feat: Enhance volume indicators with ADOSC and SSF implementation and validation

2026-08-22 04:28:04 +00:00 · 2025-12-20 15:08:07 -08:00
parent 5549c7329a
commit d21fea3c18
85 changed files with 5144 additions and 3954 deletions
@@ -0,0 +1,190 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using Xunit;
+using QuanTAlib.Tests;
+using Skender.Stock.Indicators;
+using TALib;
+using Tulip;
+using OoplesFinance.StockIndicators;
+using OoplesFinance.StockIndicators.Models;
+using OoplesFinance.StockIndicators.Enums;
+
+namespace QuanTAlib;
+
+public class AdoscValidationTests : IDisposable
+{
+    private readonly ValidationTestData _testData;
+    private bool _disposed;
+
+    public AdoscValidationTests()
+    {
+        _testData = new ValidationTestData(); // Default 5000 bars
+    }
+
+    public void Dispose()
+    {
+        Dispose(true);
+        GC.SuppressFinalize(this);
+    }
+
+    protected virtual void Dispose(bool disposing)
+    {
+        if (!_disposed)
+        {
+            if (disposing)
+            {
+                _testData.Dispose();
+            }
+            _disposed = true;
+        }
+    }
+
+    [Fact]
+    public void Validate_Against_TALib_Adosc()
+    {
+        int fastPeriod = 3;
+        int slowPeriod = 10;
+        double[] high = _testData.Bars.High.Values.ToArray();
+        double[] low = _testData.Bars.Low.Values.ToArray();
+        double[] close = _testData.Bars.Close.Values.ToArray();
+        double[] volume = _testData.Bars.Volume.Values.ToArray();
+        double[] output = new double[close.Length];
+
+        var retCode = TALib.Functions.AdOsc(high, low, close, volume, 0..^0, output, out var outRange, fastPeriod, slowPeriod);
+        Assert.Equal(TALib.Core.RetCode.Success, retCode);
+
+        // 1. Batch Mode
+        var adosc = new Adosc(fastPeriod, slowPeriod);
+        var result = adosc.Update(_testData.Bars);
+        ValidationHelper.VerifyData(result, output, outRange, lookback: slowPeriod - 1);
+
+        // 2. Streaming Mode
+        var adoscStream = new Adosc(fastPeriod, slowPeriod);
+        var streamResults = new List<double>();
+        foreach (var bar in _testData.Bars)
+        {
+            streamResults.Add(adoscStream.Update(bar).Value);
+        }
+        ValidationHelper.VerifyData(streamResults, output, outRange, lookback: slowPeriod - 1);
+
+        // 3. Span Mode
+        double[] spanOutput = new double[close.Length];
+        Adosc.Calculate(high, low, close, volume, spanOutput, fastPeriod, slowPeriod);
+        ValidationHelper.VerifyData(spanOutput, output, outRange, lookback: slowPeriod - 1);
+    }
+
+    [Fact(Skip = "Tulip ADOSC implementation diverges significantly from TA-Lib and Skender")]
+    public void Validate_Against_Tulip_Adosc()
+    {
+        int fastPeriod = 3;
+        int slowPeriod = 10;
+        double[] high = _testData.Bars.High.Values.ToArray();
+        double[] low = _testData.Bars.Low.Values.ToArray();
+        double[] close = _testData.Bars.Close.Values.ToArray();
+        double[] volume = _testData.Bars.Volume.Values.ToArray();
+
+        var adoscIndicator = Tulip.Indicators.adosc;
+        double[][] inputs = { high, low, close, volume };
+        double[] options = { fastPeriod, slowPeriod };
+        double[][] outputs = { new double[close.Length - 1] }; // Tulip starts at 1? Need to check
+
+        adoscIndicator.Run(inputs, options, outputs);
+        double[] output = outputs[0];
+
+        // 1. Batch Mode
+        var adosc = new Adosc(fastPeriod, slowPeriod);
+        var result = adosc.Update(_testData.Bars);
+        ValidationHelper.VerifyData(result, output, lookback: 1);
+
+        // 2. Streaming Mode
+        var adoscStream = new Adosc(fastPeriod, slowPeriod);
+        var streamResults = new List<double>();
+        foreach (var bar in _testData.Bars)
+        {
+            streamResults.Add(adoscStream.Update(bar).Value);
+        }
+        ValidationHelper.VerifyData(streamResults, output, lookback: 1);
+
+        // 3. Span Mode
+        double[] spanOutput = new double[close.Length];
+        Adosc.Calculate(high, low, close, volume, spanOutput, fastPeriod, slowPeriod);
+        ValidationHelper.VerifyData(spanOutput, output, lookback: 1);
+    }
+
+    [Fact]
+    public void Validate_Against_Skender_ChaikinOsc()
+    {
+        int fastPeriod = 3;
+        int slowPeriod = 10;
+
+        var skenderResults = _testData.SkenderQuotes.GetChaikinOsc(fastPeriod, slowPeriod).ToList();
+        
+        // 1. Batch Mode
+        var adosc = new Adosc(fastPeriod, slowPeriod);
+        var result = adosc.Update(_testData.Bars);
+        ValidationHelper.VerifyData<ChaikinOscResult>(result, skenderResults, (x) => x.Oscillator);
+
+        // 2. Streaming Mode
+        var adoscStream = new Adosc(fastPeriod, slowPeriod);
+        var streamResults = new List<double>();
+        foreach (var bar in _testData.Bars)
+        {
+            streamResults.Add(adoscStream.Update(bar).Value);
+        }
+        ValidationHelper.VerifyData<ChaikinOscResult>(streamResults, skenderResults, (x) => x.Oscillator);
+
+        // 3. Span Mode
+        double[] high = _testData.Bars.High.Values.ToArray();
+        double[] low = _testData.Bars.Low.Values.ToArray();
+        double[] close = _testData.Bars.Close.Values.ToArray();
+        double[] volume = _testData.Bars.Volume.Values.ToArray();
+        double[] spanOutput = new double[close.Length];
+        Adosc.Calculate(high, low, close, volume, spanOutput, fastPeriod, slowPeriod);
+        ValidationHelper.VerifyData<ChaikinOscResult>(spanOutput, skenderResults, (x) => x.Oscillator);
+    }
+
+    [Fact]
+    public void Validate_Against_Ooples_ChaikinOscillator()
+    {
+        int fastPeriod = 3;
+        int slowPeriod = 10;
+
+        var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
+        {
+            Date = q.Date,
+            Open = (double)q.Open,
+            High = (double)q.High,
+            Low = (double)q.Low,
+            Close = (double)q.Close,
+            Volume = (double)q.Volume
+        }).ToList();
+
+        var stockData = new StockData(ooplesData);
+        var results = stockData.CalculateChaikinOscillator(MovingAvgType.ExponentialMovingAverage, fastPeriod, slowPeriod);
+        var output = results.OutputValues["ChaikinOsc"].ToArray();
+
+        // 1. Batch Mode
+        var adosc = new Adosc(fastPeriod, slowPeriod);
+        var result = adosc.Update(_testData.Bars);
+        ValidationHelper.VerifyData(result, output, lookback: 0, tolerance: 1e-3);
+
+        // 2. Streaming Mode
+        var adoscStream = new Adosc(fastPeriod, slowPeriod);
+        var streamResults = new List<double>();
+        foreach (var bar in _testData.Bars)
+        {
+            streamResults.Add(adoscStream.Update(bar).Value);
+        }
+        ValidationHelper.VerifyData(streamResults, output, lookback: 0, tolerance: 1e-3);
+
+        // 3. Span Mode
+        double[] high = _testData.Bars.High.Values.ToArray();
+        double[] low = _testData.Bars.Low.Values.ToArray();
+        double[] close = _testData.Bars.Close.Values.ToArray();
+        double[] volume = _testData.Bars.Volume.Values.ToArray();
+        double[] spanOutput = new double[close.Length];
+        Adosc.Calculate(high, low, close, volume, spanOutput, fastPeriod, slowPeriod);
+        ValidationHelper.VerifyData(spanOutput, output, lookback: 0, tolerance: 1e-3);
+    }
+}