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 12:08:05 +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 +1,81 @@
+namespace QuanTAlib.Tests;
+
+public class EomValidationTests
+{
+    private readonly ValidationTestData _data;
+    private const int DefaultPeriod = 14;
+
+    public EomValidationTests()
+    {
+        _data = new ValidationTestData();
+    }
+
+    [Fact]
+    public void Eom_Matches_Skender()
+    {
+        // Skender does not have Ease of Movement implementation
+        Assert.True(true, "Skender does not have an Ease of Movement implementation");
+    }
+
+    [Fact]
+    public void Eom_Matches_Talib()
+    {
+        // TA-Lib does not have EOM/Ease of Movement
+        Assert.True(true, "TA-Lib does not have an Ease of Movement implementation");
+    }
+
+    [Fact]
+    public void Eom_Matches_Tulip()
+    {
+        // Tulip has emv (Ease of Movement Value)
+        // However, the implementation differs - Tulip uses a different formula
+        Assert.True(true, "Tulip implementation differs from standard EOM");
+    }
+
+    [Fact]
+    public void Eom_Matches_Ooples()
+    {
+        // Ooples does not have a standard EOM implementation
+        Assert.True(true, "Ooples does not have a standard Ease of Movement implementation");
+    }
+
+    [Fact]
+    public void Eom_Streaming_Matches_Batch()
+    {
+        // Streaming
+        var eom = new Eom(DefaultPeriod);
+        var streamingValues = new List<double>();
+        foreach (var bar in _data.Bars)
+        {
+            streamingValues.Add(eom.Update(bar).Value);
+        }
+
+        // Batch
+        var batchResult = Eom.Calculate(_data.Bars, DefaultPeriod);
+        var batchValues = batchResult.Values.ToArray();
+
+        ValidationHelper.VerifyData(streamingValues.ToArray(), batchValues, 0, 100, 1e-9);
+    }
+
+    [Fact]
+    public void Eom_Span_Matches_Streaming()
+    {
+        // Streaming
+        var eom = new Eom(DefaultPeriod);
+        var streamingValues = new List<double>();
+        foreach (var bar in _data.Bars)
+        {
+            streamingValues.Add(eom.Update(bar).Value);
+        }
+
+        // Span
+        var high = _data.Bars.High.Values.ToArray();
+        var low = _data.Bars.Low.Values.ToArray();
+        var volume = _data.Bars.Volume.Values.ToArray();
+        var spanValues = new double[high.Length];
+
+        Eom.Calculate(high, low, volume, spanValues, DefaultPeriod);
+
+        ValidationHelper.VerifyData(streamingValues.ToArray(), spanValues, 0, 100, 1e-9);
+    }
+}