adding missing validations

2026-08-22 12:38:06 +00:00 · 2026-02-26 09:59:44 -08:00
parent 467a8c1cef
commit 9ab37c1200
231 changed files with 60015 additions and 302 deletions
@@ -0,0 +1,131 @@
+using System.Runtime.CompilerServices;
+using TALib;
+using Xunit;
+using Xunit.Abstractions;
+
+namespace QuanTAlib.Tests;
+
+/// <summary>
+/// Validation for Typprice (Typical Price) = (H+L+C)/3.
+/// Cross-validated against TA-Lib TYPPRICE (exact match expected).
+/// Skender, Tulip, and Ooples do not implement TYPPRICE as a standalone function.
+/// </summary>
+public sealed class TyppriceValidationTests : IDisposable
+{
+    private readonly ValidationTestData _data = new();
+    private readonly ITestOutputHelper _output;
+    private bool _disposed;
+
+    public TyppriceValidationTests(ITestOutputHelper output)
+    {
+        _output = output;
+    }
+
+    public void Dispose()
+    {
+        Dispose(disposing: true);
+        GC.SuppressFinalize(this);
+    }
+
+    private void Dispose(bool disposing)
+    {
+        if (!_disposed && disposing)
+        {
+            _data.Dispose();
+            _disposed = true;
+        }
+    }
+
+    // ── A) Cross-validate with TA-Lib TYPPRICE ────────────────────────────────
+    [Fact]
+    public void TALib_TypPrice_Batch_Validates()
+    {
+        double[] high = _data.HighPrices.ToArray();
+        double[] low = _data.LowPrices.ToArray();
+        double[] close = _data.ClosePrices.ToArray();
+
+        // TA-Lib TypPrice
+        var taOut = new double[high.Length];
+        var retCode = Functions.TypPrice(high.AsSpan(), low.AsSpan(), close.AsSpan(),
+            0..^0, taOut, out var outRange);
+        Assert.Equal(Core.RetCode.Success, retCode);
+        var (offset, length) = outRange.GetOffsetAndLength(taOut.Length);
+
+        // QuanTAlib batch span
+        var qlOut = new double[high.Length];
+        Typprice.Batch(high.AsSpan(), low.AsSpan(), close.AsSpan(), qlOut.AsSpan());
+
+        int mismatches = 0;
+        for (int j = 0; j < length; j++)
+        {
+            int qi = j + offset;
+            double err = Math.Abs(qlOut[qi] - taOut[j]);
+            if (err > ValidationHelper.TalibTolerance) { mismatches++; }
+        }
+
+        double mismatchRate = (double)mismatches / length;
+        _output.WriteLine($"TALib TYPPRICE: {length} compared, {mismatches} mismatches ({mismatchRate:P2})");
+        Assert.Equal(0, mismatches);
+    }
+
+    // ── B) Streaming == Batch span ────────────────────────────────────────────
+    [Fact]
+    [SkipLocalsInit]
+    public void Validate_Streaming_Equals_Batch()
+    {
+        const int N = 200;
+        var gbm = new GBM(100.0, 0.05, 0.2, seed: 1002);
+        var bars = new TBar[N];
+        for (int i = 0; i < N; i++) { bars[i] = gbm.Next(isNew: true); }
+
+        // Streaming
+        var ind = new Typprice();
+        for (int i = 0; i < N; i++) { ind.Update(bars[i], isNew: true); }
+        double streamVal = ind.Last.Value;
+
+        // Batch span
+        double[] h = new double[N], l = new double[N], c = new double[N];
+        for (int i = 0; i < N; i++) { h[i] = bars[i].High; l[i] = bars[i].Low; c[i] = bars[i].Close; }
+        var qlOut = new double[N];
+        Typprice.Batch(h.AsSpan(), l.AsSpan(), c.AsSpan(), qlOut.AsSpan());
+
+        _output.WriteLine($"Streaming={streamVal:F10}, Batch={qlOut[N - 1]:F10}");
+        Assert.Equal(streamVal, qlOut[N - 1], 1e-12);
+    }
+
+    // ── C) Formula verification: (H+L+C)/3 ───────────────────────────────────
+    [Fact]
+    public void Validate_Formula_Manual()
+    {
+        var bar = new TBar(DateTime.UtcNow, open: 10.0, high: 18.0, low: 6.0, close: 15.0, volume: 1000);
+        var ind = new Typprice();
+        var result = ind.Update(bar, isNew: true);
+        double expected = (18.0 + 6.0 + 15.0) / 3.0; // = 13.0
+        Assert.Equal(expected, result.Value, 1e-12);
+        _output.WriteLine($"TYPPRICE formula: expected={expected}, actual={result.Value}: PASSED");
+    }
+
+    // ── D) Batch(TBarSeries) == Calculate ─────────────────────────────────────
+    [Fact]
+    public void Validate_BatchBarSeries_Equals_Calculate()
+    {
+        var (results, _) = Typprice.Calculate(_data.Bars);
+        var batchResult = Typprice.Batch(_data.Bars);
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            Assert.Equal(batchResult.Values[i], results.Values[i], 1e-12);
+        }
+        _output.WriteLine("TYPPRICE Batch(TBarSeries) == Calculate: PASSED");
+    }
+
+    // ── E) Determinism ────────────────────────────────────────────────────────
+    [Fact]
+    public void Validate_Deterministic()
+    {
+        var r1 = Typprice.Batch(_data.Bars);
+        var r2 = Typprice.Batch(_data.Bars);
+        for (int i = 0; i < r1.Count; i++) { Assert.Equal(r1.Values[i], r2.Values[i], 15); }
+        _output.WriteLine("TYPPRICE determinism: PASSED");
+    }
+}