gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-23 13:08:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

Add Intraday Intensity Index (III) implementation and tests

Browse Source 
- 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.
This commit is contained in:
Miha Kralj
2026-01-28 08:56:41 -08:00
parent a9e72dae0d
commit c7e55c2f1e
29 changed files with 5155 additions and 8 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/volume/aobv/Aobv.Validation.Tests.cs
+205
View File
@@ -0,0 +1,205 @@
namespace QuanTAlib.Tests;
/// <summary>
/// Validation tests for AOBV (Archer On-Balance Volume) indicator.
/// Note: AOBV is a proprietary indicator not available in external libraries
/// (TA-Lib, Skender, Tulip, Ooples). Validation focuses on internal consistency.
/// </summary>
public class AobvValidationTests
{
private readonly ValidationTestData _data;
public AobvValidationTests()
{
_data = new ValidationTestData();
}
[Fact]
public void Aobv_NotAvailable_Skender()
{
// AOBV is a proprietary indicator by EverGet (Archer)
// Not available in Skender.Stock.Indicators
Assert.True(true, "AOBV is proprietary - not available in Skender");
}
[Fact]
public void Aobv_NotAvailable_Talib()
{
// AOBV is a proprietary indicator
// TA-Lib has OBV but not AOBV (smoothed OBV)
Assert.True(true, "AOBV is proprietary - not available in TA-Lib");
}
[Fact]
public void Aobv_NotAvailable_Tulip()
{
// AOBV is a proprietary indicator
// Tulip has OBV but not AOBV (smoothed OBV)
Assert.True(true, "AOBV is proprietary - not available in Tulip");
}
[Fact]
public void Aobv_NotAvailable_Ooples()
{
// AOBV is a proprietary indicator
// Not available in OoplesFinance.StockIndicators
Assert.True(true, "AOBV is proprietary - not available in Ooples");
}
[Fact]
public void Aobv_Streaming_Matches_Batch()
{
// Streaming
var aobv = new Aobv();
var streamingFast = new List<double>();
var streamingSlow = new List<double>();
foreach (var bar in _data.Bars)
{
aobv.Update(bar);
streamingFast.Add(aobv.LastFast.Value);
streamingSlow.Add(aobv.LastSlow.Value);
}
// Batch
var (batchFast, _) = Aobv.Calculate(_data.Bars);
var batchFastArray = batchFast.Values.ToArray();
// Compare Fast EMA values (primary output)
ValidationHelper.VerifyData(streamingFast.ToArray(), batchFastArray, 0, 100, 1e-12);
}
[Fact]
public void Aobv_Span_Matches_Streaming()
{
// Streaming
var aobv = new Aobv();
var streamingFast = new List<double>();
foreach (var bar in _data.Bars)
{
aobv.Update(bar);
streamingFast.Add(aobv.LastFast.Value);
}
// Span
var close = _data.Bars.Close.Values.ToArray();
var volume = _data.Bars.Volume.Values.ToArray();
var spanFast = new double[close.Length];
var spanSlow = new double[close.Length];
Aobv.Calculate(close, volume, spanFast, spanSlow);
ValidationHelper.VerifyData(streamingFast.ToArray(), spanFast, 0, 100, 1e-12);
}
[Fact]
public void Aobv_Fast_Slow_Relationship()
{
// Fast EMA (period 4) should be more responsive than Slow EMA (period 14)
// Calculate variance of differences from raw OBV
var aobv = new Aobv();
var fastDeltas = new List<double>();
var slowDeltas = new List<double>();
double prevFast = 0, prevSlow = 0;
foreach (var bar in _data.Bars)
{
aobv.Update(bar);
if (aobv.IsHot)
{
fastDeltas.Add(Math.Abs(aobv.LastFast.Value - prevFast));
slowDeltas.Add(Math.Abs(aobv.LastSlow.Value - prevSlow));
}
prevFast = aobv.LastFast.Value;
prevSlow = aobv.LastSlow.Value;
}
// Fast should have higher average delta (more responsive)
var avgFastDelta = fastDeltas.Average();
var avgSlowDelta = slowDeltas.Average();
Assert.True(avgFastDelta >= avgSlowDelta * 0.9,
$"Fast EMA should be at least as responsive as slow. Fast avg delta: {avgFastDelta}, Slow avg delta: {avgSlowDelta}");
}
[Fact]
public void Aobv_Warmup_Convergence()
{
// Test that warmup compensation produces stable values
var aobv = new Aobv();
int warmupPeriod = aobv.WarmupPeriod;
int count = 0;
foreach (var bar in _data.Bars)
{
aobv.Update(bar);
count++;
if (count >= warmupPeriod)
{
Assert.True(aobv.IsHot, $"Should be hot after {warmupPeriod} bars");
break;
}
}
}
[Fact]
public void Aobv_Values_Are_Finite()
{
var aobv = new Aobv();
foreach (var bar in _data.Bars)
{
aobv.Update(bar);
Assert.True(double.IsFinite(aobv.LastFast.Value), "Fast EMA should be finite");
Assert.True(double.IsFinite(aobv.LastSlow.Value), "Slow EMA should be finite");
Assert.True(double.IsFinite(aobv.Last.Value), "Last value should be finite");
}
}
[Fact]
public void Aobv_CrossValidation_OBV_Trend()
{
// When OBV is trending up, both EMAs should eventually trend up
// Create synthetic uptrend data
var bars = new TBarSeries();
double baseClose = 100.0;
double baseVolume = 1000000.0;
for (int i = 0; i < 50; i++)
{
// Consistently rising closes with volume
bars.Add(new TBar(
DateTime.UtcNow.AddMinutes(i),
baseClose + i, // Open
baseClose + i + 1, // High
baseClose + i - 0.5, // Low
baseClose + i + 0.5, // Close (always rising)
baseVolume));
}
var aobv = new Aobv();
double lastFast = 0, lastSlow = 0;
int risingFastCount = 0, risingSlowCount = 0;
foreach (var bar in bars)
{
aobv.Update(bar);
if (aobv.IsHot)
{
if (aobv.LastFast.Value > lastFast)
{
risingFastCount++;
}
if (aobv.LastSlow.Value > lastSlow)
{
risingSlowCount++;
}
lastFast = aobv.LastFast.Value;
lastSlow = aobv.LastSlow.Value;
}
}
// In an uptrend, most values should be rising
Assert.True(risingFastCount > 20, $"Fast EMA should trend up in uptrend, rising count: {risingFastCount}");
Assert.True(risingSlowCount > 15, $"Slow EMA should trend up in uptrend, rising count: {risingSlowCount}");
}
}