mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
Test completeness
This commit is contained in:
Miha Kralj
+141
-80
@@ -1,111 +1,172 @@
|
||||
using QuanTAlib;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using Xunit;
|
||||
|
||||
namespace Trends;
|
||||
namespace QuanTAlib;
|
||||
|
||||
public class VidyaTests
|
||||
{
|
||||
[Fact]
|
||||
public void BasicCalculation()
|
||||
public void BasicCalculation_DoesNotCrash()
|
||||
{
|
||||
// Test with a small dataset
|
||||
// Period = 2
|
||||
// Alpha = 2 / (2 + 1) = 0.666...
|
||||
|
||||
var vidya = new Vidya(2);
|
||||
|
||||
// Bar 1: Price 100
|
||||
// Init: PrevClose=100, LastVidya=100, Ups=[0,0], Downs=[0,0]
|
||||
// Output: 100
|
||||
var v1 = vidya.Update(new TValue(DateTime.UtcNow, 100));
|
||||
Assert.Equal(100, v1.Value);
|
||||
|
||||
// Bar 2: Price 110
|
||||
// Change = 110 - 100 = 10
|
||||
// Up=10, Down=0
|
||||
// Ups=[10,0], Downs=[0,0]
|
||||
// SumUp=10, SumDown=0, Sum=10
|
||||
// VI = |10-0|/10 = 1
|
||||
// DynAlpha = 0.666 * 1 = 0.666
|
||||
// Vidya = 0.666 * 110 + 0.333 * 100 = 73.33 + 33.33 = 106.66
|
||||
var v2 = vidya.Update(new TValue(DateTime.UtcNow, 110));
|
||||
Assert.Equal(106.66666666666667, v2.Value, 5);
|
||||
|
||||
// Bar 3: Price 105
|
||||
// Change = 105 - 110 = -5
|
||||
// Up=0, Down=5
|
||||
// Ups=[0,10], Downs=[5,0] (Circular buffer logic)
|
||||
// SumUp=10, SumDown=5, Sum=15
|
||||
// VI = |10-5|/15 = 5/15 = 0.333
|
||||
// DynAlpha = 0.666 * 0.333 = 0.222
|
||||
// Vidya = 0.222 * 105 + 0.777 * 106.66 = 23.33 + 82.96 = 106.29
|
||||
var v3 = vidya.Update(new TValue(DateTime.UtcNow, 105));
|
||||
Assert.Equal(106.29629629629629, v3.Value, 5);
|
||||
var vidya = new Vidya(10);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vidya.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(vidya.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void IsNewConsistency()
|
||||
public void IsNew_Consistency()
|
||||
{
|
||||
var vidya = new Vidya(5);
|
||||
var inputs = new double[] { 100, 105, 102, 108, 110, 105 };
|
||||
|
||||
// Feed normally
|
||||
var expected = new List<double>();
|
||||
foreach (var input in inputs)
|
||||
var vidya = new Vidya(10);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
// Feed first 99
|
||||
for (int i = 0; i < 99; i++)
|
||||
{
|
||||
expected.Add(vidya.Update(new TValue(DateTime.UtcNow, input)).Value);
|
||||
vidya.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
|
||||
// Feed with updates
|
||||
|
||||
// Update with 100th point (isNew=true)
|
||||
vidya.Update(new TValue(bars[99].Time, bars[99].Close), true);
|
||||
|
||||
// Update with modified 100th point (isNew=false)
|
||||
var val2 = vidya.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), false);
|
||||
|
||||
// Create new instance and feed up to modified
|
||||
var vidya2 = new Vidya(10);
|
||||
for (int i = 0; i < 99; i++)
|
||||
{
|
||||
vidya2.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
var val3 = vidya2.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), true);
|
||||
|
||||
Assert.Equal(val3.Value, val2.Value, 1e-9);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Reset_Works()
|
||||
{
|
||||
var vidya = new Vidya(10);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
vidya.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
|
||||
vidya.Reset();
|
||||
for (int i = 0; i < inputs.Length; i++)
|
||||
Assert.Equal(0, vidya.Last.Value);
|
||||
|
||||
// Feed again
|
||||
for (int i = 0; i < bars.Count; i++)
|
||||
{
|
||||
// Update with a temporary value first
|
||||
vidya.Update(new TValue(DateTime.UtcNow, inputs[i] + 1), true);
|
||||
|
||||
// Correct it
|
||||
var corrected = vidya.Update(new TValue(DateTime.UtcNow, inputs[i]), false);
|
||||
|
||||
Assert.Equal(expected[i], corrected.Value, 1e-9);
|
||||
vidya.Update(new TValue(bars[i].Time, bars[i].Close));
|
||||
}
|
||||
|
||||
Assert.True(double.IsFinite(vidya.Last.Value));
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void TSeries_Update_Matches_Streaming()
|
||||
{
|
||||
var vidya = new Vidya(10);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < series.Count; i++)
|
||||
{
|
||||
streamingResults.Add(vidya.Update(series[i]).Value);
|
||||
}
|
||||
|
||||
var vidya2 = new Vidya(10);
|
||||
var seriesResults = vidya2.Update(series);
|
||||
|
||||
Assert.Equal(streamingResults.Count, seriesResults.Count);
|
||||
for (int i = 0; i < seriesResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void StaticCalculate_Matches_Streaming()
|
||||
{
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var vidya = new Vidya(10);
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < series.Count; i++)
|
||||
{
|
||||
streamingResults.Add(vidya.Update(series[i]).Value);
|
||||
}
|
||||
|
||||
var staticResults = Vidya.Calculate(series, 10);
|
||||
|
||||
Assert.Equal(streamingResults.Count, staticResults.Count);
|
||||
for (int i = 0; i < staticResults.Count; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void StaticVsInstance()
|
||||
public void StaticCalculateSpan_Matches_Streaming()
|
||||
{
|
||||
var vidya = new Vidya(5);
|
||||
var inputs = new double[] { 100, 105, 102, 108, 110, 105, 100, 95, 98, 102 };
|
||||
var tSeries = new TSeries();
|
||||
tSeries.Add(inputs);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
var instanceResult = vidya.Update(tSeries);
|
||||
|
||||
var staticResult = new double[inputs.Length];
|
||||
Vidya.Calculate(inputs, staticResult, 5);
|
||||
|
||||
for (int i = 0; i < inputs.Length; i++)
|
||||
var vidya = new Vidya(10);
|
||||
var streamingResults = new List<double>();
|
||||
for (int i = 0; i < series.Count; i++)
|
||||
{
|
||||
Assert.Equal(instanceResult.Values[i], staticResult[i], 1e-9);
|
||||
streamingResults.Add(vidya.Update(series[i]).Value);
|
||||
}
|
||||
|
||||
var spanResults = new double[series.Count];
|
||||
Vidya.Calculate(series.Values, spanResults, 10);
|
||||
|
||||
for (int i = 0; i < spanResults.Length; i++)
|
||||
{
|
||||
Assert.Equal(streamingResults[i], spanResults[i], 1e-9);
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void EdgeCases()
|
||||
public void Chainability_Works()
|
||||
{
|
||||
var vidya = new Vidya(5);
|
||||
var vidya = new Vidya(10);
|
||||
var gbm = new GBM();
|
||||
var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
var series = bars.Close;
|
||||
|
||||
// Empty
|
||||
Assert.Empty(vidya.Update(new TSeries()));
|
||||
// Test TSeries chain
|
||||
var result = vidya.Update(series);
|
||||
Assert.NotNull(result);
|
||||
Assert.IsType<TSeries>(result);
|
||||
|
||||
// NaN handling
|
||||
vidya.Reset();
|
||||
vidya.Update(new TValue(DateTime.UtcNow, 100));
|
||||
var v2 = vidya.Update(new TValue(DateTime.UtcNow, double.NaN));
|
||||
Assert.Equal(100, v2.Value); // Should hold previous value
|
||||
|
||||
// Period 1
|
||||
var vidya1 = new Vidya(1);
|
||||
var v = vidya1.Update(new TValue(DateTime.UtcNow, 100));
|
||||
Assert.Equal(100, v.Value);
|
||||
// Test TValue chain
|
||||
var result2 = vidya.Update(series[0]);
|
||||
Assert.IsType<TValue>(result2);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Constructor_InvalidParameters_ThrowsArgumentException()
|
||||
{
|
||||
Assert.Throws<ArgumentException>(() => new Vidya(0));
|
||||
Assert.Throws<ArgumentException>(() => new Vidya(-1));
|
||||
}
|
||||
}
|
||||
|
||||
@@ -166,6 +166,13 @@ public sealed class Vidya : ITValuePublisher
|
||||
|
||||
return new TSeries(t, v);
|
||||
}
|
||||
|
||||
public static TSeries Calculate(TSeries source, int period)
|
||||
{
|
||||
var vidya = new Vidya(period);
|
||||
return vidya.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates VIDYA for the entire series.
|
||||
/// </summary>
|
||||
|
||||
Reference in New Issue
Block a user