Add TEMA (Triple Exponential Moving Average) implementation and validation tests

- Implemented TEMA calculation in QuanTAlib with O(1) update complexity. - Added validation tests for TEMA against Skender, TA-Lib, and Tulip indicators. - Updated documentation for TEMA, including its mathematical foundation and usage examples. - Enhanced existing tests for other indicators (TRIMA, WMA) to generate more records. - Adjusted benchmark tests to include DEMA and TEMA comparisons. - Refactored code for better readability and performance, including zero-allocation Span API.
2026-08-25 13:58:04 +00:00 · 2025-12-04 19:57:46 -08:00
parent ee358bfdd9
commit 9e152b9027
24 changed files with 2528 additions and 136 deletions
@@ -0,0 +1,155 @@
+using Xunit;
+
+namespace QuanTAlib.Tests;
+
+public class DemaTests
+{
+    [Fact]
+    public void Dema_Matches_ManualCalculation()
+    {
+        // Arrange
+        int period = 10;
+        var dema = new Dema(period);
+        var ema1 = new Ema(period);
+        var ema2 = new Ema(period);
+        var r = new Random(123);
+
+        // Act & Assert
+        for (int i = 0; i < 100; i++)
+        {
+            double val = r.NextDouble() * 100;
+            var tVal = new TValue(DateTime.Now.AddMinutes(i), val);
+
+            var dVal = dema.Update(tVal);
+            
+            var e1Val = ema1.Update(tVal);
+            var e2Val = ema2.Update(e1Val);
+            double expected = 2 * e1Val.Value - e2Val.Value;
+
+            Assert.Equal(expected, dVal.Value, 1e-9);
+        }
+    }
+
+    [Fact]
+    public void StaticCalculate_Matches_ObjectUpdate()
+    {
+        // Arrange
+        int period = 10;
+        var source = new TSeries();
+        var r = new Random(123);
+        for (int i = 0; i < 100; i++)
+        {
+            source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
+        }
+
+        // Act
+        var demaSeries = Dema.Calculate(source, period);
+        var demaObj = new Dema(period);
+        
+        // Assert
+        for (int i = 0; i < source.Count; i++)
+        {
+            var val = demaObj.Update(source[i]);
+            Assert.Equal(val.Value, demaSeries[i].Value, 1e-9);
+        }
+    }
+
+    [Fact]
+    public void ZeroAllocCalculate_Matches_ObjectUpdate()
+    {
+        // Arrange
+        int period = 10;
+        int count = 100;
+        var source = new double[count];
+        var output = new double[count];
+        var r = new Random(123);
+        for (int i = 0; i < count; i++)
+        {
+            source[i] = r.NextDouble() * 100;
+        }
+
+        // Act
+        Dema.Calculate(source, output, period);
+        var demaObj = new Dema(period);
+
+        // Assert
+        for (int i = 0; i < count; i++)
+        {
+            var val = demaObj.Update(new TValue(DateTime.Now, source[i]));
+            Assert.Equal(val.Value, output[i], 1e-9);
+        }
+    }
+
+    [Fact]
+    public void Alpha_Constructor_Matches_Period_Constructor()
+    {
+        // Arrange
+        int period = 10;
+        double alpha = 2.0 / (period + 1);
+        var demaPeriod = new Dema(period);
+        var demaAlpha = new Dema(alpha);
+        var r = new Random(123);
+
+        // Act & Assert
+        for (int i = 0; i < 100; i++)
+        {
+            double val = r.NextDouble() * 100;
+            var tVal = new TValue(DateTime.Now.AddMinutes(i), val);
+
+            var pVal = demaPeriod.Update(tVal);
+            var aVal = demaAlpha.Update(tVal);
+
+            Assert.Equal(pVal.Value, aVal.Value, 1e-9);
+        }
+    }
+
+    [Fact]
+    public void StaticCalculate_Alpha_Matches_ObjectUpdate()
+    {
+        // Arrange
+        double alpha = 0.15;
+        var source = new TSeries();
+        var r = new Random(123);
+        for (int i = 0; i < 100; i++)
+        {
+            source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
+        }
+
+        // Act
+        var demaSeries = Dema.Calculate(source, alpha);
+        var demaObj = new Dema(alpha);
+        
+        // Assert
+        for (int i = 0; i < source.Count; i++)
+        {
+            var val = demaObj.Update(source[i]);
+            Assert.Equal(val.Value, demaSeries[i].Value, 1e-9);
+        }
+    }
+
+    [Fact]
+    public void ZeroAllocCalculate_Alpha_Matches_ObjectUpdate()
+    {
+        // Arrange
+        double alpha = 0.15;
+        int count = 100;
+        var source = new double[count];
+        var output = new double[count];
+        var r = new Random(123);
+        for (int i = 0; i < count; i++)
+        {
+            source[i] = r.NextDouble() * 100;
+        }
+
+        // Act
+        Dema.Calculate(source, output, alpha);
+        var demaObj = new Dema(alpha);
+
+        // Assert
+        for (int i = 0; i < count; i++)
+        {
+            var val = demaObj.Update(new TValue(DateTime.Now, source[i]));
+            Assert.Equal(val.Value, output[i], 1e-9);
+        }
+    }
+}