mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
Refactor validation tests for various indicators to utilize shared test data structure
This commit is contained in:
Miha Kralj
@@ -1,69 +0,0 @@
|
||||
#!meta
|
||||
|
||||
{"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"}]}}
|
||||
|
||||
#!csharp
|
||||
|
||||
// Reference the library
|
||||
#r "..\..\bin\QuanTAlib.dll"
|
||||
|
||||
using QuanTAlib;
|
||||
|
||||
// 1. Initialize GBM Generator
|
||||
// GBM simulates price movements using Geometric Brownian Motion
|
||||
// Parameters: Start Price, Drift (mu), Volatility (sigma)
|
||||
|
||||
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
|
||||
Console.WriteLine("GBM Generator initialized (Start=100, Drift=5%, Vol=20%)");
|
||||
|
||||
#!csharp
|
||||
|
||||
// 2. Batch Generation
|
||||
// Generate a sequence of bars at once
|
||||
// Useful for backtesting or initializing indicators
|
||||
|
||||
long startTime = DateTime.UtcNow.Ticks;
|
||||
var interval = TimeSpan.FromMinutes(1);
|
||||
|
||||
var history = gbm.Fetch(10, startTime, interval);
|
||||
|
||||
Console.WriteLine($"Generated {history.Count} bars:");
|
||||
for (int i = 0; i < history.Count; i++)
|
||||
{
|
||||
Console.WriteLine($" Bar {i}: Time={history[i].AsDateTime:HH:mm}, Close={history[i].Close:F2}");
|
||||
}
|
||||
|
||||
#!csharp
|
||||
|
||||
// 3. Streaming Generation
|
||||
// Simulate real-time data feed bar by bar
|
||||
|
||||
Console.WriteLine("\nStreaming new bars:");
|
||||
for (int i = 0; i < 3; i++)
|
||||
{
|
||||
var bar = gbm.Next(isNew: true);
|
||||
Console.WriteLine($" New Bar: {bar.Close:F2}");
|
||||
}
|
||||
|
||||
#!csharp
|
||||
|
||||
// 4. Intra-bar Updates
|
||||
// Simulate real-time price ticks within a single bar
|
||||
// The High/Low will expand, and Close will update
|
||||
|
||||
Console.WriteLine("\nSimulating intra-bar updates:");
|
||||
|
||||
// Start a new bar
|
||||
var liveBar = gbm.Next(isNew: true);
|
||||
Console.WriteLine($" Open: {liveBar.Open:F2}, Close: {liveBar.Close:F2}");
|
||||
|
||||
// Simulate 5 ticks
|
||||
for (int i = 1; i <= 5; i++)
|
||||
{
|
||||
liveBar = gbm.Next(isNew: false);
|
||||
Console.WriteLine($" Tick {i}: Close={liveBar.Close:F2}, High={liveBar.High:F2}, Low={liveBar.Low:F2}");
|
||||
}
|
||||
|
||||
// Finalize bar
|
||||
liveBar = gbm.Next(isNew: true);
|
||||
Console.WriteLine($" Finalized Previous, Started New: {liveBar.Open:F2}");
|
||||
@@ -0,0 +1,185 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using Xunit;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public static class ValidationHelper
|
||||
{
|
||||
public static void VerifyData<TResult>(TSeries qSeries, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
Assert.Equal(qSeries.Count, sSeries.Count);
|
||||
|
||||
int count = qSeries.Count;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qSeries[i].Value;
|
||||
double? sValue = selector(sSeries[i]);
|
||||
|
||||
if (!sValue.HasValue) continue;
|
||||
|
||||
Assert.Equal(sValue.Value, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData<TResult>(List<double> qResults, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
Assert.Equal(qResults.Count, sSeries.Count);
|
||||
|
||||
int count = qResults.Count;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qResults[i];
|
||||
double? sValue = selector(sSeries[i]);
|
||||
|
||||
if (!sValue.HasValue) continue;
|
||||
|
||||
Assert.Equal(sValue.Value, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData<TResult>(double[] qOutput, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
Assert.Equal(qOutput.Length, sSeries.Count);
|
||||
|
||||
int count = qOutput.Length;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qOutput[i];
|
||||
double? sValue = selector(sSeries[i]);
|
||||
|
||||
if (!sValue.HasValue) continue;
|
||||
|
||||
Assert.Equal(sValue.Value, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(TSeries qSeries, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qSeries.Count;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qSeries[i].Value;
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= tOutput.Length) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(List<double> qResults, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qResults.Count;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qResults[i];
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= tOutput.Length) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(double[] qOutput, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qOutput.Length;
|
||||
int start = count - skip;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qOutput[i];
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= tOutput.Length) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qSeries.Count;
|
||||
int start = count - skip;
|
||||
int validCount = outRange.End.Value - outRange.Start.Value;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qSeries[i].Value;
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= validCount) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(List<double> qResults, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qResults.Count;
|
||||
int start = count - skip;
|
||||
int validCount = outRange.End.Value - outRange.Start.Value;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qResults[i];
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= validCount) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
|
||||
public static void VerifyData(double[] qOutput, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
|
||||
{
|
||||
int count = qOutput.Length;
|
||||
int start = count - skip;
|
||||
int validCount = outRange.End.Value - outRange.Start.Value;
|
||||
|
||||
for (int i = start; i < count; i++)
|
||||
{
|
||||
double qValue = qOutput[i];
|
||||
|
||||
if (i < lookback) continue;
|
||||
|
||||
int tIndex = i - lookback;
|
||||
if (tIndex >= validCount) continue;
|
||||
|
||||
double tValue = tOutput[tIndex];
|
||||
|
||||
Assert.Equal(tValue, qValue, tolerance);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,58 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using Skender.Stock.Indicators;
|
||||
|
||||
namespace QuanTAlib.Tests;
|
||||
|
||||
public class ValidationTestData : IDisposable
|
||||
{
|
||||
public TBarSeries Bars { get; }
|
||||
public TSeries Data { get; }
|
||||
public IReadOnlyList<Quote> SkenderQuotes { get; }
|
||||
public ReadOnlyMemory<double> RawData { get; }
|
||||
|
||||
public ValidationTestData(int count = 5000, double startPrice = 1000000.0, double mu = 0.05, double sigma = 2.0, int seed = 123)
|
||||
{
|
||||
var gbm = new GBM(startPrice, mu, sigma, seed: seed);
|
||||
Bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||||
Data = Bars.Close;
|
||||
RawData = Data.Select(x => x.Value).ToArray();
|
||||
|
||||
var quotes = new List<Quote>();
|
||||
for (int i = 0; i < Bars.Count; i++)
|
||||
{
|
||||
quotes.Add(new Quote
|
||||
{
|
||||
Date = new DateTime(Bars.Open.Times[i], DateTimeKind.Utc),
|
||||
Open = (decimal)Bars.Open[i].Value,
|
||||
High = (decimal)Bars.High[i].Value,
|
||||
Low = (decimal)Bars.Low[i].Value,
|
||||
Close = (decimal)Bars.Close[i].Value,
|
||||
Volume = (decimal)Bars.Volume[i].Value
|
||||
});
|
||||
}
|
||||
SkenderQuotes = quotes;
|
||||
}
|
||||
|
||||
private bool _disposed;
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
Dispose(true);
|
||||
GC.SuppressFinalize(this);
|
||||
}
|
||||
|
||||
protected virtual void Dispose(bool disposing)
|
||||
{
|
||||
if (!_disposed)
|
||||
{
|
||||
if (disposing)
|
||||
{
|
||||
// Dispose managed state (managed objects)
|
||||
}
|
||||
|
||||
_disposed = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user