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Add SSF-DSP implementation with validation tests and documentation
- Implemented the SSF-DSP (Super Smooth Filter Detrended Synthetic Price) indicator using dual Super Smooth Filters. - Added validation tests to ensure correctness against PineScript implementation and mathematical properties. - Created comprehensive documentation outlining the architecture, mathematical foundation, performance profile, and common pitfalls. - Included batch processing capabilities for efficient calculations on time series data.
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Miha Kralj
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namespace QuanTAlib.Tests;
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using Xunit;
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public class SolarTests
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{
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private const double Tolerance = 1e-6;
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// Known solar dates:
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// Winter Solstice (~Dec 21): value ≈ -1.0
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// Vernal Equinox (~Mar 20): value ≈ 0.0 (rising)
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// Summer Solstice (~Jun 21): value ≈ +1.0
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// Autumnal Equinox (~Sep 22): value ≈ 0.0 (falling)
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[Fact]
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public void Solar_ConstructorDefaults()
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{
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var solar = new Solar();
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Assert.Equal("Solar", solar.Name);
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Assert.Equal(0, solar.WarmupPeriod);
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Assert.True(solar.IsHot);
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}
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[Fact]
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public void Solar_Update_ReturnsValidCycle()
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{
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var solar = new Solar();
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var input = new TValue(DateTime.UtcNow, 100.0);
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var result = solar.Update(input);
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Assert.True(result.Value >= -1.0 && result.Value <= 1.0);
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Assert.Equal(input.Time, result.Time);
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}
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[Fact]
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public void Solar_WinterSolstice_ReturnsNegativeValue()
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{
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// December 21, 2024 - Winter Solstice at 09:20 UTC
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var winterSolstice = new DateTime(2024, 12, 21, 9, 20, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(winterSolstice);
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// Winter solstice should be close to -1.0
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Assert.True(cycle < -0.95, $"Expected cycle < -0.95 at winter solstice, got {cycle}");
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}
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[Fact]
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public void Solar_SummerSolstice_ReturnsPositiveValue()
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{
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// June 20, 2024 - Summer Solstice at 20:50 UTC
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var summerSolstice = new DateTime(2024, 6, 20, 20, 50, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(summerSolstice);
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// Summer solstice should be close to +1.0
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Assert.True(cycle > 0.95, $"Expected cycle > 0.95 at summer solstice, got {cycle}");
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}
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[Fact]
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public void Solar_VernalEquinox_ReturnsNearZero()
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{
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// March 20, 2024 - Vernal Equinox at 03:06 UTC
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var vernalEquinox = new DateTime(2024, 3, 20, 3, 6, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(vernalEquinox);
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// Vernal equinox should be near 0 (slightly positive, rising)
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Assert.True(Math.Abs(cycle) < 0.1, $"Expected cycle ~0 at vernal equinox, got {cycle}");
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}
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[Fact]
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public void Solar_AutumnalEquinox_ReturnsNearZero()
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{
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// September 22, 2024 - Autumnal Equinox at 12:43 UTC
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var autumnalEquinox = new DateTime(2024, 9, 22, 12, 43, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(autumnalEquinox);
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// Autumnal equinox should be near 0 (slightly negative, falling)
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Assert.True(Math.Abs(cycle) < 0.1, $"Expected cycle ~0 at autumnal equinox, got {cycle}");
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}
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[Fact]
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public void Solar_YearCycle_CoversFullRange()
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{
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// Sample through a full year
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var startDate = new DateTime(2024, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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double minValue = double.MaxValue;
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double maxValue = double.MinValue;
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for (int day = 0; day < 365; day++)
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{
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var date = startDate.AddDays(day);
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double cycle = Solar.CalculateCycle(date);
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minValue = Math.Min(minValue, cycle);
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maxValue = Math.Max(maxValue, cycle);
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}
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// Should cover nearly the full range
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Assert.True(minValue < -0.95, $"Min value should be < -0.95, got {minValue}");
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Assert.True(maxValue > 0.95, $"Max value should be > 0.95, got {maxValue}");
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}
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[Fact]
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public void Solar_Batch_MatchesStreaming()
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{
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var startDate = new DateTime(2024, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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int count = 100;
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// Create timestamps
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var timestamps = new long[count];
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var expected = new double[count];
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for (int i = 0; i < count; i++)
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{
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var date = startDate.AddDays(i);
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timestamps[i] = new DateTimeOffset(date).ToUnixTimeMilliseconds();
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expected[i] = Solar.CalculateCycle(date);
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}
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// Calculate using batch
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var output = new double[count];
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Solar.Batch(timestamps, output);
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// Compare
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for (int i = 0; i < count; i++)
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{
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Assert.Equal(expected[i], output[i], Tolerance);
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}
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}
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[Fact]
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public void Solar_TSeries_Update()
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{
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var startDate = new DateTime(2024, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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var series = new TSeries(30);
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for (int i = 0; i < 30; i++)
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{
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series.Add(new TValue(startDate.AddDays(i), 100.0 + i));
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}
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var solar = new Solar();
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var result = solar.Update(series);
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Assert.Equal(30, result.Count);
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// Verify each value
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for (int i = 0; i < 30; i++)
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{
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double expectedCycle = Solar.CalculateCycle(series[i].Time);
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Assert.Equal(expectedCycle, result[i].Value, Tolerance);
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}
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}
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[Fact]
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public void Solar_StaticCalculate_TSeries()
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{
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var startDate = new DateTime(2024, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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var series = new TSeries(30);
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for (int i = 0; i < 30; i++)
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{
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series.Add(new TValue(startDate.AddDays(i), 100.0 + i));
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}
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var result = Solar.Calculate(series);
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Assert.Equal(30, result.Count);
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for (int i = 0; i < 30; i++)
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{
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double expectedCycle = Solar.CalculateCycle(series[i].Time);
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Assert.Equal(expectedCycle, result[i].Value, Tolerance);
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}
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}
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[Fact]
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public void Solar_Chaining_Works()
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{
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var source = new Sma(10);
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var solar = new Solar(source);
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bool eventFired = false;
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solar.Pub += (object? sender, in TValueEventArgs args) => eventFired = true;
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var input = new TValue(DateTime.UtcNow, 100.0);
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source.Update(input);
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Assert.True(eventFired);
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}
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[Fact]
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public void Solar_Reset()
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{
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var solar = new Solar();
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var input = new TValue(DateTime.UtcNow, 100.0);
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solar.Update(input);
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solar.Reset();
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// After reset, Last should be reset
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Assert.Equal(0, solar.Last.Value);
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}
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[Fact]
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public void Solar_UnixTimestamp_CalculatesCorrectly()
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{
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// Test using known Unix timestamp
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// January 1, 2024 00:00:00 UTC = 1704067200000 ms
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long unixMs = 1704067200000;
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double cycle1 = Solar.CalculateCycle(unixMs);
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var dateTime = new DateTime(2024, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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double cycle2 = Solar.CalculateCycle(dateTime);
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Assert.Equal(cycle1, cycle2, Tolerance);
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}
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[Fact]
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public void Solar_Cycle_AlwaysInRange()
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{
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// Test across multiple years
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var startDate = new DateTime(2020, 1, 1, 0, 0, 0, DateTimeKind.Utc);
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for (int day = 0; day < 365 * 5; day++) // 5 years
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{
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var date = startDate.AddDays(day);
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double cycle = Solar.CalculateCycle(date);
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Assert.True(cycle >= -1.0 && cycle <= 1.0,
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$"Cycle out of range at {date}: {cycle}");
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}
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}
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[Fact]
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public void Solar_Batch_ThrowsOnLengthMismatch()
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{
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var timestamps = new long[10];
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var output = new double[5];
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Assert.Throws<ArgumentException>(() => Solar.Batch(timestamps, output));
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}
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[Fact]
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public void Solar_EmptyTSeries_ReturnsEmpty()
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{
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var solar = new Solar();
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var empty = new TSeries();
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var result = solar.Update(empty);
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Assert.Empty(result);
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}
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[Fact]
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public void Solar_IsNew_Parameter_DoesNotAffectResult()
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{
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var solar = new Solar();
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var input = new TValue(DateTime.UtcNow, 100.0);
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var result1 = solar.Update(input, isNew: true);
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solar.Reset();
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var result2 = solar.Update(input, isNew: false);
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// Solar cycle is deterministic from timestamp, isNew shouldn't matter
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Assert.Equal(result1.Value, result2.Value, Tolerance);
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}
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[Fact]
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public void Solar_DateTimeKind_Unspecified_TreatedAsUtc()
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{
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var unspecified = new DateTime(2024, 6, 15, 12, 0, 0, DateTimeKind.Unspecified);
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var utc = new DateTime(2024, 6, 15, 12, 0, 0, DateTimeKind.Utc);
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double cycle1 = Solar.CalculateCycle(unspecified);
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double cycle2 = Solar.CalculateCycle(utc);
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Assert.Equal(cycle1, cycle2, Tolerance);
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}
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[Fact]
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public void Solar_Historical_WinterSolstice_2000()
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{
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// December 21, 2000 - Winter Solstice at 13:37 UTC
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var winterSolstice = new DateTime(2000, 12, 21, 13, 37, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(winterSolstice);
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Assert.True(cycle < -0.95, $"Expected cycle < -0.95 at 2000 winter solstice, got {cycle}");
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}
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[Fact]
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public void Solar_Historical_SummerSolstice_2000()
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{
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// June 21, 2000 - Summer Solstice at 01:48 UTC
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var summerSolstice = new DateTime(2000, 6, 21, 1, 48, 0, DateTimeKind.Utc);
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double cycle = Solar.CalculateCycle(summerSolstice);
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Assert.True(cycle > 0.95, $"Expected cycle > 0.95 at 2000 summer solstice, got {cycle}");
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}
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}
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