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feat: add MADH (Ehlers Moving Average Difference with Hann) indicator

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This commit is contained in:
Miha Kralj
2026-03-17 14:02:51 -07:00
parent b2efbd1a8c
commit b9e6a70890
6 changed files with 191 additions and 143 deletions
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lib/oscillators/madh/tests/Madh.Quantower.Tests.cs
+4 -4
View File
@@ -59,7 +59,7 @@ public class MadhIndicatorTests
[Fact]
public void MadhIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
{
var indicator = new MadhIndicator { ShortLength = 3, DominantCycle = 4 };
var indicator = new MadhIndicator { ShortLength = 3, DominantCycle = 6 };
indicator.Initialize();
var now = DateTime.UtcNow;
@@ -75,7 +75,7 @@ public class MadhIndicatorTests
[Fact]
public void MadhIndicator_ProcessUpdate_NewBar_ComputesValue()
{
var indicator = new MadhIndicator { ShortLength = 3, DominantCycle = 4 };
var indicator = new MadhIndicator { ShortLength = 3, DominantCycle = 6 };
indicator.Initialize();
var now = DateTime.UtcNow;
@@ -91,7 +91,7 @@ public class MadhIndicatorTests
[Fact]
public void MadhIndicator_InternalIndicator_HandlesBarCorrection()
{
var ma = new Madh(3, 4);
var ma = new Madh(3, 6);
double[] prices = [100, 102, 99, 103, 97, 104, 98, 105, 97, 106];
var now = DateTime.UtcNow;
@@ -123,7 +123,7 @@ public class MadhIndicatorTests
[Fact]
public void MadhIndicator_MultipleHistoricalBars()
{
var indicator = new MadhIndicator { ShortLength = 3, DominantCycle = 6 };
var indicator = new MadhIndicator { ShortLength = 5, DominantCycle = 10 };
indicator.Initialize();
var now = DateTime.UtcNow;
lib/oscillators/madh/tests/Madh.Tests.cs
+61 -28
View File
@@ -2,8 +2,8 @@ namespace QuanTAlib;
public class MadhTests
{
private const int DefaultShortLength = 8;
private const int DefaultDominantCycle = 27;
private const int DefaultShort = 8;
private const int DefaultCycle = 27;
private const double Tolerance = 1e-12;
private static TSeries MakeSeries(int count = 500)
@@ -41,17 +41,17 @@ public class MadhTests
{
var indicator = new Madh(8, 27);
Assert.Equal("Madh(8,27)", indicator.Name);
// longLength = (int)(8 + 27/2.0) = (int)(8 + 13.5) = 21
Assert.Equal(22, indicator.WarmupPeriod);
// LongLength = 8 + 27/2 = 8 + 13 = 21
Assert.Equal(21, indicator.WarmupPeriod);
}
[Fact]
public void Constructor_ShortLengthOne_IsValid()
public void Constructor_MinimalParams_IsValid()
{
var indicator = new Madh(1, 2);
Assert.Equal("Madh(1,2)", indicator.Name);
// longLength = (int)(1 + 2/2.0) = (int)(1 + 1.0) = 2
Assert.Equal(3, indicator.WarmupPeriod);
// LongLength = 1 + 2/2 = 1 + 1 = 2
Assert.Equal(2, indicator.WarmupPeriod);
}
// ========== B) Basic Calculation ==========
@@ -59,7 +59,7 @@ public class MadhTests
[Fact]
public void Update_ReturnsTValue_WithValidProperties()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(DefaultShort, DefaultCycle);
var input = new TValue(DateTime.UtcNow, 100.0);
TValue result = indicator.Update(input);
@@ -70,7 +70,7 @@ public class MadhTests
[Fact]
public void Update_AfterWarmup_IsHotBecomesTrue()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(DefaultShort, DefaultCycle);
Assert.False(indicator.IsHot);
for (int i = 0; i < 500; i++)
@@ -84,7 +84,7 @@ public class MadhTests
[Fact]
public void Update_LastProperty_MatchesReturnValue()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(DefaultShort, DefaultCycle);
var input = new TValue(DateTime.UtcNow, 42.0);
TValue result = indicator.Update(input);
@@ -166,7 +166,7 @@ public class MadhTests
[Fact]
public void Reset_ClearsState()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(DefaultShort, DefaultCycle);
for (int i = 0; i < 50; i++)
{
@@ -237,7 +237,7 @@ public class MadhTests
public void BatchNaN_DoesNotPropagate()
{
int shortLen = 5;
int domCycle = 10;
int cycle = 10;
double[] source = new double[100];
double[] output = new double[100];
@@ -249,7 +249,7 @@ public class MadhTests
source[50] = double.NaN;
source[51] = double.NaN;
Madh.Batch(source, output, shortLen, domCycle);
Madh.Batch(source, output, shortLen, cycle);
for (int i = 0; i < 100; i++)
{
@@ -263,21 +263,21 @@ public class MadhTests
public void AllModes_ProduceSameResult()
{
int shortLen = 5;
int domCycle = 10;
int cycle = 10;
TSeries data = MakeSeries();
// 1. Batch (TSeries)
TSeries batchResults = Madh.Batch(data, shortLen, domCycle);
TSeries batchResults = Madh.Batch(data, shortLen, cycle);
double expected = batchResults.Last.Value;
// 2. Span batch
var tValues = data.Values.ToArray();
var spanOutput = new double[tValues.Length];
Madh.Batch(new ReadOnlySpan<double>(tValues), spanOutput, shortLen, domCycle);
Madh.Batch(new ReadOnlySpan<double>(tValues), spanOutput, shortLen, cycle);
double spanResult = spanOutput[^1];
// 3. Streaming
var streaming = new Madh(shortLen, domCycle);
var streaming = new Madh(shortLen, cycle);
for (int i = 0; i < data.Count; i++)
{
streaming.Update(data[i]);
@@ -286,7 +286,7 @@ public class MadhTests
// 4. Eventing
var pubSource = new TSeries();
var eventBased = new Madh(pubSource, shortLen, domCycle);
var eventBased = new Madh(pubSource, shortLen, cycle);
for (int i = 0; i < data.Count; i++)
{
pubSource.Add(data[i]);
@@ -359,7 +359,7 @@ public class MadhTests
[Fact]
public void Pub_EventFires_OnUpdate()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(DefaultShort, DefaultCycle);
int eventCount = 0;
indicator.Pub += (object? sender, in TValueEventArgs args) => eventCount++;
@@ -389,7 +389,7 @@ public class MadhTests
public void Calculate_ReturnsHotIndicator()
{
TSeries data = MakeSeries();
(TSeries results, Madh indicator) = Madh.Calculate(data, DefaultShortLength, DefaultDominantCycle);
(TSeries results, Madh indicator) = Madh.Calculate(data, DefaultShort, DefaultCycle);
Assert.Equal(data.Count, results.Count);
Assert.True(indicator.IsHot);
@@ -399,10 +399,10 @@ public class MadhTests
public void StaticCalculate_MatchesInstance()
{
const int shortLen = 5;
const int domCycle = 10;
const int cycle = 10;
int count = 100;
var source = new TSeries();
var indicator = new Madh(shortLen, domCycle);
var indicator = new Madh(shortLen, cycle);
for (int i = 0; i < count; i++)
{
@@ -410,7 +410,7 @@ public class MadhTests
indicator.Update(source.Last);
}
var staticResult = Madh.Batch(source, shortLen, domCycle);
var staticResult = Madh.Batch(source, shortLen, cycle);
Assert.Equal(source.Count, staticResult.Count);
Assert.Equal(indicator.Last.Value, staticResult.Last.Value, 8);
@@ -421,7 +421,7 @@ public class MadhTests
[Fact]
public void ConstantInput_OutputConvergesToZero()
{
var indicator = new Madh(5, 10);
var indicator = new Madh(8, 27);
double lastResult = double.NaN;
for (int i = 0; i < 300; i++)
@@ -430,14 +430,14 @@ public class MadhTests
lastResult = r.Value;
}
// Constant input → both filters = constant → MADH = 100*(1 - 1) = 0
// Constant input → Filt1 = Filt2 = 100 → MADH = 0
Assert.Equal(0.0, lastResult, 1e-10);
}
[Fact]
public void TrendingInput_ProducesNonZero()
{
var indicator = new Madh(5, 10);
var indicator = new Madh(8, 27);
double lastResult = 0.0;
for (int i = 0; i < 100; i++)
@@ -446,15 +446,31 @@ public class MadhTests
lastResult = r.Value;
}
// Strong uptrend: short avg > long avg → positive MADH
// Strong uptrend → short MA > long MA → positive MADH
Assert.True(lastResult > 0.0);
Assert.True(double.IsFinite(lastResult));
}
[Fact]
public void UpTrend_Positive_DownTrend_Negative()
{
var up = new Madh(5, 10);
var down = new Madh(5, 10);
for (int i = 0; i < 50; i++)
{
up.Update(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0 + i));
down.Update(new TValue(DateTime.UtcNow.AddSeconds(i), 200.0 - i));
}
Assert.True(up.Last.Value > 0, "Ascending should produce positive MADH");
Assert.True(down.Last.Value < 0, "Descending should produce negative MADH");
}
[Fact]
public void MadhProducesFiniteValues_OnGBMData()
{
var indicator = new Madh(DefaultShortLength, DefaultDominantCycle);
var indicator = new Madh(8, 27);
TSeries data = MakeSeries(200);
int nonFiniteCount = 0;
@@ -469,4 +485,21 @@ public class MadhTests
Assert.Equal(0, nonFiniteCount);
}
[Fact]
public void LongLength_CalculatedCorrectly()
{
// LongLength = ShortLength + DominantCycle / 2
// 8 + 27/2 = 8 + 13 = 21
var indicator = new Madh(8, 27);
Assert.Equal(21, indicator.WarmupPeriod);
// 10 + 20/2 = 10 + 10 = 20
var indicator2 = new Madh(10, 20);
Assert.Equal(20, indicator2.WarmupPeriod);
// 1 + 2/2 = 1 + 1 = 2
var indicator3 = new Madh(1, 2);
Assert.Equal(2, indicator3.WarmupPeriod);
}
}