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adding missing validations
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Miha Kralj
@@ -0,0 +1,277 @@
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namespace QuanTAlib.Tests;
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/// <summary>
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/// ETHERM Validation Tests — Self-consistency validation.
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/// Elder's Thermometer is not widely available in TA-Lib, Skender, Tulip, or Ooples,
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/// so validation focuses on internal consistency and mathematical correctness.
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/// </summary>
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public sealed class EthermValidationTests : 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 EthermValidationTests()
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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[] periods = { 5, 14, 22, 50 };
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foreach (var period in periods)
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{
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// Streaming
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var ethermStream = new Etherm(period);
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var streamResults = new List<double>();
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foreach (var bar in _testData.Bars)
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{
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streamResults.Add(ethermStream.Update(bar).Value);
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}
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// Batch
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var batchResults = Etherm.Batch(_testData.Bars, period);
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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[] periods = { 5, 14, 22 };
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int len = _testData.Bars.Count;
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double[] highs = new double[len];
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double[] lows = new double[len];
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for (int i = 0; i < len; i++)
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{
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highs[i] = _testData.Bars[i].High;
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lows[i] = _testData.Bars[i].Low;
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}
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foreach (var period in periods)
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{
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// Streaming
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var ethermStream = new Etherm(period);
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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] = ethermStream.Update(_testData.Bars[i]).Value;
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}
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// Span batch (raw temperature only)
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double[] spanResults = new double[len];
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Etherm.Batch(highs, lows, spanResults, period);
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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_InsideBars_ReturnZero()
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{
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var etherm = new Etherm(22);
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// Bar1: H=110, L=90
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var bar1 = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000);
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etherm.Update(bar1);
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// Bar2: inside bar (H=105 < 110 AND L=95 > 90) → temp = 0
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 105, 95, 100, 1000);
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var result = etherm.Update(bar2);
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Assert.Equal(0.0, result.Value, 1e-10);
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// Bar3: inside bar again (H=103 < 105... wait, that's relative to bar2)
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// Re-check: prevH=105, prevL=95 → H=104 < 105, L=96 > 95 → inside
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var bar3 = new TBar(DateTime.UtcNow.AddMinutes(2), 100, 104, 96, 100, 1000);
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var result3 = etherm.Update(bar3);
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Assert.Equal(0.0, result3.Value, 1e-10);
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}
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[Fact]
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public void Validation_FlatMarket_ZeroTemperature()
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{
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var etherm = new Etherm(22);
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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 bar = new TBar(baseTime.AddMinutes(i), 100, 100, 100, 100, 1000);
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etherm.Update(bar);
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}
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// Flat market: all H=L=O=C → highDiff=0, lowDiff=0, not inside bar, temp=0
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Assert.Equal(0.0, etherm.Last.Value, 1e-10);
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Assert.Equal(0.0, etherm.Signal, 1e-10);
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}
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[Fact]
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public void Validation_GapUp_MeasuresHighExtension()
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{
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var etherm = new Etherm(22);
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// Bar1: H=100, L=90
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var bar1 = new TBar(DateTime.UtcNow, 95, 100, 90, 95, 1000);
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etherm.Update(bar1);
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// Bar2: Gap up → H=120, L=105 → highDiff=|120-100|=20, lowDiff=|90-105|=15
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// Not inside (120 > 100), temp = max(20, 15) = 20
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 110, 120, 105, 115, 1000);
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var result = etherm.Update(bar2);
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Assert.Equal(20.0, result.Value, 1e-10);
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}
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[Fact]
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public void Validation_GapDown_MeasuresLowExtension()
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{
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var etherm = new Etherm(22);
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// Bar1: H=100, L=90
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var bar1 = new TBar(DateTime.UtcNow, 95, 100, 90, 95, 1000);
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etherm.Update(bar1);
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// Bar2: Gap down → H=95, L=70 → highDiff=|95-100|=5, lowDiff=|90-70|=20
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// Not inside (95 < 100 but 70 < 90, so not BOTH conditions met)
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// Inside = H < prevH AND L > prevL → 95 < 100 is true, but 70 > 90 is false → NOT inside
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// temp = max(5, 20) = 20
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var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 80, 95, 70, 75, 1000);
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var result = etherm.Update(bar2);
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Assert.Equal(20.0, result.Value, 1e-10);
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}
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// ============== Different Periods ==============
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[Fact]
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public void Validation_DifferentPeriods_ProduceDifferentSignals()
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{
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var etherm5 = new Etherm(5);
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var etherm22 = new Etherm(22);
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var etherm50 = new Etherm(50);
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.5);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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etherm5.Update(bar);
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etherm22.Update(bar);
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etherm50.Update(bar);
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}
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// Temperature (Last) should be the same regardless of period
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// (EMA period only affects Signal)
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Assert.Equal(etherm5.Last.Value, etherm22.Last.Value, 1e-10);
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Assert.Equal(etherm22.Last.Value, etherm50.Last.Value, 1e-10);
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// But signals should differ (different EMA periods)
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// Note: They can be equal in degenerate cases, but generally should differ
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Assert.True(double.IsFinite(etherm5.Signal));
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Assert.True(double.IsFinite(etherm22.Signal));
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Assert.True(double.IsFinite(etherm50.Signal));
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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: 0.5);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var (results, indicator) = Etherm.Calculate(bars, 14);
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Assert.Equal(bars.Count, results.Count);
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Assert.True(indicator.IsHot);
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Assert.True(double.IsFinite(indicator.Signal));
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}
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[Fact]
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public void Validation_BarCorrection_Consistent()
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{
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var etherm1 = new Etherm(14);
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var etherm2 = new Etherm(14);
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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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// Etherm1: feed all bars normally
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foreach (var bar in bars)
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{
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etherm1.Update(bar, isNew: true);
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}
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// Etherm2: feed bars with corrections (isNew=false for last bar, then replace)
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for (int i = 0; i < bars.Count - 1; i++)
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{
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etherm2.Update(bars[i], isNew: true);
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}
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// Feed an incorrect last bar first
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var wrongBar = new TBar(bars[^1].Time, 0, 999, 1, 500, 1000);
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etherm2.Update(wrongBar, isNew: true);
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// Correct it
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etherm2.Update(bars[^1], isNew: false);
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Assert.Equal(etherm1.Last.Value, etherm2.Last.Value, 1e-10);
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Assert.Equal(etherm1.Signal, etherm2.Signal, 1e-10);
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}
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[Fact]
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public void Validation_Temperature_AlwaysNonNegative()
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{
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var etherm = new Etherm(22);
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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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foreach (var bar in bars)
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{
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var result = etherm.Update(bar);
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Assert.True(result.Value >= 0, $"Temperature 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_Signal_AlwaysNonNegative()
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{
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var etherm = new Etherm(22);
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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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foreach (var bar in bars)
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{
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etherm.Update(bar);
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Assert.True(etherm.Signal >= 0, $"Signal must be non-negative, got {etherm.Signal}");
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}
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}
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}
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