Add Yang-Zhang Volatility (YZV) Indicator Implementation

- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components. - Implemented calculation methods, including batch processing for TBarSeries and spans. - Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications. - Updated volume index documentation to reflect changes in file paths. - Refactored VWMA calculation method to use a more generic source parameter instead of price.
2026-08-22 04:28:04 +00:00 · 2026-02-02 19:47:21 -08:00
parent a03d7aa0ce
commit c034cbd5e5
78 changed files with 16662 additions and 366 deletions
@@ -0,0 +1,267 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class CointegrationIndicatorTests
+{
+    [Fact]
+    public void CointegrationIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new CointegrationIndicator();
+
+        Assert.Equal(20, indicator.Period);
+        Assert.Equal(SourceType.Close, indicator.Source);
+        Assert.Equal(SourceType.Open, indicator.Source2);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("COINT - Cointegration (Engle-Granger)", indicator.Name);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_MinHistoryDepths_EqualsTwo()
+    {
+        var indicator = new CointegrationIndicator();
+
+        Assert.Equal(2, CointegrationIndicator.MinHistoryDepths);
+        Assert.Equal(2, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_ShortName_IncludesPeriodAndSources()
+    {
+        var indicator = new CointegrationIndicator { Period = 20 };
+
+        Assert.Contains("COINT", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_Initialize_CreatesInternalCointegration()
+    {
+        var indicator = new CointegrationIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new CointegrationIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        // Process update
+        var args = new UpdateArgs(UpdateReason.HistoricalBar);
+        indicator.ProcessUpdate(args);
+
+        // Line series should have a value (may be NaN during warmup)
+        Assert.Equal(1, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new CointegrationIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
+    {
+        var indicator = new CointegrationIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        double firstValue = indicator.LinesSeries[0].GetValue(0);
+
+        // NewTick should not throw
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
+        double secondValue = indicator.LinesSeries[0].GetValue(0);
+
+        // Values should be produced (may be NaN during warmup, but should not throw)
+        Assert.True(double.IsNaN(firstValue) || double.IsFinite(firstValue));
+        Assert.True(double.IsNaN(secondValue) || double.IsFinite(secondValue));
+    }
+
+    [Fact]
+    public void CointegrationIndicator_MultipleUpdates_ProducesSequence()
+    {
+        var indicator = new CointegrationIndicator { Period = 3 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        // Add bars with different O/C patterns to create cointegration signals
+        double[] opens = { 100, 101, 102, 103, 104, 105 };
+        double[] closes = { 100, 101, 102, 103, 104, 105 };
+
+        for (int i = 0; i < opens.Length; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), opens[i], opens[i] + 5, opens[i] - 5, closes[i]);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        // All values should exist
+        Assert.Equal(opens.Length, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_DifferentSourceTypes_Work()
+    {
+        var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 };
+
+        foreach (var source in sources)
+        {
+            var indicator = new CointegrationIndicator { Period = 5, Source = source, Source2 = SourceType.Close };
+            indicator.Initialize();
+
+            var now = DateTime.UtcNow;
+            indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+            // Should have computed a value (may be NaN during warmup, but should not throw)
+            Assert.Equal(1, indicator.LinesSeries[0].Count);
+        }
+    }
+
+    [Fact]
+    public void CointegrationIndicator_CointegrationInterpretation()
+    {
+        // This test verifies the indicator produces meaningful cointegration values
+        // when given perfectly correlated data (Open = Close), we expect strong cointegration
+        var indicator = new CointegrationIndicator { Period = 5, Source = SourceType.Close, Source2 = SourceType.Open };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add perfectly proportional bars: Open always equals Close
+        for (int i = 0; i < 20; i++)
+        {
+            double price = 100 + i;
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 2, price - 2, price);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        // After warmup, should have finite values
+        // (Note: when Close == Open exactly, residuals have zero variance, may produce NaN)
+        Assert.Equal(20, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_DifferentSource2Types_Work()
+    {
+        var source2Types = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.HL2 };
+
+        foreach (var source2 in source2Types)
+        {
+            var indicator = new CointegrationIndicator { Period = 5, Source = SourceType.Close, Source2 = source2 };
+            indicator.Initialize();
+
+            var now = DateTime.UtcNow;
+            indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+            Assert.Equal(1, indicator.LinesSeries[0].Count);
+        }
+    }
+
+    [Fact]
+    public void CointegrationIndicator_Period_CanBeChanged()
+    {
+        var indicator = new CointegrationIndicator { Period = 50 };
+
+        Assert.Equal(50, indicator.Period);
+
+        indicator.Period = 100;
+        Assert.Equal(100, indicator.Period);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_Source2_CanBeChanged()
+    {
+        var indicator = new CointegrationIndicator { Source2 = SourceType.High };
+
+        Assert.Equal(SourceType.High, indicator.Source2);
+
+        indicator.Source2 = SourceType.Low;
+        Assert.Equal(SourceType.Low, indicator.Source2);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_ReInitialize_ResetsState()
+    {
+        var indicator = new CointegrationIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        Assert.Equal(10, indicator.LinesSeries[0].Count);
+
+        // Re-initialize should work without errors
+        var indicator2 = new CointegrationIndicator { Period = 5 };
+        indicator2.Initialize();
+        indicator2.HistoricalData.AddBar(now.AddMinutes(100), 200, 210, 190, 205);
+        indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        Assert.Equal(1, indicator2.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void CointegrationIndicator_HighLow_ProducesValues()
+    {
+        // Test with High vs Low as a practical use case
+        var indicator = new CointegrationIndicator { Period = 10, Source = SourceType.High, Source2 = SourceType.Low };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add bars with varying spread between high and low
+        for (int i = 0; i < 15; i++)
+        {
+            double mid = 100 + (i * 0.5);
+            double spread = 5 + (i % 3); // Varying spread
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), mid, mid + spread, mid - spread, mid);
+            indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar));
+        }
+
+        Assert.Equal(15, indicator.LinesSeries[0].Count);
+
+        // After warmup period, should have finite values
+        double lastValue = indicator.LinesSeries[0].GetValue(0);
+        // High and Low should be cointegrated (they move together)
+        Assert.True(double.IsFinite(lastValue) || double.IsNaN(lastValue));
+    }
+
+    [Fact]
+    public void CointegrationIndicator_Description_IsSet()
+    {
+        var indicator = new CointegrationIndicator();
+
+        Assert.Contains("cointegration", indicator.Description, StringComparison.OrdinalIgnoreCase);
+        Assert.Contains("ADF", indicator.Description, StringComparison.Ordinal);
+    }
+}