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Refactor validation tests for various indicators to utilize shared test data structure

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This commit is contained in:
Miha Kralj
2025-12-12 13:47:57 -08:00
parent e6033638ad
commit cea3e0c46d
29 changed files with 1167 additions and 1804 deletions
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lib/trends/alma/Alma.Validation.Tests.cs
+56 -75
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@@ -2,44 +2,44 @@ using System;
using System.Collections.Generic;
using System.Linq;
using Skender.Stock.Indicators;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using Xunit;
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class AlmaValidationTests
public class AlmaValidationTests : IDisposable
{
// Note: ALMA is not available in TA-Lib or Tulip, so validation is limited to Skender.Stock.Indicators.
// Note: ALMA is not available in TA-Lib or Tulip,
// validation is limited to Skender.Stock.Indicators and OoplesFinance.StockIndicators.
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public AlmaValidationTests(ITestOutputHelper output)
{
_output = output;
_testData = new ValidationTestData(count: 1000, seed: 42);
}
// 1. Generate 1000 records using GBM feed
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
_bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
private bool _disposed;
// 2. Extract Close TSeries
_data = _bars.Close;
public void Dispose()
{
Dispose(true);
GC.SuppressFinalize(this);
}
// 3. Prepare data for Skender (List<Quote>)
_skenderQuotes = new List<Quote>();
for (int i = 0; i < _bars.Count; i++)
protected virtual void Dispose(bool disposing)
{
if (!_disposed)
{
_skenderQuotes.Add(new Quote
if (disposing)
{
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
});
_testData.Dispose();
}
_disposed = true;
}
}
@@ -54,13 +54,13 @@ public class AlmaValidationTests
{
// Calculate QuanTAlib ALMA (batch TSeries)
var alma = new global::QuanTAlib.Alma(period, offset, sigma);
var qResult = alma.Update(_data);
var qResult = alma.Update(_testData.Data);
// Calculate Skender ALMA
var sResult = _skenderQuotes.GetAlma(period, offset, sigma).ToList();
var sResult = _testData.SkenderQuotes.GetAlma(period, offset, sigma).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, (s) => s.Alma);
}
_output.WriteLine("ALMA Batch(TSeries) validated successfully against Skender");
}
@@ -77,16 +77,16 @@ public class AlmaValidationTests
// Calculate QuanTAlib ALMA (streaming)
var alma = new global::QuanTAlib.Alma(period, offset, sigma);
var qResults = new List<double>();
foreach (var item in _data)
foreach (var item in _testData.Data)
{
qResults.Add(alma.Update(item).Value);
}
// Calculate Skender ALMA
var sResult = _skenderQuotes.GetAlma(period, offset, sigma).ToList();
var sResult = _testData.SkenderQuotes.GetAlma(period, offset, sigma).ToList();
// Compare last 100 records
VerifyData_Skender_Streaming(qResults, sResult);
ValidationHelper.VerifyData(qResults, sResult, (s) => s.Alma);
}
_output.WriteLine("ALMA Streaming validated successfully against Skender");
}
@@ -99,74 +99,55 @@ public class AlmaValidationTests
double sigma = 6.0;
// Prepare data for Span API
double[] sourceData = _data.Select(x => x.Value).ToArray();
ReadOnlySpan<double> sourceData = _testData.RawData.Span;
foreach (var period in periods)
{
// Calculate QuanTAlib ALMA (Span API)
double[] qOutput = new double[sourceData.Length];
global::QuanTAlib.Alma.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period, offset, sigma);
global::QuanTAlib.Alma.Calculate(sourceData, qOutput.AsSpan(), period, offset, sigma);
// Calculate Skender ALMA
var sResult = _skenderQuotes.GetAlma(period, offset, sigma).ToList();
var sResult = _testData.SkenderQuotes.GetAlma(period, offset, sigma).ToList();
// Compare last 100 records
VerifyData_Skender_Span(qOutput, sResult);
ValidationHelper.VerifyData(qOutput, sResult, (s) => s.Alma);
}
_output.WriteLine("ALMA Span validated successfully against Skender");
}
private static void VerifyData_Skender(TSeries qSeries, List<AlmaResult> sSeries)
[Fact]
public void Validate_Ooples_Batch()
{
Assert.Equal(qSeries.Count, sSeries.Count);
int[] periods = { 9, 14, 20, 50 };
double offset = 0.85;
double sigma = 6.0;
int count = qSeries.Count;
int skip = count - 100;
for (int i = skip; i < count; i++)
// Prepare data for Ooples
var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
{
double qValue = qSeries[i].Value;
double? sValue = sSeries[i].Alma;
Date = q.Date,
Open = (double)q.Open,
High = (double)q.High,
Low = (double)q.Low,
Close = (double)q.Close,
Volume = (double)q.Volume
}).ToList();
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Streaming(List<double> qResults, List<AlmaResult> sSeries)
{
Assert.Equal(qResults.Count, sSeries.Count);
int count = qResults.Count;
int skip = count - 100;
for (int i = skip; i < count; i++)
foreach (var period in periods)
{
double qValue = qResults[i];
double? sValue = sSeries[i].Alma;
// 1. Calculate Ooples ALMA
var stockData = new StockData(ooplesData);
var oResult = stockData.CalculateArnaudLegouxMovingAverage(period, offset, (int)sigma);
var oAlma = oResult.OutputValues["Alma"];
if (!sValue.HasValue) continue;
// 2. Calculate QuanTAlib ALMA
var alma = new global::QuanTAlib.Alma(period, offset, sigma);
var qResult = alma.Update(_testData.Data);
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Span(double[] qOutput, List<AlmaResult> sSeries)
{
Assert.Equal(qOutput.Length, sSeries.Count);
int count = qOutput.Length;
int skip = count - 100;
for (int i = skip; i < count; i++)
{
double qValue = qOutput[i];
double? sValue = sSeries[i].Alma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
// 3. Verify
ValidationHelper.VerifyData(qResult, oAlma, x => x, skip: 100, tolerance: 1.0);
}
_output.WriteLine("ALMA Batch validated successfully against Ooples");
}
}