refactoring

lib/volatility/atr/Atr.Validation.Tests.cs

@@ -0,0 +1,67 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using Skender.Stock.Indicators;
+using TALib;
+using Xunit;
+using QuanTAlib.Tests;
+
+namespace QuanTAlib;
+
+public sealed class AtrValidationTests : IDisposable
+{
+    private readonly ValidationTestData _data;
+
+    public AtrValidationTests()
+    {
+        _data = new ValidationTestData();
+    }
+
+    public void Dispose()
+    {
+        _data.Dispose();
+    }
+
+    [Fact]
+    public void MatchesSkender()
+    {
+        var atr = new Atr(14);
+        var results = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            var res = atr.Update(_data.Bars[i]);
+            results.Add(res.Value);
+        }
+
+        var skenderResults = _data.SkenderQuotes.GetAtr(14).ToList();
+
+        // ATR involves smoothing, so early values might differ slightly depending on initialization.
+        // Skender uses Wilder's initialization method.
+        ValidationHelper.VerifyData(results, skenderResults, x => x.Atr);
+    }
+
+    [Fact]
+    public void MatchesTalib()
+    {
+        var atr = new Atr(14);
+        var results = new List<double>();
+
+        for (int i = 0; i < _data.Bars.Count; i++)
+        {
+            var res = atr.Update(_data.Bars[i]);
+            results.Add(res.Value);
+        }
+
+        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
+        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
+        double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
+        double[] outReal = new double[_data.Bars.Count];
+
+        var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, outReal, out var outRange, 14);
+        Assert.Equal(Core.RetCode.Success, retCode);
+
+        int lookback = TALib.Functions.AtrLookback(14);
+        ValidationHelper.VerifyData(results, outReal, outRange, lookback);
+    }
+}