gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-25 13:58:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

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

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files
lib/trends/kama/Kama.Validation.Tests.cs
+39 -82
View File
@@ -1,6 +1,8 @@
using System;
using System.Collections.Generic;
using System.Linq;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using Skender.Stock.Indicators;
using Xunit;
using Xunit.Abstractions;
@@ -9,36 +11,13 @@ namespace QuanTAlib.Tests;
public class KamaValidationTests
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public KamaValidationTests(ITestOutputHelper output)
{
_output = output;
// 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));
// 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++)
{
_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 = new ValidationTestData();
}
[Fact]
@@ -52,13 +31,13 @@ public class KamaValidationTests
{
// Calculate QuanTAlib KAMA (batch TSeries)
var kama = new global::QuanTAlib.Kama(period, fastPeriod, slowPeriod);
var qResult = kama.Update(_data);
var qResult = kama.Update(_testData.Data);
// Calculate Skender KAMA
var sResult = _skenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
var sResult = _testData.SkenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, x => x.Kama);
}
_output.WriteLine("KAMA Batch(TSeries) validated successfully against Skender");
}
@@ -75,16 +54,16 @@ public class KamaValidationTests
// Calculate QuanTAlib KAMA (streaming)
var kama = new global::QuanTAlib.Kama(period, fastPeriod, slowPeriod);
var qResults = new List<double>();
foreach (var item in _data)
foreach (var item in _testData.Data)
{
qResults.Add(kama.Update(item).Value);
}
// Calculate Skender KAMA
var sResult = _skenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
var sResult = _testData.SkenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
// Compare last 100 records
VerifyData_Skender_Streaming(qResults, sResult);
ValidationHelper.VerifyData(qResults, sResult, x => x.Kama);
}
_output.WriteLine("KAMA Streaming validated successfully against Skender");
}
@@ -96,75 +75,53 @@ public class KamaValidationTests
int fastPeriod = 2;
int slowPeriod = 30;
// Prepare data for Span API
double[] sourceData = _data.Select(x => x.Value).ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib KAMA (Span API)
double[] qOutput = new double[sourceData.Length];
global::QuanTAlib.Kama.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period, fastPeriod, slowPeriod);
double[] qOutput = new double[_testData.RawData.Length];
global::QuanTAlib.Kama.Calculate(_testData.RawData.Span, qOutput.AsSpan(), period, fastPeriod, slowPeriod);
// Calculate Skender KAMA
var sResult = _skenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
var sResult = _testData.SkenderQuotes.GetKama(period, fastPeriod, slowPeriod).ToList();
// Compare last 100 records
VerifyData_Skender_Span(qOutput, sResult);
ValidationHelper.VerifyData(qOutput, sResult, x => x.Kama);
}
_output.WriteLine("KAMA Span validated successfully against Skender");
}
private static void VerifyData_Skender(TSeries qSeries, List<KamaResult> sSeries)
[Fact]
public void Validate_Against_Ooples()
{
Assert.Equal(qSeries.Count, sSeries.Count);
int[] periods = { 10, 14, 20 };
int fastPeriod = 2;
int slowPeriod = 30;
int count = qSeries.Count;
int skip = count - 100;
for (int i = skip; i < count; i++)
// Prepare data for Ooples (List<TickerData>)
var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
{
double qValue = qSeries[i].Value;
double? sValue = (double?)sSeries[i].Kama;
Date = q.Date,
Close = (double)q.Close,
High = (double)q.High,
Low = (double)q.Low,
Open = (double)q.Open,
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<KamaResult> 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 = (double?)sSeries[i].Kama;
// Calculate QuanTAlib KAMA
var kama = new global::QuanTAlib.Kama(period, fastPeriod, slowPeriod);
var qResult = kama.Update(_testData.Data);
if (!sValue.HasValue) continue;
// Calculate Ooples KAMA
var stockData = new StockData(ooplesData);
var oResult = stockData.CalculateKaufmanAdaptiveMovingAverage(length: period, fastLength: fastPeriod, slowLength: slowPeriod);
var oValues = oResult.OutputValues["Kama"];
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Span(double[] qOutput, List<KamaResult> 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 = (double?)sSeries[i].Kama;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 5e-4);
}
_output.WriteLine("KAMA validated successfully against Ooples");
}
}