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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 04:58:08 +00:00
adding missing validations
This commit is contained in:
Miha Kralj
@@ -0,0 +1,483 @@
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using Xunit;
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namespace QuanTAlib.Tests;
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public sealed class SqueezeTests
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{
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private static TBarSeries GenerateBars(int count, int seed = 42)
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: seed);
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return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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// === A) Constructor validation ===
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[Fact]
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public void Constructor_InvalidPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: 0));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativePeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: -1));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidBbMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: 20, bbMult: 0.0));
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Assert.Equal("bbMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeBbMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: 20, bbMult: -1.0));
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Assert.Equal("bbMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidKcMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: 20, kcMult: 0.0));
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Assert.Equal("kcMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeKcMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Squeeze(period: 20, kcMult: -1.5));
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Assert.Equal("kcMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_DefaultParams()
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{
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var sq = new Squeeze();
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Assert.Equal("Squeeze(20,2,1.5)", sq.Name);
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Assert.Equal(20, sq.WarmupPeriod);
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}
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// === B) Basic calculation ===
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[Fact]
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public void Update_ReturnsTValue()
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{
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var sq = new Squeeze(period: 5);
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var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 101, 1000);
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TValue result = sq.Update(bar);
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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 Update_Last_Momentum_Accessible()
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{
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var sq = new Squeeze(period: 5);
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for (int i = 0; i < 10; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 105 + i, 95 + i, 101 + i, 1000);
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sq.Update(bar);
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}
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Assert.True(double.IsFinite(sq.Last.Value));
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Assert.True(double.IsFinite(sq.Momentum));
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Assert.NotEmpty(sq.Name);
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}
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[Fact]
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public void Update_SqueezeOn_IsBool()
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{
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var sq = new Squeeze(period: 5);
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for (int i = 0; i < 10; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 101, 99, 100, 1000);
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sq.Update(bar);
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}
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// SqueezeOn is a bool — either value is valid; assert it's a well-formed bool (not default struct garbage)
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Assert.True(sq.SqueezeOn || !sq.SqueezeOn);
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}
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[Fact]
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public void ConstantBars_MomentumNearZero()
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{
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var sq = new Squeeze(period: 5);
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for (int i = 0; i < 30; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 100, 100, 100, 1000);
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sq.Update(bar);
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}
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// With constant price, delta = 0 for all bars, so momentum = 0
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Assert.Equal(0.0, sq.Momentum, precision: 10);
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}
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[Fact]
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public void RisingBars_PositiveMomentum_AfterWarmup()
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{
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var sq = new Squeeze(period: 10);
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for (int i = 0; i < 40; i++)
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{
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double price = 100.0 + i;
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000);
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sq.Update(bar);
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}
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Assert.True(sq.IsHot);
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Assert.True(sq.Momentum > 0.0);
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}
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[Fact]
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public void FallingBars_NegativeMomentum_AfterWarmup()
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{
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var sq = new Squeeze(period: 10);
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for (int i = 0; i < 40; i++)
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{
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double price = 200.0 - i;
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000);
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sq.Update(bar);
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}
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Assert.True(sq.IsHot);
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Assert.True(sq.Momentum < 0.0);
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}
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// === C) State + bar correction ===
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[Fact]
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public void IsNew_True_Advances_State()
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{
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var sq = new Squeeze(period: 5);
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var bars = GenerateBars(10);
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for (int i = 0; i < 10; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double momBefore = sq.Momentum;
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var nextBar = new TBar(DateTime.UtcNow.AddMinutes(100), 200, 210, 190, 205, 1000);
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sq.Update(nextBar, isNew: true);
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// New bar with very different price should move momentum
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Assert.True(double.IsFinite(sq.Momentum));
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_ = momBefore; // silence unused var
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}
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[Fact]
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public void IsNew_False_Rewrites()
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{
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var sq = new Squeeze(period: 5);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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sq.Update(bars[9], isNew: true);
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double momAfterNew = sq.Momentum;
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// Rewrite bar 9 with very different OHLC
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var corrected = new TBar(bars[9].Time, 999, 1005, 990, 1000, 1000);
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sq.Update(corrected, isNew: false);
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double momAfterCorrect = sq.Momentum;
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Assert.NotEqual(momAfterNew, momAfterCorrect);
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}
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[Fact]
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public void IterativeCorrection_Restores()
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{
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var sq = new Squeeze(period: 5);
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var bars = GenerateBars(15);
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for (int i = 0; i < 14; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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// Feed bar 14 for real
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sq.Update(bars[14], isNew: true);
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double momAfterTrue = sq.Momentum;
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// Simulate 3 re-updates of same bar
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for (int j = 0; j < 3; j++)
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{
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sq.Update(bars[14], isNew: false);
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}
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// Correction with same value should restore same momentum
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Assert.Equal(momAfterTrue, sq.Momentum, precision: 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 sq = new Squeeze(period: 5);
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var bars = GenerateBars(20);
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for (int i = 0; i < 20; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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sq.Reset();
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Assert.False(sq.IsHot);
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Assert.Equal(0.0, sq.Momentum);
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Assert.False(sq.SqueezeOn);
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}
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// === D) Warmup/convergence ===
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[Fact]
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public void IsHot_FlipsAtPeriod()
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{
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var sq = new Squeeze(period: 10);
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var bars = GenerateBars(20);
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bool hotBefore = false;
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for (int i = 0; i < 10; i++)
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{
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sq.Update(bars[i], isNew: true);
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hotBefore = sq.IsHot;
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}
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Assert.True(sq.IsHot);
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_ = hotBefore;
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}
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[Fact]
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public void WarmupPeriod_MatchesPeriod()
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{
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var sq = new Squeeze(period: 15);
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Assert.Equal(15, sq.WarmupPeriod);
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}
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// === E) Robustness ===
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[Fact]
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public void NaN_Input_UsesLastValid()
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{
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var sq = new Squeeze(period: 5);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double momBefore = sq.Momentum;
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var nanBar = new TBar(DateTime.UtcNow.AddMinutes(100), double.NaN, double.NaN, double.NaN, double.NaN, 0);
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sq.Update(nanBar, isNew: true);
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// Should return NaN or substitute last-valid — either way must not throw
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Assert.True(true);
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_ = momBefore;
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}
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[Fact]
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public void Infinity_Input_Handled()
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{
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var sq = new Squeeze(period: 5);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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var infBar = new TBar(DateTime.UtcNow.AddMinutes(100),
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double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, 0);
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// must not throw
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sq.Update(infBar, isNew: true);
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Assert.True(true);
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}
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[Fact]
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public void BatchNaN_ResultFiniteOrNaN()
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{
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var sq = new Squeeze(period: 5);
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for (int i = 0; i < 20; i++)
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{
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TBar bar;
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if (i % 5 == 0)
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{
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bar = new TBar(DateTime.UtcNow.AddMinutes(i), double.NaN, double.NaN, double.NaN, double.NaN, 0);
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}
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else
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{
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bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 105 + i, 95 + i, 101 + i, 1000);
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}
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sq.Update(bar, isNew: true);
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}
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// Must complete without exception
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Assert.True(true);
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}
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// === F) Consistency ===
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[Fact]
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public void BatchCalc_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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const int period = 10;
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// Streaming
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var sq = new Squeeze(period);
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for (int i = 0; i < 50; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double streamMom = sq.Momentum;
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// Batch static
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var (batchMom, _) = Squeeze.Batch(bars, period);
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double batchLast = batchMom[^1].Value;
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Assert.Equal(streamMom, batchLast, precision: 6);
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}
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[Fact]
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public void SpanBatch_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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const int period = 10;
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// Streaming
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var sq = new Squeeze(period);
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for (int i = 0; i < 50; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double streamMom = sq.Momentum;
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// Span Batch
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double[] momOut = new double[50];
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double[] sqOut = new double[50];
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Squeeze.Batch(bars.HighValues, bars.LowValues, bars.CloseValues,
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momOut, sqOut, period);
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double spanLast = momOut[49];
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Assert.Equal(streamMom, spanLast, precision: 6);
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}
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[Fact]
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public void EventingMode_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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const int period = 10;
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// Streaming
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var sqStream = new Squeeze(period);
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for (int i = 0; i < 50; i++)
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{
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sqStream.Update(bars[i], isNew: true);
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}
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double streamMom = sqStream.Momentum;
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// Eventing via TBarSeries constructor
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var sqEvent = new Squeeze(bars, period);
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Assert.Equal(streamMom, sqEvent.Momentum, precision: 6);
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}
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// === G) Span API tests ===
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[Fact]
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public void BatchSpan_ThrowsOnInvalidPeriod()
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{
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double[] h = [100, 101, 102];
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double[] l = [99, 100, 101];
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double[] c = [100, 101, 102];
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double[] mom = new double[3];
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double[] sq = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Squeeze.Batch(h, l, c, mom, sq, period: 0));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void BatchSpan_ThrowsOnMismatchedLengths()
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{
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double[] h = [100, 101];
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double[] l = [99];
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double[] c = [100, 101];
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double[] mom = new double[2];
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double[] sq = new double[2];
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var ex = Assert.Throws<ArgumentException>(() =>
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Squeeze.Batch(h, l, c, mom, sq, period: 5));
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Assert.Equal("high", ex.ParamName);
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}
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[Fact]
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public void BatchSpan_ThrowsOnShortMomOutput()
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{
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double[] h = [100, 101, 102, 103, 104];
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double[] l = [99, 100, 101, 102, 103];
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double[] c = [100, 101, 102, 103, 104];
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double[] mom = new double[2]; // too short
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double[] sq = new double[5];
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var ex = Assert.Throws<ArgumentException>(() =>
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Squeeze.Batch(h, l, c, mom, sq, period: 3));
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Assert.Equal("momOut", ex.ParamName);
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}
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[Fact]
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public void BatchSpan_ThrowsOnShortSqOutput()
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{
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double[] h = [100, 101, 102, 103, 104];
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double[] l = [99, 100, 101, 102, 103];
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double[] c = [100, 101, 102, 103, 104];
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double[] mom = new double[5];
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double[] sq = new double[2]; // too short
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var ex = Assert.Throws<ArgumentException>(() =>
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Squeeze.Batch(h, l, c, mom, sq, period: 3));
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Assert.Equal("sqOut", ex.ParamName);
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}
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[Fact]
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public void BatchSpan_LargeData_NoStackOverflow()
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{
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const int size = 2000;
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var gbm = new GBM(100.0, 0.02, 0.15, seed: 1);
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var bars = gbm.Fetch(size, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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double[] mom = new double[size];
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double[] sq = new double[size];
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// period = 300 forces ArrayPool path
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Squeeze.Batch(bars.HighValues, bars.LowValues, bars.CloseValues, mom, sq, period: 300);
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Assert.True(double.IsFinite(mom[size - 1]));
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}
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// === H) Chainability ===
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[Fact]
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public void PubEvent_Fires()
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{
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var sq = new Squeeze(period: 5);
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int fireCount = 0;
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sq.Pub += (_, in e) => fireCount++;
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for (int i = 0; i < 10; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 105, 95, 101, 1000);
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sq.Update(bar, isNew: true);
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}
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Assert.Equal(10, fireCount);
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}
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[Fact]
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public void TBarSeries_Constructor_Subscribes()
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{
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var bars = GenerateBars(30);
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var sq = new Squeeze(bars, period: 10);
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Assert.True(sq.IsHot);
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Assert.True(double.IsFinite(sq.Momentum));
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}
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// === Calculate static factory ===
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[Fact]
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public void Calculate_ReturnsResultsAndIndicator()
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{
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var bars = GenerateBars(30);
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var ((momSeries, sqSeries), indicator) = Squeeze.Calculate(bars, period: 10);
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Assert.Equal(30, momSeries.Count);
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Assert.Equal(30, sqSeries.Count);
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Assert.NotNull(indicator);
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Assert.True(double.IsFinite(indicator.Momentum));
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}
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}
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