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 +1,189 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class EomIndicatorTests
+{
+    [Fact]
+    public void EomIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new EomIndicator();
+
+        Assert.Equal("EOM - Ease of Movement", indicator.Name);
+        Assert.Equal(14, indicator.Period);
+        Assert.Equal(10000, indicator.VolumeScale);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(15, indicator.MinHistoryDepths); // Period + 1
+    }
+
+    [Fact]
+    public void EomIndicator_ShortName_ReflectsPeriod()
+    {
+        var indicator = new EomIndicator { Period = 20 };
+        Assert.Equal("EOM(20)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void EomIndicator_MinHistoryDepths_EqualsPeriodPlusOne()
+    {
+        var indicator = new EomIndicator { Period = 26 };
+
+        Assert.Equal(27, indicator.MinHistoryDepths); // Period + 1
+        Assert.Equal(27, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void EomIndicator_Initialize_CreatesInternalEom()
+    {
+        var indicator = new EomIndicator();
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void EomIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new EomIndicator();
+        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 + (i * 100));
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Line series should have a value
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(val));
+    }
+
+    [Fact]
+    public void EomIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new EomIndicator();
+        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 + (i * 100));
+        }
+
+        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);
+    }
+
+    [Fact]
+    public void EomIndicator_Value_IsFinite()
+    {
+        var indicator = new EomIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 50; i++)
+        {
+            // Create varying price patterns with price ranges
+            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 val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(val), $"EOM value {val} should be finite");
+    }
+
+    [Fact]
+    public void EomIndicator_PositiveValue_OnUpwardMovement()
+    {
+        var indicator = new EomIndicator { Period = 3 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // First bar: baseline
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 100, 1000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add bars with increasing midpoints (price moving up) with low volume (easy movement)
+        for (int i = 1; i <= 10; i++)
+        {
+            double basePrice = 100 + (i * 5);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 10, basePrice - 10, basePrice + 5, 500);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val > 0, $"EOM should be positive on sustained upward movement, got {val}");
+    }
+
+    [Fact]
+    public void EomIndicator_NegativeValue_OnDownwardMovement()
+    {
+        var indicator = new EomIndicator { Period = 3 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // First bar: baseline
+        indicator.HistoricalData.AddBar(now, 150, 160, 140, 150, 1000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add bars with decreasing midpoints (price moving down) with low volume (easy movement)
+        for (int i = 1; i <= 10; i++)
+        {
+            double basePrice = 150 - (i * 5);
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 10, basePrice - 10, basePrice - 5, 500);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val < 0, $"EOM should be negative on sustained downward movement, got {val}");
+    }
+
+    [Fact]
+    public void EomIndicator_VolumeScale_AffectsOutput()
+    {
+        var indicator1 = new EomIndicator { Period = 5, VolumeScale = 10000 };
+        var indicator2 = new EomIndicator { Period = 5, VolumeScale = 100000 };
+        indicator1.Initialize();
+        indicator2.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            double basePrice = 100 + i;
+            indicator1.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2, 50000);
+            indicator2.HistoricalData.AddBar(now.AddMinutes(i), basePrice, basePrice + 5, basePrice - 5, basePrice + 2, 50000);
+            indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val1 = indicator1.LinesSeries[0].GetValue(0);
+        double val2 = indicator2.LinesSeries[0].GetValue(0);
+
+        // Different volume scales should produce different magnitude results
+        Assert.NotEqual(val1, val2);
+        Assert.True(double.IsFinite(val1));
+        Assert.True(double.IsFinite(val2));
+    }
+}