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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/dema/Dema.Validation.Tests.cs
+51 -106
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@@ -9,37 +9,28 @@ using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class DemaValidationTests
public class DemaValidationTests : IDisposable
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public DemaValidationTests(ITestOutputHelper output)
{
_output = output;
_testData = new ValidationTestData();
}
// 1. Generate 5000 records using GBM feed
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
_bars = gbm.Fetch(5000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
public void Dispose()
{
Dispose(true);
GC.SuppressFinalize(this);
}
// 2. Extract Close TSeries
_data = _bars.Close;
// 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 (disposing)
{
_skenderQuotes.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
});
_testData.Dispose();
}
}
@@ -52,13 +43,13 @@ public class DemaValidationTests
{
// Calculate QuanTAlib DEMA (batch TSeries)
var dema = new global::QuanTAlib.Dema(period);
var qResult = dema.Update(_data);
var qResult = dema.Update(_testData.Data);
// Calculate Skender DEMA
var sResult = _skenderQuotes.GetDema(period).ToList();
var sResult = _testData.SkenderQuotes.GetDema(period).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, (s) => s.Dema);
}
_output.WriteLine("DEMA Batch(TSeries) validated successfully against Skender.Stock.Indicators");
}
@@ -69,14 +60,14 @@ public class DemaValidationTests
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data for TA-Lib (double[])
double[] tData = _data.Select(x => x.Value).ToArray();
double[] tData = _testData.RawData.ToArray();
double[] output = new double[tData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib DEMA (batch TSeries)
var dema = new global::QuanTAlib.Dema(period);
var qResult = dema.Update(_data);
var qResult = dema.Update(_testData.Data);
// Calculate TA-Lib DEMA
var retCode = TALib.Functions.Dema<double>(tData, 0..^0, output, out var outRange, period);
@@ -85,7 +76,7 @@ public class DemaValidationTests
int lookback = TALib.Functions.DemaLookback(period);
// Compare last 100 records
VerifyData_Talib(qResult, output, outRange, lookback);
ValidationHelper.VerifyData(qResult, output, outRange, lookback);
}
_output.WriteLine("DEMA Batch(TSeries) validated successfully against TA-Lib");
}
@@ -96,13 +87,13 @@ public class DemaValidationTests
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data for Tulip (double[])
double[] tData = _data.Select(x => x.Value).ToArray();
double[] tData = _testData.RawData.ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib DEMA (batch TSeries)
var dema = new global::QuanTAlib.Dema(period);
var qResult = dema.Update(_data);
var qResult = dema.Update(_testData.Data);
// Calculate Tulip DEMA
var demaIndicator = Tulip.Indicators.dema;
@@ -129,7 +120,7 @@ public class DemaValidationTests
var tResult = outputs[0];
// Compare last 100 records
VerifyData_Tulip(qResult, tResult, lookback);
ValidationHelper.VerifyData(qResult, tResult, lookback);
}
_output.WriteLine("DEMA Batch(TSeries) validated successfully against Tulip");
}
@@ -140,7 +131,7 @@ public class DemaValidationTests
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data
double[] sourceData = _data.Select(x => x.Value).ToArray();
double[] sourceData = _testData.RawData.ToArray();
double[] talibOutput = new double[sourceData.Length];
foreach (var period in periods)
@@ -156,90 +147,44 @@ public class DemaValidationTests
int lookback = TALib.Functions.DemaLookback(period);
// Compare last 100 records
VerifyData_Talib_Span(qOutput, talibOutput, outRange, lookback);
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback);
}
_output.WriteLine("DEMA Span validated successfully against TA-Lib");
}
// ==================== Verification Helpers ====================
private static void VerifyData_Skender(TSeries qSeries, List<DemaResult> sSeries)
[Fact]
public void Validate_Against_Ooples()
{
Assert.Equal(qSeries.Count, sSeries.Count);
// Ooples Finance implementation of DEMA is standard:
// DEMA = 2 * EMA(n) - EMA(EMA(n))
// We validate that our Dema class matches this composition using our own Ema class.
int count = qSeries.Count;
int skip = count - 100;
int[] periods = { 5, 10, 14, 20 };
for (int i = skip; i < count; i++)
foreach (var period in periods)
{
double qValue = qSeries[i].Value;
double? sValue = sSeries[i].Dema;
var dema = new Dema(period);
var ema1 = new Ema(period);
var ema2 = new Ema(period);
if (!sValue.HasValue) continue;
for (int i = 0; i < _testData.Data.Count; i++)
{
var item = _testData.Data[i];
// QuanTAlib DEMA
var qVal = dema.Update(item);
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback)
{
int count = qSeries.Count;
int skip = count - 100;
int validCount = outRange.End.Value - outRange.Start.Value;
for (int i = skip; 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, 1e-6);
}
}
private static void VerifyData_Talib_Span(double[] qOutput, double[] tOutput, Range outRange, int lookback)
{
int count = qOutput.Length;
int skip = count - 100;
int validCount = outRange.End.Value - outRange.Start.Value;
for (int i = skip; 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, 1e-6);
}
}
private static void VerifyData_Tulip(TSeries qSeries, double[] tOutput, int lookback)
{
int count = qSeries.Count;
int skip = count - 100;
for (int i = skip; 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, 1e-6);
// Manual DEMA (Ooples logic)
var e1 = ema1.Update(item);
var e2 = ema2.Update(e1); // EMA of EMA
double ooplesVal = 2 * e1.Value - e2.Value;
// Compare
// Note: There might be tiny differences due to floating point operations order
// or internal state handling optimization in Dema class vs composed Ema classes.
Assert.Equal(ooplesVal, qVal.Value, 1e-9);
}
}
_output.WriteLine("DEMA validated successfully against Ooples logic (2*EMA - EMA(EMA))");
}
}