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Add validation tests for various volume and momentum indicators
- Introduced Massi validation tests to ensure mathematical properties hold for the Mass Index indicator. - Added Va validation tests for Volume Accumulation, checking for finite outputs and correct accumulation behavior. - Implemented Vf validation tests for Volume Force, verifying outputs for rising and falling prices, and ensuring batch and streaming results match. - Created Vo validation tests for Volume Oscillator, confirming behavior with constant, increasing, and decreasing volumes. - Developed Vroc validation tests for Volume Rate of Change, validating outputs for constant volume and changes in volume. - Updated project file to include new momentum indicators (MACD and RSI) in the compilation.
This commit is contained in:
Miha Kralj
@@ -0,0 +1,176 @@
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// Va: Mathematical property validation tests
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// Volume Accumulation is a cumulative indicator. No standard external library equivalents
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// with matching implementation. Validation uses mathematical property testing.
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namespace QuanTAlib.Tests;
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using Xunit;
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public class VaValidationTests
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{
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private const int TestDataLength = 500;
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[Fact]
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public void Va_Output_IsFiniteForGbmData()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var va = new Va();
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for (int i = 0; i < bars.Count; i++)
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{
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var result = va.Update(bars[i], isNew: true);
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Assert.True(double.IsFinite(result.Value),
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$"Va output must be finite at bar {i}, got {result.Value}");
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}
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}
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[Fact]
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public void Va_CloseAboveMidpoint_PositiveAccumulation()
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{
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var va = new Va();
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// Close is above midpoint: (H+L)/2 = 100, Close = 102
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var bar = new TBar(DateTime.UtcNow, 101, 101, 99, 102, 1000);
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var result = va.Update(bar, isNew: true);
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// VA_period = volume * (close - midpoint) = 1000 * (102 - 100) = 2000
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Assert.True(result.Value > 0,
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$"VA should be positive when close > midpoint, got {result.Value}");
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}
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[Fact]
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public void Va_CloseBelowMidpoint_NegativeAccumulation()
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{
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var va = new Va();
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// Close is below midpoint: (H+L)/2 = 100, Close = 98
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var bar = new TBar(DateTime.UtcNow, 101, 101, 99, 98, 1000);
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var result = va.Update(bar, isNew: true);
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// VA_period = volume * (close - midpoint) = 1000 * (98 - 100) = -2000
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Assert.True(result.Value < 0,
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$"VA should be negative when close < midpoint, got {result.Value}");
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}
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[Fact]
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public void Va_CloseAtMidpoint_ZeroAccumulation()
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{
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var va = new Va();
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// Close is exactly at midpoint
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var bar = new TBar(DateTime.UtcNow, 101, 101, 99, 100, 1000);
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var result = va.Update(bar, isNew: true);
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Assert.Equal(0.0, result.Value, precision: 10);
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}
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[Fact]
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public void Va_ZeroVolume_ZeroAccumulation()
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{
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var va = new Va();
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// Even with close above midpoint, zero volume = zero VA contribution
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var bar = new TBar(DateTime.UtcNow, 101, 101, 99, 102, 0);
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var result = va.Update(bar, isNew: true);
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Assert.Equal(0.0, result.Value, precision: 10);
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}
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[Fact]
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public void Va_IsCumulative_AccumulatesOverBars()
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{
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var va = new Va();
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// Bar 1: close above midpoint
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var bar1 = new TBar(DateTime.UtcNow, 101, 101, 99, 102, 1000);
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var r1 = va.Update(bar1, isNew: true);
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double expectedVa1 = 1000 * (102 - 100.0); // 2000
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// Bar 2: close below midpoint
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 101, 101, 99, 98, 500);
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var r2 = va.Update(bar2, isNew: true);
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double expectedVa2 = expectedVa1 + 500 * (98 - 100.0); // 2000 + (-1000) = 1000
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Assert.Equal(expectedVa1, r1.Value, precision: 10);
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Assert.Equal(expectedVa2, r2.Value, precision: 10);
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}
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[Fact]
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public void Va_KnownCalculation_MatchesManual()
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{
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var va = new Va();
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// Manually verified calculation
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// Bar: O=100, H=105, L=95, C=103, V=2000
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// Midpoint = (105 + 95) / 2 = 100
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// VA_period = 2000 * (103 - 100) = 6000
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var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 103, 2000);
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var result = va.Update(bar, isNew: true);
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Assert.Equal(6000.0, result.Value, precision: 10);
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}
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[Fact]
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public void Va_BatchAndStreaming_ProduceSameResults()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Batch
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var batchResults = Va.Batch(bars);
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// Streaming
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var streamVa = new Va();
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var streamResults = new double[bars.Count];
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for (int i = 0; i < bars.Count; i++)
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{
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var result = streamVa.Update(bars[i], isNew: true);
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streamResults[i] = result.Value;
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}
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Assert.Equal(batchResults.Count, bars.Count);
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for (int i = 0; i < bars.Count; i++)
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{
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Assert.Equal(batchResults.Values[i], streamResults[i], precision: 8);
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}
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}
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[Fact]
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public void Va_SpanAndStreaming_ProduceSameResults()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var spanOutput = new double[bars.Count];
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Va.Batch(
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bars.High.Values, bars.Low.Values,
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bars.Close.Values, bars.Volume.Values,
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spanOutput);
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// Streaming
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var streamVa = new Va();
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for (int i = 0; i < bars.Count; i++)
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{
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var result = streamVa.Update(bars[i], isNew: true);
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Assert.Equal(spanOutput[i], result.Value, precision: 8);
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}
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}
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[Fact]
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public void Va_BarCorrection_IsNewFalse_RestoresState()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var va = new Va();
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for (int i = 0; i < 30; i++)
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{
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va.Update(bars[i], isNew: true);
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}
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va.Update(bars[30], isNew: true);
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double afterNew = va.Last.Value;
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va.Update(bars[30], isNew: false);
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double afterCorrection = va.Last.Value;
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Assert.Equal(afterNew, afterCorrection, precision: 10);
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}
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}
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@@ -0,0 +1,194 @@
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// Vf: Mathematical property validation tests
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// Volume Force is a QuanTAlib-specific indicator combining price change with volume
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// and EMA smoothing. No standard external library equivalents. Validation uses
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// mathematical property testing.
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namespace QuanTAlib.Tests;
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using Xunit;
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public class VfValidationTests
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{
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private const int DefaultPeriod = 14;
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private const int TestDataLength = 500;
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[Fact]
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public void Vf_Output_IsFiniteForGbmData()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var vf = new Vf(DefaultPeriod);
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for (int i = 0; i < bars.Count; i++)
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{
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var result = vf.Update(bars[i], isNew: true);
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Assert.True(double.IsFinite(result.Value),
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$"Vf output must be finite at bar {i}, got {result.Value}");
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}
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}
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[Fact]
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public void Vf_FirstBar_ReturnsZero()
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{
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var vf = new Vf(DefaultPeriod);
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var bar = new TBar(DateTime.UtcNow, 100, 101, 99, 100, 1000);
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var result = vf.Update(bar, isNew: true);
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// First bar has no previous close, so raw VF = 0
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Assert.Equal(0.0, result.Value, precision: 10);
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}
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[Fact]
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public void Vf_RisingPrice_PositiveForce()
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{
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var vf = new Vf(DefaultPeriod);
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// First bar
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var bar1 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 1000);
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vf.Update(bar1, isNew: true);
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// Rising price: positive raw VF
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 105, 105, 100, 105, 1000);
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var result = vf.Update(bar2, isNew: true);
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// rawVF = (105 - 100) * 1000 = 5000, EMA of that should be positive
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Assert.True(result.Value > 0,
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$"Vf should be positive for rising price, got {result.Value}");
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}
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[Fact]
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public void Vf_FallingPrice_NegativeForce()
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{
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var vf = new Vf(DefaultPeriod);
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// First bar
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var bar1 = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 1000);
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vf.Update(bar1, isNew: true);
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// Falling price: negative raw VF
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 95, 100, 95, 95, 1000);
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var result = vf.Update(bar2, isNew: true);
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// rawVF = (95 - 100) * 1000 = -5000, EMA of that should be negative
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Assert.True(result.Value < 0,
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$"Vf should be negative for falling price, got {result.Value}");
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}
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[Fact]
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public void Vf_ConstantPrice_ZeroForce()
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{
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var vf = new Vf(DefaultPeriod);
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// Feed constant-price bars
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for (int i = 0; i < 50; i++)
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{
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var bar = new TBar(
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DateTime.UtcNow.AddMinutes(i),
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100, 100, 100, 100, 1000);
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vf.Update(bar, isNew: true);
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}
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// No price change → raw VF = 0 each bar → EMA converges to 0
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Assert.Equal(0.0, vf.Last.Value, precision: 8);
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}
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[Fact]
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public void Vf_HighVolume_AmplifiesForce()
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{
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// Low volume
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var vfLow = new Vf(DefaultPeriod);
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var bar1Low = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 100);
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vfLow.Update(bar1Low, isNew: true);
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var bar2Low = new TBar(DateTime.UtcNow.AddMinutes(1), 105, 105, 100, 105, 100);
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vfLow.Update(bar2Low, isNew: true);
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// High volume
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var vfHigh = new Vf(DefaultPeriod);
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var bar1High = new TBar(DateTime.UtcNow, 100, 100, 100, 100, 10000);
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vfHigh.Update(bar1High, isNew: true);
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var bar2High = new TBar(DateTime.UtcNow.AddMinutes(1), 105, 105, 100, 105, 10000);
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vfHigh.Update(bar2High, isNew: true);
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// Higher volume should produce larger absolute VF
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Assert.True(System.Math.Abs(vfHigh.Last.Value) > System.Math.Abs(vfLow.Last.Value),
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$"High volume VF ({vfHigh.Last.Value}) should exceed low volume VF ({vfLow.Last.Value})");
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}
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[Fact]
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public void Vf_BatchAndStreaming_ProduceSameResults()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Batch
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var batchResults = Vf.Batch(bars, DefaultPeriod);
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// Streaming
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var streamVf = new Vf(DefaultPeriod);
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var streamResults = new double[bars.Count];
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for (int i = 0; i < bars.Count; i++)
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{
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var result = streamVf.Update(bars[i], isNew: true);
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streamResults[i] = result.Value;
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}
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Assert.Equal(batchResults.Count, bars.Count);
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for (int i = 0; i < bars.Count; i++)
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{
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Assert.Equal(batchResults.Values[i], streamResults[i], precision: 8);
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}
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}
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[Fact]
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public void Vf_SpanAndStreaming_ProduceSameResults()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var spanOutput = new double[bars.Count];
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Vf.Batch(bars.Close.Values, bars.Volume.Values, spanOutput, DefaultPeriod);
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// Streaming
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var streamVf = new Vf(DefaultPeriod);
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for (int i = 0; i < bars.Count; i++)
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{
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var result = streamVf.Update(bars[i], isNew: true);
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Assert.Equal(spanOutput[i], result.Value, precision: 8);
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}
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}
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[Fact]
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public void Vf_DifferentPeriods_ProduceDifferentSmoothing()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var vf3 = new Vf(period: 3);
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var vf50 = new Vf(period: 50);
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for (int i = 0; i < bars.Count; i++)
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{
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vf3.Update(bars[i], isNew: true);
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vf50.Update(bars[i], isNew: true);
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}
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Assert.NotEqual(vf3.Last.Value, vf50.Last.Value);
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}
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[Fact]
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public void Vf_BarCorrection_IsNewFalse_RestoresState()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var vf = new Vf(DefaultPeriod);
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for (int i = 0; i < 30; i++)
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{
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vf.Update(bars[i], isNew: true);
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}
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vf.Update(bars[30], isNew: true);
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double afterNew = vf.Last.Value;
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vf.Update(bars[30], isNew: false);
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double afterCorrection = vf.Last.Value;
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Assert.Equal(afterNew, afterCorrection, precision: 10);
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}
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}
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@@ -0,0 +1,198 @@
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// Vo: Mathematical property validation tests
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// Volume Oscillator compares short and long SMAs of volume.
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// No standard external library equivalents with matching implementation.
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// Validation uses mathematical property testing.
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namespace QuanTAlib.Tests;
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using Xunit;
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public class VoValidationTests
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{
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private const int DefaultShortPeriod = 5;
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private const int DefaultLongPeriod = 10;
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private const int DefaultSignalPeriod = 10;
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private const int TestDataLength = 500;
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[Fact]
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public void Vo_Output_IsFiniteForGbmData()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
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for (int i = 0; i < bars.Count; i++)
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{
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var result = vo.Update(bars[i], isNew: true);
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Assert.True(double.IsFinite(result.Value),
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$"Vo output must be finite at bar {i}, got {result.Value}");
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}
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}
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[Fact]
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public void Vo_ConstantVolume_ZeroOscillator()
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{
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var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
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// Feed bars with identical volume
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for (int i = 0; i < 50; i++)
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{
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var bar = new TBar(
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DateTime.UtcNow.AddMinutes(i),
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100, 101, 99, 100, 1000); // constant volume
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vo.Update(bar, isNew: true);
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}
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// When volume is constant, short MA == long MA, VO = 0
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Assert.Equal(0.0, vo.Last.Value, precision: 8);
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}
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[Fact]
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public void Vo_IncreasingVolume_PositiveOscillator()
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{
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var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
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// Feed bars with steadily increasing volume
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for (int i = 0; i < 50; i++)
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{
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double volume = 1000 + i * 100; // increasing
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var bar = new TBar(
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DateTime.UtcNow.AddMinutes(i),
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100, 101, 99, 100, volume);
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vo.Update(bar, isNew: true);
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}
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// Short MA should be higher than long MA when volume is increasing
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Assert.True(vo.Last.Value > 0,
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$"VO should be positive with increasing volume, got {vo.Last.Value}");
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}
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[Fact]
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public void Vo_DecreasingVolume_NegativeOscillator()
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{
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var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
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// Feed bars with steadily decreasing volume
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for (int i = 0; i < 50; i++)
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{
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double volume = 10000 - i * 100; // decreasing
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var bar = new TBar(
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DateTime.UtcNow.AddMinutes(i),
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100, 101, 99, 100, volume);
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vo.Update(bar, isNew: true);
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}
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// Short MA should be lower than long MA when volume is decreasing
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Assert.True(vo.Last.Value < 0,
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$"VO should be negative with decreasing volume, got {vo.Last.Value}");
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}
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[Fact]
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public void Vo_Signal_IsFinite()
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{
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var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vo.Update(bars[i], isNew: true);
|
||||
Assert.True(double.IsFinite(vo.Signal),
|
||||
$"Signal must be finite at bar {i}, got {vo.Signal}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_ConstantVolume_SignalAlsoZero()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, 1000);
|
||||
vo.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Signal is SMA of VO values, all of which are zero
|
||||
Assert.Equal(0.0, vo.Signal, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_BatchAndStreaming_ProduceSameResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Batch
|
||||
var batchResults = Vo.Batch(bars, DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
// Streaming
|
||||
var streamVo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
var streamResults = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = streamVo.Update(bars[i], isNew: true);
|
||||
streamResults[i] = result.Value;
|
||||
}
|
||||
|
||||
Assert.Equal(batchResults.Count, bars.Count);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResults.Values[i], streamResults[i], precision: 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_DifferentPeriods_ProduceDifferentResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var vo1 = new Vo(3, 7, 5);
|
||||
var vo2 = new Vo(10, 30, 15);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vo1.Update(bars[i], isNew: true);
|
||||
vo2.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
Assert.NotEqual(vo1.Last.Value, vo2.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_BarCorrection_IsNewFalse_RestoresState()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
vo.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
vo.Update(bars[30], isNew: true);
|
||||
double afterNew = vo.Last.Value;
|
||||
|
||||
vo.Update(bars[30], isNew: false);
|
||||
double afterCorrection = vo.Last.Value;
|
||||
|
||||
Assert.Equal(afterNew, afterCorrection, precision: 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vo_IsHot_AfterLongPeriod()
|
||||
{
|
||||
var vo = new Vo(DefaultShortPeriod, DefaultLongPeriod, DefaultSignalPeriod);
|
||||
|
||||
for (int i = 0; i < DefaultLongPeriod - 1; i++)
|
||||
{
|
||||
var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 101, 99, 100, 1000);
|
||||
vo.Update(bar, isNew: true);
|
||||
Assert.False(vo.IsHot, $"Should not be hot at bar {i}");
|
||||
}
|
||||
|
||||
// Bar at index longPeriod-1 should make it hot (Index becomes longPeriod)
|
||||
var finalBar = new TBar(DateTime.UtcNow.AddMinutes(DefaultLongPeriod), 100, 101, 99, 100, 1000);
|
||||
vo.Update(finalBar, isNew: true);
|
||||
Assert.True(vo.IsHot, "Should be hot after longPeriod bars");
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,227 @@
|
||||
// Vroc: Mathematical property validation tests
|
||||
// Volume Rate of Change measures volume momentum. No standard external library
|
||||
// equivalents with matching implementation. Validation uses mathematical property testing.
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
using Xunit;
|
||||
|
||||
public class VrocValidationTests
|
||||
{
|
||||
private const int DefaultPeriod = 12;
|
||||
private const int TestDataLength = 500;
|
||||
|
||||
[Fact]
|
||||
public void Vroc_Output_IsFiniteForGbmData()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = vroc.Update(bars[i], isNew: true);
|
||||
Assert.True(double.IsFinite(result.Value),
|
||||
$"Vroc output must be finite at bar {i}, got {result.Value}");
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_ConstantVolume_ZeroRateOfChange()
|
||||
{
|
||||
var vroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, 1000);
|
||||
vroc.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// Constant volume → VROC = ((V - V_prev) / V_prev) * 100 = 0
|
||||
Assert.Equal(0.0, vroc.Last.Value, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_DoublingVolume_Returns100Percent()
|
||||
{
|
||||
var vroc = new Vroc(period: 1, usePercent: true);
|
||||
|
||||
// First bar: volume = 1000
|
||||
var bar1 = new TBar(DateTime.UtcNow, 100, 101, 99, 100, 1000);
|
||||
vroc.Update(bar1, isNew: true);
|
||||
|
||||
// Second bar: volume = 2000 (doubled)
|
||||
var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 101, 99, 100, 2000);
|
||||
var result = vroc.Update(bar2, isNew: true);
|
||||
|
||||
// VROC = ((2000 - 1000) / 1000) * 100 = 100%
|
||||
Assert.Equal(100.0, result.Value, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_HalvingVolume_ReturnsMinus50Percent()
|
||||
{
|
||||
var vroc = new Vroc(period: 1, usePercent: true);
|
||||
|
||||
// First bar: volume = 2000
|
||||
var bar1 = new TBar(DateTime.UtcNow, 100, 101, 99, 100, 2000);
|
||||
vroc.Update(bar1, isNew: true);
|
||||
|
||||
// Second bar: volume = 1000 (halved)
|
||||
var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 101, 99, 100, 1000);
|
||||
var result = vroc.Update(bar2, isNew: true);
|
||||
|
||||
// VROC = ((1000 - 2000) / 2000) * 100 = -50%
|
||||
Assert.Equal(-50.0, result.Value, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_PointMode_ReturnsAbsoluteDifference()
|
||||
{
|
||||
var vroc = new Vroc(period: 1, usePercent: false);
|
||||
|
||||
var bar1 = new TBar(DateTime.UtcNow, 100, 101, 99, 100, 1000);
|
||||
vroc.Update(bar1, isNew: true);
|
||||
|
||||
var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 101, 99, 100, 3000);
|
||||
var result = vroc.Update(bar2, isNew: true);
|
||||
|
||||
// Point mode: VROC = 3000 - 1000 = 2000
|
||||
Assert.Equal(2000.0, result.Value, precision: 8);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_BeforeWarmup_ReturnsZero()
|
||||
{
|
||||
var vroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
|
||||
// Before enough bars to compare
|
||||
for (int i = 0; i < DefaultPeriod; i++)
|
||||
{
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, 1000 + i * 100);
|
||||
var result = vroc.Update(bar, isNew: true);
|
||||
Assert.Equal(0.0, result.Value, precision: 10);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_IncreasingVolume_PositiveRoc()
|
||||
{
|
||||
var vroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
|
||||
// Feed steadily increasing volume
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
double volume = 1000 + i * 200; // increases by 200 each bar
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, volume);
|
||||
vroc.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// After warmup, VROC should be positive
|
||||
Assert.True(vroc.IsHot);
|
||||
Assert.True(vroc.Last.Value > 0,
|
||||
$"VROC should be positive with increasing volume, got {vroc.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_DecreasingVolume_NegativeRoc()
|
||||
{
|
||||
var vroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
|
||||
// Feed steadily decreasing volume
|
||||
for (int i = 0; i < 50; i++)
|
||||
{
|
||||
double volume = 20000 - i * 200; // decreases by 200 each bar
|
||||
var bar = new TBar(
|
||||
DateTime.UtcNow.AddMinutes(i),
|
||||
100, 101, 99, 100, volume);
|
||||
vroc.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
Assert.True(vroc.IsHot);
|
||||
Assert.True(vroc.Last.Value < 0,
|
||||
$"VROC should be negative with decreasing volume, got {vroc.Last.Value}");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_BatchAndStreaming_ProduceSameResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(TestDataLength, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Batch
|
||||
var batchResults = Vroc.Batch(bars, DefaultPeriod, usePercent: true);
|
||||
|
||||
// Streaming
|
||||
var streamVroc = new Vroc(DefaultPeriod, usePercent: true);
|
||||
var streamResults = new double[bars.Count];
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
var result = streamVroc.Update(bars[i], isNew: true);
|
||||
streamResults[i] = result.Value;
|
||||
}
|
||||
|
||||
Assert.Equal(batchResults.Count, bars.Count);
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
Assert.Equal(batchResults.Values[i], streamResults[i], precision: 8);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_PercentAndPointMode_ProduceDifferentResults()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
var vrocPct = new Vroc(DefaultPeriod, usePercent: true);
|
||||
var vrocPt = new Vroc(DefaultPeriod, usePercent: false);
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vrocPct.Update(bars[i], isNew: true);
|
||||
vrocPt.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
// Percent and point modes should produce different final values
|
||||
Assert.NotEqual(vrocPct.Last.Value, vrocPt.Last.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_BarCorrection_IsNewFalse_RestoresState()
|
||||
{
|
||||
var bars = new GBM(sigma: 0.5, seed: 123).Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var vroc = new Vroc(DefaultPeriod);
|
||||
|
||||
for (int i = 0; i < 30; i++)
|
||||
{
|
||||
vroc.Update(bars[i], isNew: true);
|
||||
}
|
||||
|
||||
vroc.Update(bars[30], isNew: true);
|
||||
double afterNew = vroc.Last.Value;
|
||||
|
||||
vroc.Update(bars[30], isNew: false);
|
||||
double afterCorrection = vroc.Last.Value;
|
||||
|
||||
Assert.Equal(afterNew, afterCorrection, precision: 10);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vroc_IsHot_AfterWarmupPeriod()
|
||||
{
|
||||
var vroc = new Vroc(DefaultPeriod);
|
||||
|
||||
for (int i = 0; i <= DefaultPeriod; i++)
|
||||
{
|
||||
var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 101, 99, 100, 1000);
|
||||
vroc.Update(bar, isNew: true);
|
||||
}
|
||||
|
||||
// IsHot should be true after period + 1 bars (Index > period)
|
||||
Assert.True(vroc.IsHot);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user