mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 03:58:04 +00:00
adding missing validations
This commit is contained in:
@@ -0,0 +1,124 @@
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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 sealed class CoppockIndicatorTests
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{
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[Fact]
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public void CoppockIndicator_Constructor_SetsDefaults()
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{
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var indicator = new CoppockIndicator();
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Assert.Equal(14, indicator.LongRoc);
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Assert.Equal(11, indicator.ShortRoc);
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Assert.Equal(10, indicator.WmaPeriod);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("COPPOCK - Coppock Curve", indicator.Name);
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Assert.True(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void CoppockIndicator_MinHistoryDepths_EqualsZero()
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{
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var indicator = new CoppockIndicator();
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Assert.Equal(0, CoppockIndicator.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 CoppockIndicator_ShortName_IncludesParameters()
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{
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var indicator = new CoppockIndicator { LongRoc = 14, ShortRoc = 11, WmaPeriod = 10 };
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indicator.Initialize();
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Assert.Contains("COPPOCK", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("14", indicator.ShortName, StringComparison.Ordinal);
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}
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[Fact]
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public void CoppockIndicator_SourceCodeLink_IsValid()
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{
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var indicator = new CoppockIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
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Assert.Contains("Coppock", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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[Fact]
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public void CoppockIndicator_Initialize_CreatesOneSeries()
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{
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var indicator = new CoppockIndicator { LongRoc = 5, ShortRoc = 4, WmaPeriod = 4 };
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indicator.Initialize();
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Assert.Single(indicator.LinesSeries);
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}
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[Fact]
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public void CoppockIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new CoppockIndicator { LongRoc = 5, ShortRoc = 4, WmaPeriod = 4 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 30; 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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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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}
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void CoppockIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new CoppockIndicator { LongRoc = 5, ShortRoc = 4, WmaPeriod = 4 };
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indicator.Initialize();
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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 + i, 110 + i, 90 + i, 105 + i);
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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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indicator.HistoricalData.AddBar(now.AddMinutes(15), 115, 125, 105, 120);
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var newArgs = new UpdateArgs(UpdateReason.NewBar);
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indicator.ProcessUpdate(newArgs);
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double val = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(val));
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}
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[Fact]
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public void CoppockIndicator_DifferentSourceTypes_ProcessCorrectly()
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{
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foreach (var sourceType in new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close })
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{
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var indicator = new CoppockIndicator
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{
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LongRoc = 5,
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ShortRoc = 4,
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WmaPeriod = 4,
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Source = sourceType
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};
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 25; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i * 0.5, 110 + i * 0.5, 90 + i * 0.5, 105 + i * 0.5);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
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}
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}
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}
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@@ -0,0 +1,64 @@
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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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[SkipLocalsInit]
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public sealed class CoppockIndicator : Indicator, IWatchlistIndicator
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{
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[InputParameter("Long ROC Period", sortIndex: 1, 1, 500, 1, 0)]
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public int LongRoc { get; set; } = 14;
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[InputParameter("Short ROC Period", sortIndex: 2, 1, 500, 1, 0)]
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public int ShortRoc { get; set; } = 11;
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[InputParameter("WMA Period", sortIndex: 3, 1, 500, 1, 0)]
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public int WmaPeriod { get; set; } = 10;
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[IndicatorExtensions.DataSourceInput(sortIndex: 4)]
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public SourceType Source { get; set; } = SourceType.Close;
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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 Coppock _coppock = null!;
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private readonly LineSeries _coppockSeries;
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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 => $"COPPOCK ({LongRoc},{ShortRoc},{WmaPeriod})";
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public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/oscillators/coppock/Coppock.Quantower.cs";
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public CoppockIndicator()
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{
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OnBackGround = true;
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SeparateWindow = true;
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Name = "COPPOCK - Coppock Curve";
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Description = "WMA of the sum of two Rate-of-Change values (long and short lookback periods)";
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_coppockSeries = new LineSeries(name: "Coppock", color: Color.Yellow, width: 2, style: LineStyle.Solid);
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AddLineSeries(_coppockSeries);
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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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_coppock = new Coppock(LongRoc, ShortRoc, WmaPeriod);
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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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var priceSelector = Source.GetPriceSelector();
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var item = HistoricalData[0, SeekOriginHistory.End];
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double price = priceSelector(item);
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_ = _coppock.Update(new TValue(item.TimeLeft, price), args.IsNewBar());
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_coppockSeries.SetValue(_coppock.Last.Value, _coppock.IsHot, ShowColdValues);
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}
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}
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@@ -0,0 +1,532 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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// ── A) Constructor Validation ────────────────────────────────────────────────
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public sealed class CoppockConstructorTests
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{
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[Fact]
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public void Constructor_ZeroLongRoc_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(longRoc: 0));
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Assert.Equal("longRoc", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeLongRoc_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(longRoc: -1));
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Assert.Equal("longRoc", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroShortRoc_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(shortRoc: 0));
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Assert.Equal("shortRoc", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeShortRoc_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(shortRoc: -5));
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Assert.Equal("shortRoc", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroWmaPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(wmaPeriod: 0));
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Assert.Equal("wmaPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeWmaPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Coppock(wmaPeriod: -2));
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Assert.Equal("wmaPeriod", ex.ParamName);
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}
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[Fact]
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public void Constructor_Defaults_Creates()
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{
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var c = new Coppock();
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Assert.NotNull(c);
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Assert.Contains("Coppock", c.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_WarmupPeriod_IsPositive()
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{
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var c = new Coppock();
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Assert.True(c.WarmupPeriod > 0);
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}
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[Fact]
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public void Constructor_CustomParams_NameReflectsThem()
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{
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var c = new Coppock(longRoc: 7, shortRoc: 5, wmaPeriod: 4);
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Assert.Contains("7", c.Name, StringComparison.Ordinal);
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Assert.Contains("5", c.Name, StringComparison.Ordinal);
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Assert.Contains("4", c.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_WarmupPeriod_DependsOnLongestPlusWma()
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{
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// WarmupPeriod = max(longRoc,shortRoc) + wmaPeriod - 1
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var c = new Coppock(longRoc: 14, shortRoc: 11, wmaPeriod: 10);
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Assert.Equal(14 + 10 - 1, c.WarmupPeriod);
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}
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}
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// ── B) Basic Calculation ─────────────────────────────────────────────────────
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public sealed class CoppockBasicTests
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{
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var c = new Coppock();
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var result = c.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(result.Value, c.Last.Value);
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}
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[Fact]
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public void FirstBar_OutputIsFinite()
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{
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var c = new Coppock();
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var result = c.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Name_Available()
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{
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var c = new Coppock();
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Assert.False(string.IsNullOrEmpty(c.Name));
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}
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[Fact]
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public void Last_IsAccessible()
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{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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for (int i = 0; i < 20; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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Assert.True(double.IsFinite(c.Last.Value));
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}
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[Fact]
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public void ConstantPrice_CoppockIsZero()
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{
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// All ROC = 0 → combined = 0 → WMA(0) = 0
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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for (int i = 0; i < 20; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0));
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}
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Assert.Equal(0.0, c.Last.Value, 1e-10);
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}
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[Fact]
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public void KnownValue_WarmupBarIsZero()
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{
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// Before warmup, output is 0 (during WMA fill)
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var c = new Coppock(longRoc: 5, shortRoc: 3, wmaPeriod: 4);
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var result = c.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.False(c.IsHot);
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Assert.True(double.IsFinite(result.Value));
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}
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}
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// ── C) State + Bar Correction ────────────────────────────────────────────────
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public sealed class CoppockBarCorrectionTests
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{
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[Fact]
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public void IsNew_True_AdvancesState()
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{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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for (int i = 0; i < 5; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0 + i * 2), isNew: true);
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}
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double val1 = c.Last.Value;
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c.Update(new TValue(DateTime.UtcNow, 115.0), isNew: true);
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double val2 = c.Last.Value;
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Assert.True(double.IsFinite(val1));
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Assert.True(double.IsFinite(val2));
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}
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[Fact]
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public void IsNew_False_Rollback()
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{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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c.Update(new TValue(bar.Time, bar.Close), isNew: true);
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}
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var nextBar = gbm.Next(isNew: true);
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var originalInput = new TValue(nextBar.Time, nextBar.Close);
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var val1 = c.Update(originalInput, isNew: true);
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// Overwrite with different value
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c.Update(new TValue(nextBar.Time, nextBar.Close + 50), isNew: false);
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// Restore original → must match
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var restored = c.Update(originalInput, isNew: false);
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Assert.Equal(val1.Value, restored.Value, 1e-10);
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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TValue twentyInput = default;
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for (int i = 0; i < 20; i++)
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{
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var bar = gbm.Next(isNew: true);
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twentyInput = new TValue(bar.Time, bar.Close);
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c.Update(twentyInput, isNew: true);
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}
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double stateAfterTwenty = c.Last.Value;
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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c.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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var finalResult = c.Update(twentyInput, isNew: false);
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Assert.Equal(stateAfterTwenty, finalResult.Value, 1e-10);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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for (int i = 0; i < 20; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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}
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c.Reset();
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Assert.False(c.IsHot);
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Assert.Equal(0.0, c.Last.Value);
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}
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}
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// ── D) Warmup / Convergence ──────────────────────────────────────────────────
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public sealed class CoppockWarmupTests
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{
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[Fact]
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public void IsHot_InitiallyFalse()
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{
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var c = new Coppock();
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Assert.False(c.IsHot);
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}
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[Fact]
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public void IsHot_BecomesTrueAfterWarmupPeriodBars()
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{
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var c = new Coppock(longRoc: 5, shortRoc: 3, wmaPeriod: 4);
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int warmup = c.WarmupPeriod;
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for (int i = 1; i < warmup; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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Assert.False(c.IsHot, $"Should not be hot at bar {i} (need {warmup})");
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}
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c.Update(new TValue(DateTime.UtcNow, 100.0 + warmup));
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Assert.True(c.IsHot);
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}
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[Fact]
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public void WarmupPeriod_DependsOnParameters()
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{
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var c1 = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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var c2 = new Coppock(longRoc: 14, shortRoc: 11, wmaPeriod: 10);
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Assert.True(c2.WarmupPeriod > c1.WarmupPeriod);
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}
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[Fact]
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public void WarmupPeriod_ShortRocLonger_UsesShortRoc()
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{
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// When shortRoc > longRoc, warmup = shortRoc + wmaPeriod - 1
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var c = new Coppock(longRoc: 5, shortRoc: 8, wmaPeriod: 4);
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Assert.Equal(8 + 4 - 1, c.WarmupPeriod);
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}
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}
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// ── E) Robustness ────────────────────────────────────────────────────────────
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public sealed class CoppockRobustnessTests
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{
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[Fact]
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public void NaN_UsesLastValidValue()
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||||
{
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var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
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for (int i = 0; i < 10; i++)
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{
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c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
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||||
}
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||||
|
||||
c.Update(new TValue(DateTime.UtcNow, double.NaN));
|
||||
Assert.True(double.IsFinite(c.Last.Value), "NaN input should not produce NaN output");
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void PositiveInfinity_UsesLastValidValue()
|
||||
{
|
||||
var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
|
||||
}
|
||||
c.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
|
||||
Assert.True(double.IsFinite(c.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void NegativeInfinity_UsesLastValidValue()
|
||||
{
|
||||
var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
|
||||
for (int i = 0; i < 10; i++)
|
||||
{
|
||||
c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
|
||||
}
|
||||
c.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
|
||||
Assert.True(double.IsFinite(c.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void BatchNaN_SafeOutput()
|
||||
{
|
||||
var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
|
||||
c.Update(new TValue(DateTime.UtcNow, 100.0));
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
c.Update(new TValue(DateTime.UtcNow, double.NaN));
|
||||
}
|
||||
c.Update(new TValue(DateTime.UtcNow, 110.0));
|
||||
Assert.True(double.IsFinite(c.Last.Value));
|
||||
}
|
||||
}
|
||||
|
||||
// ── F) Consistency (all API modes agree) ─────────────────────────────────────
|
||||
public sealed class CoppockConsistencyTests
|
||||
{
|
||||
private static TSeries MakeSeries(double[] vals)
|
||||
{
|
||||
var times = new List<long>(vals.Length);
|
||||
var values = new List<double>(vals.Length);
|
||||
var t0 = DateTime.UtcNow;
|
||||
for (int i = 0; i < vals.Length; i++)
|
||||
{
|
||||
times.Add(t0.AddSeconds(i).Ticks);
|
||||
values.Add(vals[i]);
|
||||
}
|
||||
return new TSeries(times, values);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Streaming_Equals_Batch_TSeries()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 7);
|
||||
int count = 60;
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
// Streaming
|
||||
var cStream = new Coppock(lr, sr, wp);
|
||||
var streamOut = new double[count];
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
cStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
streamOut[i] = cStream.Last.Value;
|
||||
}
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var cBatch = new Coppock(lr, sr, wp);
|
||||
var batchOut = cBatch.Update(series);
|
||||
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
Assert.Equal(streamOut[i], batchOut.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_Equals_Streaming()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 11);
|
||||
int count = 60;
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
// Span Batch
|
||||
var spanOut = new double[count];
|
||||
Coppock.Batch(prices, spanOut, lr, sr, wp);
|
||||
|
||||
// Streaming
|
||||
var cStream = new Coppock(lr, sr, wp);
|
||||
for (int i = 0; i < count; i++)
|
||||
{
|
||||
cStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
Assert.Equal(spanOut[i], cStream.Last.Value, 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Eventing_Equals_Manual_Streaming()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 13);
|
||||
var series = new TSeries();
|
||||
|
||||
// Subscribe BEFORE adding data so Pub events fire
|
||||
var cEvent = new Coppock(series, lr, sr, wp);
|
||||
|
||||
for (int i = 0; i < 40; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
series.Add(new TValue(bar.Time, bar.Close), isNew: true);
|
||||
}
|
||||
double eventLast = cEvent.Last.Value;
|
||||
|
||||
// Manual streaming replay
|
||||
var cManual = new Coppock(lr, sr, wp);
|
||||
foreach (var tv in series)
|
||||
{
|
||||
cManual.Update(tv, isNew: true);
|
||||
}
|
||||
|
||||
Assert.Equal(eventLast, cManual.Last.Value, 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
// ── G) Span API Tests ────────────────────────────────────────────────────────
|
||||
public sealed class CoppockSpanTests
|
||||
{
|
||||
[Fact]
|
||||
public void Span_MismatchedOutputLength_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3, 4, 5];
|
||||
double[] output = new double[4]; // wrong length
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Coppock.Batch(src, output));
|
||||
Assert.Equal("output", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_ZeroLongRoc_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3];
|
||||
double[] output = new double[3];
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Coppock.Batch(src, output, longRoc: 0));
|
||||
Assert.Equal("longRoc", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_ZeroShortRoc_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3];
|
||||
double[] output = new double[3];
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Coppock.Batch(src, output, shortRoc: 0));
|
||||
Assert.Equal("shortRoc", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_ZeroWmaPeriod_ThrowsArgumentException()
|
||||
{
|
||||
double[] src = [1, 2, 3];
|
||||
double[] output = new double[3];
|
||||
var ex = Assert.Throws<ArgumentException>(() =>
|
||||
Coppock.Batch(src, output, wmaPeriod: 0));
|
||||
Assert.Equal("wmaPeriod", ex.ParamName);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_EmptyInput_NoException()
|
||||
{
|
||||
double[] src = [];
|
||||
double[] output = [];
|
||||
Coppock.Batch(src, output); // should not throw
|
||||
Assert.Empty(src);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_NaNInput_SafeOutput()
|
||||
{
|
||||
var prices = new double[60];
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 99);
|
||||
for (int i = 0; i < 60; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
prices[10] = double.NaN;
|
||||
prices[25] = double.PositiveInfinity;
|
||||
|
||||
var output = new double[60];
|
||||
Coppock.Batch(prices, output, longRoc: 5, shortRoc: 4, wmaPeriod: 4);
|
||||
|
||||
foreach (var v in output) { Assert.True(double.IsFinite(v)); }
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Span_LargeInput_NoStackOverflow()
|
||||
{
|
||||
int n = 5000;
|
||||
var prices = new double[n];
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.01, sigma: 0.1, seed: 77);
|
||||
for (int i = 0; i < n; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
|
||||
var output = new double[n];
|
||||
Coppock.Batch(prices, output); // default periods, large array
|
||||
Assert.True(double.IsFinite(output[^1]));
|
||||
}
|
||||
}
|
||||
|
||||
// ── H) Chainability ──────────────────────────────────────────────────────────
|
||||
public sealed class CoppockChainabilityTests
|
||||
{
|
||||
[Fact]
|
||||
public void Pub_Fires_OnUpdate()
|
||||
{
|
||||
var c = new Coppock(longRoc: 3, shortRoc: 2, wmaPeriod: 3);
|
||||
int fireCount = 0;
|
||||
c.Pub += (object? _, in TValueEventArgs _e) => fireCount++;
|
||||
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
c.Update(new TValue(DateTime.UtcNow, 100.0 + i));
|
||||
}
|
||||
Assert.Equal(5, fireCount);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EventBasedChaining_WorksCorrectly()
|
||||
{
|
||||
var series = new TSeries();
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 5);
|
||||
|
||||
var c = new Coppock(series, longRoc: 3, shortRoc: 2, wmaPeriod: 3);
|
||||
|
||||
for (int i = 0; i < 25; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
series.Add(new TValue(bar.Time, bar.Close), isNew: true);
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(c.Last.Value));
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,212 @@
|
||||
using Xunit;
|
||||
using Xunit.Abstractions;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
/// <summary>
|
||||
/// Coppock Validation Tests.
|
||||
/// No external library (TA-Lib, Skender, Tulip, Ooples) implements the Coppock Curve,
|
||||
/// so validation uses self-consistency checks: streaming==batch(TSeries)==batch(Span),
|
||||
/// directional correctness, and constant-price identity.
|
||||
/// </summary>
|
||||
public sealed class CoppockValidationTests(ITestOutputHelper output)
|
||||
{
|
||||
private readonly ITestOutputHelper _output = output;
|
||||
|
||||
private static double[] GeneratePrices(int count, int seed = 42)
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: seed);
|
||||
var prices = new double[count];
|
||||
for (int i = 0; i < count; i++) { prices[i] = gbm.Next(isNew: true).Close; }
|
||||
return prices;
|
||||
}
|
||||
|
||||
private static TSeries MakeSeries(double[] vals)
|
||||
{
|
||||
var times = new List<long>(vals.Length);
|
||||
var values = new List<double>(vals.Length);
|
||||
var t0 = DateTime.UtcNow;
|
||||
for (int i = 0; i < vals.Length; i++)
|
||||
{
|
||||
times.Add(t0.AddSeconds(i).Ticks);
|
||||
values.Add(vals[i]);
|
||||
}
|
||||
return new TSeries(times, values);
|
||||
}
|
||||
|
||||
// ── A) Streaming == Batch(TSeries) ────────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_Streaming_Equals_Batch()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
double[] prices = GeneratePrices(200);
|
||||
|
||||
// Streaming
|
||||
var cStream = new Coppock(lr, sr, wp);
|
||||
var streamOut = new double[prices.Length];
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
cStream.Update(new TValue(DateTime.UtcNow.AddSeconds(i), prices[i]));
|
||||
streamOut[i] = cStream.Last.Value;
|
||||
}
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var cBatch = new Coppock(lr, sr, wp);
|
||||
var batchOut = cBatch.Update(series);
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
Assert.Equal(streamOut[i], batchOut.Values[i], 1e-6);
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock Streaming == Batch(TSeries): PASSED");
|
||||
}
|
||||
|
||||
// ── B) Batch(TSeries) == Span ─────────────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_Batch_Equals_Span()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
double[] prices = GeneratePrices(200, seed: 77);
|
||||
|
||||
// Span
|
||||
var spanOut = new double[prices.Length];
|
||||
Coppock.Batch(prices, spanOut, lr, sr, wp);
|
||||
|
||||
// Batch TSeries
|
||||
var series = MakeSeries(prices);
|
||||
var batchOut = Coppock.Batch(series, lr, sr, wp);
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
Assert.Equal(spanOut[i], batchOut.Values[i], 1e-9);
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock Batch(TSeries) == Span: PASSED");
|
||||
}
|
||||
|
||||
// ── C) Rising prices → positive ROC → positive Coppock ───────────────────
|
||||
[Fact]
|
||||
public void Validate_StrictlyRising_CoppockPositive()
|
||||
{
|
||||
double startPrice = 100.0;
|
||||
int n = 60;
|
||||
double[] prices = new double[n];
|
||||
for (int i = 0; i < n; i++) { prices[i] = startPrice + i * 0.5; }
|
||||
|
||||
var spanOut = new double[n];
|
||||
Coppock.Batch(prices, spanOut, longRoc: 5, shortRoc: 4, wmaPeriod: 4);
|
||||
|
||||
int warmup = new Coppock(5, 4, 4).WarmupPeriod;
|
||||
for (int i = warmup; i < n; i++)
|
||||
{
|
||||
Assert.True(spanOut[i] > 0, $"Coppock should be positive at index {i}, got {spanOut[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock directional correctness (rising price → positive): PASSED");
|
||||
}
|
||||
|
||||
// ── D) Falling prices → negative Coppock ─────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_StrictlyFalling_CoppockNegative()
|
||||
{
|
||||
double startPrice = 200.0;
|
||||
int n = 60;
|
||||
double[] prices = new double[n];
|
||||
for (int i = 0; i < n; i++) { prices[i] = startPrice - i * 0.5; }
|
||||
|
||||
var spanOut = new double[n];
|
||||
Coppock.Batch(prices, spanOut, longRoc: 5, shortRoc: 4, wmaPeriod: 4);
|
||||
|
||||
int warmup = new Coppock(5, 4, 4).WarmupPeriod;
|
||||
for (int i = warmup; i < n; i++)
|
||||
{
|
||||
Assert.True(spanOut[i] < 0, $"Coppock should be negative at index {i}, got {spanOut[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock directional correctness (falling price → negative): PASSED");
|
||||
}
|
||||
|
||||
// ── E) Constant price → Coppock = 0 ──────────────────────────────────────
|
||||
[Fact]
|
||||
public void Validate_ConstantPrice_CoppockZero()
|
||||
{
|
||||
int n = 60;
|
||||
double[] prices = new double[n];
|
||||
Array.Fill(prices, 100.0);
|
||||
|
||||
var spanOut = new double[n];
|
||||
Coppock.Batch(prices, spanOut, longRoc: 5, shortRoc: 4, wmaPeriod: 4);
|
||||
|
||||
for (int i = 0; i < n; i++)
|
||||
{
|
||||
Assert.Equal(0.0, spanOut[i], 1e-10);
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock constant price → Coppock=0: PASSED");
|
||||
}
|
||||
|
||||
// ── F) Default parameters produce finite values ───────────────────────────
|
||||
[Fact]
|
||||
public void Validate_DefaultParameters_FiniteOutput()
|
||||
{
|
||||
double[] prices = GeneratePrices(500, seed: 123);
|
||||
|
||||
var spanOut = new double[prices.Length];
|
||||
Coppock.Batch(prices, spanOut); // all defaults
|
||||
|
||||
int warmup = new Coppock().WarmupPeriod;
|
||||
for (int i = warmup; i < prices.Length; i++)
|
||||
{
|
||||
Assert.True(double.IsFinite(spanOut[i]), $"Coppock[{i}] not finite: {spanOut[i]}");
|
||||
}
|
||||
|
||||
_output.WriteLine($"Coppock default parameters (warmup={warmup}), 500 bars: all finite. PASSED");
|
||||
}
|
||||
|
||||
// ── G) Different parameters produce distinct results ──────────────────────
|
||||
[Fact]
|
||||
public void Validate_DifferentParams_ProduceDifferentResults()
|
||||
{
|
||||
double[] prices = GeneratePrices(100, seed: 88);
|
||||
|
||||
var out1 = new double[prices.Length];
|
||||
var out2 = new double[prices.Length];
|
||||
|
||||
Coppock.Batch(prices, out1, longRoc: 5, shortRoc: 4, wmaPeriod: 4);
|
||||
Coppock.Batch(prices, out2, longRoc: 10, shortRoc: 8, wmaPeriod: 7);
|
||||
|
||||
int warmup = Math.Max(
|
||||
new Coppock(5, 4, 4).WarmupPeriod,
|
||||
new Coppock(10, 8, 7).WarmupPeriod);
|
||||
|
||||
bool anyDifferent = false;
|
||||
for (int i = warmup; i < prices.Length; i++)
|
||||
{
|
||||
if (Math.Abs(out1[i] - out2[i]) > 1e-6) { anyDifferent = true; break; }
|
||||
}
|
||||
Assert.True(anyDifferent, "Different parameters should produce different Coppock values");
|
||||
|
||||
_output.WriteLine("Coppock different parameters → different results: PASSED");
|
||||
}
|
||||
|
||||
// ── H) Static Batch(TSeries) and Calculate() produce same results ─────────
|
||||
[Fact]
|
||||
public void Validate_StaticBatch_Equals_Calculate()
|
||||
{
|
||||
int lr = 5, sr = 4, wp = 4;
|
||||
double[] prices = GeneratePrices(100, seed: 55);
|
||||
var series = MakeSeries(prices);
|
||||
|
||||
var batchOut = Coppock.Batch(series, lr, sr, wp);
|
||||
var (calcOut, _) = Coppock.Calculate(series, lr, sr, wp);
|
||||
|
||||
for (int i = 0; i < prices.Length; i++)
|
||||
{
|
||||
Assert.Equal(batchOut.Values[i], calcOut.Values[i], 1e-9);
|
||||
}
|
||||
|
||||
_output.WriteLine("Coppock static Batch == Calculate: PASSED");
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,412 @@
|
||||
// COPPOCK: Coppock Curve
|
||||
// WMA of the sum of two Rate-of-Change values at different lookback periods.
|
||||
// Formula: Coppock = WMA(ROC(longRoc) + ROC(shortRoc), wmaPeriod)
|
||||
// Source: Edwin Coppock, "A Guide to the Use of Coppock Curve", Barron's (1962)
|
||||
|
||||
using System.Buffers;
|
||||
using System.Runtime.CompilerServices;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// COPPOCK: Coppock Curve
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// The Coppock Curve applies a Weighted Moving Average to the sum of two
|
||||
/// Rate-of-Change calculations at different lookback periods, producing a
|
||||
/// zero-centered oscillator. Zero-line crossovers from below signal long-term
|
||||
/// buying opportunities on monthly charts.
|
||||
///
|
||||
/// Calculation:
|
||||
/// 1. ROC_long = (price / price[longRoc] - 1) * 100
|
||||
/// 2. ROC_short = (price / price[shortRoc] - 1) * 100
|
||||
/// 3. Combined = ROC_long + ROC_short
|
||||
/// 4. Coppock = WMA(Combined, wmaPeriod)
|
||||
///
|
||||
/// Default parameters: longRoc=14, shortRoc=11, wmaPeriod=10 (original monthly values)
|
||||
/// WarmupPeriod = max(longRoc, shortRoc) + wmaPeriod - 1
|
||||
///
|
||||
/// Sources:
|
||||
/// - Coppock, E.S.C. (1962). "A Guide to the Use of Coppock Curve." Barron's
|
||||
/// - Kirkpatrick, C. & Dahlquist, J. (2010). Technical Analysis, Chapter 15
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Coppock : ITValuePublisher
|
||||
{
|
||||
private const int DefaultLongRoc = 14;
|
||||
private const int DefaultShortRoc = 11;
|
||||
private const int DefaultWmaPeriod = 10;
|
||||
|
||||
private readonly int _longRoc;
|
||||
private readonly int _shortRoc;
|
||||
private readonly int _wmaPeriod;
|
||||
private readonly double _wmaNorm; // W*(W+1)/2
|
||||
|
||||
// ROC lookback ring buffers: slot[head] = oldest price still needed
|
||||
// Size = period+1 so we can store current + lookback[period] simultaneously
|
||||
private readonly double[] _longBuf; // size = longRoc+1
|
||||
private readonly double[] _shortBuf; // size = shortRoc+1
|
||||
|
||||
// WMA dual-running-sum ring buffer
|
||||
private readonly double[] _wmaBuf; // size = wmaPeriod
|
||||
|
||||
// All scalar state grouped for _ps = _s snapshot (bar-correction).
|
||||
// PrevLong / PrevShort / PrevWma: slot values BEFORE the last isNew=true write,
|
||||
// used to restore ring-buffer slots on isNew=false rollback.
|
||||
[StructLayout(LayoutKind.Auto)]
|
||||
private record struct State(
|
||||
int LongHead, int ShortHead,
|
||||
double PrevLong, double PrevShort,
|
||||
int WmaHead, int WmaCount,
|
||||
double WmaPlainSum, double WmaWeightedSum,
|
||||
double PrevWma,
|
||||
int Count, double LastValidPrice);
|
||||
|
||||
private State _s;
|
||||
private State _ps;
|
||||
|
||||
public string Name { get; }
|
||||
public int WarmupPeriod { get; }
|
||||
public TValue Last { get; private set; }
|
||||
|
||||
/// <summary>True when enough bars have been processed for valid output.</summary>
|
||||
public bool IsHot => _s.Count >= WarmupPeriod;
|
||||
|
||||
public event TValuePublishedHandler? Pub;
|
||||
|
||||
public Coppock(int longRoc = DefaultLongRoc, int shortRoc = DefaultShortRoc, int wmaPeriod = DefaultWmaPeriod)
|
||||
{
|
||||
if (longRoc <= 0)
|
||||
{
|
||||
throw new ArgumentException("Long ROC period must be greater than 0", nameof(longRoc));
|
||||
}
|
||||
if (shortRoc <= 0)
|
||||
{
|
||||
throw new ArgumentException("Short ROC period must be greater than 0", nameof(shortRoc));
|
||||
}
|
||||
if (wmaPeriod <= 0)
|
||||
{
|
||||
throw new ArgumentException("WMA period must be greater than 0", nameof(wmaPeriod));
|
||||
}
|
||||
|
||||
_longRoc = longRoc;
|
||||
_shortRoc = shortRoc;
|
||||
_wmaPeriod = wmaPeriod;
|
||||
_wmaNorm = wmaPeriod * (wmaPeriod + 1) * 0.5;
|
||||
|
||||
_longBuf = new double[longRoc + 1];
|
||||
_shortBuf = new double[shortRoc + 1];
|
||||
_wmaBuf = new double[wmaPeriod];
|
||||
|
||||
// Warmup: need max(longRoc,shortRoc) bars before combined ROC is non-zero,
|
||||
// then wmaPeriod bars to fill WMA window. Subtract 1 for the shared bar.
|
||||
WarmupPeriod = Math.Max(longRoc, shortRoc) + wmaPeriod - 1;
|
||||
|
||||
_s = default;
|
||||
_ps = _s;
|
||||
Name = $"Coppock({longRoc},{shortRoc},{wmaPeriod})";
|
||||
}
|
||||
|
||||
public Coppock(ITValuePublisher source, int longRoc = DefaultLongRoc, int shortRoc = DefaultShortRoc, int wmaPeriod = DefaultWmaPeriod)
|
||||
: this(longRoc, shortRoc, wmaPeriod)
|
||||
{
|
||||
source.Pub += Handle;
|
||||
}
|
||||
|
||||
private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void PubEvent(TValue value, bool isNew) =>
|
||||
Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public TValue Update(TValue input, bool isNew = true)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_ps = _s;
|
||||
}
|
||||
else
|
||||
{
|
||||
// Restore ring-buffer slots overwritten by the last isNew=true call.
|
||||
_longBuf[_ps.LongHead] = _s.PrevLong;
|
||||
_shortBuf[_ps.ShortHead] = _s.PrevShort;
|
||||
_wmaBuf[_ps.WmaHead] = _s.PrevWma;
|
||||
_s = _ps;
|
||||
}
|
||||
|
||||
// Local copy for JIT register promotion
|
||||
int longH = _s.LongHead;
|
||||
int shortH = _s.ShortHead;
|
||||
int wmaH = _s.WmaHead;
|
||||
int wmaCount = _s.WmaCount;
|
||||
double plainSum = _s.WmaPlainSum;
|
||||
double weightedSum = _s.WmaWeightedSum;
|
||||
int count = _s.Count;
|
||||
double lastValid = _s.LastValidPrice;
|
||||
|
||||
double price = input.Value;
|
||||
if (!double.IsFinite(price))
|
||||
{
|
||||
price = double.IsFinite(lastValid) ? lastValid : 0.0;
|
||||
}
|
||||
else
|
||||
{
|
||||
lastValid = price;
|
||||
}
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
count++;
|
||||
}
|
||||
|
||||
// ── ROC lookback ring buffers ─────────────────────────────────────────
|
||||
// Capture slot value BEFORE writing (for restore on next isNew=false).
|
||||
double prevLong = _longBuf[longH];
|
||||
double prevShort = _shortBuf[shortH];
|
||||
|
||||
_longBuf[longH] = price;
|
||||
_shortBuf[shortH] = price;
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
longH = (longH + 1) % (_longRoc + 1);
|
||||
shortH = (shortH + 1) % (_shortRoc + 1);
|
||||
}
|
||||
|
||||
// ── Combined ROC ──────────────────────────────────────────────────────
|
||||
double rocLong = prevLong != 0.0 ? 100.0 * (price - prevLong) / prevLong : 0.0;
|
||||
double rocShort = prevShort != 0.0 ? 100.0 * (price - prevShort) / prevShort : 0.0;
|
||||
double combined = rocLong + rocShort;
|
||||
|
||||
// ── WMA dual running sum (O(1) per bar) ───────────────────────────────
|
||||
// When buffer is growing (wmaCount < wmaPeriod):
|
||||
// plainSum += combined
|
||||
// weightedSum += (wmaCount+1) * combined [1-based weight]
|
||||
// When buffer is full (wmaCount == wmaPeriod):
|
||||
// oldest evicted from slot wmaH
|
||||
// plainSum = plainSum - oldest + combined
|
||||
// weightedSum = weightedSum - (plainSum_before_eviction) + wmaPeriod * combined
|
||||
double prevWma = _wmaBuf[wmaH];
|
||||
double coppockVal;
|
||||
|
||||
if (wmaCount < _wmaPeriod)
|
||||
{
|
||||
plainSum += combined;
|
||||
wmaCount++;
|
||||
weightedSum += wmaCount * combined; // weight = position 1..wmaPeriod
|
||||
double norm = wmaCount * (wmaCount + 1) * 0.5;
|
||||
coppockVal = norm != 0.0 ? weightedSum / norm : 0.0;
|
||||
}
|
||||
else
|
||||
{
|
||||
double oldPlain = plainSum;
|
||||
plainSum = plainSum - prevWma + combined;
|
||||
weightedSum = weightedSum - oldPlain + _wmaPeriod * combined;
|
||||
coppockVal = weightedSum / _wmaNorm;
|
||||
}
|
||||
|
||||
_wmaBuf[wmaH] = combined;
|
||||
if (isNew)
|
||||
{
|
||||
wmaH = (wmaH + 1) % _wmaPeriod;
|
||||
}
|
||||
|
||||
// ── Write back state (including pre-write slot snapshots) ─────────────
|
||||
_s = new State(
|
||||
longH, shortH,
|
||||
prevLong, prevShort,
|
||||
wmaH, wmaCount,
|
||||
plainSum, weightedSum,
|
||||
prevWma,
|
||||
count, lastValid);
|
||||
|
||||
Last = new TValue(input.Time, coppockVal);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
/// <summary>Updates streaming state from a <see cref="TSeries"/> and returns output series.</summary>
|
||||
public TSeries Update(TSeries source)
|
||||
{
|
||||
int len = source.Count;
|
||||
if (len == 0)
|
||||
{
|
||||
return new TSeries([], []);
|
||||
}
|
||||
|
||||
var t = new List<long>(len);
|
||||
var v = new List<double>(len);
|
||||
CollectionsMarshal.SetCount(t, len);
|
||||
CollectionsMarshal.SetCount(v, len);
|
||||
|
||||
Batch(source.Values, CollectionsMarshal.AsSpan(v), _longRoc, _shortRoc, _wmaPeriod);
|
||||
|
||||
source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
|
||||
|
||||
// Prime streaming state to match end of batch
|
||||
Reset();
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
Update(new TValue(source.Times[i], source.Values[i]), isNew: true);
|
||||
}
|
||||
|
||||
return new TSeries(t, v);
|
||||
}
|
||||
|
||||
/// <summary>Resets all internal state.</summary>
|
||||
public void Reset()
|
||||
{
|
||||
Array.Clear(_longBuf);
|
||||
Array.Clear(_shortBuf);
|
||||
Array.Clear(_wmaBuf);
|
||||
_s = default;
|
||||
_ps = _s;
|
||||
Last = default;
|
||||
}
|
||||
|
||||
// ── Static Span Batch ────────────────────────────────────────────────────
|
||||
|
||||
/// <summary>
|
||||
/// Calculates Coppock for the full source span. Uses <see cref="ArrayPool{T}"/> for all intermediate buffers.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public static void Batch(
|
||||
ReadOnlySpan<double> source,
|
||||
Span<double> output,
|
||||
int longRoc = DefaultLongRoc,
|
||||
int shortRoc = DefaultShortRoc,
|
||||
int wmaPeriod = DefaultWmaPeriod)
|
||||
{
|
||||
if (source.Length != output.Length)
|
||||
{
|
||||
throw new ArgumentException("Source and output must have the same length", nameof(output));
|
||||
}
|
||||
if (longRoc <= 0)
|
||||
{
|
||||
throw new ArgumentException("Long ROC period must be greater than 0", nameof(longRoc));
|
||||
}
|
||||
if (shortRoc <= 0)
|
||||
{
|
||||
throw new ArgumentException("Short ROC period must be greater than 0", nameof(shortRoc));
|
||||
}
|
||||
if (wmaPeriod <= 0)
|
||||
{
|
||||
throw new ArgumentException("WMA period must be greater than 0", nameof(wmaPeriod));
|
||||
}
|
||||
|
||||
int len = source.Length;
|
||||
if (len == 0)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
int lBufSize = longRoc + 1;
|
||||
int sBufSize = shortRoc + 1;
|
||||
double wmaNorm = wmaPeriod * (wmaPeriod + 1) * 0.5;
|
||||
|
||||
double[] longBuf = ArrayPool<double>.Shared.Rent(lBufSize);
|
||||
double[] shortBuf = ArrayPool<double>.Shared.Rent(sBufSize);
|
||||
double[] wmaBuf = ArrayPool<double>.Shared.Rent(wmaPeriod);
|
||||
|
||||
longBuf.AsSpan(0, lBufSize).Clear();
|
||||
shortBuf.AsSpan(0, sBufSize).Clear();
|
||||
wmaBuf.AsSpan(0, wmaPeriod).Clear();
|
||||
|
||||
try
|
||||
{
|
||||
int longH = 0, shortH = 0, wmaH = 0, wmaCount = 0;
|
||||
double plainSum = 0.0, weightedSum = 0.0;
|
||||
double lastValid = 0.0;
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
double price = source[i];
|
||||
if (!double.IsFinite(price))
|
||||
{
|
||||
price = lastValid;
|
||||
}
|
||||
else
|
||||
{
|
||||
lastValid = price;
|
||||
}
|
||||
|
||||
double prevLong = longBuf[longH];
|
||||
double prevShort = shortBuf[shortH];
|
||||
longBuf[longH] = price;
|
||||
shortBuf[shortH] = price;
|
||||
longH = (longH + 1) % lBufSize;
|
||||
shortH = (shortH + 1) % sBufSize;
|
||||
|
||||
double rocLong = prevLong != 0.0 ? 100.0 * (price - prevLong) / prevLong : 0.0;
|
||||
double rocShort = prevShort != 0.0 ? 100.0 * (price - prevShort) / prevShort : 0.0;
|
||||
double combined = rocLong + rocShort;
|
||||
|
||||
double oldest = wmaBuf[wmaH];
|
||||
double coppockVal;
|
||||
if (wmaCount < wmaPeriod)
|
||||
{
|
||||
plainSum += combined;
|
||||
wmaCount++;
|
||||
weightedSum += wmaCount * combined;
|
||||
double norm = wmaCount * (wmaCount + 1) * 0.5;
|
||||
coppockVal = norm != 0.0 ? weightedSum / norm : 0.0;
|
||||
}
|
||||
else
|
||||
{
|
||||
double oldPlain = plainSum;
|
||||
plainSum = plainSum - oldest + combined;
|
||||
weightedSum = weightedSum - oldPlain + wmaPeriod * combined;
|
||||
coppockVal = weightedSum / wmaNorm;
|
||||
}
|
||||
wmaBuf[wmaH] = combined;
|
||||
wmaH = (wmaH + 1) % wmaPeriod;
|
||||
|
||||
output[i] = coppockVal;
|
||||
}
|
||||
}
|
||||
finally
|
||||
{
|
||||
ArrayPool<double>.Shared.Return(longBuf);
|
||||
ArrayPool<double>.Shared.Return(shortBuf);
|
||||
ArrayPool<double>.Shared.Return(wmaBuf);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>Calculates Coppock for an entire <see cref="TSeries"/>.</summary>
|
||||
public static TSeries Batch(
|
||||
TSeries source,
|
||||
int longRoc = DefaultLongRoc,
|
||||
int shortRoc = DefaultShortRoc,
|
||||
int wmaPeriod = DefaultWmaPeriod)
|
||||
{
|
||||
if (source == null || source.Count == 0)
|
||||
{
|
||||
return new TSeries([], []);
|
||||
}
|
||||
|
||||
int len = source.Count;
|
||||
var t = new List<long>(len);
|
||||
var v = new List<double>(len);
|
||||
CollectionsMarshal.SetCount(t, len);
|
||||
CollectionsMarshal.SetCount(v, len);
|
||||
|
||||
Batch(source.Values, CollectionsMarshal.AsSpan(v), longRoc, shortRoc, wmaPeriod);
|
||||
source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
|
||||
|
||||
return new TSeries(t, v);
|
||||
}
|
||||
|
||||
/// <summary>Creates a Coppock indicator and calculates results for the source series.</summary>
|
||||
public static (TSeries Results, Coppock Indicator) Calculate(
|
||||
TSeries source,
|
||||
int longRoc = DefaultLongRoc,
|
||||
int shortRoc = DefaultShortRoc,
|
||||
int wmaPeriod = DefaultWmaPeriod)
|
||||
{
|
||||
var indicator = new Coppock(longRoc, shortRoc, wmaPeriod);
|
||||
var results = indicator.Update(source);
|
||||
return (results, indicator);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user