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.
2026-08-21 20:18:05 +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 +1,86 @@
+using Skender.Stock.Indicators;
+using OoplesFinance.StockIndicators;
+using OoplesFinance.StockIndicators.Models;
+
+namespace QuanTAlib.Tests;
+
+public class EfiValidationTests
+{
+    private readonly ValidationTestData _data;
+    private const int DefaultPeriod = 13;
+
+    public EfiValidationTests()
+    {
+        _data = new ValidationTestData();
+    }
+
+    [Fact]
+    public void Efi_Matches_Skender()
+    {
+        // Note: Skender's ElderRay is different from Force Index
+        // Skender does not have a direct Force Index implementation
+        // Skip this test
+        Assert.True(true, "Skender does not have a direct Force Index implementation");
+    }
+
+    [Fact]
+    public void Efi_Matches_Talib()
+    {
+        // TA-Lib does not have EFI/Force Index
+        Assert.True(true, "TA-Lib does not have a Force Index implementation");
+    }
+
+    [Fact]
+    public void Efi_Matches_Tulip()
+    {
+        // Tulip does not have Force Index
+        Assert.True(true, "Tulip does not have a Force Index implementation");
+    }
+
+    [Fact]
+    public void Efi_Matches_Ooples()
+    {
+        // Ooples does not have CalculateElderForceIndex method
+        // Skip this test
+        Assert.True(true, "Ooples does not have a Force Index implementation");
+    }
+
+    [Fact]
+    public void Efi_Streaming_Matches_Batch()
+    {
+        // Streaming
+        var efi = new Efi(DefaultPeriod);
+        var streamingValues = new List<double>();
+        foreach (var bar in _data.Bars)
+        {
+            streamingValues.Add(efi.Update(bar).Value);
+        }
+
+        // Batch
+        var batchResult = Efi.Calculate(_data.Bars, DefaultPeriod);
+        var batchValues = batchResult.Values.ToArray();
+
+        ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-12);
+    }
+
+    [Fact]
+    public void Efi_Span_Matches_Streaming()
+    {
+        // Streaming
+        var efi = new Efi(DefaultPeriod);
+        var streamingValues = new List<double>();
+        foreach (var bar in _data.Bars)
+        {
+            streamingValues.Add(efi.Update(bar).Value);
+        }
+
+        // Span
+        var close = _data.Bars.Close.Values.ToArray();
+        var volume = _data.Bars.Volume.Values.ToArray();
+        var spanValues = new double[close.Length];
+
+        Efi.Calculate(close, volume, spanValues, DefaultPeriod);
+
+        ValidationHelper.VerifyData(streamingValues.ToArray(), spanValues, 0, 100, 1e-12);
+    }
+}