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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/t3/T3.Validation.Tests.cs
+45 -115
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@@ -1,45 +1,25 @@
using System;
using System.Collections.Generic;
using System.Linq;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using Skender.Stock.Indicators;
using TALib;
using Tulip;
using Xunit;
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class T3ValidationTests
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public T3ValidationTests(ITestOutputHelper output)
{
_output = output;
// 1. Generate 2000 records using GBM feed
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
_bars = gbm.Fetch(2000, 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 +32,13 @@ public class T3ValidationTests
{
// Calculate QuanTAlib T3
var t3 = new global::QuanTAlib.T3(period, vFactor);
var qResult = t3.Update(_data);
var qResult = t3.Update(_testData.Data);
// Calculate Skender T3
var sResult = _skenderQuotes.GetT3(period, vFactor).ToList();
var sResult = _testData.SkenderQuotes.GetT3(period, vFactor).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, x => x.T3);
}
_output.WriteLine("T3 Batch(TSeries) validated successfully against Skender");
}
@@ -70,23 +50,22 @@ public class T3ValidationTests
double vFactor = 0.7;
// Prepare data for TA-Lib
double[] tData = _data.Select(x => x.Value).ToArray();
double[] output = new double[tData.Length];
double[] output = new double[_testData.RawData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib T3
var t3 = new global::QuanTAlib.T3(period, vFactor);
var qResult = t3.Update(_data);
var qResult = t3.Update(_testData.Data);
// Calculate TA-Lib T3
var retCode = TALib.Functions.T3<double>(tData, 0..^0, output, out var outRange, period, vFactor);
var retCode = TALib.Functions.T3<double>(_testData.RawData.Span, 0..^0, output, out var outRange, period, vFactor);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.T3Lookback(period);
// Compare last 100 records
VerifyData_Talib(qResult, output, outRange, lookback);
ValidationHelper.VerifyData(qResult, output, outRange, lookback);
}
_output.WriteLine("T3 Batch(TSeries) validated successfully against TA-Lib");
}
@@ -98,27 +77,26 @@ public class T3ValidationTests
double vFactor = 0.7;
// Prepare data for TA-Lib
double[] tData = _data.Select(x => x.Value).ToArray();
double[] output = new double[tData.Length];
double[] output = new double[_testData.RawData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib T3 (streaming)
var t3 = new global::QuanTAlib.T3(period, vFactor);
var qResults = new List<double>();
foreach (var item in _data)
foreach (var item in _testData.Data)
{
qResults.Add(t3.Update(item).Value);
}
// Calculate TA-Lib T3
var retCode = TALib.Functions.T3<double>(tData, 0..^0, output, out var outRange, period, vFactor);
var retCode = TALib.Functions.T3<double>(_testData.RawData.Span, 0..^0, output, out var outRange, period, vFactor);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.T3Lookback(period);
// Compare last 100 records
VerifyData_Talib_Streaming(qResults, output, outRange, lookback);
ValidationHelper.VerifyData(qResults, output, outRange, lookback);
}
_output.WriteLine("T3 Streaming validated successfully against TA-Lib");
}
@@ -130,105 +108,57 @@ public class T3ValidationTests
double vFactor = 0.7;
// Prepare data
double[] sourceData = _data.Select(x => x.Value).ToArray();
double[] talibOutput = new double[sourceData.Length];
double[] talibOutput = new double[_testData.RawData.Length];
foreach (var period in periods)
{
// Calculate QuanTAlib T3 (Span API)
double[] qOutput = new double[sourceData.Length];
global::QuanTAlib.T3.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period, vFactor);
double[] qOutput = new double[_testData.RawData.Length];
global::QuanTAlib.T3.Calculate(_testData.RawData.Span, qOutput.AsSpan(), period, vFactor);
// Calculate TA-Lib T3
var retCode = TALib.Functions.T3<double>(sourceData, 0..^0, talibOutput, out var outRange, period, vFactor);
var retCode = TALib.Functions.T3<double>(_testData.RawData.Span, 0..^0, talibOutput, out var outRange, period, vFactor);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.T3Lookback(period);
// Compare last 100 records
VerifyData_Talib_Span(qOutput, talibOutput, outRange, lookback);
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback);
}
_output.WriteLine("T3 Span validated successfully against TA-Lib");
}
private static void VerifyData_Skender(TSeries qSeries, List<T3Result> sSeries)
[Fact]
public void Validate_Against_Ooples()
{
Assert.Equal(qSeries.Count, sSeries.Count);
int[] periods = { 5, 10, 20 };
double vFactor = 0.7;
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 = sSeries[i].T3;
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-4);
}
}
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++)
foreach (var period in periods)
{
double qValue = qSeries[i].Value;
// Calculate QuanTAlib T3
var t3 = new global::QuanTAlib.T3(period, vFactor);
var qResult = t3.Update(_testData.Data);
if (i < lookback) continue;
// Calculate Ooples T3
var stockData = new StockData(ooplesData);
var oResult = stockData.CalculateTillsonT3MovingAverage(length: period, vFactor: vFactor);
var oValues = oResult.OutputValues["T3"];
int tIndex = i - lookback;
if (tIndex >= validCount) continue;
double tValue = tOutput[tIndex];
Assert.Equal(tValue, qValue, 1e-4);
}
}
private static void VerifyData_Talib_Streaming(List<double> qResults, double[] tOutput, Range outRange, int lookback)
{
int count = qResults.Count;
int skip = count - 100;
int validCount = outRange.End.Value - outRange.Start.Value;
for (int i = skip; i < count; i++)
{
double qValue = qResults[i];
if (i < lookback) continue;
int tIndex = i - lookback;
if (tIndex >= validCount) continue;
double tValue = tOutput[tIndex];
Assert.Equal(tValue, qValue, 1e-4);
}
}
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-4);
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 1e-3);
}
_output.WriteLine("T3 validated successfully against Ooples");
}
}