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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/trima/Trima.Validation.Tests.cs
+18 -127
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@@ -11,36 +11,13 @@ namespace QuanTAlib.Tests;
public class TrimaValidationTests
{
private readonly TBarSeries _bars;
private readonly TSeries _data;
private readonly List<Quote> _skenderQuotes;
private readonly ValidationTestData _testData;
private readonly ITestOutputHelper _output;
public TrimaValidationTests(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]
@@ -52,13 +29,13 @@ public class TrimaValidationTests
{
// Calculate QuanTAlib TRIMA (batch TSeries)
var trima = new global::QuanTAlib.Trima(period);
var qResult = trima.Update(_data);
var qResult = trima.Update(_testData.Data);
// Calculate Skender Composite TRIMA: SMA(SMA(x, p1), p2)
int p1 = period / 2 + 1;
int p2 = (period + 1) / 2;
var sma1Results = _skenderQuotes.GetSma(p1).ToList();
var sma1Results = _testData.SkenderQuotes.GetSma(p1).ToList();
// Map SMA1 results to Quotes for the second pass
// Note: We use 0 for null values during warmup, which might affect early values
@@ -72,7 +49,7 @@ public class TrimaValidationTests
var sResult = quotes2.GetSma(p2).ToList();
// Compare last 100 records
VerifyData_Skender(qResult, sResult);
ValidationHelper.VerifyData(qResult, sResult, x => x.Sma);
}
_output.WriteLine("TRIMA Batch(TSeries) validated successfully against Skender Composite SMA");
}
@@ -83,23 +60,22 @@ public class TrimaValidationTests
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data for TA-Lib (double[])
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 TRIMA (batch TSeries)
var trima = new global::QuanTAlib.Trima(period);
var qResult = trima.Update(_data);
var qResult = trima.Update(_testData.Data);
// Calculate TA-Lib TRIMA
var retCode = TALib.Functions.Trima<double>(tData, 0..^0, output, out var outRange, period);
var retCode = TALib.Functions.Trima<double>(_testData.RawData.Span, 0..^0, output, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.TrimaLookback(period);
// Compare last 100 records
VerifyData_Talib(qResult, output, outRange, lookback);
ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: 1e-4);
}
_output.WriteLine("TRIMA Batch(TSeries) validated successfully against TA-Lib");
}
@@ -109,18 +85,15 @@ public class TrimaValidationTests
{
int[] periods = { 5, 10, 20, 50, 100 };
// Prepare data for Tulip (double[])
double[] tData = _data.Select(x => x.Value).ToArray();
foreach (var period in periods)
{
// Calculate QuanTAlib TRIMA (batch TSeries)
var trima = new global::QuanTAlib.Trima(period);
var qResult = trima.Update(_data);
var qResult = trima.Update(_testData.Data);
// Calculate Tulip TRIMA
var trimaIndicator = Tulip.Indicators.trima;
double[][] inputs = { tData };
double[][] inputs = { _testData.RawData.ToArray() };
double[] options = { period };
// Tulip TRIMA lookback might be different, let's calculate or infer
// Usually it's period-1 for simple averages, but TRIMA is double smoothed.
@@ -130,13 +103,13 @@ public class TrimaValidationTests
// or calculate the expected lookback.
// For TRIMA(n), lookback is roughly n-1.
int lookback = period - 1;
double[][] outputs = { new double[tData.Length - lookback] };
double[][] outputs = { new double[_testData.RawData.Length - lookback] };
trimaIndicator.Run(inputs, options, outputs);
var tResult = outputs[0];
// Compare last 100 records
VerifyData_Tulip(qResult, tResult, lookback);
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: 1e-4);
}
_output.WriteLine("TRIMA Batch(TSeries) validated successfully against Tulip");
}
@@ -147,106 +120,24 @@ public class TrimaValidationTests
int[] periods = { 5, 10, 20, 50, 100 };
// 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 TRIMA (Span API)
double[] qOutput = new double[sourceData.Length];
global::QuanTAlib.Trima.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period);
double[] qOutput = new double[_testData.RawData.Length];
global::QuanTAlib.Trima.Calculate(_testData.RawData.Span, qOutput.AsSpan(), period);
// Calculate TA-Lib TRIMA
var retCode = TALib.Functions.Trima<double>(sourceData, 0..^0, talibOutput, out var outRange, period);
var retCode = TALib.Functions.Trima<double>(_testData.RawData.Span, 0..^0, talibOutput, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = TALib.Functions.TrimaLookback(period);
// Compare last 100 records
VerifyData_Talib_Span(qOutput, talibOutput, outRange, lookback);
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback, tolerance: 1e-4);
}
_output.WriteLine("TRIMA Span validated successfully against TA-Lib");
}
// ==================== Verification Helpers ====================
private static void VerifyData_Skender(TSeries qSeries, List<SmaResult> 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].Sma;
if (!sValue.HasValue) continue;
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);
}
}
}