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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/lsma/Lsma.Validation.Tests.cs
+14 -93
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@@ -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 LsmaValidationTests
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public LsmaValidationTests(ITestOutputHelper output)
{
_output = output;
// 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));
// 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]
@@ -50,13 +29,13 @@ public class LsmaValidationTests
{
// Calculate QuanTAlib LSMA (batch TSeries)
var lsma = new global::QuanTAlib.Lsma(period);
var qResult = lsma.Update(_data);
var qResult = lsma.Update(_testData.Data);
// Calculate Skender EPMA (Endpoint Moving Average = LSMA)
var sResult = _skenderQuotes.GetEpma(period).ToList();
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, x => x.Epma, tolerance: 1e-4);
}
_output.WriteLine("LSMA Batch(TSeries) validated successfully against Skender");
}
@@ -71,16 +50,16 @@ public class LsmaValidationTests
// Calculate QuanTAlib LSMA (streaming)
var lsma = new global::QuanTAlib.Lsma(period);
var qResults = new List<double>();
foreach (var item in _data)
foreach (var item in _testData.Data)
{
qResults.Add(lsma.Update(item).Value);
}
// Calculate Skender EPMA
var sResult = _skenderQuotes.GetEpma(period).ToList();
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
VerifyData_Skender_Streaming(qResults, sResult);
ValidationHelper.VerifyData(qResults, sResult, x => x.Epma, tolerance: 1e-4);
}
_output.WriteLine("LSMA Streaming validated successfully against Skender");
}
@@ -90,77 +69,19 @@ public class LsmaValidationTests
{
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data for Span API
double[] sourceData = _data.Select(x => x.Value).ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib LSMA (Span API)
double[] qOutput = new double[sourceData.Length];
global::QuanTAlib.Lsma.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period);
double[] qOutput = new double[_testData.RawData.Length];
global::QuanTAlib.Lsma.Calculate(_testData.RawData.Span, qOutput.AsSpan(), period);
// Calculate Skender EPMA
var sResult = _skenderQuotes.GetEpma(period).ToList();
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
VerifyData_Skender_Span(qOutput, sResult);
ValidationHelper.VerifyData(qOutput, sResult, x => x.Epma, tolerance: 1e-4);
}
_output.WriteLine("LSMA Span validated successfully against Skender");
}
// ==================== Verification Helpers ====================
private static void VerifyData_Skender(TSeries qSeries, List<EpmaResult> 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].Epma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Streaming(List<double> qResults, List<EpmaResult> 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].Epma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
private static void VerifyData_Skender_Span(double[] qOutput, List<EpmaResult> 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].Epma;
if (!sValue.HasValue) continue;
Assert.Equal(sValue.Value, qValue, 1e-6);
}
}
}