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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/hma/Hma.Validation.Tests.cs
+30 -107
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@@ -8,40 +8,37 @@ using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class HmaValidationTests
public class HmaValidationTests : IDisposable
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public HmaValidationTests(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;
// 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;
}
}
public void Dispose()
{
Dispose(true);
GC.SuppressFinalize(this);
}
[Fact]
public void Validate_Skender_Batch()
{
@@ -51,13 +48,13 @@ public class HmaValidationTests
{
// Calculate QuanTAlib HMA (batch TSeries)
var hma = new global::QuanTAlib.Hma(period);
var qResult = hma.Update(_data);
var qResult = hma.Update(_testData.Data);
// Calculate Skender HMA
var sResult = _skenderQuotes.GetHma(period).ToList();
var sResult = _testData.SkenderQuotes.GetHma(period).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, (s) => s.Hma);
}
_output.WriteLine("HMA Batch(TSeries) validated successfully against Skender");
}
@@ -68,13 +65,13 @@ public class HmaValidationTests
int[] periods = { 9, 14, 20, 50 };
// 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 HMA (batch TSeries)
var hma = new global::QuanTAlib.Hma(period);
var qResult = hma.Update(_data);
var qResult = hma.Update(_testData.Data);
// Calculate Tulip HMA
var hmaIndicator = Tulip.Indicators.hma;
@@ -104,7 +101,7 @@ public class HmaValidationTests
var tResult = outputs[0];
// Compare last 100 records
VerifyData_Tulip(qResult, tResult, lookback);
ValidationHelper.VerifyData(qResult, tResult, lookback);
}
_output.WriteLine("HMA Batch(TSeries) validated successfully against Tulip");
}
@@ -119,16 +116,16 @@ public class HmaValidationTests
// Calculate QuanTAlib HMA (streaming)
var hma = new global::QuanTAlib.Hma(period);
var qResults = new List<double>();
foreach (var item in _data)
foreach (var item in _testData.Data)
{
qResults.Add(hma.Update(item).Value);
}
// Calculate Skender HMA
var sResult = _skenderQuotes.GetHma(period).ToList();
var sResult = _testData.SkenderQuotes.GetHma(period).ToList();
// Compare last 100 records
VerifyData_Skender_Streaming(qResults, sResult);
ValidationHelper.VerifyData(qResults, sResult, (s) => s.Hma);
}
_output.WriteLine("HMA Streaming validated successfully against Skender");
}
@@ -139,7 +136,7 @@ public class HmaValidationTests
int[] periods = { 9, 14, 20, 50 };
// Prepare data for Span API
double[] sourceData = _data.Select(x => x.Value).ToArray();
double[] sourceData = _testData.RawData.ToArray();
foreach (var period in periods)
{
@@ -148,85 +145,11 @@ public class HmaValidationTests
global::QuanTAlib.Hma.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period);
// Calculate Skender HMA
var sResult = _skenderQuotes.GetHma(period).ToList();
var sResult = _testData.SkenderQuotes.GetHma(period).ToList();
// Compare last 100 records
VerifyData_Skender_Span(qOutput, sResult);
ValidationHelper.VerifyData(qOutput, sResult, (s) => s.Hma);
}
_output.WriteLine("HMA Span validated successfully against Skender");
}
private static void VerifyData_Skender(TSeries qSeries, List<HmaResult> sSeries)
{
Assert.Equal(qSeries.Count, sSeries.Count);
int count = qSeries.Count;
int skip = count - 100;
for (int i = skip; i < count; i++)
{
double qValue = qSeries[i].Value;
double? sValue = sSeries[i].Hma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Streaming(List<double> qResults, List<HmaResult> sSeries)
{
Assert.Equal(qResults.Count, sSeries.Count);
int count = qResults.Count;
int skip = count - 100;
for (int i = skip; i < count; i++)
{
double qValue = qResults[i];
double? sValue = sSeries[i].Hma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Span(double[] qOutput, List<HmaResult> 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].Hma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, 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);
}
}
}