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feat: Add Absolute Price Oscillator (APO) implementation and documentation

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feat: Implement ADL (Accumulation/Distribution Line) indicator
This commit is contained in:
Miha Kralj
2025-12-18 21:32:01 -08:00
parent 35e5571237
commit b5358091ae
32 changed files with 1925 additions and 55 deletions
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lib/trends/conv/Conv.Validation.Tests.cs
+92 -20
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@@ -1,6 +1,13 @@
using System;
using System.Collections.Generic;
using System.Linq;
using Xunit;
using QuanTAlib.Tests;
using Skender.Stock.Indicators;
using TALib;
using Tulip;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
namespace QuanTAlib;
@@ -32,6 +39,17 @@ public class ConvValidationTests : IDisposable
}
}
private static double[] GenerateWmaKernel(int period)
{
double divisor = period * (period + 1) / 2.0;
double[] kernel = new double[period];
for (int i = 0; i < period; i++)
{
kernel[i] = (i + 1) / divisor;
}
return kernel;
}
[Fact]
public void Validate_Against_Sma()
{
@@ -60,14 +78,8 @@ public class ConvValidationTests : IDisposable
[Fact]
public void Validate_Against_Wma()
{
// WMA(10) weights are 1, 2, ..., 10 divided by sum(1..10)
int period = 10;
double divisor = period * (period + 1) / 2.0;
double[] kernel = new double[period];
for (int i = 0; i < period; i++)
{
kernel[i] = (i + 1) / divisor;
}
double[] kernel = GenerateWmaKernel(period);
var wma = new Wma(period);
var conv = new Conv(kernel);
@@ -99,19 +111,6 @@ public class ConvValidationTests : IDisposable
int mid = period / 2;
for (int i = 0; i < period; i++)
{
// For even period 10:
// i=0 -> 1
// i=4 -> 5
// i=5 -> 5
// i=9 -> 1
// Distance from ends?
// 0 -> 1
// 1 -> 2
// ...
// mid-1 -> mid
// mid -> mid
double val = (i < mid) ? (i + 1) : (period - i);
kernel[i] = val;
sum += val;
@@ -139,4 +138,77 @@ public class ConvValidationTests : IDisposable
}
}
[Fact]
public void Validate_Against_Skender_Wma()
{
int period = 14;
var skenderWma = _testData.SkenderQuotes.GetWma(period).ToList();
double[] kernel = GenerateWmaKernel(period);
var conv = new Conv(kernel);
var result = conv.Update(_testData.Data);
ValidationHelper.VerifyData(result, skenderWma, (s) => s.Wma, skip: period);
}
[Fact]
public void Validate_Against_TALib_Wma()
{
int period = 14;
double[] input = _testData.Data.Values.ToArray();
double[] output = new double[input.Length];
var retCode = TALib.Functions.Wma<double>(input, 0..^0, output, out var outRange, period);
Assert.Equal(TALib.Core.RetCode.Success, retCode);
double[] kernel = GenerateWmaKernel(period);
var conv = new Conv(kernel);
var result = conv.Update(_testData.Data);
ValidationHelper.VerifyData(result, output, outRange, lookback: period - 1);
}
[Fact]
public void Validate_Against_Tulip_Wma()
{
int period = 14;
double[] input = _testData.Data.Values.ToArray();
var wmaIndicator = Tulip.Indicators.wma;
double[][] inputs = { input };
double[] options = { period };
double[][] outputs = { new double[input.Length - period + 1] };
wmaIndicator.Run(inputs, options, outputs);
double[] output = outputs[0];
double[] kernel = GenerateWmaKernel(period);
var conv = new Conv(kernel);
var result = conv.Update(_testData.Data);
ValidationHelper.VerifyData(result, output, lookback: period - 1);
}
[Fact]
public void Validate_Against_Ooples_Wma()
{
int period = 14;
var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
{
Date = q.Date,
Open = (double)q.Open,
High = (double)q.High,
Low = (double)q.Low,
Close = (double)q.Close,
Volume = (double)q.Volume
}).ToList();
var stockData = new StockData(ooplesData);
var ooplesWma = stockData.CalculateWeightedMovingAverage(length: period).OutputValues["Wma"];
double[] kernel = GenerateWmaKernel(period);
var conv = new Conv(kernel);
var result = conv.Update(_testData.Data);
ValidationHelper.VerifyData(result, ooplesWma, (s) => s, skip: period, tolerance: 1e-4);
}
}