mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-19 02:58:05 +00:00
Refactor validation tests for various indicators to utilize shared test data structure
This commit is contained in:
Miha Kralj
@@ -1,68 +0,0 @@
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#!meta
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{"kernelInfo":{"defaultKernelName":"csharp","items":[{"name":"csharp","languageName":"csharp"},{"name":"fsharp","languageName":"F#","aliases":["f#","fs"]},{"name":"html","languageName":"HTML"},{"name":"http","languageName":"HTTP"},{"name":"javascript","languageName":"JavaScript","aliases":["js"]},{"name":"mermaid","languageName":"Mermaid"},{"name":"pwsh","languageName":"PowerShell","aliases":["powershell"]},{"name":"value"}]}}
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#!csharp
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// Reference the library
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#r "..\..\bin\QuanTAlib.dll"
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using QuanTAlib;
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using System.IO;
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// 1. Setup: Use existing CSV file
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// CsvFeed expects a CSV with header: timestamp,open,high,low,close,volume
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// Timestamp format: YYYY-MM-DD
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string csvPath = "daily_IBM.csv";
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Console.WriteLine($"Using CSV file: {csvPath}");
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#!csharp
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// 2. Initialize CsvFeed
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// The feed loads the data and prepares it for streaming
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var feed = new CsvFeed(csvPath);
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Console.WriteLine("CsvFeed initialized.");
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#!csharp
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// 3. Streaming Data
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// Simulate processing historical data bar by bar
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Console.WriteLine("\nStreaming data (first 5 bars):");
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int count = 0;
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bool isNew = true;
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// Get first bar
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var bar = feed.Next(isNew: true);
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while (isNew && count < 5)
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{
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count++;
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Console.WriteLine($" Bar {count}: {bar}");
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// Get next bar
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bar = feed.Next(ref isNew);
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}
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Console.WriteLine($"Streamed {count} bars.");
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#!csharp
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// 4. Batch Fetching
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// Retrieve a specific range of data
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Console.WriteLine("\nBatch fetching:");
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// Using a date range present in daily_IBM.csv (July 2025)
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long startTime = new DateTime(2025, 7, 8).Ticks;
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var interval = TimeSpan.FromDays(1);
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// Fetch 3 bars starting from July 8th, 2025
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var batch = feed.Fetch(5, startTime, interval);
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Console.WriteLine($"Fetched {batch.Count} bars:");
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foreach (var b in batch)
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{
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Console.WriteLine($" {b}");
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}
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@@ -1,69 +0,0 @@
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#!meta
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{"kernelInfo":{"defaultKernelName":"csharp","items":[{"name":"csharp","languageName":"csharp"},{"name":"fsharp","languageName":"F#","aliases":["f#","fs"]},{"name":"html","languageName":"HTML"},{"name":"http","languageName":"HTTP"},{"name":"javascript","languageName":"JavaScript","aliases":["js"]},{"name":"mermaid","languageName":"Mermaid"},{"name":"pwsh","languageName":"PowerShell","aliases":["powershell"]},{"name":"value"}]}}
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#!csharp
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// Reference the library
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#r "..\..\bin\QuanTAlib.dll"
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using QuanTAlib;
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// 1. Initialize GBM Generator
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// GBM simulates price movements using Geometric Brownian Motion
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// Parameters: Start Price, Drift (mu), Volatility (sigma)
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
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Console.WriteLine("GBM Generator initialized (Start=100, Drift=5%, Vol=20%)");
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#!csharp
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// 2. Batch Generation
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// Generate a sequence of bars at once
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// Useful for backtesting or initializing indicators
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long startTime = DateTime.UtcNow.Ticks;
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var interval = TimeSpan.FromMinutes(1);
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var history = gbm.Fetch(10, startTime, interval);
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Console.WriteLine($"Generated {history.Count} bars:");
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for (int i = 0; i < history.Count; i++)
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{
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Console.WriteLine($" Bar {i}: Time={history[i].AsDateTime:HH:mm}, Close={history[i].Close:F2}");
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}
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#!csharp
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// 3. Streaming Generation
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// Simulate real-time data feed bar by bar
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Console.WriteLine("\nStreaming new bars:");
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for (int i = 0; i < 3; i++)
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{
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var bar = gbm.Next(isNew: true);
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Console.WriteLine($" New Bar: {bar.Close:F2}");
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}
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#!csharp
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// 4. Intra-bar Updates
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// Simulate real-time price ticks within a single bar
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// The High/Low will expand, and Close will update
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Console.WriteLine("\nSimulating intra-bar updates:");
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// Start a new bar
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var liveBar = gbm.Next(isNew: true);
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Console.WriteLine($" Open: {liveBar.Open:F2}, Close: {liveBar.Close:F2}");
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// Simulate 5 ticks
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for (int i = 1; i <= 5; i++)
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{
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liveBar = gbm.Next(isNew: false);
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Console.WriteLine($" Tick {i}: Close={liveBar.Close:F2}, High={liveBar.High:F2}, Low={liveBar.Low:F2}");
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}
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// Finalize bar
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liveBar = gbm.Next(isNew: true);
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Console.WriteLine($" Finalized Previous, Started New: {liveBar.Open:F2}");
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@@ -0,0 +1,185 @@
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using System;
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using System.Collections.Generic;
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using Xunit;
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namespace QuanTAlib.Tests;
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public static class ValidationHelper
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{
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public static void VerifyData<TResult>(TSeries qSeries, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
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{
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Assert.Equal(qSeries.Count, sSeries.Count);
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int count = qSeries.Count;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qSeries[i].Value;
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double? sValue = selector(sSeries[i]);
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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}
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}
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public static void VerifyData<TResult>(List<double> qResults, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
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{
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Assert.Equal(qResults.Count, sSeries.Count);
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int count = qResults.Count;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qResults[i];
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double? sValue = selector(sSeries[i]);
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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}
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}
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public static void VerifyData<TResult>(double[] qOutput, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
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{
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Assert.Equal(qOutput.Length, sSeries.Count);
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int count = qOutput.Length;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qOutput[i];
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double? sValue = selector(sSeries[i]);
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if (!sValue.HasValue) continue;
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Assert.Equal(sValue.Value, qValue, tolerance);
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}
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}
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public static void VerifyData(TSeries qSeries, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qSeries.Count;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qSeries[i].Value;
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= tOutput.Length) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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public static void VerifyData(List<double> qResults, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qResults.Count;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qResults[i];
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= tOutput.Length) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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public static void VerifyData(double[] qOutput, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qOutput.Length;
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int start = count - skip;
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for (int i = start; i < count; i++)
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{
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double qValue = qOutput[i];
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= tOutput.Length) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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public static void VerifyData(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qSeries.Count;
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int start = count - skip;
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int validCount = outRange.End.Value - outRange.Start.Value;
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for (int i = start; i < count; i++)
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{
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double qValue = qSeries[i].Value;
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= validCount) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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public static void VerifyData(List<double> qResults, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qResults.Count;
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int start = count - skip;
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int validCount = outRange.End.Value - outRange.Start.Value;
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for (int i = start; i < count; i++)
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{
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double qValue = qResults[i];
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= validCount) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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public static void VerifyData(double[] qOutput, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
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{
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int count = qOutput.Length;
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int start = count - skip;
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int validCount = outRange.End.Value - outRange.Start.Value;
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for (int i = start; i < count; i++)
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{
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double qValue = qOutput[i];
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if (i < lookback) continue;
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int tIndex = i - lookback;
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if (tIndex >= validCount) continue;
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double tValue = tOutput[tIndex];
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Assert.Equal(tValue, qValue, tolerance);
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}
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}
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}
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@@ -0,0 +1,58 @@
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Skender.Stock.Indicators;
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namespace QuanTAlib.Tests;
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public class ValidationTestData : IDisposable
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{
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public TBarSeries Bars { get; }
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public TSeries Data { get; }
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public IReadOnlyList<Quote> SkenderQuotes { get; }
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public ReadOnlyMemory<double> RawData { get; }
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public ValidationTestData(int count = 5000, double startPrice = 1000000.0, double mu = 0.05, double sigma = 2.0, int seed = 123)
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{
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var gbm = new GBM(startPrice, mu, sigma, seed: seed);
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Bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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Data = Bars.Close;
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RawData = Data.Select(x => x.Value).ToArray();
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var quotes = new List<Quote>();
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for (int i = 0; i < Bars.Count; i++)
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{
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quotes.Add(new Quote
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{
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Date = new DateTime(Bars.Open.Times[i], DateTimeKind.Utc),
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Open = (decimal)Bars.Open[i].Value,
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High = (decimal)Bars.High[i].Value,
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Low = (decimal)Bars.Low[i].Value,
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Close = (decimal)Bars.Close[i].Value,
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Volume = (decimal)Bars.Volume[i].Value
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});
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}
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SkenderQuotes = quotes;
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}
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private bool _disposed;
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public void Dispose()
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{
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Dispose(true);
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GC.SuppressFinalize(this);
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}
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protected virtual void Dispose(bool disposing)
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{
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if (!_disposed)
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{
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if (disposing)
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{
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// Dispose managed state (managed objects)
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}
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_disposed = true;
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}
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}
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}
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