New version merge

2026-08-22 12:38:06 +00:00 · 2024-09-22 17:31:24 -07:00
parent 1b719fa94e
commit d475bcd19a
405 changed files with 56573 additions and 12440 deletions
@@ -0,0 +1,152 @@
+using Xunit;
+using TALib;
+using QuanTAlib;
+
+public class TAlibTests
+{
+    private readonly TBarSeries bars;
+    private readonly GbmFeed feed;
+    private Random rnd;
+    private readonly double range;
+    private int period, iterations;
+    private readonly double[] data;
+    private readonly double[] TALIB;
+
+
+    public TAlibTests()
+    {
+        rnd = new((int)DateTime.Now.Ticks);
+        feed = new(sigma: 0.5, mu: 0.0);
+        bars = new(feed);
+        range = 1e-9;
+        feed.Add(10000);
+        iterations = 3;
+        data = feed.Close.v.ToArray();
+        TALIB = new double[data.Count()];
+
+    }
+
+    [Fact]
+    public void SMA()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            Sma ma = new(period);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.Sma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+
+    [Fact]
+    public void EMA()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            Ema ma = new(period, useSma: true);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.Ema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+
+    [Fact]
+    public void DEMA()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            Dema ma = new(period);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.Dema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period*20; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+
+    [Fact]
+    public void TEMA()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            Tema ma = new(period);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.Tema(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period*20; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+
+//TODO fix WMA
+/*
+    [Fact]
+    public void WMA()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            Wma ma = new(period);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.Wma(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _, period);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period*3; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+    */
+
+    [Fact]
+    public void T3()
+    {
+        for (int run = 0; run < iterations; run++)
+        {
+            period = rnd.Next(50) + 5;
+            T3 ma = new(period, vfactor: 0.7, useSma: false);
+            TSeries QL = new();
+            foreach (TBar item in feed)
+            { QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
+            Core.T3(data, 0, QL.Length - 1, TALIB, out int outBegIdx, out _,  optInTimePeriod: period, optInVFactor: 0.7);
+            Assert.Equal(QL.Length, TALIB.Count());
+            for (int i = QL.Length - 1; i > period*20; i--)
+            {
+                double TL = i < outBegIdx ? double.NaN : TALIB[i - outBegIdx];
+                Assert.InRange(TALIB[i - outBegIdx] - QL[i].Value, -range, range);
+            }
+        }
+    }
+
+}