Add Intraday Intensity Index (III) implementation and tests

- Implemented the III indicator in Iii.Quantower.cs, measuring buying/selling pressure based on close price within the day's range, weighted by volume. - Added unit tests for III functionality in Iii.Tests.cs, covering various scenarios including default parameters, updates, and cumulative mode. - Created validation tests in Iii.Validation.Tests.cs to ensure consistency between streaming, batch, and span calculations. - Developed comprehensive documentation for III in Iii.md, detailing its historical context, mathematical foundation, and common pitfalls.
2026-08-24 05:28:05 +00:00 · 2026-01-28 08:56:41 -08:00
parent a9e72dae0d
commit c7e55c2f1e
29 changed files with 5155 additions and 8 deletions
@@ -0,0 +1,160 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class AobvIndicatorTests
+{
+    private const int SlowPeriod = 14;
+
+    [Fact]
+    public void AobvIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new AobvIndicator();
+
+        Assert.Equal("AOBV - Archer On-Balance Volume", indicator.Name);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(SlowPeriod, indicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void AobvIndicator_ShortName_IsFixed()
+    {
+        var indicator = new AobvIndicator();
+        Assert.Equal("AOBV", indicator.ShortName);
+    }
+
+    [Fact]
+    public void AobvIndicator_MinHistoryDepths_EqualsSlowPeriod()
+    {
+        var indicator = new AobvIndicator();
+
+        Assert.Equal(SlowPeriod, indicator.MinHistoryDepths);
+        Assert.Equal(SlowPeriod, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void AobvIndicator_Initialize_CreatesInternalAobv()
+    {
+        var indicator = new AobvIndicator();
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, two line series should exist (Fast and Slow)
+        Assert.Equal(2, indicator.LinesSeries.Count);
+    }
+
+    [Fact]
+    public void AobvIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new AobvIndicator();
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000);
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Both line series should have values
+        double fastVal = indicator.LinesSeries[0].GetValue(0);
+        double slowVal = indicator.LinesSeries[1].GetValue(0);
+        Assert.True(double.IsFinite(fastVal), "Fast EMA should be finite");
+        Assert.True(double.IsFinite(slowVal), "Slow EMA should be finite");
+    }
+
+    [Fact]
+    public void AobvIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new AobvIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 1000);
+        }
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add new bar
+        indicator.HistoricalData.AddBar(now.AddMinutes(30), 130, 140, 120, 135, 1500);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+        Assert.Equal(2, indicator.LinesSeries[1].Count);
+    }
+
+    [Fact]
+    public void AobvIndicator_FastSlowRelationship_InUptrend()
+    {
+        var indicator = new AobvIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        // Create consistent uptrend: closes always rising
+        for (int i = 0; i < 50; i++)
+        {
+            double basePrice = 100 + i;
+            indicator.HistoricalData.AddBar(
+                now.AddMinutes(i),
+                basePrice,        // Open
+                basePrice + 2,    // High
+                basePrice - 1,    // Low
+                basePrice + 1,    // Close (rising)
+                1000000);         // Volume
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        // In sustained uptrend, both EMAs should be rising
+        double fastVal = indicator.LinesSeries[0].GetValue(0);
+        double slowVal = indicator.LinesSeries[1].GetValue(0);
+
+        // Both should be positive (accumulating volume)
+        Assert.True(fastVal > 0, $"Fast EMA should be positive in uptrend: {fastVal}");
+        Assert.True(slowVal > 0, $"Slow EMA should be positive in uptrend: {slowVal}");
+    }
+
+    [Fact]
+    public void AobvIndicator_Values_AreFinite()
+    {
+        var indicator = new AobvIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 50; i++)
+        {
+            double open = 100 + i;
+            double high = open + 10 + (i % 5);
+            double low = open - 5;
+            double close = (i % 2 == 0) ? high - 1 : low + 1;
+            double volume = 1000 + (i * 100);
+
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double fastVal = indicator.LinesSeries[0].GetValue(0);
+        double slowVal = indicator.LinesSeries[1].GetValue(0);
+
+        Assert.True(double.IsFinite(fastVal), $"Fast EMA value should be finite: {fastVal}");
+        Assert.True(double.IsFinite(slowVal), $"Slow EMA value should be finite: {slowVal}");
+    }
+
+    [Fact]
+    public void AobvIndicator_TwoLineSeries_Exist()
+    {
+        var indicator = new AobvIndicator();
+        indicator.Initialize();
+
+        Assert.Equal(2, indicator.LinesSeries.Count);
+        Assert.Equal("Fast", indicator.LinesSeries[0].Name);
+        Assert.Equal("Slow", indicator.LinesSeries[1].Name);
+    }
+}