mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-19 11:08:05 +00:00
tests and cleanup
This commit is contained in:
Miha Kralj
+12
-8
@@ -13,7 +13,7 @@
|
||||
<PackageReference Include="xunit.runner.console" Version="2.9.2">
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||||
<PrivateAssets>all</PrivateAssets>
|
||||
<IncludeAssets>runtime; build; native; contentfiles; analyzers</IncludeAssets>
|
||||
</PackageReference>
|
||||
</PackageReference>
|
||||
<PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.11.1" />
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||||
|
||||
<PackageReference Include="System.Text.RegularExpressions" Version="4.3.1" />
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@@ -25,15 +25,19 @@
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||||
<PackageReference Include="TALib.NETCore" Version="0.4.4" />
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<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
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<PackageReference Include="Trady.Analysis" Version="3.2.8" />
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<!--
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<PackageReference Include="quantconnect.indicators" Version="2.5.16573" />
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<PackageReference Include="stocksharp.algo" Version="5.0.193" />
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<PackageReference Include="OoplesFinance.StockIndicators" Version="1.0.53" />
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-->
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</ItemGroup>
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||||
|
||||
<ItemGroup>
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||||
<ProjectReference Include="..\lib\quantalib.csproj" />
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<Reference Include="TradingPlatform.BusinessLayer">
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<HintPath>..\.github\TradingPlatform.BusinessLayer.dll</HintPath>
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</Reference>
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<None Include="..\.github\TradingPlatform.BusinessLayer.xml">
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<Link>TradingPlatform.BusinessLayer.xml</Link>
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||||
</None>
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||||
</ItemGroup>
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||||
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||||
</Project>
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||||
<ItemGroup>
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||||
<ProjectReference Include="..\quantower\**\*.csproj" />
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</ItemGroup>
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</Project>
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+19
-2
@@ -8,7 +8,7 @@ namespace QuanTAlib;
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public class EventingTests
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{
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[Fact]
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public void VerifyEventBasedCalculations()
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public void EventBasedCalculations()
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{
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// Create a cryptographically secure random number generator
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using var rng = RandomNumberGenerator.Create();
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@@ -50,7 +50,24 @@ public class EventingTests
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("Rma", new Rma(p), new Rma(input, p)),
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("Tema", new Tema(p), new Tema(input, p)),
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("Kama", new Kama(2, 30, 6), new Kama(input, 2, 30, 6)),
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("Zlema", new Zlema(p), new Zlema(input, p))
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("Zlema", new Zlema(p), new Zlema(input, p)),
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// error classes
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("Mae", new Mae(p), new Mae(input, p)),
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("Mapd", new Mapd(p), new Mapd(input, p)),
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("Mape", new Mape(p), new Mape(input, p)),
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("Mase", new Mase(p), new Mase(input, p)),
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("Mda", new Mda(p), new Mda(input, p)),
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("Me", new Me(p), new Me(input, p)),
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("Mpe", new Mpe(p), new Mpe(input, p)),
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("Mse", new Mse(p), new Mse(input, p)),
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("Msle", new Msle(p), new Msle(input, p)),
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("Rae", new Rae(p), new Rae(input, p)),
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("Rmse", new Rmse(p), new Rmse(input, p)),
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("Rmsle", new Rmsle(p), new Rmsle(input, p)),
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("Rse", new Rse(p), new Rse(input, p)),
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("Smape", new Smape(p), new Smape(input, p)),
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("Rsquared", new Rsquared(p), new Rsquared(input, p)),
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("Huberloss", new Huberloss(p), new Huberloss(input, p))
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};
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// Generate 200 random values and feed them to both direct and event-based indicators
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@@ -1,158 +0,0 @@
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using Xunit;
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using System.Reflection;
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using System.Diagnostics.CodeAnalysis;
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using System.Security.Cryptography;
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namespace QuanTAlib;
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public class IndicatorTests
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{
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private readonly RandomNumberGenerator rng;
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private const int SeriesLen = 1000;
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private const int Corrections = 100;
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public IndicatorTests()
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{
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rng = RandomNumberGenerator.Create();
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}
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private int GetRandomNumber(int minValue, int maxValue)
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{
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byte[] randomBytes = new byte[4];
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rng.GetBytes(randomBytes);
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int randomInt = BitConverter.ToInt32(randomBytes, 0);
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return Math.Abs(randomInt % (maxValue - minValue)) + minValue;
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}
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// skipcq: CS-R1055
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private static readonly ITValue[] indicators =
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{
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new Ema(period: 10, useSma: true),
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new Alma(period: 14, offset: 0.85, sigma: 6),
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new Afirma(periods: 4, taps: 4, window: Afirma.WindowType.Blackman),
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new Convolution(new[] { 1.0, 2, 3, 2, 1 }),
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new Dema(period: 14),
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new Dsma(period: 14),
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new Dwma(period: 14),
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new Epma(period: 14),
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new Pwma(period: 14),
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new Frama(period: 14),
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new Fwma(period: 14),
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new Gma(period: 14),
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new Hma(period: 14),
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new Hwma(period: 14),
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new Kama(period: 14),
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new Mama(fastLimit: 0.5, slowLimit: 0.05),
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new Mgdi(period: 14),
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new Mma(period: 14),
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new Qema(),
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new Rema(period: 14),
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new Rma(period: 14),
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new Sinema(period: 14),
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new Sma(period: 14),
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new Smma(period: 14),
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new T3(period: 14),
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new Tema(period: 14),
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new Trima(period: 14),
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new Vidya(shortPeriod: 14, longPeriod: 30, alpha: 0.2),
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new Wma(period: 14),
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new Zlema(period: 14),
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new Curvature(period: 14),
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new Entropy(period: 14),
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new Kurtosis(period: 14),
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new Max(period: 14, decay: 0.01),
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new Median(period: 14),
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new Min(period: 14, decay: 0.01),
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new Median(period: 14),
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new Mode(period: 14),
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new Percentile(period: 14, percent: 50),
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new Skew(period: 14),
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new Slope(period: 14),
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new Stddev(period: 14),
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new Variance(period: 14),
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new Zscore(period: 14),
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new Historical(period: 14),
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new Realized(period: 14)
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};
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[Theory]
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[MemberData(nameof(GetIndicators))]
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public void IndicatorIsNew(ITValue indicator)
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{
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var indicator1 = indicator;
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var indicator2 = indicator;
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MethodInfo calcMethod = FindCalcMethod(indicator.GetType());
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if (calcMethod == null)
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{
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throw new InvalidOperationException($"Calc method not found for indicator type: {indicator.GetType().Name}");
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}
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for (int i = 0; i < SeriesLen; i++)
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{
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TValue item1 = new(Time: DateTime.Now, Value: GetRandomNumber(-100, 100), IsNew: true);
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InvokeCalc(indicator1, calcMethod, item1);
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for (int j = 0; j < Corrections; j++)
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{
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item1 = new(Time: DateTime.Now, Value: GetRandomNumber(-100, 100), IsNew: false);
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InvokeCalc(indicator1, calcMethod, item1);
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}
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var item2 = new TValue(item1.Time, item1.Value, IsNew: true);
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InvokeCalc(indicator2, calcMethod, item2);
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Assert.Equal(indicator1.Value, indicator2.Value);
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}
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}
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private static MethodInfo FindCalcMethod(Type type)
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{
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while (type != null && type != typeof(object))
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{
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var methods = type.GetMethods(BindingFlags.Public | BindingFlags.NonPublic | BindingFlags.Instance | BindingFlags.DeclaredOnly)
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.Where(m => m.Name == "Calc")
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.ToList();
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if (methods.Count > 0)
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{
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// Prefer the method with TValue parameter
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var method = methods.FirstOrDefault(m =>
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{
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var parameters = m.GetParameters();
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return parameters.Length == 1 && parameters[0].ParameterType == typeof(TValue);
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});
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// If not found, return the first method
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return method ?? methods.First();
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}
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type = type.BaseType!;
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}
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return null!;
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}
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private static void InvokeCalc(ITValue indicator, MethodInfo calcMethod, TValue input)
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{
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var parameters = calcMethod.GetParameters();
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if (parameters.Length == 1)
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{
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calcMethod.Invoke(indicator, new object[] { input });
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}
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else if (parameters.Length == 2)
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{
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calcMethod.Invoke(indicator, new object[] { input, double.NaN });
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}
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else
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{
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throw new InvalidOperationException($"Invalid number of parameters for Calc method in indicator type: {indicator.GetType().Name}");
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}
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}
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public static IEnumerable<object[]> GetIndicators()
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{
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return indicators.Select(indicator => new object[] { indicator });
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}
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}
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@@ -0,0 +1,94 @@
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using Xunit;
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using System;
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using System.Reflection;
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib
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{
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public class QuantowerTests
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{
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private void TestIndicator<T>(string fieldName = "ma") where T : Indicator, new()
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{
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var indicator = new T();
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try
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{
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var onInitMethod = typeof(T).GetMethod("OnInit", BindingFlags.NonPublic | BindingFlags.Instance);
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Assert.NotNull(onInitMethod);
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onInitMethod.Invoke(indicator, null);
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var field = typeof(T).GetField(fieldName, BindingFlags.NonPublic | BindingFlags.Instance);
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Assert.NotNull(field);
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var fieldValue = field.GetValue(indicator);
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Assert.NotNull(fieldValue);
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Assert.NotNull(indicator.ShortName);
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Assert.NotEmpty(indicator.ShortName);
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Assert.NotNull(indicator.Name);
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Assert.NotEmpty(indicator.Name);
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Assert.NotNull(indicator.Description);
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Assert.NotEmpty(indicator.Description);
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Assert.IsAssignableFrom<Indicator>(indicator);
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}
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catch (Exception ex)
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||||
{
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throw new Xunit.Sdk.XunitException($"Test failed for {typeof(T).Name}: {ex.Message}");
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||||
}
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||||
}
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// Averages Indicators
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[Fact] public void Afirma() => TestIndicator<AfirmaIndicator>();
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[Fact] public void Alma() => TestIndicator<AlmaIndicator>();
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[Fact] public void Dema() => TestIndicator<DemaIndicator>();
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[Fact] public void Dsma() => TestIndicator<DsmaIndicator>();
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[Fact] public void Dwma() => TestIndicator<DwmaIndicator>();
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[Fact] public void Ema() => TestIndicator<EmaIndicator>();
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[Fact] public void Epma() => TestIndicator<EpmaIndicator>();
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[Fact] public void Frama() => TestIndicator<FramaIndicator>();
|
||||
[Fact] public void Fwma() => TestIndicator<FwmaIndicator>();
|
||||
[Fact] public void Gma() => TestIndicator<GmaIndicator>();
|
||||
[Fact] public void Hma() => TestIndicator<HmaIndicator>();
|
||||
[Fact] public void Htit() => TestIndicator<HtitIndicator>();
|
||||
[Fact] public void Hwma() => TestIndicator<HwmaIndicator>();
|
||||
[Fact] public void Jma() => TestIndicator<JmaIndicator>();
|
||||
[Fact] public void Kama() => TestIndicator<KamaIndicator>();
|
||||
[Fact] public void Ltma() => TestIndicator<LtmaIndicator>();
|
||||
[Fact] public void Maaf() => TestIndicator<MaafIndicator>();
|
||||
[Fact] public void Mama() => TestIndicator<MamaIndicator>();
|
||||
[Fact] public void Mgdi() => TestIndicator<MgdiIndicator>();
|
||||
[Fact] public void Mma() => TestIndicator<MmaIndicator>();
|
||||
[Fact] public void Pwma() => TestIndicator<PwmaIndicator>();
|
||||
[Fact] public void Qema() => TestIndicator<QemaIndicator>();
|
||||
[Fact] public void Rema() => TestIndicator<RemaIndicator>();
|
||||
[Fact] public void Rma() => TestIndicator<RmaIndicator>();
|
||||
[Fact] public void Sinema() => TestIndicator<SinemaIndicator>();
|
||||
[Fact] public void Sma() => TestIndicator<SmaIndicator>();
|
||||
[Fact] public void Smma() => TestIndicator<SmmaIndicator>();
|
||||
[Fact] public void T3() => TestIndicator<T3Indicator>();
|
||||
[Fact] public void Tema() => TestIndicator<TemaIndicator>();
|
||||
[Fact] public void Trima() => TestIndicator<TrimaIndicator>();
|
||||
[Fact] public void Vidya() => TestIndicator<VidyaIndicator>();
|
||||
[Fact] public void Wma() => TestIndicator<WmaIndicator>();
|
||||
[Fact] public void Zlema() => TestIndicator<ZlemaIndicator>();
|
||||
|
||||
// Statistics Indicators
|
||||
[Fact] public void Curvature() => TestIndicator<CurvatureIndicator>("curvature");
|
||||
[Fact] public void Entropy() => TestIndicator<EntropyIndicator>("entropy");
|
||||
[Fact] public void Kurtosis() => TestIndicator<KurtosisIndicator>("kurtosis");
|
||||
[Fact] public void Max() => TestIndicator<MaxIndicator>("ma");
|
||||
[Fact] public void Median() => TestIndicator<MedianIndicator>("med");
|
||||
[Fact] public void Min() => TestIndicator<MinIndicator>("mi");
|
||||
[Fact] public void Mode() => TestIndicator<ModeIndicator>("mode");
|
||||
[Fact] public void Percentile() => TestIndicator<PercentileIndicator>("percentile");
|
||||
[Fact] public void Skew() => TestIndicator<SkewIndicator>("skew");
|
||||
[Fact] public void Slope() => TestIndicator<SlopeIndicator>("slope");
|
||||
[Fact] public void Stddev() => TestIndicator<StddevIndicator>("stddev");
|
||||
[Fact] public void Variance() => TestIndicator<VarianceIndicator>("variance");
|
||||
[Fact] public void Zscore() => TestIndicator<ZScoreIndicator>("zScore");
|
||||
|
||||
// Volatility Indicators
|
||||
[Fact] public void Atr() => TestIndicator<AtrIndicator>("atr");
|
||||
[Fact] public void Historical() => TestIndicator<HistoricalIndicator>("historical");
|
||||
[Fact] public void Realized() => TestIndicator<RealizedIndicator>("realized");
|
||||
[Fact] public void Rvi() => TestIndicator<RviIndicator>("rvi");
|
||||
}
|
||||
}
|
||||
@@ -5,7 +5,7 @@ using System.Security.Cryptography;
|
||||
|
||||
#pragma warning disable S1944, S2053, S2222, S2259, S2583, S2589, S3329, S3655, S3900, S3949, S3966, S4158, S4347, S5773, S6781
|
||||
|
||||
namespace QuanTAlib;
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class SkenderTests
|
||||
{
|
||||
|
||||
@@ -109,26 +109,6 @@ public class TAlibTests
|
||||
}
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void WMA()
|
||||
{
|
||||
for (int run = 0; run < iterations; run++)
|
||||
{
|
||||
int period = GetRandomNumber(5, 55);
|
||||
Wma ma = new(period);
|
||||
TSeries QL = new();
|
||||
foreach (TBar item in feed)
|
||||
{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
|
||||
Core.Wma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
|
||||
Assert.Equal(QL.Length, TALIB.Count());
|
||||
for (int i = QL.Length - 1; i > 2000; i--)
|
||||
{
|
||||
Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
[Fact]
|
||||
public void T3()
|
||||
{
|
||||
|
||||
@@ -0,0 +1,529 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class AveragesUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Afirma_Update()
|
||||
{
|
||||
var indicator = new Afirma(periods: 14, taps: 4, window: Afirma.WindowType.Blackman);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Alma_Update()
|
||||
{
|
||||
var indicator = new Alma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Convolution_Update()
|
||||
{
|
||||
var indicator = new Convolution(new double[] { 1, 2, 3, 2, 1 });
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dema_Update()
|
||||
{
|
||||
var indicator = new Dema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dsma_Update()
|
||||
{
|
||||
var indicator = new Dsma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Dwma_Update()
|
||||
{
|
||||
var indicator = new Dwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ema_Update()
|
||||
{
|
||||
var indicator = new Ema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Epma_Update()
|
||||
{
|
||||
var indicator = new Epma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Frama_Update()
|
||||
{
|
||||
var indicator = new Frama(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Fwma_Update()
|
||||
{
|
||||
var indicator = new Fwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Gma_Update()
|
||||
{
|
||||
var indicator = new Gma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hma_Update()
|
||||
{
|
||||
var indicator = new Hma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Htit_Update()
|
||||
{
|
||||
var indicator = new Htit();
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Hwma_Update()
|
||||
{
|
||||
var indicator = new Hwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Jma_Update()
|
||||
{
|
||||
var indicator = new Jma(period: 14, phase: 0);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kama_Update()
|
||||
{
|
||||
var indicator = new Kama(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Ltma_Update()
|
||||
{
|
||||
var indicator = new Ltma(gamma: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Maaf_Update()
|
||||
{
|
||||
var indicator = new Maaf(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mama_Update()
|
||||
{
|
||||
var indicator = new Mama(fastLimit: 0.5, slowLimit: 0.05);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mgdi_Update()
|
||||
{
|
||||
var indicator = new Mgdi(period: 14, kFactor: 0.6);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mma_Update()
|
||||
{
|
||||
var indicator = new Mma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Pwma_Update()
|
||||
{
|
||||
var indicator = new Pwma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Qema_Update()
|
||||
{
|
||||
var indicator = new Qema(k1: 0.2, k2: 0.2, k3: 0.2, k4: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rema_Update()
|
||||
{
|
||||
var indicator = new Rema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rma_Update()
|
||||
{
|
||||
var indicator = new Rma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Sinema_Update()
|
||||
{
|
||||
var indicator = new Sinema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Sma_Update()
|
||||
{
|
||||
var indicator = new Sma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smma_Update()
|
||||
{
|
||||
var indicator = new Smma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void T3_Update()
|
||||
{
|
||||
var indicator = new T3(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Tema_Update()
|
||||
{
|
||||
var indicator = new Tema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Trima_Update()
|
||||
{
|
||||
var indicator = new Trima(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Vidya_Update()
|
||||
{
|
||||
var indicator = new Vidya(shortPeriod: 14, longPeriod: 30, alpha: 0.2);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Wma_Update()
|
||||
{
|
||||
var indicator = new Wma(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Zlema_Update()
|
||||
{
|
||||
var indicator = new Zlema(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,259 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class UpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Huberloss_Update()
|
||||
{
|
||||
var indicator = new Huberloss(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mae_Update()
|
||||
{
|
||||
var indicator = new Mae(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mapd_Update()
|
||||
{
|
||||
var indicator = new Mapd(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mape_Update()
|
||||
{
|
||||
var indicator = new Mape(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mase_Update()
|
||||
{
|
||||
var indicator = new Mase(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mda_Update()
|
||||
{
|
||||
var indicator = new Mda(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Me_Update()
|
||||
{
|
||||
var indicator = new Me(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mpe_Update()
|
||||
{
|
||||
var indicator = new Mpe(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mse_Update()
|
||||
{
|
||||
var indicator = new Mse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Msle_Update()
|
||||
{
|
||||
var indicator = new Msle(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rae_Update()
|
||||
{
|
||||
var indicator = new Rae(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rmse_Update()
|
||||
{
|
||||
var indicator = new Rmse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rmsle_Update()
|
||||
{
|
||||
var indicator = new Rmsle(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rse_Update()
|
||||
{
|
||||
var indicator = new Rse(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Smape_Update()
|
||||
{
|
||||
var indicator = new Smape(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Rsquared_Update()
|
||||
{
|
||||
var indicator = new Rsquared(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,214 @@
|
||||
using Xunit;
|
||||
using System.Security.Cryptography;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class StatisticsUpdateTests
|
||||
{
|
||||
private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
|
||||
private const int RandomUpdates = 100;
|
||||
private const double ReferenceValue = 100.0;
|
||||
private const int precision = 8;
|
||||
|
||||
private double GetRandomDouble()
|
||||
{
|
||||
byte[] bytes = new byte[8];
|
||||
rng.GetBytes(bytes);
|
||||
return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Curvature_Update()
|
||||
{
|
||||
var indicator = new Curvature(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Entropy_Update()
|
||||
{
|
||||
var indicator = new Entropy(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Kurtosis_Update()
|
||||
{
|
||||
var indicator = new Kurtosis(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Max_Update()
|
||||
{
|
||||
var indicator = new Max(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Median_Update()
|
||||
{
|
||||
var indicator = new Median(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Min_Update()
|
||||
{
|
||||
var indicator = new Min(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Mode_Update()
|
||||
{
|
||||
var indicator = new Mode(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Percentile_Update()
|
||||
{
|
||||
var indicator = new Percentile(period: 14, percent: 50);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Skew_Update()
|
||||
{
|
||||
var indicator = new Skew(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Slope_Update()
|
||||
{
|
||||
var indicator = new Slope(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Stddev_Update()
|
||||
{
|
||||
var indicator = new Stddev(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Variance_Update()
|
||||
{
|
||||
var indicator = new Variance(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void Zscore_Update()
|
||||
{
|
||||
var indicator = new Zscore(period: 14);
|
||||
double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true));
|
||||
|
||||
for (int i = 0; i < RandomUpdates; i++)
|
||||
{
|
||||
indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false));
|
||||
}
|
||||
double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false));
|
||||
|
||||
Assert.Equal(initialValue, finalValue, precision);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user