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https://github.com/mihakralj/QuanTAlib.git
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Add unit tests for various indicators and update project file
- Implemented unit tests for the following indicators: - KAMA (Kaufman Adaptive Moving Average) - SMA (Simple Moving Average) - T3 (Tillson T3 Moving Average) - TEMA (Triple Exponential Moving Average) - TRIMA (Triangular Moving Average) - WMA (Weighted Moving Average) - Each test class includes tests for constructor defaults, history depth, short name, initialization, processing updates, and source type handling. - Updated the Quantower.Tests.csproj to include all new test files in the lib directory.
This commit is contained in:
Miha Kralj
@@ -24,6 +24,7 @@ Each indicator resides in its own directory such as `lib/trends/`, `lib/indicato
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| **Validation** | Cross-library validation | `[Name].Validation.Tests.cs` |
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| **Docs** | User documentation | `[Name].md` |
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| **Quantower** | Quantower adapter | `[Name].Quantower.cs` |
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| **Quantower Tests** | Quantower adapter tests | `[Name].Quantower.Tests.cs` |
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## 3. Implementation Rules (`[Name].cs`)
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@@ -143,7 +144,7 @@ Template structure:
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## 7. Checklist for New Indicators
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* [ ] **File Structure:** Created all 4 required files?
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* [ ] **File Structure:** Created all 6 required files?
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* [ ] **Constructor:** Validates inputs? Sets `Name`?
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* [ ] **Update:** Handles `isNew` correctly? Handles `NaN`? O(1)?
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* [ ] **Static API:** Implemented `Calculate(Span)`?
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@@ -151,6 +152,6 @@ Template structure:
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* [ ] **Validation:** Matches external libraries (Skender/TA-Lib)?
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* [ ] **Docs:** Markdown file created with formula and examples?
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* [ ] **Quantower:** Adapter created in `[Name].Quantower.cs`?
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* [ ] **Quantower Tests:** Adapter tests created in `quantower/[category]/[Name]Indicator.Tests.cs`?
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* [ ] **Quantower Tests:** Adapter tests created in `[Name].Quantower.Tests.cs`?
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* [ ] **Index:** Added to category `_index.md` with link and description?
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* [ ] **Performance:** No allocations in `Update`? `[SkipLocalsInit]` used?
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@@ -1,5 +1,5 @@
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[](https://sonarcloud.io/summary/overall?id=mihakralj_QuanTAlib)
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[](https://app.codacy.com/gh/mihakralj/QuanTAlib/dashboard)
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[](https://app.codacy.com/gh/mihakralj/QuanTAlib/dashboard?utm_source=gh&utm_medium=referral&utm_content=&utm_campaign=Badge_grade)
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[](https://codecov.io/gh/mihakralj/QuanTAlib)
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[](https://sonarcloud.io/summary/new_code?id=mihakralj_QuanTAlib)
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[](https://www.codefactor.io/repository/github/mihakralj/quantalib/overview/main)
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@@ -8,7 +8,7 @@
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[](https://www.nuget.org/packages/QuanTAlib/)
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[](https://github.com/mihakralj/QuanTAlib/watchers)
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[](https://dotnet.microsoft.com/en-us/download/dotnet)
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[](https://dotnet.microsoft.com/en-us/download/dotnet)
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# QuanTAlib - Quantitative Technical Analysis Library
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@@ -31,7 +31,7 @@
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</ItemGroup>
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<ItemGroup>
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<Compile Include="**\*.Tests.cs" />
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<Compile Include="**\*.Tests.cs" Exclude="**\*.Quantower.Tests.cs" />
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</ItemGroup>
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<ItemGroup>
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+24
-39
@@ -69,15 +69,15 @@ public sealed class Kama : ITValuePublisher
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// Buffer needs to hold period + 1 values to calculate Change over 'period' bars
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// Change = Price[0] - Price[period]
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_buffer = new RingBuffer(period + 1);
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_fastAlpha = 2.0 / (fastPeriod + 1);
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_slowAlpha = 2.0 / (slowPeriod + 1);
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Name = $"Kama({period}, {fastPeriod}, {slowPeriod})";
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_kama = double.NaN;
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}
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public Kama(ITValuePublisher source, int period = 10, int fastPeriod = 2, int slowPeriod = 30)
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public Kama(ITValuePublisher source, int period = 10, int fastPeriod = 2, int slowPeriod = 30)
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: this(period, fastPeriod, slowPeriod)
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{
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source.Pub += (item) => Update(item);
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@@ -104,14 +104,11 @@ public sealed class Kama : ITValuePublisher
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_p_kama = _kama;
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_p_volatilitySum = _volatilitySum;
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bool wasFull = _buffer.IsFull;
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double removed = _buffer.Add(val);
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if (_buffer.IsFull)
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if (wasFull)
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{
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// removed is the value that fell off (Price[period+1] relative to new state?)
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// No, removed is the value that was at index 0 (oldest).
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// The new oldest is at index 0.
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// diff_out was abs(removed - new_oldest).
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double diff_out = Math.Abs(removed - _buffer[0]);
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_lastDiffOut = diff_out;
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@@ -153,7 +150,7 @@ public sealed class Kama : ITValuePublisher
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{
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double change = Math.Abs(_buffer[^1] - _buffer[0]);
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double volatility = _volatilitySum;
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// Avoid division by zero
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double er = (volatility > double.Epsilon) ? change / volatility : 0.0;
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// Cap ER at 1.0 just in case floating point errors push it slightly over
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@@ -177,14 +174,14 @@ public sealed class Kama : ITValuePublisher
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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// Use static Calculate for performance
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var outputSpan = new double[len];
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Calculate(source.Values, outputSpan, _period,
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(int)(2.0/_fastAlpha - 1), (int)(2.0/_slowAlpha - 1)); // Reverse calc periods from alphas?
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// Actually better to pass alphas or periods.
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// The static method signature should match constructor params.
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Calculate(source.Values, outputSpan, _period,
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(int)(2.0 / _fastAlpha - 1), (int)(2.0 / _slowAlpha - 1)); // Reverse calc periods from alphas?
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// Actually better to pass alphas or periods.
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// The static method signature should match constructor params.
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// Wait, I need to pass periods to static method.
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// fastPeriod = 2/fastAlpha - 1.
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int fastPeriod = (int)Math.Round(2.0 / _fastAlpha - 1);
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@@ -192,7 +189,7 @@ public sealed class Kama : ITValuePublisher
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Calculate(source.Values, outputSpan, _period, fastPeriod, slowPeriod);
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for(int i=0; i<len; i++)
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for (int i = 0; i < len; i++)
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{
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t.Add(source.Times[i]);
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v.Add(outputSpan[i]);
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@@ -217,14 +214,14 @@ public sealed class Kama : ITValuePublisher
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double fastAlpha = 2.0 / (fastPeriod + 1);
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double slowAlpha = 2.0 / (slowPeriod + 1);
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// We need a buffer for price history to calculate ER
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// Size period + 1
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int bufSize = period + 1;
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Span<double> buffer = bufSize <= 256 ? stackalloc double[bufSize] : new double[bufSize];
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int bufferIdx = 0;
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int count = 0;
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double volatilitySum = 0;
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double kama = 0;
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bool kamaInitialized = false;
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@@ -241,7 +238,7 @@ public sealed class Kama : ITValuePublisher
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// Add to buffer
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double removed = buffer[bufferIdx];
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buffer[bufferIdx] = val;
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// Update volatility
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if (count >= 1)
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{
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@@ -249,9 +246,9 @@ public sealed class Kama : ITValuePublisher
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// prev is at bufferIdx-1 (circular)
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int prevIdx = (bufferIdx - 1 + bufSize) % bufSize;
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double diff_in = Math.Abs(val - buffer[prevIdx]);
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volatilitySum += diff_in;
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if (count == bufSize)
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{
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// diff_out = abs(removed - new_oldest)
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@@ -281,31 +278,18 @@ public sealed class Kama : ITValuePublisher
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// Wait, bufferIdx points to where we WILL write next.
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// So buffer[bufferIdx] is the oldest value (the one that will be overwritten next).
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// So Change = abs(val - buffer[bufferIdx])
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double change = 0;
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if (count == bufSize)
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{
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change = Math.Abs(val - buffer[bufferIdx]);
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}
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else
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{
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// If not full, oldest is at 0?
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// No, we fill 0, 1, 2...
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// Oldest is at 0.
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// But bufferIdx wraps.
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// If count < bufSize, we haven't wrapped yet (except maybe once if count==bufSize?)
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// If count < bufSize, bufferIdx is the index of next write.
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// Oldest is at 0.
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change = Math.Abs(val - buffer[0]);
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}
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change = (count == bufSize) ? Math.Abs(val - buffer[bufferIdx]) : Math.Abs(val - buffer[0]);
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double er = (volatilitySum > double.Epsilon) ? change / volatilitySum : 0.0;
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if (er > 1.0) er = 1.0;
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double sc = er * (fastAlpha - slowAlpha) + slowAlpha;
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sc = sc * sc;
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sc *= sc;
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kama = kama + sc * (val - kama);
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kama += sc * (val - kama);
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output[i] = kama;
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}
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}
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@@ -320,5 +304,6 @@ public sealed class Kama : ITValuePublisher
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_p_volatilitySum = 0;
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_lastDiffOut = 0;
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_lastValidValue = 0;
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Last = default;
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}
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}
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@@ -24,7 +24,8 @@
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<!-- Include mock types -->
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<Compile Include="Mocks\*.cs" />
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<!-- Include test files -->
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<Compile Include="*.Tests.cs" />
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<Compile Include="**\*.Tests.cs" />
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<Compile Include="..\lib\**\*.Quantower.Tests.cs" />
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<!-- Include core library types -->
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<Compile Include="..\lib\core\**\*.cs" Exclude="..\lib\core\**\*.Tests.cs" />
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<!-- Include trends implementations -->
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