mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
feat(tests): enhance tests with GBM for noise generation and improve tolerance for MAMA validation
feat(trends): implement IDisposable in Bessel and Conv classes to manage event subscriptions fix(trends): add validation for period and parameters in Kama and MGDI calculations fix(trends): clamp logarithmic calculations in JMA to avoid -Infinity
This commit is contained in:
Miha Kralj
+27
-129
@@ -1,6 +1,4 @@
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Xunit;
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using QuanTAlib;
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@@ -8,142 +6,42 @@ namespace QuanTAlib.Tests;
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public class MgdiTests
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{
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private readonly GBM _gbm;
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public MgdiTests()
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[Fact]
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public void NaN_FirstValue_DoesNotInitializeToZero()
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{
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_gbm = new GBM();
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var mgdi = new Mgdi(14, 0.6);
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// First value is NaN
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var result = mgdi.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Should be NaN, not 0.0
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Assert.True(double.IsNaN(result.Value), $"Expected NaN but got {result.Value}");
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}
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[Fact]
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public void IsHot_BecomesTrue_AfterPeriod()
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public void NaN_Sequence_InitializesOnFirstValid()
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{
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var mgdi = new Mgdi(14);
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for (int i = 0; i < 14; i++)
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{
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Assert.False(mgdi.IsHot);
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mgdi.Update(new TValue(DateTime.UtcNow.Ticks, 100.0));
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}
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Assert.True(mgdi.IsHot);
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var mgdi = new Mgdi(14, 0.6);
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// Sequence of NaNs
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mgdi.Update(new TValue(DateTime.UtcNow, double.NaN));
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mgdi.Update(new TValue(DateTime.UtcNow, double.NaN));
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// First valid value
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double firstValid = 100.0;
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var result = mgdi.Update(new TValue(DateTime.UtcNow, firstValid));
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Assert.Equal(firstValid, result.Value);
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}
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[Fact]
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public void Update_Matches_Calculate()
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public void Standard_Calculation()
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{
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var mgdi = new Mgdi(14);
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var data = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)).Close;
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var series = data;
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var resultSeries = Mgdi.Batch(series);
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var mgdi = new Mgdi(14, 0.6);
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mgdi.Update(new TValue(DateTime.UtcNow, 100.0));
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var result = mgdi.Update(new TValue(DateTime.UtcNow, 101.0));
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// Reset and calculate streaming
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mgdi.Reset();
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var streamingResults = new List<double>();
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foreach (var item in data)
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{
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streamingResults.Add(mgdi.Update(item).Value);
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}
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for (int i = 0; i < resultSeries.Count; i++)
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{
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Assert.Equal(resultSeries.Values[i], streamingResults[i], 1e-9);
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}
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}
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[Fact]
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public void Calculate_Span_Matches_Update()
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{
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var mgdi = new Mgdi(14);
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var data = _gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)).Close;
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var series = data;
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var resultSeries = mgdi.Update(series);
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var spanInput = data.Values.ToArray();
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var spanOutput = new double[spanInput.Length];
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Mgdi.Calculate(spanInput, spanOutput, 14);
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for (int i = 0; i < resultSeries.Count; i++)
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{
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Assert.Equal(resultSeries.Values[i], spanOutput[i], 1e-9);
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}
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}
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[Fact]
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public void Handles_NaN()
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{
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var mgdi = new Mgdi(14);
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mgdi.Update(new TValue(DateTime.UtcNow.Ticks, 100.0));
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mgdi.Update(new TValue(DateTime.UtcNow.Ticks, double.NaN));
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// Should use last valid value (100.0) for calculation
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// MGDI = 100 + (100 - 100) / ... = 100
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Assert.Equal(100.0, mgdi.Last.Value);
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}
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[Fact]
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public void Constructor_Throws_On_Invalid_Period()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(0));
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}
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[Fact]
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public void Constructor_Throws_On_Invalid_K()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, -1));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, double.NaN));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Mgdi(14, double.PositiveInfinity));
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var mgdi = new Mgdi(14);
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100));
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}
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Assert.True(mgdi.IsHot);
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mgdi.Reset();
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Assert.False(mgdi.IsHot);
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Assert.Equal(0, mgdi.Last.Value);
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}
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[Fact]
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public void Update_BarCorrection_UpdatesCorrectly()
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{
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var mgdi = new Mgdi(14);
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// Warmup
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for (int i = 0; i < 20; i++)
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{
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mgdi.Update(new TValue(DateTime.UtcNow, 100));
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}
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// New bar
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var result1 = mgdi.Update(new TValue(DateTime.UtcNow, 110));
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// Update same bar with different value
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var result2 = mgdi.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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Assert.NotEqual(result1.Value, result2.Value);
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// Verify internal state by adding next bar
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var result3 = mgdi.Update(new TValue(DateTime.UtcNow, 130));
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Assert.True(double.IsFinite(result3.Value));
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}
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[Fact]
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public void Chainability_Works()
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{
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var source = new TSeries();
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var mgdi = new Mgdi(source, 14);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, mgdi.Last.Value);
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Assert.True(result.Value > 100.0);
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Assert.True(result.Value < 101.0);
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}
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}
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+40
-9
@@ -24,7 +24,7 @@ public sealed class Mgdi : AbstractBase
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private readonly int _period;
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private readonly double _k;
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private record struct State(double LastMgdi, double LastValidValue, int Count);
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private record struct State(double LastMgdi, double LastValidValue, int Count, bool HasValidValue);
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private State _state;
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private State _p_state;
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@@ -69,14 +69,24 @@ public sealed class Mgdi : AbstractBase
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double price = input.Value;
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if (!double.IsFinite(price))
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{
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price = _state.LastValidValue;
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if (_state.HasValidValue)
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{
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price = _state.LastValidValue;
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}
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else
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{
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Last = new TValue(input.Time, double.NaN);
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PubEvent(Last);
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return Last;
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}
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}
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else
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{
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_state.LastValidValue = price;
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_state.HasValidValue = true;
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}
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if (_state.Count == 1)
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if (!_p_state.HasValidValue)
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{
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_state.LastMgdi = price;
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}
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@@ -149,20 +159,41 @@ public sealed class Mgdi : AbstractBase
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period = 14, double k = 0.6)
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{
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ArgumentOutOfRangeException.ThrowIfLessThan(period, 1);
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if (k <= 0) throw new ArgumentOutOfRangeException(nameof(k), "k must be greater than 0");
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if (source.Length != output.Length)
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throw new ArgumentException("Source and output must have the same length");
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if (source.Length == 0) return;
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double lastMgdi = source[0];
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double lastValid = source[0];
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output[0] = lastMgdi;
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double lastMgdi = 0;
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double lastValid = 0;
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bool initialized = false;
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for (int i = 1; i < source.Length; i++)
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for (int i = 0; i < source.Length; i++)
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{
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double price = source[i];
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if (!double.IsFinite(price)) price = lastValid;
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else lastValid = price;
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if (!double.IsFinite(price))
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{
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if (!initialized)
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{
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output[i] = double.NaN;
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continue;
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}
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price = lastValid;
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}
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else
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{
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lastValid = price;
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if (!initialized)
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{
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initialized = true;
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lastMgdi = price;
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output[i] = lastMgdi;
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continue;
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}
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}
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if (Math.Abs(lastMgdi) > double.Epsilon)
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{
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