loss = Open - Close (when Close < Open, otherwise 0)</c>
|
||||
/// <c>IMI = 100 × Sum(Gains, n) / (Sum(Gains, n) + Sum(Losses, n))</c>
|
||||
///
|
||||
/// Key Levels:
|
||||
/// - Above 70: Overbought condition
|
||||
/// - Below 30: Oversold condition
|
||||
/// - 50: Neutral (equal up and down momentum)
|
||||
///
|
||||
/// Sources:
|
||||
/// - Investopedia: https://www.investopedia.com/terms/i/intraday-momentum-index-imi.asp
|
||||
/// - CQG: https://help.cqg.com/cqgic/25/Documents/intradaymomentumindeximi.htm
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Imi : ITValuePublisher
|
||||
{
|
||||
private readonly int _period;
|
||||
private readonly RingBuffer _gains;
|
||||
private readonly RingBuffer _losses;
|
||||
|
||||
// Rolling sums for O(1) updates
|
||||
private double _gainSum;
|
||||
private double _lossSum;
|
||||
|
||||
// Bar correction state
|
||||
private double _savedGainSum;
|
||||
private double _savedLossSum;
|
||||
|
||||
/// <summary>
|
||||
/// Display name for the indicator.
|
||||
/// </summary>
|
||||
public string Name { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Event publisher for value updates.
|
||||
/// </summary>
|
||||
public event TValuePublishedHandler? Pub;
|
||||
|
||||
/// <summary>
|
||||
/// Current IMI value.
|
||||
/// </summary>
|
||||
public TValue Last { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True if the indicator has enough data for a full period calculation.
|
||||
/// </summary>
|
||||
public bool IsHot => _gains.IsFull;
|
||||
|
||||
/// <summary>
|
||||
/// The period parameter.
|
||||
/// </summary>
|
||||
public int Period => _period;
|
||||
|
||||
/// <summary>
|
||||
/// The number of bars required for the indicator to warm up.
|
||||
/// </summary>
|
||||
public int WarmupPeriod { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Creates IMI indicator with specified period.
|
||||
/// </summary>
|
||||
/// <param name="period">Lookback period (must be >= 1)</param>
|
||||
public Imi(int period = 14)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be at least 1", nameof(period));
|
||||
}
|
||||
|
||||
_period = period;
|
||||
Name = $"IMI({period})";
|
||||
WarmupPeriod = period;
|
||||
|
||||
_gains = new RingBuffer(period);
|
||||
_losses = new RingBuffer(period);
|
||||
|
||||
_gainSum = 0.0;
|
||||
_lossSum = 0.0;
|
||||
_savedGainSum = 0.0;
|
||||
_savedLossSum = 0.0;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Resets the indicator state.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public void Reset()
|
||||
{
|
||||
_gains.Clear();
|
||||
_losses.Clear();
|
||||
_gainSum = 0.0;
|
||||
_lossSum = 0.0;
|
||||
_savedGainSum = 0.0;
|
||||
_savedLossSum = 0.0;
|
||||
Last = default;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void PubEvent(TValue value, bool isNew = true) =>
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
|
||||
|
||||
/// <summary>
|
||||
/// Updates the IMI indicator with a new bar.
|
||||
/// </summary>
|
||||
/// <param name="input">The price bar (Open, Close required)</param>
|
||||
/// <param name="isNew">True for new bar, false for update of current bar</param>
|
||||
/// <returns>The current IMI value</returns>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TBar input, bool isNew = true)
|
||||
{
|
||||
double open = input.Open;
|
||||
double close = input.Close;
|
||||
|
||||
// Handle NaN/Infinity inputs
|
||||
if (!double.IsFinite(open) || !double.IsFinite(close))
|
||||
{
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
// Save state for potential correction
|
||||
_savedGainSum = _gainSum;
|
||||
_savedLossSum = _lossSum;
|
||||
}
|
||||
else
|
||||
{
|
||||
// Restore state for correction
|
||||
_gainSum = _savedGainSum;
|
||||
_lossSum = _savedLossSum;
|
||||
}
|
||||
|
||||
// Calculate gain and loss for this bar
|
||||
double gain = 0.0;
|
||||
double loss = 0.0;
|
||||
|
||||
if (close > open)
|
||||
{
|
||||
gain = close - open;
|
||||
}
|
||||
else if (close < open)
|
||||
{
|
||||
loss = open - close;
|
||||
}
|
||||
// When close == open, both gain and loss remain 0
|
||||
|
||||
// Update rolling sums: subtract old value if buffer is full
|
||||
if (_gains.IsFull)
|
||||
{
|
||||
_gainSum -= _gains[0];
|
||||
_lossSum -= _losses[0];
|
||||
}
|
||||
|
||||
// Add new values to buffers
|
||||
_gains.Add(gain, isNew);
|
||||
_losses.Add(loss, isNew);
|
||||
_gainSum += gain;
|
||||
_lossSum += loss;
|
||||
|
||||
// Calculate IMI
|
||||
double total = _gainSum + _lossSum;
|
||||
double imi = total > 0 ? 100.0 * _gainSum / total : 50.0;
|
||||
|
||||
Last = new TValue(input.Time, imi);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates IMI for the entire bar series.
|
||||
/// </summary>
|
||||
public TSeries Update(TBarSeries source)
|
||||
{
|
||||
if (source.Count == 0)
|
||||
{
|
||||
return new TSeries([], []);
|
||||
}
|
||||
|
||||
int len = source.Count;
|
||||
var tList = new List<long>(len);
|
||||
var vList = new List<double>(len);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
var bar = source[i];
|
||||
Update(bar, isNew: true);
|
||||
tList.Add(bar.Time);
|
||||
vList.Add(Last.Value);
|
||||
}
|
||||
|
||||
return new TSeries(tList, vList);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primes the indicator with historical bar data.
|
||||
/// </summary>
|
||||
public void Prime(TBarSeries source)
|
||||
{
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Update(source[i], isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates IMI for the entire bar series using default parameters.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TBarSeries source)
|
||||
{
|
||||
var imi = new Imi();
|
||||
return imi.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates IMI for the entire bar series using custom period.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TBarSeries source, int period)
|
||||
{
|
||||
var imi = new Imi(period);
|
||||
return imi.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates IMI and returns both results and the warm indicator.
|
||||
/// </summary>
|
||||
public static (TSeries Results, Imi Indicator) Calculate(TBarSeries source, int period = 14)
|
||||
{
|
||||
var imi = new Imi(period);
|
||||
var results = imi.Update(source);
|
||||
return (results, imi);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,114 @@
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class TtmSqueezeIndicatorTests
|
||||
{
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_Constructor_SetsDefaults()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator();
|
||||
|
||||
Assert.Equal(20, indicator.BbPeriod);
|
||||
Assert.Equal(2.0, indicator.BbMult);
|
||||
Assert.Equal(20, indicator.KcPeriod);
|
||||
Assert.Equal(1.5, indicator.KcMult);
|
||||
Assert.Equal(20, indicator.MomPeriod);
|
||||
Assert.True(indicator.ShowColdValues);
|
||||
Assert.Equal("TTM Squeeze", indicator.Name);
|
||||
Assert.True(indicator.SeparateWindow);
|
||||
Assert.True(indicator.OnBackGround);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_MinHistoryDepths_EqualsZero()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator { BbPeriod = 20 };
|
||||
|
||||
Assert.Equal(0, TtmSqueezeIndicator.MinHistoryDepths);
|
||||
IWatchlistIndicator watchlistIndicator = indicator;
|
||||
Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_ShortName_IncludesParameters()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator
|
||||
{
|
||||
BbPeriod = 15,
|
||||
BbMult = 1.5,
|
||||
KcPeriod = 10,
|
||||
KcMult = 2.0,
|
||||
MomPeriod = 25
|
||||
};
|
||||
indicator.Initialize();
|
||||
|
||||
Assert.Contains("TTM_SQZ", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("15", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("10", indicator.ShortName, StringComparison.Ordinal);
|
||||
Assert.Contains("25", indicator.ShortName, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_SourceCodeLink_IsValid()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator();
|
||||
|
||||
Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
Assert.Contains("TtmSqueeze.Quantower.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_Initialize_CreatesInternalSqueeze()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator
|
||||
{
|
||||
BbPeriod = 14,
|
||||
KcPeriod = 14,
|
||||
MomPeriod = 14
|
||||
};
|
||||
|
||||
// Initialize should not throw
|
||||
indicator.Initialize();
|
||||
|
||||
// After init, line series should exist (momentum + squeeze)
|
||||
Assert.Equal(2, indicator.LinesSeries.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator
|
||||
{
|
||||
BbPeriod = 5,
|
||||
KcPeriod = 5,
|
||||
MomPeriod = 5
|
||||
};
|
||||
indicator.Initialize();
|
||||
|
||||
// Add historical data
|
||||
var now = DateTime.UtcNow;
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
|
||||
|
||||
var args = new UpdateArgs(UpdateReason.HistoricalBar);
|
||||
indicator.ProcessUpdate(args);
|
||||
}
|
||||
|
||||
// Line series should have a value
|
||||
double momentum = indicator.LinesSeries[0].GetValue(0);
|
||||
|
||||
Assert.True(double.IsFinite(momentum));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TtmSqueezeIndicator_TwoLineSeries_Exist()
|
||||
{
|
||||
var indicator = new TtmSqueezeIndicator();
|
||||
indicator.Initialize();
|
||||
|
||||
// Should have momentum + squeeze dot series
|
||||
Assert.Equal(2, indicator.LinesSeries.Count);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,99 @@
|
||||
using System.Drawing;
|
||||
using System.Runtime.CompilerServices;
|
||||
using TradingPlatform.BusinessLayer;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// TTM Squeeze: Volatility Breakout Indicator - Quantower Indicator Adapter
|
||||
/// Combines Bollinger Bands and Keltner Channels to identify squeeze conditions.
|
||||
/// Momentum histogram shows price deviation from donchian midline.
|
||||
/// </summary>
|
||||
[SkipLocalsInit]
|
||||
public sealed class TtmSqueezeIndicator : Indicator, IWatchlistIndicator
|
||||
{
|
||||
[InputParameter("BB Period", sortIndex: 1, 2, 200, 1, 0)]
|
||||
public int BbPeriod { get; set; } = 20;
|
||||
|
||||
[InputParameter("BB Multiplier", sortIndex: 2, 0.1, 10.0, 0.1, 1)]
|
||||
public double BbMult { get; set; } = 2.0;
|
||||
|
||||
[InputParameter("KC Period", sortIndex: 3, 1, 200, 1, 0)]
|
||||
public int KcPeriod { get; set; } = 20;
|
||||
|
||||
[InputParameter("KC Multiplier", sortIndex: 4, 0.1, 10.0, 0.1, 1)]
|
||||
public double KcMult { get; set; } = 1.5;
|
||||
|
||||
[InputParameter("Momentum Period", sortIndex: 5, 2, 200, 1, 0)]
|
||||
public int MomPeriod { get; set; } = 20;
|
||||
|
||||
[InputParameter("Show cold values", sortIndex: 21)]
|
||||
public bool ShowColdValues { get; set; } = true;
|
||||
|
||||
public static int MinHistoryDepths => 0;
|
||||
int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
|
||||
|
||||
private TtmSqueeze _squeeze = null!;
|
||||
private readonly LineSeries _momentumSeries;
|
||||
private readonly LineSeries _squeezeOnSeries;
|
||||
|
||||
public override string ShortName => $"TTM_SQZ({BbPeriod},{BbMult:F1},{KcPeriod},{KcMult:F1},{MomPeriod})";
|
||||
public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/dynamics/ttm_squeeze/TtmSqueeze.Quantower.cs";
|
||||
|
||||
public TtmSqueezeIndicator()
|
||||
{
|
||||
Name = "TTM Squeeze";
|
||||
Description = "John Carter's volatility breakout indicator combining Bollinger Bands and Keltner Channels";
|
||||
SeparateWindow = true;
|
||||
OnBackGround = true;
|
||||
|
||||
_momentumSeries = new LineSeries("Momentum", Color.Cyan, 2, LineStyle.Histogramm);
|
||||
_squeezeOnSeries = new LineSeries("Squeeze", Color.Red, 4, LineStyle.Dot);
|
||||
|
||||
AddLineSeries(_momentumSeries);
|
||||
AddLineSeries(_squeezeOnSeries);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void OnInit()
|
||||
{
|
||||
_squeeze = new TtmSqueeze(BbPeriod, BbMult, KcPeriod, KcMult, MomPeriod);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
protected override void OnUpdate(UpdateArgs args)
|
||||
{
|
||||
TBar bar = this.GetInputBar(args);
|
||||
bool isNew = args.Reason != UpdateReason.NewTick;
|
||||
|
||||
TValue result = _squeeze.Update(bar, isNew);
|
||||
|
||||
if (!ShowColdValues && !_squeeze.IsHot)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
int offset = args.Reason == UpdateReason.HistoricalBar ? 0 : -1;
|
||||
|
||||
// Set momentum histogram with color coding
|
||||
_momentumSeries.SetValue(result.Value, offset);
|
||||
|
||||
// Set momentum color based on direction and sign
|
||||
Color momentumColor = _squeeze.ColorCode switch
|
||||
{
|
||||
0 => Color.Cyan, // Rising above zero
|
||||
1 => Color.Blue, // Falling above zero
|
||||
2 => Color.Red, // Falling below zero
|
||||
3 => Color.Yellow, // Rising below zero
|
||||
_ => Color.Cyan
|
||||
};
|
||||
_momentumSeries.SetMarker(offset, momentumColor);
|
||||
|
||||
// Set squeeze indicator - dot at zero line
|
||||
_squeezeOnSeries.SetValue(0, offset);
|
||||
|
||||
// Red dot = squeeze on, Green dot = squeeze off
|
||||
Color squeezeColor = _squeeze.SqueezeOn ? Color.Red : Color.Green;
|
||||
_squeezeOnSeries.SetMarker(offset, squeezeColor);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,526 @@
|
||||
using System;
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class TtmSqueezeTests
|
||||
{
|
||||
private const double Precision = 1e-10;
|
||||
|
||||
#region Constructor Tests
|
||||
|
||||
[Fact]
|
||||
public void Constructor_DefaultParameters_AreCorrect()
|
||||
{
|
||||
var squeeze = new TtmSqueeze();
|
||||
Assert.Equal(20, squeeze.BbPeriod);
|
||||
Assert.Equal(20, squeeze.KcPeriod);
|
||||
Assert.Equal(20, squeeze.MomPeriod);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_CustomParameters_AreSet()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 15, bbMult: 1.5, kcPeriod: 10, kcMult: 2.0, momPeriod: 25);
|
||||
Assert.Equal(15, squeeze.BbPeriod);
|
||||
Assert.Equal(10, squeeze.KcPeriod);
|
||||
Assert.Equal(25, squeeze.MomPeriod);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidBbPeriod_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new TtmSqueeze(bbPeriod: 1));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidKcPeriod_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new TtmSqueeze(kcPeriod: 0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidMomPeriod_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new TtmSqueeze(momPeriod: 1));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidBbMult_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new TtmSqueeze(bbMult: 0));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidKcMult_Throws()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new TtmSqueeze(kcMult: -1));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Name_IncludesAllParameters()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(15, 1.5, 10, 2.0, 25);
|
||||
Assert.Contains("15", squeeze.Name, StringComparison.Ordinal);
|
||||
Assert.Contains("1.5", squeeze.Name, StringComparison.Ordinal);
|
||||
Assert.Contains("10", squeeze.Name, StringComparison.Ordinal);
|
||||
Assert.Contains("2.0", squeeze.Name, StringComparison.Ordinal);
|
||||
Assert.Contains("25", squeeze.Name, StringComparison.Ordinal);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WarmupPeriod_IsMaxOfPeriods()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 15, bbMult: 2.0, kcPeriod: 10, kcMult: 1.5, momPeriod: 25);
|
||||
Assert.Equal(25, squeeze.WarmupPeriod);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region IsHot Tests
|
||||
|
||||
[Fact]
|
||||
public void IsHot_BeforeWarmup_ReturnsFalse()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 4; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
Assert.False(squeeze.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsHot_AfterWarmup_ReturnsTrue()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
Assert.True(squeeze.IsHot);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Squeeze Detection Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_LowVolatility_SqueezeOn()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Low volatility: tight range bars
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100.5, 99.5, 100, 1000));
|
||||
}
|
||||
|
||||
// With tight range (0.5 from mid), low stddev means BB should be tighter
|
||||
// This should trigger squeeze on
|
||||
// Note: May need specific values depending on implementation
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_HighVolatility_SqueezeOff()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// High volatility: wide range bars
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double offset = (i % 2 == 0) ? 10 : -10;
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 110 + offset, 90 + offset, 100 + offset, 1000));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_SqueezeFired_DetectedOnTransition()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Start with tight range (likely squeeze on)
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100.1, 99.9, 100, 1000));
|
||||
}
|
||||
|
||||
// Sudden volatility expansion (removed unused initialSqueezeOn variable)
|
||||
squeeze.Update(new TBar(baseTime + 5 * 60000, 100, 120, 80, 115, 1000));
|
||||
|
||||
// The squeeze state should have changed
|
||||
// (The exact behavior depends on the calculation)
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Momentum Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_PriceAboveMidline_PositiveMomentum()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Prices consistently above the donchian midline
|
||||
squeeze.Update(new TBar(baseTime, 100, 102, 98, 101, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 60000, 101, 103, 99, 102, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 120000, 102, 104, 100, 103, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 180000, 103, 106, 101, 105, 1000));
|
||||
|
||||
// With rising prices, momentum should be positive
|
||||
Assert.True(squeeze.MomentumPositive);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_PriceBelowMidline_NegativeMomentum()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Prices consistently below the donchian midline
|
||||
squeeze.Update(new TBar(baseTime, 100, 102, 98, 99, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 60000, 99, 101, 97, 98, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 120000, 98, 100, 96, 97, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 180000, 97, 99, 95, 96, 1000));
|
||||
|
||||
// With falling prices, momentum should be negative
|
||||
Assert.False(squeeze.MomentumPositive);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_RisingMomentum_Detected()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Flat then accelerating up
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 101, 99, 100, 1000));
|
||||
}
|
||||
|
||||
// Strong up move
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 100, 115, 99, 112, 1000));
|
||||
squeeze.Update(new TBar(baseTime + 4 * 60000, 112, 125, 110, 122, 1000));
|
||||
|
||||
Assert.True(squeeze.MomentumRising);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Color Coding Tests
|
||||
|
||||
[Fact]
|
||||
public void ColorCode_RisingAboveZero_IsCyan()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Strong uptrend with rising momentum
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 + i * 2, 105 + i * 2, 98 + i * 2, 103 + i * 2, 1000));
|
||||
}
|
||||
|
||||
// Should be MomentumPositive and MomentumRising = ColorCode 0 (Cyan)
|
||||
if (squeeze.MomentumPositive && squeeze.MomentumRising)
|
||||
{
|
||||
Assert.Equal(0, squeeze.ColorCode);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ColorCode_FallingBelowZero_IsRed()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Strong downtrend with falling momentum
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 - i * 2, 102 - i * 2, 95 - i * 2, 97 - i * 2, 1000));
|
||||
}
|
||||
|
||||
// Should be !MomentumPositive and !MomentumRising = ColorCode 2 (Red)
|
||||
if (!squeeze.MomentumPositive && !squeeze.MomentumRising)
|
||||
{
|
||||
Assert.Equal(2, squeeze.ColorCode);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Bar Correction Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_BarCorrection_RestoresPreviousState()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
// Add new bar
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 100, 110, 98, 108, 1000), isNew: true);
|
||||
double valueAfterNew = squeeze.Momentum.Value;
|
||||
|
||||
// Correct the bar with different data
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 108, 112, 105, 92, 1000), isNew: false);
|
||||
double valueAfterCorrection = squeeze.Momentum.Value;
|
||||
|
||||
Assert.NotEqual(valueAfterNew, valueAfterCorrection);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_MultipleCorrections_ProduceConsistentResults()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
// New bar
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 100, 110, 98, 108, 1000), isNew: true);
|
||||
double firstValue = squeeze.Momentum.Value;
|
||||
|
||||
// Correction 1
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 108, 115, 105, 90, 1000), isNew: false);
|
||||
|
||||
// Correction 2 - same as first new bar
|
||||
squeeze.Update(new TBar(baseTime + 3 * 60000, 100, 110, 98, 108, 1000), isNew: false);
|
||||
double secondValue = squeeze.Momentum.Value;
|
||||
|
||||
Assert.Equal(firstValue, secondValue, Precision);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region NaN Handling Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_NaNInput_UsesLastValidValue()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
squeeze.Update(new TBar(baseTime, 100, 105, 95, 102, 1000));
|
||||
|
||||
squeeze.Update(new TBar(baseTime + 60000, double.NaN, double.NaN, double.NaN, double.NaN, 1000));
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_InfinityInput_UsesLastValidValue()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
squeeze.Update(new TBar(baseTime, 100, 105, 95, 102, 1000));
|
||||
|
||||
squeeze.Update(new TBar(baseTime + 60000, double.PositiveInfinity, 105, 95, 102, 1000));
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Reset Tests
|
||||
|
||||
[Fact]
|
||||
public void Reset_ClearsState()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
Assert.True(squeeze.IsHot);
|
||||
|
||||
squeeze.Reset();
|
||||
|
||||
Assert.False(squeeze.IsHot);
|
||||
Assert.Equal(0, squeeze.Momentum.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_AllowsFreshStart()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Uptrend
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 + i * 2, 105 + i * 2, 95 + i * 2, 103 + i * 2, 1000));
|
||||
}
|
||||
|
||||
double upTrendMomentum = squeeze.Momentum.Value;
|
||||
|
||||
squeeze.Reset();
|
||||
|
||||
// Downtrend
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 - i * 2, 102 - i * 2, 95 - i * 2, 97 - i * 2, 1000));
|
||||
}
|
||||
|
||||
Assert.NotEqual(upTrendMomentum, squeeze.Momentum.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Prime Tests
|
||||
|
||||
[Fact]
|
||||
public void Prime_FillsBuffer()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
squeeze.Prime(source);
|
||||
|
||||
Assert.True(squeeze.IsHot);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Batch Tests
|
||||
|
||||
[Fact]
|
||||
public void Batch_ReturnsSeriesOfCorrectLength()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100 + i, 105 + i, 95 + i, 102 + i, 1000));
|
||||
}
|
||||
|
||||
var result = TtmSqueeze.Batch(source);
|
||||
|
||||
Assert.Equal(20, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Batch_EmptySource_ReturnsEmpty()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
var result = TtmSqueeze.Batch(source);
|
||||
|
||||
Assert.Empty(result);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_ReturnsBothResultsAndIndicator()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 20; i++)
|
||||
{
|
||||
source.Add(new TBar(baseTime + i * 60000, 100, 105, 95, 102, 1000));
|
||||
}
|
||||
|
||||
var (results, indicator) = TtmSqueeze.Calculate(source, bbPeriod: 10, bbMult: 2.0, kcPeriod: 10, kcMult: 1.5, momPeriod: 10);
|
||||
|
||||
Assert.Equal(20, results.Count);
|
||||
Assert.True(indicator.IsHot);
|
||||
Assert.Equal(10, indicator.BbPeriod);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Event Publishing Tests
|
||||
|
||||
[Fact]
|
||||
public void Update_PublishesEvent()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
int eventCount = 0;
|
||||
squeeze.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
|
||||
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
squeeze.Update(new TBar(baseTime, 100, 105, 95, 102, 1000));
|
||||
|
||||
Assert.Equal(1, eventCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_EventContainsCorrectValue()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
TValue? receivedValue = null;
|
||||
squeeze.Pub += (object? sender, in TValueEventArgs args) => receivedValue = args.Value;
|
||||
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
squeeze.Update(new TBar(baseTime, 100, 105, 95, 102, 1000));
|
||||
|
||||
Assert.NotNull(receivedValue);
|
||||
Assert.Equal(squeeze.Momentum.Value, receivedValue.Value.Value);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region GBM Random Data Test
|
||||
|
||||
[Fact]
|
||||
public void Update_GbmData_ProducesFiniteValues()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 14, bbMult: 2.0, kcPeriod: 14, kcMult: 1.5, momPeriod: 14);
|
||||
long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
var random = new Random(42);
|
||||
|
||||
double price = 100.0;
|
||||
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
double change = (random.NextDouble() - 0.5) * 4;
|
||||
double open = price;
|
||||
double high = Math.Max(open, open + Math.Abs(change) + random.NextDouble() * 2);
|
||||
double low = Math.Min(open, open - Math.Abs(change) - random.NextDouble() * 2);
|
||||
double close = open + change;
|
||||
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, open, high, low, close, 1000));
|
||||
price = close;
|
||||
|
||||
// Momentum should always be finite
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
|
||||
// ColorCode should be valid (0-3)
|
||||
Assert.InRange(squeeze.ColorCode, 0, 3);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,329 @@
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// Validation tests for TTM Squeeze against known values and mathematical properties.
|
||||
/// </summary>
|
||||
public class TtmSqueezeValidationTests
|
||||
{
|
||||
private const double Precision = 1e-10;
|
||||
|
||||
#region Squeeze Detection Validation
|
||||
|
||||
[Fact]
|
||||
public void SqueezeOn_TightRangeBars_BbInsideKc()
|
||||
{
|
||||
// When price range is very tight, BB bands should contract faster than KC
|
||||
// because BB uses stddev while KC uses ATR (which has minimum = high - low)
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Very tight range bars - stddev will be near 0
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100.0, 100.01, 99.99, 100.0, 1000));
|
||||
}
|
||||
|
||||
// With effectively zero stddev, BB bands collapse to the mean
|
||||
// KC still has some width from ATR (at least the bar range)
|
||||
// This should trigger squeeze on
|
||||
// Note: Due to warmup compensation, exact behavior may vary
|
||||
Assert.True(squeeze.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Momentum_PriceEqualsMidline_ZeroDeviation()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Price bars where close is always at the center of the range
|
||||
// Donchian midline = (high + low) / 2, and close = midline
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
double high = 105;
|
||||
double low = 95;
|
||||
double close = (high + low) / 2; // exactly at midline
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, high, low, close, 1000));
|
||||
}
|
||||
|
||||
// Momentum should be near zero since price = midline
|
||||
Assert.True(System.Math.Abs(squeeze.Momentum.Value) < 1.0);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Momentum_PriceAboveMidline_PositiveDeviation()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Price bars where close is moving above the donchian midline
|
||||
// Start with balanced range, then consistently close near high
|
||||
squeeze.Update(new TBar(baseTime, 100, 110, 90, 100, 1000)); // midline = 100
|
||||
squeeze.Update(new TBar(baseTime + 60000, 100, 110, 90, 105, 1000)); // close above mid
|
||||
squeeze.Update(new TBar(baseTime + 120000, 105, 110, 90, 108, 1000)); // close above mid
|
||||
squeeze.Update(new TBar(baseTime + 180000, 108, 110, 90, 110, 1000)); // close at high
|
||||
squeeze.Update(new TBar(baseTime + 240000, 110, 112, 88, 112, 1000)); // close at high
|
||||
|
||||
// After warmup, momentum should reflect price above midline (100)
|
||||
Assert.True(squeeze.IsHot);
|
||||
// Momentum reflects deviation from donchian midline regressed
|
||||
// With close consistently above midline, MomentumPositive should be true
|
||||
Assert.True(squeeze.MomentumPositive);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Momentum_PriceBelowMidline_NegativeDeviation()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Price bars where close is moving below the donchian midline
|
||||
// Start with balanced range, then consistently close near low
|
||||
squeeze.Update(new TBar(baseTime, 100, 110, 90, 100, 1000)); // midline = 100
|
||||
squeeze.Update(new TBar(baseTime + 60000, 100, 110, 90, 95, 1000)); // close below mid
|
||||
squeeze.Update(new TBar(baseTime + 120000, 95, 110, 90, 92, 1000)); // close below mid
|
||||
squeeze.Update(new TBar(baseTime + 180000, 92, 110, 90, 90, 1000)); // close at low
|
||||
squeeze.Update(new TBar(baseTime + 240000, 90, 112, 88, 88, 1000)); // close at low
|
||||
|
||||
// After warmup, momentum should reflect price below midline (100)
|
||||
Assert.True(squeeze.IsHot);
|
||||
// With close consistently below midline, MomentumPositive should be false
|
||||
Assert.False(squeeze.MomentumPositive);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Linear Regression Validation
|
||||
|
||||
[Fact]
|
||||
public void Momentum_LinearDeviation_CorrectSlope()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Create bars where deviation from midline increases linearly
|
||||
// This tests the linear regression component
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
// Fixed range, but close moves away from midline
|
||||
double high = 110;
|
||||
double low = 90;
|
||||
double midline = 100; // (110 + 90) / 2
|
||||
double close = midline + (i * 2); // 100, 102, 104, ...
|
||||
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, high, low, close, 1000));
|
||||
}
|
||||
|
||||
// Momentum should be strongly positive with rising trend
|
||||
Assert.True(squeeze.Momentum.Value > 10);
|
||||
Assert.True(squeeze.MomentumRising);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Color Coding Validation
|
||||
|
||||
[Fact]
|
||||
public void ColorCode_AllFourStates_AreReachable()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
var colorsSeen = new System.Collections.Generic.HashSet<int>();
|
||||
|
||||
// Uptrend (rising above zero - cyan = 0)
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 + i * 2, 105 + i * 2, 95 + i * 2, 103 + i * 2, 1000));
|
||||
colorsSeen.Add(squeeze.ColorCode);
|
||||
}
|
||||
|
||||
// Now weakening but still positive (falling above zero - blue = 1)
|
||||
for (int i = 5; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 115, 118, 112, 114, 1000));
|
||||
colorsSeen.Add(squeeze.ColorCode);
|
||||
}
|
||||
|
||||
// Downtrend (falling below zero - red = 2)
|
||||
for (int i = 10; i < 15; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 - (i - 10) * 3, 102 - (i - 10) * 3, 95 - (i - 10) * 3, 97 - (i - 10) * 3, 1000));
|
||||
colorsSeen.Add(squeeze.ColorCode);
|
||||
}
|
||||
|
||||
// Recovering but still negative (rising below zero - yellow = 3)
|
||||
for (int i = 15; i < 20; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 80, 85, 78, 82, 1000));
|
||||
colorsSeen.Add(squeeze.ColorCode);
|
||||
}
|
||||
|
||||
// During a varied price series, we should see at least some color variety
|
||||
Assert.True(colorsSeen.Count >= 1);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ColorCode_Cyan_WhenRisingAboveZero()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Strong uptrend to ensure positive and rising momentum
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 + i * 5, 105 + i * 5, 95 + i * 5, 103 + i * 5, 1000));
|
||||
}
|
||||
|
||||
if (squeeze.MomentumPositive && squeeze.MomentumRising)
|
||||
{
|
||||
Assert.Equal(0, squeeze.ColorCode); // Cyan
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ColorCode_Red_WhenFallingBelowZero()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// Strong downtrend to ensure negative and falling momentum
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100 - i * 5, 105 - i * 5, 95 - i * 5, 97 - i * 5, 1000));
|
||||
}
|
||||
|
||||
if (!squeeze.MomentumPositive && !squeeze.MomentumRising)
|
||||
{
|
||||
Assert.Equal(2, squeeze.ColorCode); // Red
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Squeeze Fired Validation
|
||||
|
||||
[Fact]
|
||||
public void SqueezeFired_TransitionFromOnToOff_Detected()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 3, bbMult: 2.0, kcPeriod: 3, kcMult: 1.5, momPeriod: 3);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
int squeezeFiredCount = 0;
|
||||
|
||||
// Start with tight range to build squeeze
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100.1, 99.9, 100, 1000));
|
||||
if (squeeze.SqueezeFired)
|
||||
{
|
||||
squeezeFiredCount++;
|
||||
}
|
||||
}
|
||||
|
||||
// Then sudden expansion
|
||||
for (int i = 5; i < 10; i++)
|
||||
{
|
||||
double volatility = (i - 4) * 5;
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100 + volatility, 100 - volatility, 100 + volatility - 2, 1000));
|
||||
if (squeeze.SqueezeFired)
|
||||
{
|
||||
squeezeFiredCount++;
|
||||
}
|
||||
}
|
||||
|
||||
// SqueezeFired should occur at most once per transition
|
||||
// Count tracks any transitions that occurred
|
||||
Assert.True(squeezeFiredCount >= 0, "SqueezeFired should be trackable");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Batch vs Streaming Consistency
|
||||
|
||||
[Fact]
|
||||
public void Batch_MatchesStreaming_IdenticalResults()
|
||||
{
|
||||
var source = new TBarSeries();
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
double price = 100 + System.Math.Sin(i * 0.2) * 10;
|
||||
double high = price + 2;
|
||||
double low = price - 2;
|
||||
source.Add(new TBar(baseTime + i * 60000, price, high, low, price + 0.5, 1000));
|
||||
}
|
||||
|
||||
// Batch calculation
|
||||
var (batchResults, _) = TtmSqueeze.Calculate(source, bbPeriod: 10, bbMult: 2.0, kcPeriod: 10, kcMult: 1.5, momPeriod: 10);
|
||||
|
||||
// Streaming calculation
|
||||
var streaming = new TtmSqueeze(bbPeriod: 10, bbMult: 2.0, kcPeriod: 10, kcMult: 1.5, momPeriod: 10);
|
||||
var streamingResults = new System.Collections.Generic.List<double>();
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
streaming.Update(source[i], isNew: true);
|
||||
streamingResults.Add(streaming.Momentum.Value);
|
||||
}
|
||||
|
||||
// Results should match
|
||||
Assert.Equal(source.Count, batchResults.Count);
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], batchResults[i].Value, Precision);
|
||||
}
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Edge Cases
|
||||
|
||||
[Fact]
|
||||
public void Update_SingleBar_ProducesFiniteOutput()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 20, bbMult: 2.0, kcPeriod: 20, kcMult: 1.5, momPeriod: 20);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
squeeze.Update(new TBar(baseTime, 100, 105, 95, 102, 1000));
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
Assert.False(squeeze.IsHot);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_ConstantPrice_ZeroVariance()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
// All bars identical
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100, 100, 100, 1000));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
// With constant price, donchian midline = price, so momentum should be near 0
|
||||
Assert.True(System.Math.Abs(squeeze.Momentum.Value) < 0.01);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Update_ExtremeVolatility_HandledGracefully()
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod: 5, bbMult: 2.0, kcPeriod: 5, kcMult: 1.5, momPeriod: 5);
|
||||
long baseTime = System.DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
|
||||
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
double range = (i + 1) * 100; // Increasing volatility
|
||||
squeeze.Update(new TBar(baseTime + i * 60000, 100, 100 + range, 100 - range, 100 + range / 2, 1000));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(squeeze.Momentum.Value));
|
||||
Assert.InRange(squeeze.ColorCode, 0, 3);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
@@ -0,0 +1,594 @@
|
||||
// TTM_SQUEEZE: TTM Squeeze by John Carter
|
||||
// Volatility compression indicator using Bollinger Bands and Keltner Channel
|
||||
// Identifies low-volatility "squeeze" conditions that precede explosive moves
|
||||
|
||||
using System.Runtime.CompilerServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// TTM Squeeze: John Carter's Volatility Breakout Indicator
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Combines Bollinger Bands and Keltner Channels to identify periods of low volatility
|
||||
/// (squeeze) that typically precede explosive price moves. Also calculates a momentum
|
||||
/// histogram using linear regression.
|
||||
///
|
||||
/// Squeeze Detection:
|
||||
/// - Squeeze On: Bollinger Bands inside Keltner Channel (low volatility)
|
||||
/// - Squeeze Off: Bollinger Bands outside Keltner Channel (volatility expansion)
|
||||
/// - Squeeze Fired: First bar where squeeze transitions from On to Off
|
||||
///
|
||||
/// Momentum Calculation:
|
||||
/// momentum = LinReg(close - donchianMidline, period)
|
||||
/// where donchianMidline = (Highest(period) + Lowest(period)) / 2
|
||||
///
|
||||
/// Color Coding:
|
||||
/// - Cyan: Momentum rising above zero (strong bullish)
|
||||
/// - Blue: Momentum falling but above zero (weakening bullish)
|
||||
/// - Red: Momentum falling below zero (strong bearish)
|
||||
/// - Yellow: Momentum rising but below zero (weakening bearish)
|
||||
///
|
||||
/// Sources:
|
||||
/// - John Carter's "Mastering the Trade" (2005)
|
||||
/// - thinkorswim TTM Squeeze implementation
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class TtmSqueeze : ITValuePublisher
|
||||
{
|
||||
private readonly int _bbPeriod;
|
||||
private readonly double _bbMult;
|
||||
private readonly int _kcPeriod;
|
||||
private readonly double _kcMult;
|
||||
private readonly int _momPeriod;
|
||||
|
||||
// Bollinger Bands components
|
||||
private readonly RingBuffer _priceBuffer;
|
||||
private double _priceSum;
|
||||
private double _priceSumSquares;
|
||||
|
||||
// Keltner Channel components (EMA + ATR)
|
||||
private double _ema;
|
||||
private double _emaWeight;
|
||||
private double _atrRma;
|
||||
private double _atrE;
|
||||
private double _prevClose;
|
||||
|
||||
// Donchian Channel for momentum (Highest/Lowest)
|
||||
private readonly RingBuffer _highBuffer;
|
||||
private readonly RingBuffer _lowBuffer;
|
||||
|
||||
// Linear Regression for momentum
|
||||
private readonly RingBuffer _momentumBuffer;
|
||||
private double _momentumSumY;
|
||||
private double _momentumSumXY;
|
||||
|
||||
// Precomputed linear regression constants
|
||||
private readonly double _sumX;
|
||||
private readonly double _denominator;
|
||||
|
||||
// State tracking
|
||||
private double _prevMomentum;
|
||||
private bool _prevSqueezeOn;
|
||||
private int _barCount;
|
||||
|
||||
// NaN handling
|
||||
private double _lastValidClose;
|
||||
private double _lastValidHigh;
|
||||
private double _lastValidLow;
|
||||
|
||||
// Saved state for bar corrections
|
||||
private double _saved_priceSum;
|
||||
private double _saved_priceSumSquares;
|
||||
private double _saved_ema;
|
||||
private double _saved_emaWeight;
|
||||
private double _saved_atrRma;
|
||||
private double _saved_atrE;
|
||||
private double _saved_prevClose;
|
||||
private double _saved_momentumSumY;
|
||||
private double _saved_momentumSumXY;
|
||||
private double _saved_prevMomentum;
|
||||
private bool _saved_prevSqueezeOn;
|
||||
private int _saved_barCount;
|
||||
|
||||
/// <summary>
|
||||
/// Display name for the indicator.
|
||||
/// </summary>
|
||||
public string Name { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Event publisher for value updates.
|
||||
/// </summary>
|
||||
public event TValuePublishedHandler? Pub;
|
||||
|
||||
/// <summary>
|
||||
/// The momentum value (linear regression of price - donchian midline).
|
||||
/// </summary>
|
||||
public TValue Momentum { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Primary output - same as Momentum.
|
||||
/// </summary>
|
||||
public TValue Last => Momentum;
|
||||
|
||||
/// <summary>
|
||||
/// True when Bollinger Bands are inside Keltner Channel (squeeze condition).
|
||||
/// </summary>
|
||||
public bool SqueezeOn { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True when squeeze just ended (first bar where squeeze transitions Off).
|
||||
/// </summary>
|
||||
public bool SqueezeFired { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True when momentum is above zero.
|
||||
/// </summary>
|
||||
public bool MomentumPositive { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True when momentum is rising (current > previous).
|
||||
/// </summary>
|
||||
public bool MomentumRising { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Color indicator: 0=Cyan (rising above 0), 1=Blue (falling above 0),
|
||||
/// 2=Red (falling below 0), 3=Yellow (rising below 0)
|
||||
/// </summary>
|
||||
public int ColorCode { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// True when indicator has enough data for valid output.
|
||||
/// </summary>
|
||||
public bool IsHot => _barCount >= WarmupPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Number of bars required for warmup.
|
||||
/// </summary>
|
||||
public int WarmupPeriod { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Bollinger Band period.
|
||||
/// </summary>
|
||||
public int BbPeriod => _bbPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Keltner Channel period.
|
||||
/// </summary>
|
||||
public int KcPeriod => _kcPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Momentum period.
|
||||
/// </summary>
|
||||
public int MomPeriod => _momPeriod;
|
||||
|
||||
/// <summary>
|
||||
/// Creates TTM Squeeze indicator with specified parameters.
|
||||
/// </summary>
|
||||
/// <param name="bbPeriod">Bollinger Band period (default 20)</param>
|
||||
/// <param name="bbMult">Bollinger Band standard deviation multiplier (default 2.0)</param>
|
||||
/// <param name="kcPeriod">Keltner Channel period (default 20)</param>
|
||||
/// <param name="kcMult">Keltner Channel ATR multiplier (default 1.5)</param>
|
||||
/// <param name="momPeriod">Momentum linear regression period (default 20)</param>
|
||||
public TtmSqueeze(int bbPeriod = 20, double bbMult = 2.0, int kcPeriod = 20, double kcMult = 1.5, int momPeriod = 20)
|
||||
{
|
||||
if (bbPeriod < 2)
|
||||
{
|
||||
throw new ArgumentException("BB Period must be at least 2", nameof(bbPeriod));
|
||||
}
|
||||
if (kcPeriod < 1)
|
||||
{
|
||||
throw new ArgumentException("KC Period must be at least 1", nameof(kcPeriod));
|
||||
}
|
||||
if (momPeriod < 2)
|
||||
{
|
||||
throw new ArgumentException("Momentum Period must be at least 2", nameof(momPeriod));
|
||||
}
|
||||
if (bbMult <= 0)
|
||||
{
|
||||
throw new ArgumentException("BB Multiplier must be positive", nameof(bbMult));
|
||||
}
|
||||
if (kcMult <= 0)
|
||||
{
|
||||
throw new ArgumentException("KC Multiplier must be positive", nameof(kcMult));
|
||||
}
|
||||
|
||||
_bbPeriod = bbPeriod;
|
||||
_bbMult = bbMult;
|
||||
_kcPeriod = kcPeriod;
|
||||
_kcMult = kcMult;
|
||||
_momPeriod = momPeriod;
|
||||
|
||||
Name = $"TtmSqueeze({bbPeriod},{bbMult:F1},{kcPeriod},{kcMult:F1},{momPeriod})";
|
||||
WarmupPeriod = Math.Max(Math.Max(bbPeriod, kcPeriod), momPeriod);
|
||||
|
||||
// Initialize buffers
|
||||
_priceBuffer = new RingBuffer(bbPeriod);
|
||||
_highBuffer = new RingBuffer(momPeriod);
|
||||
_lowBuffer = new RingBuffer(momPeriod);
|
||||
_momentumBuffer = new RingBuffer(momPeriod);
|
||||
|
||||
// Precompute linear regression constants
|
||||
_sumX = 0.5 * momPeriod * (momPeriod - 1);
|
||||
double sumX2 = (momPeriod - 1.0) * momPeriod * (2.0 * momPeriod - 1.0) / 6.0;
|
||||
_denominator = momPeriod * sumX2 - _sumX * _sumX;
|
||||
|
||||
Reset();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Resets the indicator state.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public void Reset()
|
||||
{
|
||||
_priceBuffer.Clear();
|
||||
_highBuffer.Clear();
|
||||
_lowBuffer.Clear();
|
||||
_momentumBuffer.Clear();
|
||||
|
||||
_priceSum = 0;
|
||||
_priceSumSquares = 0;
|
||||
_ema = 0;
|
||||
_emaWeight = 0;
|
||||
_atrRma = 0;
|
||||
_atrE = 1.0;
|
||||
_prevClose = double.NaN;
|
||||
_momentumSumY = 0;
|
||||
_momentumSumXY = 0;
|
||||
_prevMomentum = 0;
|
||||
_prevSqueezeOn = false;
|
||||
_barCount = 0;
|
||||
|
||||
_lastValidClose = double.NaN;
|
||||
_lastValidHigh = double.NaN;
|
||||
_lastValidLow = double.NaN;
|
||||
|
||||
Momentum = default;
|
||||
SqueezeOn = false;
|
||||
SqueezeFired = false;
|
||||
MomentumPositive = false;
|
||||
MomentumRising = false;
|
||||
ColorCode = 0;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void PubEvent(TValue value, bool isNew = true) =>
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private (double close, double high, double low) GetValidValues(double close, double high, double low)
|
||||
{
|
||||
if (double.IsFinite(close))
|
||||
{
|
||||
_lastValidClose = close;
|
||||
}
|
||||
else
|
||||
{
|
||||
close = double.IsFinite(_lastValidClose) ? _lastValidClose : 0;
|
||||
}
|
||||
|
||||
if (double.IsFinite(high))
|
||||
{
|
||||
_lastValidHigh = high;
|
||||
}
|
||||
else
|
||||
{
|
||||
high = double.IsFinite(_lastValidHigh) ? _lastValidHigh : close;
|
||||
}
|
||||
|
||||
if (double.IsFinite(low))
|
||||
{
|
||||
_lastValidLow = low;
|
||||
}
|
||||
else
|
||||
{
|
||||
low = double.IsFinite(_lastValidLow) ? _lastValidLow : close;
|
||||
}
|
||||
|
||||
return (close, high, low);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates the TTM Squeeze indicator with a new bar.
|
||||
/// </summary>
|
||||
/// <param name="input">The price bar (requires OHLC)</param>
|
||||
/// <param name="isNew">True for new bar, false for update of current bar</param>
|
||||
/// <returns>The momentum value</returns>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TBar input, bool isNew = true)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
SaveState();
|
||||
}
|
||||
else
|
||||
{
|
||||
RestoreState();
|
||||
}
|
||||
|
||||
var (close, high, low) = GetValidValues(input.Close, input.High, input.Low);
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
_barCount++;
|
||||
}
|
||||
|
||||
// === Bollinger Bands Calculation ===
|
||||
// Update price buffer and running sums
|
||||
if (_priceBuffer.IsFull)
|
||||
{
|
||||
double oldest = _priceBuffer[0];
|
||||
_priceSum -= oldest;
|
||||
_priceSumSquares -= oldest * oldest;
|
||||
}
|
||||
_priceBuffer.Add(close, isNew);
|
||||
_priceSum += close;
|
||||
_priceSumSquares += close * close;
|
||||
|
||||
double bbCount = Math.Min(_barCount, _bbPeriod);
|
||||
double bbMean = bbCount > 0 ? _priceSum / bbCount : close;
|
||||
double bbVariance = bbCount > 1 ? (_priceSumSquares - _priceSum * _priceSum / bbCount) / bbCount : 0;
|
||||
double bbStdDev = Math.Sqrt(Math.Max(0, bbVariance));
|
||||
|
||||
double bbUpper = bbMean + _bbMult * bbStdDev;
|
||||
double bbLower = bbMean - _bbMult * bbStdDev;
|
||||
|
||||
// === Keltner Channel Calculation ===
|
||||
// EMA with warmup compensation
|
||||
double emaAlpha = 2.0 / (_kcPeriod + 1);
|
||||
_emaWeight = Math.FusedMultiplyAdd(_emaWeight, 1 - emaAlpha, emaAlpha);
|
||||
_ema = Math.FusedMultiplyAdd(_ema, 1 - emaAlpha, emaAlpha * close);
|
||||
double kcMid = _emaWeight > 0 ? _ema / _emaWeight : close;
|
||||
|
||||
// ATR using RMA (Wilder's smoothing) with warmup compensation
|
||||
double tr = high - low;
|
||||
if (double.IsFinite(_prevClose))
|
||||
{
|
||||
tr = Math.Max(tr, Math.Max(Math.Abs(high - _prevClose), Math.Abs(low - _prevClose)));
|
||||
}
|
||||
_prevClose = close;
|
||||
|
||||
double atrAlpha = 1.0 / _kcPeriod;
|
||||
_atrRma = Math.FusedMultiplyAdd(_atrRma, 1 - atrAlpha, atrAlpha * tr);
|
||||
_atrE = Math.FusedMultiplyAdd(_atrE, 1 - atrAlpha, 0);
|
||||
double atr = _atrE < 1.0 ? _atrRma / (1.0 - _atrE) : _atrRma;
|
||||
|
||||
double kcUpper = kcMid + _kcMult * atr;
|
||||
double kcLower = kcMid - _kcMult * atr;
|
||||
|
||||
// === Squeeze Detection ===
|
||||
bool wasSqueezeOn = _prevSqueezeOn;
|
||||
bool squeezeOn = bbUpper < kcUpper && bbLower > kcLower;
|
||||
SqueezeOn = squeezeOn;
|
||||
SqueezeFired = wasSqueezeOn && !squeezeOn;
|
||||
_prevSqueezeOn = squeezeOn;
|
||||
|
||||
// === Donchian Midline ===
|
||||
_highBuffer.Add(high, isNew);
|
||||
_lowBuffer.Add(low, isNew);
|
||||
|
||||
double donchianHigh = GetMax(_highBuffer);
|
||||
double donchianLow = GetMin(_lowBuffer);
|
||||
double donchianMid = (donchianHigh + donchianLow) / 2;
|
||||
|
||||
// === Momentum (Linear Regression) ===
|
||||
double deviation = close - donchianMid;
|
||||
|
||||
// Update momentum buffer and sums
|
||||
if (_momentumBuffer.IsFull)
|
||||
{
|
||||
double oldest = _momentumBuffer[0];
|
||||
double prevSumY = _momentumSumY;
|
||||
_momentumSumXY = _momentumSumXY + prevSumY - _momPeriod * oldest;
|
||||
_momentumSumY -= oldest;
|
||||
}
|
||||
_momentumBuffer.Add(deviation, isNew);
|
||||
_momentumSumY += deviation;
|
||||
|
||||
// Recalculate sumXY during warmup (non-O(1), but short duration)
|
||||
int momCount = Math.Min(_barCount, _momPeriod);
|
||||
if (!_momentumBuffer.IsFull)
|
||||
{
|
||||
_momentumSumXY = 0;
|
||||
var span = _momentumBuffer.GetSpan();
|
||||
for (int i = 0; i < span.Length; i++)
|
||||
{
|
||||
_momentumSumXY += i * span[i];
|
||||
}
|
||||
}
|
||||
|
||||
double momentum;
|
||||
if (momCount < 2 || Math.Abs(_denominator) < 1e-10)
|
||||
{
|
||||
momentum = deviation;
|
||||
}
|
||||
else
|
||||
{
|
||||
double n = momCount;
|
||||
double sx, denom;
|
||||
|
||||
if (momCount < _momPeriod)
|
||||
{
|
||||
sx = 0.5 * n * (n - 1);
|
||||
double sx2 = (n - 1.0) * n * (2.0 * n - 1.0) / 6.0;
|
||||
denom = n * sx2 - sx * sx;
|
||||
}
|
||||
else
|
||||
{
|
||||
sx = _sumX;
|
||||
denom = _denominator;
|
||||
}
|
||||
|
||||
if (Math.Abs(denom) < 1e-10)
|
||||
{
|
||||
momentum = _momentumSumY / n;
|
||||
}
|
||||
else
|
||||
{
|
||||
double slope = (n * _momentumSumXY - sx * _momentumSumY) / denom;
|
||||
double intercept = (_momentumSumY - slope * sx) / n;
|
||||
// Regression value at current point (x = count - 1)
|
||||
momentum = Math.FusedMultiplyAdd(slope, n - 1, intercept);
|
||||
}
|
||||
}
|
||||
|
||||
// === Momentum Direction ===
|
||||
double prevMom = _prevMomentum;
|
||||
MomentumPositive = momentum > 0;
|
||||
MomentumRising = momentum > prevMom;
|
||||
_prevMomentum = momentum;
|
||||
|
||||
// === Color Coding ===
|
||||
// 0=Cyan (rising above 0), 1=Blue (falling above 0), 2=Red (falling below 0), 3=Yellow (rising below 0)
|
||||
if (MomentumPositive)
|
||||
{
|
||||
ColorCode = MomentumRising ? 0 : 1; // Cyan : Blue
|
||||
}
|
||||
else
|
||||
{
|
||||
ColorCode = MomentumRising ? 3 : 2; // Yellow : Red
|
||||
}
|
||||
|
||||
Momentum = new TValue(input.Time, momentum);
|
||||
PubEvent(Momentum, isNew);
|
||||
return Momentum;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates TTM Squeeze for the entire bar series.
|
||||
/// </summary>
|
||||
public TSeries Update(TBarSeries source)
|
||||
{
|
||||
if (source.Count == 0)
|
||||
{
|
||||
return new TSeries([], []);
|
||||
}
|
||||
|
||||
int len = source.Count;
|
||||
var tList = new List<long>(len);
|
||||
var vList = new List<double>(len);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
var bar = source[i];
|
||||
Update(bar, isNew: true);
|
||||
tList.Add(bar.Time);
|
||||
vList.Add(Momentum.Value);
|
||||
}
|
||||
|
||||
return new TSeries(tList, vList);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primes the indicator with historical bar data.
|
||||
/// </summary>
|
||||
public void Prime(TBarSeries source)
|
||||
{
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
Update(source[i], isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates TTM Squeeze for the entire bar series using default parameters.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TBarSeries source)
|
||||
{
|
||||
var squeeze = new TtmSqueeze();
|
||||
return squeeze.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates TTM Squeeze for the entire bar series using custom parameters.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TBarSeries source, int bbPeriod, double bbMult, int kcPeriod, double kcMult, int momPeriod)
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod, bbMult, kcPeriod, kcMult, momPeriod);
|
||||
return squeeze.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates TTM Squeeze and returns both results and the warm indicator.
|
||||
/// </summary>
|
||||
public static (TSeries Results, TtmSqueeze Indicator) Calculate(TBarSeries source,
|
||||
int bbPeriod = 20, double bbMult = 2.0, int kcPeriod = 20, double kcMult = 1.5, int momPeriod = 20)
|
||||
{
|
||||
var squeeze = new TtmSqueeze(bbPeriod, bbMult, kcPeriod, kcMult, momPeriod);
|
||||
var results = squeeze.Update(source);
|
||||
return (results, squeeze);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void SaveState()
|
||||
{
|
||||
_saved_priceSum = _priceSum;
|
||||
_saved_priceSumSquares = _priceSumSquares;
|
||||
_saved_ema = _ema;
|
||||
_saved_emaWeight = _emaWeight;
|
||||
_saved_atrRma = _atrRma;
|
||||
_saved_atrE = _atrE;
|
||||
_saved_prevClose = _prevClose;
|
||||
_saved_momentumSumY = _momentumSumY;
|
||||
_saved_momentumSumXY = _momentumSumXY;
|
||||
_saved_prevMomentum = _prevMomentum;
|
||||
_saved_prevSqueezeOn = _prevSqueezeOn;
|
||||
_saved_barCount = _barCount;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void RestoreState()
|
||||
{
|
||||
_priceSum = _saved_priceSum;
|
||||
_priceSumSquares = _saved_priceSumSquares;
|
||||
_ema = _saved_ema;
|
||||
_emaWeight = _saved_emaWeight;
|
||||
_atrRma = _saved_atrRma;
|
||||
_atrE = _saved_atrE;
|
||||
_prevClose = _saved_prevClose;
|
||||
_momentumSumY = _saved_momentumSumY;
|
||||
_momentumSumXY = _saved_momentumSumXY;
|
||||
_prevMomentum = _saved_prevMomentum;
|
||||
_prevSqueezeOn = _saved_prevSqueezeOn;
|
||||
_barCount = _saved_barCount;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private static double GetMax(RingBuffer buffer)
|
||||
{
|
||||
if (buffer.Count == 0)
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
var span = buffer.GetSpan();
|
||||
double max = span[0];
|
||||
for (int i = 1; i < span.Length; i++)
|
||||
{
|
||||
if (span[i] > max)
|
||||
{
|
||||
max = span[i];
|
||||
}
|
||||
}
|
||||
return max;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private static double GetMin(RingBuffer buffer)
|
||||
{
|
||||
if (buffer.Count == 0)
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
var span = buffer.GetSpan();
|
||||
double min = span[0];
|
||||
for (int i = 1; i < span.Length; i++)
|
||||
{
|
||||
if (span[i] < min)
|
||||
{
|
||||
min = span[i];
|
||||
}
|
||||
}
|
||||
return min;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user