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https://github.com/mihakralj/QuanTAlib.git
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Test completeness
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@@ -129,4 +129,107 @@ public class ConvTests
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var res = conv.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsNaN(res.Value));
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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double[] kernel = [0.5, 1.0];
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var conv = new Conv(kernel);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 10 new values
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TValue tenthInput = default;
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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tenthInput = new TValue(bar.Time, bar.Close);
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conv.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double valueAfterTen = conv.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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conv.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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// Feed the remembered 10th input again with isNew=false
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TValue finalValue = conv.Update(tenthInput, isNew: false);
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// Should match the original state after 10 values
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Assert.Equal(valueAfterTen, finalValue.Value, 1e-9);
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}
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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// Arrange
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double[] kernel = [0.1, 0.2, 0.3, 0.4];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch Mode
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var batchSeries = Conv.Calculate(series, kernel);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Conv.Calculate(spanInput, spanOutput, kernel);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Conv(kernel);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Conv(pubSource, kernel);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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// Assert
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Assert.Equal(expected, spanResult, 1e-9);
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Assert.Equal(expected, streamingResult, 1e-9);
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Assert.Equal(expected, eventingResult, 1e-9);
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}
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[Fact]
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public void SpanCalc_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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double[] kernel = [0.5, 0.5];
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Assert.Throws<ArgumentException>(() => Conv.Calculate(source.AsSpan(), output.AsSpan(), Array.Empty<double>()));
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Assert.Throws<ArgumentException>(() => Conv.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), kernel));
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}
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[Fact]
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public void SpanCalc_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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double[] kernel = [0.5, 0.5];
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Conv.Calculate(source.AsSpan(), output.AsSpan(), kernel);
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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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}
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