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adding missing validations
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Miha Kralj
@@ -0,0 +1,290 @@
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namespace QuanTAlib.Tests;
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/// <summary>
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/// RAVI Validation Tests — Self-consistency validation.
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/// No external library (TA-Lib, Skender, Tulip, Ooples) implements RAVI.
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/// Validation focuses on internal consistency and mathematical correctness.
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/// </summary>
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public sealed class RaviValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private bool _disposed;
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public RaviValidationTests()
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{
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_testData = new ValidationTestData();
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}
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public void Dispose()
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{
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Dispose(true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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// ============== Self-Consistency ==============
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[Fact]
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public void Validation_BatchMatchesStreaming()
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{
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int[][] paramSets = { new[] { 3, 10 }, new[] { 5, 20 }, new[] { 7, 65 } };
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var series = _testData.Data;
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foreach (var ps in paramSets)
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{
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int shortP = ps[0];
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int longP = ps[1];
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// Streaming
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var raviStream = new Ravi(shortP, longP);
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var streamResults = new List<double>();
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foreach (var tv in series)
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{
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streamResults.Add(raviStream.Update(tv).Value);
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}
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// Batch
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var batchResults = Ravi.Batch(series, shortP, longP);
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Assert.Equal(streamResults.Count, batchResults.Count);
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for (int i = 0; i < streamResults.Count; i++)
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{
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Assert.Equal(streamResults[i], batchResults[i].Value, 1e-10);
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}
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}
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}
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[Fact]
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public void Validation_SpanMatchesStreaming()
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{
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int[][] paramSets = { new[] { 3, 10 }, new[] { 5, 20 }, new[] { 7, 65 } };
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var series = _testData.Data;
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int len = series.Count;
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double[] values = series.Values.ToArray();
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foreach (var ps in paramSets)
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{
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int shortP = ps[0];
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int longP = ps[1];
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// Streaming
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var raviStream = new Ravi(shortP, longP);
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var streamResults = new double[len];
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for (int i = 0; i < len; i++)
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{
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streamResults[i] = raviStream.Update(series[i]).Value;
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}
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// Span batch
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double[] spanResults = new double[len];
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Ravi.Batch(values, spanResults, shortP, longP);
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for (int i = 0; i < len; i++)
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{
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Assert.Equal(streamResults[i], spanResults[i], 1e-10);
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}
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}
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}
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// ============== Known-Value Tests ==============
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[Fact]
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public void Validation_ConstantPrice_ZeroRavi()
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{
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var ravi = new Ravi(3, 10);
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var baseTime = DateTime.UtcNow;
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for (int i = 0; i < 20; i++)
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{
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var result = ravi.Update(new TValue(baseTime.AddMinutes(i), 100));
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if (ravi.IsHot)
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{
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Assert.Equal(0.0, result.Value, 1e-10);
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}
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}
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}
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[Fact]
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public void Validation_EqualPeriods_ThrowsException()
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{
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// Short must be strictly less than long — equal throws
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Assert.Throws<ArgumentException>(() => new Ravi(10, 10));
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}
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[Fact]
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public void Validation_WarmupBarsReturnZero()
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{
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var ravi = new Ravi(3, 10);
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var baseTime = DateTime.UtcNow;
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// First 9 bars (before long SMA is full) should return 0
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for (int i = 0; i < 9; i++)
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{
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var result = ravi.Update(new TValue(baseTime.AddMinutes(i), 100 + i));
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Assert.Equal(0.0, result.Value, 1e-10);
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Assert.False(ravi.IsHot);
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}
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}
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[Fact]
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public void Validation_DivByZero_ReturnsZero()
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{
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// If all prices are 0, SMA_long = 0 → division guard should produce 0
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var ravi = new Ravi(3, 10);
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var baseTime = DateTime.UtcNow;
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for (int i = 0; i < 15; i++)
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{
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var result = ravi.Update(new TValue(baseTime.AddMinutes(i), 0));
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Assert.Equal(0.0, result.Value, 1e-10);
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Assert.True(double.IsFinite(result.Value));
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}
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}
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// ============== Different Periods ==============
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[Fact]
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public void Validation_DifferentPeriods_ProduceDifferentResults()
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{
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var ravi_3_10 = new Ravi(3, 10);
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var ravi_5_20 = new Ravi(5, 20);
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var ravi_7_65 = new Ravi(7, 65);
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var gbm = new GBM(startPrice: 100.0, mu: 0.1, sigma: 0.3);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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foreach (var tv in series)
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{
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ravi_3_10.Update(tv);
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ravi_5_20.Update(tv);
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ravi_7_65.Update(tv);
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}
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// All should be finite and non-negative
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Assert.True(double.IsFinite(ravi_3_10.Last.Value));
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Assert.True(double.IsFinite(ravi_5_20.Last.Value));
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Assert.True(double.IsFinite(ravi_7_65.Last.Value));
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Assert.True(ravi_3_10.Last.Value >= 0);
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Assert.True(ravi_5_20.Last.Value >= 0);
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Assert.True(ravi_7_65.Last.Value >= 0);
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}
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[Fact]
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public void Validation_Calculate_ReturnsHotIndicator()
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.3);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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var (results, indicator) = Ravi.Calculate(series, 5, 20);
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Assert.Equal(series.Count, results.Count);
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Assert.True(indicator.IsHot);
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Assert.True(double.IsFinite(indicator.Last.Value));
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}
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[Fact]
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public void Validation_BarCorrection_Consistent()
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{
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var ravi1 = new Ravi(5, 20);
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var ravi2 = new Ravi(5, 20);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.3);
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Ravi1: feed all values normally
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foreach (var tv in series)
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{
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ravi1.Update(tv, isNew: true);
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}
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// Ravi2: feed values with correction on last bar
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for (int i = 0; i < series.Count - 1; i++)
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{
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ravi2.Update(series[i], isNew: true);
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}
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// Feed wrong last value first
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ravi2.Update(new TValue(series[^1].Time, 999999), isNew: true);
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// Correct it
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ravi2.Update(series[^1], isNew: false);
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Assert.Equal(ravi1.Last.Value, ravi2.Last.Value, 1e-10);
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}
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[Fact]
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public void Validation_Ravi_AlwaysNonNegative()
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{
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var ravi = new Ravi(7, 65);
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 1.0);
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var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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foreach (var tv in series)
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{
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var result = ravi.Update(tv);
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Assert.True(result.Value >= 0, $"RAVI must be non-negative, got {result.Value}");
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}
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}
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[Fact]
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public void Validation_Symmetry_UpAndDownTrends()
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{
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// A monotonic rise of +1/bar and a monotonic fall of -1/bar
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// should produce equal RAVI after warmup
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var raviUp = new Ravi(3, 10);
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var raviDown = new Ravi(3, 10);
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var baseTime = DateTime.UtcNow;
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double basePrice = 1000;
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for (int i = 0; i < 20; i++)
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{
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raviUp.Update(new TValue(baseTime.AddMinutes(i), basePrice + i));
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raviDown.Update(new TValue(baseTime.AddMinutes(i), basePrice - i));
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}
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// Not exactly equal because normalization denominator differs,
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// but both should be positive and finite
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Assert.True(raviUp.Last.Value > 0);
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Assert.True(raviDown.Last.Value > 0);
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Assert.True(double.IsFinite(raviUp.Last.Value));
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Assert.True(double.IsFinite(raviDown.Last.Value));
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}
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[Fact]
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public void Validation_ManualKnownValue()
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{
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// Manual calculation: 5 bars, shortPeriod=2, longPeriod=5
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// Prices: 100, 102, 104, 106, 108
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// After 5 bars:
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// SMA_short(2) = (106 + 108) / 2 = 107
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// SMA_long(5) = (100 + 102 + 104 + 106 + 108) / 5 = 104
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// RAVI = |107 - 104| / 104 * 100 = 3/104 * 100 ≈ 2.884615...
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var ravi = new Ravi(2, 5);
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var baseTime = DateTime.UtcNow;
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ravi.Update(new TValue(baseTime, 100));
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ravi.Update(new TValue(baseTime.AddMinutes(1), 102));
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ravi.Update(new TValue(baseTime.AddMinutes(2), 104));
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ravi.Update(new TValue(baseTime.AddMinutes(3), 106));
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ravi.Update(new TValue(baseTime.AddMinutes(4), 108));
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double expected = Math.Abs(107.0 - 104.0) / 104.0 * 100.0;
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Assert.Equal(expected, ravi.Last.Value, 1e-10);
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}
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}
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