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Miha Kralj
@@ -0,0 +1,548 @@
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// TR Unit Tests
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using Xunit;
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namespace QuanTAlib.Tests;
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public class TrTests
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{
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private readonly GBM _gbm;
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private const double Tolerance = 1e-10;
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public TrTests()
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{
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_gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
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}
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private TBarSeries GenerateBars(int count)
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{
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_gbm.Reset(DateTime.UtcNow.Ticks);
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return _gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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#region Constructor Tests
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[Fact]
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public void Constructor_DefaultParameters_SetsCorrectValues()
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{
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var tr = new Tr();
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Assert.Equal("Tr", tr.Name);
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Assert.Equal(1, tr.WarmupPeriod);
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}
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[Fact]
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public void Constructor_WithSource_SubscribesToEvents()
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{
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var source = new TSeries();
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var tr = new Tr(source);
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source.Add(new TValue(DateTime.UtcNow, 100.0));
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Assert.NotEqual(default, tr.Last);
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}
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#endregion
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#region Basic Calculation Tests
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[Fact]
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public void Update_FirstBar_ReturnsHighMinusLow()
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{
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var tr = new Tr();
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var bar = new TBar(DateTime.UtcNow, 100, 105, 98, 102, 1000);
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var result = tr.Update(bar);
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// First bar: TR = High - Low = 105 - 98 = 7
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Assert.Equal(7.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_SecondBar_CalculatesTrueRange()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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// First bar: Close = 100
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tr.Update(new TBar(time.AddSeconds(-1), 99, 101, 97, 100, 1000));
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// Second bar: H=105, L=98, prevClose=100
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// TR1 = 105 - 98 = 7
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// TR2 = |105 - 100| = 5
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// TR3 = |98 - 100| = 2
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// TR = max(7, 5, 2) = 7
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var result = tr.Update(new TBar(time, 100, 105, 98, 103, 1000));
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Assert.Equal(7.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_GapUp_UsesPrevClose()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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// First bar: Close = 100
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tr.Update(new TBar(time.AddSeconds(-1), 99, 101, 97, 100, 1000));
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// Gap up bar: H=115, L=110, prevClose=100
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// TR1 = 115 - 110 = 5
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// TR2 = |115 - 100| = 15
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// TR3 = |110 - 100| = 10
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// TR = max(5, 15, 10) = 15
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var result = tr.Update(new TBar(time, 112, 115, 110, 113, 1000));
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Assert.Equal(15.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_GapDown_UsesPrevClose()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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// First bar: Close = 100
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tr.Update(new TBar(time.AddSeconds(-1), 99, 101, 97, 100, 1000));
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// Gap down bar: H=90, L=85, prevClose=100
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// TR1 = 90 - 85 = 5
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// TR2 = |90 - 100| = 10
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// TR3 = |85 - 100| = 15
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// TR = max(5, 10, 15) = 15
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var result = tr.Update(new TBar(time, 88, 90, 85, 87, 1000));
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Assert.Equal(15.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_ReturnsNonNegative()
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{
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var tr = new Tr();
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var bars = GenerateBars(100);
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for (int i = 0; i < bars.Count; i++)
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{
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var result = tr.Update(bars[i]);
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Assert.True(result.Value >= 0, $"TR should 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 Update_WithTValue_ReturnsZeroRange()
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{
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var tr = new Tr();
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// When using TValue, H=L=C, so range is always 0 for first bar
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var result = tr.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(0.0, result.Value, Tolerance);
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}
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#endregion
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#region IsHot and WarmupPeriod Tests
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[Fact]
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public void IsHot_AfterFirstBar_ReturnsTrue()
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{
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var tr = new Tr();
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Assert.False(tr.IsHot);
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tr.Update(new TBar(DateTime.UtcNow, 99, 101, 97, 100, 1000));
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Assert.True(tr.IsHot);
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}
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[Fact]
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public void WarmupPeriod_EqualsOne()
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{
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var tr = new Tr();
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Assert.Equal(1, tr.WarmupPeriod);
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}
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#endregion
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#region State and Bar Correction Tests
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[Fact]
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public void Update_IsNewTrue_AdvancesState()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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tr.Update(new TBar(time.AddSeconds(-2), 99, 101, 97, 100, 1000), isNew: true);
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var val1 = tr.Update(new TBar(time.AddSeconds(-1), 100, 105, 98, 103, 1000), isNew: true);
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// New sequence with different previous close
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var tr2 = new Tr();
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tr2.Update(new TBar(time.AddSeconds(-2), 99, 101, 97, 95, 1000), isNew: true);
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var val2 = tr2.Update(new TBar(time.AddSeconds(-1), 100, 105, 98, 103, 1000), isNew: true);
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// Different previous close should produce different TR
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Assert.NotEqual(val1.Value, val2.Value, Tolerance);
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}
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[Fact]
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public void Update_IsNewFalse_RollsBackState()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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// Build up history
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for (int i = 0; i < 5; i++)
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{
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var bar = GenerateBars(1)[0];
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tr.Update(bar, isNew: true);
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}
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var lastBar = GenerateBars(1)[0];
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// New bar
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var result1 = tr.Update(new TBar(time, lastBar.Open, 110, 90, 100, 1000), isNew: true);
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// Update same bar with different values - should rollback
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var result2 = tr.Update(new TBar(time, lastBar.Open, 120, 80, 100, 1000), isNew: false);
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// Different range should produce different result
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Assert.NotEqual(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_IterativeCorrections_RestoreState()
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{
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var tr = new Tr();
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var time = DateTime.UtcNow;
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// Build history
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tr.Update(new TBar(time.AddSeconds(-1), 99, 101, 97, 100, 1000), isNew: true);
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// Start a new bar
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var newBarResult = tr.Update(new TBar(time, 100, 110, 95, 105, 1000), isNew: true);
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// Multiple corrections
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_ = tr.Update(new TBar(time, 100, 115, 90, 105, 1000), isNew: false);
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_ = tr.Update(new TBar(time, 100, 120, 85, 105, 1000), isNew: false);
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var correction3 = tr.Update(new TBar(time, 100, 110, 95, 105, 1000), isNew: false);
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// Going back to original values should restore original result
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Assert.Equal(newBarResult.Value, correction3.Value, Tolerance);
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}
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#endregion
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#region Reset Tests
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[Fact]
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public void Reset_ClearsState()
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{
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var tr = new Tr();
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var bars = GenerateBars(10);
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for (int i = 0; i < bars.Count; i++)
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{
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tr.Update(bars[i]);
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}
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Assert.True(tr.IsHot);
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tr.Reset();
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Assert.False(tr.IsHot);
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Assert.Equal(default, tr.Last);
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}
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[Fact]
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public void Reset_AllowsReuseOfIndicator()
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{
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var tr = new Tr();
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var bars = GenerateBars(10);
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// First run
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for (int i = 0; i < bars.Count; i++)
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{
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tr.Update(bars[i]);
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}
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var firstResult = tr.Last;
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tr.Reset();
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// Second run with same data
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for (int i = 0; i < bars.Count; i++)
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{
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tr.Update(bars[i]);
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}
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var secondResult = tr.Last;
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Assert.Equal(firstResult.Value, secondResult.Value, Tolerance);
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}
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#endregion
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#region NaN and Infinity Handling Tests
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[Fact]
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public void Update_NaNHigh_UsesLastValidValue()
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{
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var tr = new Tr();
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(-1), 99, 101, 97, 100, 1000));
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_ = tr.Update(new TBar(DateTime.UtcNow, 100, 110, 95, 105, 1000));
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var nanResult = tr.Update(new TBar(DateTime.UtcNow.AddSeconds(1), 100, double.NaN, 90, 95, 1000));
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Assert.True(double.IsFinite(nanResult.Value));
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}
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[Fact]
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public void Update_NaNLow_UsesLastValidValue()
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{
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var tr = new Tr();
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(-1), 99, 101, 97, 100, 1000));
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tr.Update(new TBar(DateTime.UtcNow, 100, 110, 95, 105, 1000));
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var nanResult = tr.Update(new TBar(DateTime.UtcNow.AddSeconds(1), 100, 115, double.NaN, 112, 1000));
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Assert.True(double.IsFinite(nanResult.Value));
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}
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[Fact]
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public void Update_InfinityInput_UsesLastValidValue()
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{
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var tr = new Tr();
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(-1), 99, 101, 97, 100, 1000));
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tr.Update(new TBar(DateTime.UtcNow, 100, 110, 95, 105, 1000));
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var infResult = tr.Update(new TBar(DateTime.UtcNow.AddSeconds(1), 100, double.PositiveInfinity, 90, 95, 1000));
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Assert.True(double.IsFinite(infResult.Value));
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}
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[Fact]
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public void Batch_WithNaN_ProducesSafeOutput()
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{
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double[] highs = [101, 110, double.NaN, 108, 115];
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double[] lows = [97, 95, 92, 90, 100];
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double[] closes = [100, 105, 95, 102, 110];
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double[] output = new double[5];
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Tr.Batch(highs, lows, closes, output);
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val));
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}
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}
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#endregion
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#region Mode Consistency Tests
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[Fact]
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public void AllModes_ProduceConsistentResults()
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{
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const int dataLen = 100;
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var bars = GenerateBars(dataLen);
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// Mode 1: Streaming
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var tr1 = new Tr();
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for (int i = 0; i < dataLen; i++)
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{
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tr1.Update(bars[i], isNew: true);
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}
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// Mode 2: Batch via TBarSeries
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var batchResult = Tr.Calculate(bars);
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// Mode 3: Span-based
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double[] highs = new double[dataLen];
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double[] lows = new double[dataLen];
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double[] closes = new double[dataLen];
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double[] spanOutput = new double[dataLen];
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for (int i = 0; i < dataLen; i++)
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{
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highs[i] = bars[i].High;
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lows[i] = bars[i].Low;
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closes[i] = bars[i].Close;
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}
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Tr.Batch(highs, lows, closes, spanOutput);
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// Compare last 50 values
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int compareStart = dataLen - 50;
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for (int i = compareStart; i < dataLen; i++)
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{
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double batch = batchResult[i].Value;
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double span = spanOutput[i];
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// Batch and Span should match exactly
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Assert.Equal(batch, span, Tolerance);
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}
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// Final values should match
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Assert.Equal(tr1.Last.Value, batchResult[dataLen - 1].Value, 1e-8);
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Assert.Equal(tr1.Last.Value, spanOutput[dataLen - 1], 1e-8);
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}
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#endregion
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#region Span API Tests
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[Fact]
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public void Batch_ValidatesOutputLength()
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{
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double[] highs = [101, 102, 103];
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double[] lows = [99, 98, 97];
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double[] closes = [100, 101, 102];
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double[] output = new double[2]; // Too short
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var ex = Assert.Throws<ArgumentException>(() => Tr.Batch(highs, lows, closes, output));
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Assert.Equal("output", ex.ParamName);
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}
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[Fact]
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public void Batch_ValidatesInputLengths()
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{
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double[] highs = [101, 102, 103];
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double[] lows = [99, 98]; // Wrong length
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double[] closes = [100, 101, 102];
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double[] output = new double[3];
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var ex = Assert.Throws<ArgumentException>(() => Tr.Batch(highs, lows, closes, output));
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Assert.Equal("low", ex.ParamName);
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}
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[Fact]
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public void Batch_EmptyInput_ProducesNoOutput()
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{
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double[] highs = [];
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double[] lows = [];
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double[] closes = [];
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double[] output = [];
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Tr.Batch(highs, lows, closes, output);
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// Should not throw
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Assert.Empty(output);
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}
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[Fact]
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public void Batch_MatchesStreamingMode()
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{
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const int dataLen = 50;
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var bars = GenerateBars(dataLen);
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double[] highs = new double[dataLen];
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double[] lows = new double[dataLen];
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double[] closes = new double[dataLen];
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for (int i = 0; i < dataLen; i++)
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{
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highs[i] = bars[i].High;
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lows[i] = bars[i].Low;
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closes[i] = bars[i].Close;
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}
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// Streaming
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var tr = new Tr();
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for (int i = 0; i < dataLen; i++)
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{
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tr.Update(bars[i]);
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}
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// Batch
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double[] batchOutput = new double[dataLen];
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Tr.Batch(highs, lows, closes, batchOutput);
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// Compare final value
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Assert.Equal(tr.Last.Value, batchOutput[dataLen - 1], 1e-8);
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}
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[Fact]
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public void Batch_LargeDataset_NoStackOverflow()
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{
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const int dataLen = 10000;
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double[] highs = new double[dataLen];
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double[] lows = new double[dataLen];
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double[] closes = new double[dataLen];
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double[] output = new double[dataLen];
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// Fill with realistic data
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double price = 100.0;
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var rng = new Random(42);
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for (int i = 0; i < dataLen; i++)
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{
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double volatility = 0.02;
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double high = price * (1 + rng.NextDouble() * volatility);
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double low = price * (1 - rng.NextDouble() * volatility);
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double close = low + rng.NextDouble() * (high - low);
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highs[i] = high;
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lows[i] = low;
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closes[i] = close;
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price = close;
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}
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Tr.Batch(highs, lows, closes, output);
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// Verify all outputs are valid
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for (int i = 0; i < dataLen; i++)
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{
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Assert.True(double.IsFinite(output[i]));
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Assert.True(output[i] >= 0);
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}
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}
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#endregion
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#region Chainability Tests
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[Fact]
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public void Pub_FiresOnUpdate()
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{
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var tr = new Tr();
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int eventCount = 0;
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tr.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(0), 99, 101, 97, 100, 1000));
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(1), 100, 105, 98, 103, 1000));
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tr.Update(new TBar(DateTime.UtcNow.AddSeconds(2), 102, 108, 100, 106, 1000));
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Assert.Equal(3, eventCount);
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}
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#endregion
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#region TBarSeries Tests
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||||
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[Fact]
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||||
public void Update_TBarSeries_ReturnsCorrectLength()
|
||||
{
|
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var tr = new Tr();
|
||||
var bars = GenerateBars(50);
|
||||
|
||||
var result = tr.Update(bars);
|
||||
|
||||
Assert.Equal(50, result.Count);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Calculate_Static_TBarSeries_Works()
|
||||
{
|
||||
var bars = GenerateBars(50);
|
||||
|
||||
var result = Tr.Calculate(bars);
|
||||
|
||||
Assert.Equal(50, result.Count);
|
||||
Assert.All(result.Values.ToArray(), v => Assert.True(v >= 0));
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Prime Tests
|
||||
|
||||
[Fact]
|
||||
public void Prime_SetsInitialState()
|
||||
{
|
||||
var tr = new Tr();
|
||||
double[] warmupData = [100, 101, 102, 103, 104];
|
||||
|
||||
tr.Prime(warmupData);
|
||||
|
||||
Assert.True(tr.IsHot);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
Reference in New Issue
Block a user