feat: add FSI (Ehlers Fourier Series Indicator, TASC June 2019)

2026-08-26 06:18:05 +00:00 · 2026-03-18 19:58:53 -07:00
parent b79b56dc65
commit b1302a4761
15 changed files with 1344 additions and 1 deletions
@@ -0,0 +1,158 @@
+namespace QuanTAlib.Tests;
+
+public class FsiValidationTests
+{
+    private static readonly Random _rng = new(42);
+
+    private static TSeries MakeSeries(int count = 500)
+    {
+        var series = new TSeries();
+        double price = 100.0;
+        for (int i = 0; i < count; i++)
+        {
+            price += (_rng.NextDouble() - 0.5) * 2.0;
+            series.Add(new TValue(DateTime.UtcNow.AddMinutes(i), price));
+        }
+        return series;
+    }
+
+    [Fact]
+    public void BatchStreaming_Match()
+    {
+        var series = MakeSeries(300);
+        int period = 20;
+        double bw = 0.1;
+
+        // Streaming
+        var streaming = new Fsi(period, bw);
+        var streamResults = new double[series.Count];
+        for (int i = 0; i < series.Count; i++)
+        {
+            streamResults[i] = streaming.Update(series[i]).Value;
+        }
+
+        // Batch
+        var batchResult = Fsi.Batch(series, period, bw);
+
+        for (int i = 0; i < series.Count; i++)
+        {
+            Assert.Equal(streamResults[i], batchResult[i].Value, 10);
+        }
+    }
+
+    [Fact]
+    public void SpanStreaming_Match()
+    {
+        var series = MakeSeries(300);
+        int period = 20;
+        double bw = 0.1;
+
+        // Streaming
+        var streaming = new Fsi(period, bw);
+        var streamResults = new double[series.Count];
+        for (int i = 0; i < series.Count; i++)
+        {
+            streamResults[i] = streaming.Update(series[i]).Value;
+        }
+
+        // Span batch
+        var spanResults = new double[series.Count];
+        Fsi.Batch(series.Values, spanResults, period, bw);
+
+        for (int i = 0; i < series.Count; i++)
+        {
+            Assert.Equal(streamResults[i], spanResults[i], 10);
+        }
+    }
+
+    [Fact]
+    public void DifferentPeriods_ProduceDifferentOutputs()
+    {
+        var series = MakeSeries(300);
+
+        var result1 = new double[series.Count];
+        var result2 = new double[series.Count];
+        Fsi.Batch(series.Values, result1, 20, 0.1);
+        Fsi.Batch(series.Values, result2, 40, 0.1);
+
+        bool allEqual = true;
+        for (int i = 50; i < series.Count; i++)
+        {
+            if (Math.Abs(result1[i] - result2[i]) > 1e-12)
+            {
+                allEqual = false;
+                break;
+            }
+        }
+        Assert.False(allEqual, "Different periods should produce different outputs");
+    }
+
+    [Fact]
+    public void ConstantInput_ProducesZero()
+    {
+        int count = 200;
+        var src = new double[count];
+        var dst = new double[count];
+        Array.Fill(src, 100.0);
+
+        Fsi.Batch(src, dst, 20, 0.1);
+
+        // After warmup, constant input → all-zero bandpass → output = 0
+        for (int i = 20; i < count; i++)
+        {
+            Assert.Equal(0.0, dst[i], 10);
+        }
+    }
+
+    [Fact]
+    public void Calculate_ReturnsHotIndicator()
+    {
+        var series = MakeSeries(200);
+        var (results, indicator) = Fsi.Calculate(series, 20, 0.1);
+        Assert.Equal(series.Count, results.Count);
+        Assert.True(indicator.IsHot);
+    }
+
+    [Fact]
+    public void BarCorrection_Consistency()
+    {
+        var series = MakeSeries(100);
+        var fsi = new Fsi(20, 0.1);
+
+        foreach (var bar in series)
+        {
+            fsi.Update(bar);
+        }
+
+        // New bar
+        double v1 = fsi.Update(new TValue(DateTime.UtcNow, 105.0), isNew: true).Value;
+
+        // Corrections
+        _ = fsi.Update(new TValue(DateTime.UtcNow, 108.0), isNew: false);
+        _ = fsi.Update(new TValue(DateTime.UtcNow, 112.0), isNew: false);
+        double v4 = fsi.Update(new TValue(DateTime.UtcNow, 105.0), isNew: false).Value;
+
+        Assert.Equal(v1, v4, 10);
+    }
+
+    [Fact]
+    public void SubsetStability()
+    {
+        // Running on a longer series should not change earlier values
+        var series = MakeSeries(300);
+        int period = 20;
+        double bw = 0.1;
+
+        var result200 = new double[200];
+        Fsi.Batch(series.Values[..200], result200, period, bw);
+
+        var result300 = new double[300];
+        Fsi.Batch(series.Values, result300, period, bw);
+
+        // First 200 bars of both runs must match exactly
+        for (int i = 0; i < 200; i++)
+        {
+            Assert.Equal(result200[i], result300[i], 15);
+        }
+    }
+}