test tolerances updated

This commit is contained in:
Miha Kralj
2025-12-22 12:50:41 -08:00
parent a7b7207801
commit d2a622bff9
46 changed files with 448694 additions and 82 deletions
+1 -1
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@@ -146,7 +146,7 @@ public class AlmaValidationTests : IDisposable
var qResult = alma.Update(_testData.Data);
// 3. Verify
ValidationHelper.VerifyData(qResult, oAlma, x => x, skip: 100, tolerance: 1.0);
ValidationHelper.VerifyData(qResult, oAlma, x => x, skip: 100, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("ALMA Batch validated successfully against Ooples");
}
+1 -1
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@@ -45,7 +45,7 @@ public class BesselValidationTests : IDisposable
Bessel.Calculate(src.AsSpan(), outSpan.AsSpan(), length);
// Verify last window for convergence and consistency
ValidationHelper.VerifyData(qResult, outSpan, lookback: 0, skip: length, tolerance: 1e-9);
ValidationHelper.VerifyData(qResult, outSpan, lookback: 0, skip: length, tolerance: ValidationHelper.DefaultTolerance);
}
_output.WriteLine("Bessel validated internally: Span vs TSeries are consistent.");
+4 -4
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@@ -70,7 +70,7 @@ public class ConvValidationTests : IDisposable
if (i >= period) // Skip warmup
{
Assert.Equal(smaVal.Value, convVal.Value, 1e-4);
Assert.Equal(smaVal.Value, convVal.Value, ValidationHelper.DefaultTolerance);
}
}
}
@@ -92,7 +92,7 @@ public class ConvValidationTests : IDisposable
if (i >= period) // Skip warmup
{
Assert.Equal(wmaVal.Value, convVal.Value, 1e-4);
Assert.Equal(wmaVal.Value, convVal.Value, ValidationHelper.DefaultTolerance);
}
}
}
@@ -133,7 +133,7 @@ public class ConvValidationTests : IDisposable
if (i >= period) // Skip warmup
{
Assert.Equal(trimaVal.Value, convVal.Value, 1e-4);
Assert.Equal(trimaVal.Value, convVal.Value, ValidationHelper.DefaultTolerance);
}
}
}
@@ -209,6 +209,6 @@ public class ConvValidationTests : IDisposable
var conv = new Conv(kernel);
var result = conv.Update(_testData.Data);
ValidationHelper.VerifyData(result, ooplesWma, (s) => s, skip: period, tolerance: 1e-4);
ValidationHelper.VerifyData(result, ooplesWma, (s) => s, skip: period, tolerance: ValidationHelper.OoplesTolerance);
}
}
+1 -1
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@@ -182,7 +182,7 @@ public class DemaValidationTests : IDisposable
// Compare
// Note: There might be tiny differences due to floating point operations order
// or internal state handling optimization in Dema class vs composed Ema classes.
Assert.Equal(ooplesVal, qVal.Value, 1e-9);
Assert.Equal(ooplesVal, qVal.Value, ValidationHelper.DefaultTolerance);
}
}
_output.WriteLine("DEMA validated successfully against Ooples logic (2*EMA - EMA(EMA))");
+5 -5
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@@ -57,7 +57,7 @@ public class DwmaValidationTests : IDisposable
var wma1Val = wma1.Update(val);
var wma2Val = wma2.Update(wma1Val);
Assert.Equal(wma2Val.Value, dwmaVal.Value, 1e-9);
Assert.Equal(wma2Val.Value, dwmaVal.Value, ValidationHelper.DefaultTolerance);
}
}
@@ -84,7 +84,7 @@ public class DwmaValidationTests : IDisposable
var w1 = wma1.Update(val);
var w2 = wma2.Update(w1);
Assert.Equal(w2.Value, qVal.Value, 1e-9);
Assert.Equal(w2.Value, qVal.Value, ValidationHelper.DefaultTolerance);
}
}
@@ -115,7 +115,7 @@ public class DwmaValidationTests : IDisposable
var tResult = outputs2[0];
int totalLookback = lookback1 + lookback2;
ValidationHelper.VerifyData(qResult, tResult, totalLookback, tolerance: 1e-6);
ValidationHelper.VerifyData(qResult, tResult, totalLookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("DWMA validated against Tulip (Chained WMA)");
}
@@ -143,7 +143,7 @@ public class DwmaValidationTests : IDisposable
.ToArray();
int totalLookback = (period - 1) * 2;
ValidationHelper.VerifyData(qResult, wma2Results, totalLookback, tolerance: 1e-6);
ValidationHelper.VerifyData(qResult, wma2Results, totalLookback, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("DWMA validated against Skender (Chained WMA)");
}
@@ -174,7 +174,7 @@ public class DwmaValidationTests : IDisposable
Assert.Equal(Core.RetCode.Success, retCode2);
int totalLookback = (period - 1) * 2;
ValidationHelper.VerifyData(qResult, dwmaOutput, totalLookback, tolerance: 1e-6);
ValidationHelper.VerifyData(qResult, dwmaOutput, totalLookback, tolerance: ValidationHelper.TalibTolerance);
}
_output.WriteLine("DWMA validated against TA-Lib (Chained WMA)");
}
+1 -1
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@@ -306,7 +306,7 @@ public class EmaValidationTests : IDisposable
var oValues = oResult.OutputValues.Values.First();
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 5e-4);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("EMA validated successfully against Ooples");
}
+3 -3
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@@ -54,7 +54,7 @@ public class HmaValidationTests : IDisposable
var sResult = _testData.SkenderQuotes.GetHma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qResult, sResult, (s) => s.Hma, tolerance: 1e-5);
ValidationHelper.VerifyData(qResult, sResult, (s) => s.Hma, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("HMA Batch(TSeries) validated successfully against Skender");
}
@@ -101,7 +101,7 @@ public class HmaValidationTests : IDisposable
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: 1e-5);
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("HMA Batch(TSeries) validated successfully against Tulip");
}
@@ -148,7 +148,7 @@ public class HmaValidationTests : IDisposable
var sResult = _testData.SkenderQuotes.GetHma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, sResult, (s) => s.Hma, tolerance: 1e-5);
ValidationHelper.VerifyData(qOutput, sResult, (s) => s.Hma, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("HMA Span validated successfully against Skender");
}
+4 -4
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@@ -55,7 +55,7 @@ public class HtitValidationTests : IDisposable
{
double talibValue = output[i - outRange.Start.Value];
double quantalibValue = quantalibResults.Values[i];
Assert.Equal(talibValue, quantalibValue, 1e-6);
Assert.Equal(talibValue, quantalibValue, ValidationHelper.TalibTolerance);
}
}
}
@@ -85,7 +85,7 @@ public class HtitValidationTests : IDisposable
// The divergence in Skender is likely due to implementation details or smoothing differences.
double diff = Math.Abs(skenderValue - quantalibValue);
double relError = diff / skenderValue;
Assert.True(relError < 0.005, $"Relative error {relError} too high at index {i}");
Assert.True(relError < ValidationHelper.RelativeTolerance, $"Relative error {relError} too high at index {i}");
}
}
}
@@ -116,7 +116,7 @@ public class HtitValidationTests : IDisposable
// Skender implementation differs slightly (~0.32%) from TA-Lib/QuanTAlib
double diff = Math.Abs(skenderValue - quantalibValue);
double relError = diff / skenderValue;
Assert.True(relError < 0.005, $"Relative error {relError} too high at index {i}");
Assert.True(relError < ValidationHelper.RelativeTolerance, $"Relative error {relError} too high at index {i}");
}
}
}
@@ -156,7 +156,7 @@ public class HtitValidationTests : IDisposable
// QuanTAlib matches TA-Lib (reference) with 1e-6 precision.
double diff = Math.Abs(ooplesValue - quantalibValue);
double relError = diff / ooplesValue;
Assert.True(relError < 0.003, $"Relative error {relError} too high at index {i}");
Assert.True(relError < ValidationHelper.RelativeTolerance, $"Relative error {relError} too high at index {i}");
}
}
}
+1 -1
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@@ -120,7 +120,7 @@ public class KamaValidationTests
var oValues = oResult.OutputValues["Kama"];
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 5e-4);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("KAMA validated successfully against Ooples");
}
+3 -3
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@@ -35,7 +35,7 @@ public class LsmaValidationTests
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qResult, sResult, x => x.Epma, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, sResult, x => x.Epma, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("LSMA Batch(TSeries) validated successfully against Skender");
}
@@ -59,7 +59,7 @@ public class LsmaValidationTests
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qResults, sResult, x => x.Epma, tolerance: 1e-4);
ValidationHelper.VerifyData(qResults, sResult, x => x.Epma, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("LSMA Streaming validated successfully against Skender");
}
@@ -79,7 +79,7 @@ public class LsmaValidationTests
var sResult = _testData.SkenderQuotes.GetEpma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, sResult, x => x.Epma, tolerance: 1e-4);
ValidationHelper.VerifyData(qOutput, sResult, x => x.Epma, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("LSMA Span validated successfully against Skender");
}
+3 -2
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@@ -111,8 +111,9 @@ public class MamaValidationTests
var qResult = mama.Update(_testData.Data); // _testData.Data is Close prices
// 3. Verify MAMA
// Tolerance increased to 30.0 due to high-precision constant updates in QuanTAlib
// Ooples implementation shows larger divergence (~26.3) likely due to different smoothing or constant handling
// Tolerance set to 30.0 due to significant divergence (~27.0) caused by:
// 1. Initialization: Ooples starts from 0, QuanTAlib warms up with Average.
// 2. Precision: Ooples uses 4-decimal constants, QuanTAlib uses exact fractions.
ValidationHelper.VerifyData(qResult, oMama, x => x, skip: 100, tolerance: 30.0);
// 4. Verify FAMA
+3 -3
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@@ -53,7 +53,7 @@ public class MgdiValidationTests : IDisposable
if (!double.IsNaN(skenderValue))
{
Assert.Equal(skenderValue, quantalibValue, 1e-6);
Assert.Equal(skenderValue, quantalibValue, ValidationHelper.SkenderTolerance);
}
}
}
@@ -81,7 +81,7 @@ public class MgdiValidationTests : IDisposable
if (!double.IsNaN(skenderValue))
{
Assert.Equal(skenderValue, quantalibValue, 1e-6);
Assert.Equal(skenderValue, quantalibValue, ValidationHelper.SkenderTolerance);
}
}
}
@@ -120,7 +120,7 @@ public class MgdiValidationTests : IDisposable
// We'll check for close correlation using relative error
double diff = Math.Abs(ooplesValue - quantalibValue);
double relError = diff / ooplesValue;
Assert.True(relError < 1e-9, $"Relative error {relError} too high at index {i}");
Assert.True(relError < ValidationHelper.OoplesTolerance, $"Relative error {relError} too high at index {i}");
}
}
}
+77
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@@ -0,0 +1,77 @@
using System;
using System.Collections.Generic;
using System.Linq;
using Xunit;
using Xunit.Abstractions;
namespace QuanTAlib.Tests;
public class PwmaComparisonTests
{
private readonly ITestOutputHelper _output;
public PwmaComparisonTests(ITestOutputHelper output)
{
_output = output;
}
[Fact]
public void Compare_O1_vs_Naive()
{
int period = 50;
int count = 5000;
var random = new Random(123);
var data = new List<double>();
for (int i = 0; i < count; i++) data.Add(random.NextDouble() * 100);
// 1. QuanTAlib O(1)
var pwma = new Pwma(period);
var qResults = new List<double>();
foreach (var val in data)
{
qResults.Add(pwma.Update(new TValue(DateTime.UtcNow, val)).Value);
}
// 2. Naive O(N)
var nResults = new List<double>();
for (int i = 0; i < count; i++)
{
if (i < period - 1)
{
// Warmup logic matching QuanTAlib
double sumSq = 0;
double wSum = 0;
for (int j = 0; j <= i; j++)
{
double weight = (j + 1) * (j + 1);
wSum += data[j] * weight;
sumSq += weight;
}
nResults.Add(wSum / sumSq);
}
else
{
double sumSq = 0;
double wSum = 0;
for (int j = 0; j < period; j++)
{
double weight = (j + 1) * (j + 1);
wSum += data[i - period + 1 + j] * weight;
sumSq += weight;
}
nResults.Add(wSum / sumSq);
}
}
// Compare
double maxDiff = 0;
for (int i = 0; i < count; i++)
{
double diff = Math.Abs(qResults[i] - nResults[i]);
if (diff > maxDiff) maxDiff = diff;
}
_output.WriteLine($"Max Difference between O(1) and Naive O(N): {maxDiff:F10}");
Assert.True(maxDiff < 1e-9, $"O(1) implementation diverged too much: {maxDiff}");
}
}
+1 -1
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@@ -47,7 +47,7 @@ public class PwmaValidationTests
var oValues = oResult.OutputValues["Pwma"];
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 1e-3);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 2e-4);
}
_output.WriteLine("PWMA validated successfully against Ooples");
}
+2 -2
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@@ -60,7 +60,7 @@ public class RmaValidationTests : IDisposable
int skip = period * 30;
int itemsToVerify = _testData.Data.Count - skip;
ValidationHelper.VerifyData(quantalibResults, skenderResults, (s) => s.Smma, skip: itemsToVerify, tolerance: 1e-4);
ValidationHelper.VerifyData(quantalibResults, skenderResults, (s) => s.Smma, skip: itemsToVerify, tolerance: ValidationHelper.OoplesTolerance);
}
[Fact]
@@ -93,6 +93,6 @@ public class RmaValidationTests : IDisposable
int skip = period * 30;
int itemsToVerify = _testData.Data.Count - skip;
ValidationHelper.VerifyData(qResult, oValues, (s) => s, skip: itemsToVerify, tolerance: 5e-4);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, skip: itemsToVerify, tolerance: ValidationHelper.OoplesTolerance);
}
}
+1 -1
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@@ -309,7 +309,7 @@ public class SmaValidationTests : IDisposable
var sResult = Calculations.CalculateSimpleMovingAverage(stockData, period).OutputValues.Values.First();
// Compare last 100 records
ValidationHelper.VerifyData(qResult, sResult, (s) => s, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, sResult, (s) => s, 100, ValidationHelper.OoplesTolerance);
}
_output.WriteLine("SMA Batch(TSeries) validated successfully against Ooples");
}
+1 -1
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@@ -63,7 +63,7 @@ public class SsfValidationTests : IDisposable
// We use a looser tolerance (10.0) because our implementation uses high-precision constants (Math.Sqrt(2) * Math.PI)
// whereas Ooples likely uses the approximation (1.414 * 3.14159) found in some reference implementations.
// This difference in constants causes a divergence in values.
ValidationHelper.VerifyData(qResult, oValues, (s) => s, skip: period, tolerance: 10.0);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, skip: period, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("SSF validated successfully against Ooples");
}
+3 -3
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@@ -60,16 +60,16 @@ public class SuperValidationTests : IDisposable
continue;
}
Assert.Equal((double)skenderResults[i].SuperTrend!, results[i], 1e-7);
Assert.Equal((double)skenderResults[i].SuperTrend!, results[i], ValidationHelper.SkenderTolerance);
if (skenderResults[i].UpperBand != null)
{
Assert.Equal((double)skenderResults[i].UpperBand!, upper[i], 1e-7);
Assert.Equal((double)skenderResults[i].UpperBand!, upper[i], ValidationHelper.SkenderTolerance);
}
if (skenderResults[i].LowerBand != null)
{
Assert.Equal((double)skenderResults[i].LowerBand!, lower[i], 1e-7);
Assert.Equal((double)skenderResults[i].LowerBand!, lower[i], ValidationHelper.SkenderTolerance);
}
}
}
+1 -1
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@@ -157,7 +157,7 @@ public class T3ValidationTests
var oValues = oResult.OutputValues["T3"];
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 1e-3);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("T3 validated successfully against Ooples");
}
+3 -3
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@@ -75,7 +75,7 @@ public class TrimaValidationTests
int lookback = TALib.Functions.TrimaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("TRIMA Batch(TSeries) validated successfully against TA-Lib");
}
@@ -109,7 +109,7 @@ public class TrimaValidationTests
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("TRIMA Batch(TSeries) validated successfully against Tulip");
}
@@ -135,7 +135,7 @@ public class TrimaValidationTests
int lookback = TALib.Functions.TrimaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("TRIMA Span validated successfully against TA-Lib");
}
+10 -10
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@@ -37,7 +37,7 @@ public class WmaValidationTests
var sResult = _testData.SkenderQuotes.GetWma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qResult, sResult, x => x.Wma, tolerance: 1e-5);
ValidationHelper.VerifyData(qResult, sResult, x => x.Wma, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("WMA Batch(TSeries) validated successfully against Skender");
}
@@ -61,7 +61,7 @@ public class WmaValidationTests
var sResult = _testData.SkenderQuotes.GetWma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qResults, sResult, x => x.Wma, tolerance: 1e-5);
ValidationHelper.VerifyData(qResults, sResult, x => x.Wma, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("WMA Streaming validated successfully against Skender");
}
@@ -81,7 +81,7 @@ public class WmaValidationTests
var sResult = _testData.SkenderQuotes.GetWma(period).ToList();
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, sResult, x => x.Wma, tolerance: 1e-5);
ValidationHelper.VerifyData(qOutput, sResult, x => x.Wma, tolerance: ValidationHelper.SkenderTolerance);
}
_output.WriteLine("WMA Span validated successfully against Skender");
}
@@ -107,7 +107,7 @@ public class WmaValidationTests
int lookback = TALib.Functions.WmaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
}
_output.WriteLine("WMA Batch(TSeries) validated successfully against TA-Lib");
}
@@ -137,7 +137,7 @@ public class WmaValidationTests
int lookback = TALib.Functions.WmaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qResults, output, outRange, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResults, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
}
_output.WriteLine("WMA Streaming validated successfully against TA-Lib");
}
@@ -163,7 +163,7 @@ public class WmaValidationTests
int lookback = TALib.Functions.WmaLookback(period);
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qOutput, talibOutput, outRange, lookback, tolerance: ValidationHelper.TalibTolerance);
}
_output.WriteLine("WMA Span validated successfully against TA-Lib");
}
@@ -190,7 +190,7 @@ public class WmaValidationTests
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("WMA Batch(TSeries) validated successfully against Tulip");
}
@@ -221,7 +221,7 @@ public class WmaValidationTests
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("WMA Streaming validated successfully against Tulip");
}
@@ -248,7 +248,7 @@ public class WmaValidationTests
var tResult = outputs[0];
// Compare last 100 records
ValidationHelper.VerifyData(qOutput, tResult, lookback, tolerance: 1e-4);
ValidationHelper.VerifyData(qOutput, tResult, lookback, tolerance: ValidationHelper.TulipTolerance);
}
_output.WriteLine("WMA Span validated successfully against Tulip");
}
@@ -281,7 +281,7 @@ public class WmaValidationTests
var oValues = oResult.OutputValues["Wma"];
// Compare
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: 5e-4);
ValidationHelper.VerifyData(qResult, oValues, (s) => s, tolerance: ValidationHelper.OoplesTolerance);
}
_output.WriteLine("WMA validated successfully against Ooples");
}