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https://github.com/mihakralj/QuanTAlib.git
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adding missing validations
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Miha Kralj
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namespace QuanTAlib.Tests;
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/// <summary>
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/// GATOR Validation Tests — Self-consistency validation.
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/// No external library (TA-Lib, Skender, Tulip, Ooples) implements the Gator oscillator
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/// as a standalone indicator. Validation focuses on internal consistency and mathematical correctness.
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/// </summary>
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public sealed class GatorValidationTests : 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 GatorValidationTests()
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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[] { 5, 3, 3, 2, 2, 1 }, new[] { 13, 8, 8, 5, 5, 3 } };
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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 jp = ps[0], js = ps[1], tp = ps[2], ts = ps[3], lp = ps[4], ls = ps[5];
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var gatorStream = new Gator(jp, js, tp, ts, lp, ls);
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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(gatorStream.Update(tv).Value);
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}
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var batchResults = Gator.Batch(series, jp, js, tp, ts, lp, ls);
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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[] { 5, 3, 3, 2, 2, 1 }, new[] { 13, 8, 8, 5, 5, 3 } };
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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 jp = ps[0], js = ps[1], tp = ps[2], ts = ps[3], lp = ps[4], ls = ps[5];
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var gatorStream = new Gator(jp, js, tp, ts, lp, ls);
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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] = gatorStream.Update(series[i]).Value;
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}
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double[] spanResults = new double[len];
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Gator.Batch(values, spanResults, jp, js, tp, ts, lp, ls);
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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_ZeroHistograms()
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{
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var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var baseTime = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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var result = gator.Update(new TValue(baseTime.AddMinutes(i), 100));
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if (gator.IsHot)
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{
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// All SMMAs converge to input → shifted values all equal → histograms = 0
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Assert.Equal(0.0, result.Value, 1e-6);
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Assert.Equal(0.0, gator.Lower, 1e-6);
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}
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}
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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 gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var baseTime = DateTime.UtcNow;
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// Before all buffers are full, output is 0
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for (int i = 0; i < 3; i++)
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{
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var result = gator.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(gator.IsHot);
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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 gator_small = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var gator_default = new Gator();
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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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gator_small.Update(tv);
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gator_default.Update(tv);
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}
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Assert.True(double.IsFinite(gator_small.Last.Value));
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Assert.True(double.IsFinite(gator_default.Last.Value));
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Assert.True(gator_small.Last.Value >= 0);
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Assert.True(gator_default.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) = Gator.Calculate(series, jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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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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int jp = 5, js = 3, tp = 3, ts = 2, lp = 2, ls = 1;
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var gator1 = new Gator(jp, js, tp, ts, lp, ls);
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var gator2 = new Gator(jp, js, tp, ts, lp, ls);
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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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// Gator1: feed all values normally
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foreach (var tv in series)
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{
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gator1.Update(tv, isNew: true);
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}
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// Gator2: 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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gator2.Update(series[i], isNew: true);
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}
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// Feed wrong last value first
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gator2.Update(new TValue(series[^1].Time, 999999), isNew: true);
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// Correct it
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gator2.Update(series[^1], isNew: false);
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Assert.Equal(gator1.Last.Value, gator2.Last.Value, 1e-10);
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}
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[Fact]
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public void Validation_Gator_UpperAlwaysNonNegative()
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{
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var gator = new Gator();
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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 = gator.Update(tv);
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Assert.True(result.Value >= 0, $"Upper 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_Gator_LowerAlwaysNonPositive()
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{
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var gator = new Gator();
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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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gator.Update(tv);
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Assert.True(gator.Lower <= 0, $"Lower must be non-positive, got {gator.Lower}");
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}
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}
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[Fact]
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public void Validation_Symmetry_UpperAndLowerCoexist()
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{
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// In a trending market, both upper and lower should be active
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var gator = new Gator(jawPeriod: 5, jawShift: 3, teethPeriod: 3, teethShift: 2, lipsPeriod: 2, lipsShift: 1);
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var baseTime = DateTime.UtcNow;
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for (int i = 0; i < 30; i++)
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{
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gator.Update(new TValue(baseTime.AddMinutes(i), 100 + (i * 3)));
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}
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Assert.True(gator.IsHot);
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// In a strong trend, upper > 0 and lower < 0
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Assert.True(gator.Last.Value > 0, $"Upper should be positive in trend, got {gator.Last.Value}");
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Assert.True(gator.Lower < 0, $"Lower should be negative in trend, got {gator.Lower}");
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}
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[Fact]
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public void Validation_ZeroShift_StillWorks()
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{
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// Zero shift = no delay, immediate difference
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var gator = new Gator(jawPeriod: 13, jawShift: 0, teethPeriod: 8, teethShift: 0, lipsPeriod: 5, lipsShift: 0);
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.3);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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var result = gator.Update(new TValue(bar.Time, bar.Close));
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Assert.True(double.IsFinite(result.Value));
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Assert.True(result.Value >= 0);
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}
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}
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}
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