Add Negative Volume Index (NVI) implementation and tests

- Implemented NVI indicator in Nvi.Quantower.cs with configurable start value and cold value display option. - Created unit tests for NVI functionality in Nvi.Tests.cs, covering various scenarios including initialization, updates, and edge cases. - Added validation tests in Nvi.Validation.Tests.cs to ensure NVI matches expected behavior against known implementations. - Developed comprehensive documentation for NVI in Nvi.md, detailing its historical context, mathematical foundation, and interpretation guide. - Included error handling for invalid input values and ensured compatibility with volume data.
2026-08-25 13:58:04 +00:00 · 2026-01-28 15:33:47 -08:00
parent c7e55c2f1e
commit dc1902f4d5
20 changed files with 4195 additions and 6 deletions
@@ -0,0 +1,187 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public class NviIndicatorTests
+{
+    [Fact]
+    public void NviIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new NviIndicator();
+
+        Assert.Equal("NVI - Negative Volume Index", indicator.Name);
+        Assert.Equal(100, indicator.StartValue);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(2, indicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void NviIndicator_ShortName_ReflectsStartValue()
+    {
+        var indicator = new NviIndicator { StartValue = 1000 };
+        Assert.Equal("NVI(1000)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void NviIndicator_MinHistoryDepths_EqualsTwo()
+    {
+        var indicator = new NviIndicator();
+
+        Assert.Equal(2, indicator.MinHistoryDepths);
+        Assert.Equal(2, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void NviIndicator_Initialize_CreatesInternalNvi()
+    {
+        var indicator = new NviIndicator();
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void NviIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new NviIndicator();
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            // Volume decreasing pattern to trigger NVI changes
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 100000 - (i * 1000));
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Line series should have a value
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(val));
+    }
+
+    [Fact]
+    public void NviIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new NviIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 30; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 100000);
+        }
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        // Add new bar with lower volume to trigger NVI update
+        indicator.HistoricalData.AddBar(now.AddMinutes(30), 130, 140, 120, 135, 80000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void NviIndicator_Value_IsPositive()
+    {
+        var indicator = new NviIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 50; i++)
+        {
+            // Create varying price and volume patterns
+            double open = 100 + i;
+            double high = open + 10 + (i % 5);
+            double low = open - 5;
+            double close = (i % 2 == 0) ? high - 1 : low + 1;
+            // Alternate volume up/down to trigger NVI updates
+            double volume = (i % 2 == 0) ? 100000 + (i * 1000) : 100000 - (i * 1000);
+
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), open, high, low, close, volume);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(val > 0, $"NVI value {val} should be positive");
+    }
+
+    [Fact]
+    public void NviIndicator_CustomStartValue_AffectsResult()
+    {
+        var indicator1 = new NviIndicator { StartValue = 100 };
+        var indicator2 = new NviIndicator { StartValue = 1000 };
+
+        indicator1.Initialize();
+        indicator2.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            indicator1.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 100000 - (i * 2000));
+            indicator2.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i, 100000 - (i * 2000));
+
+            indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        }
+
+        double val1 = indicator1.LinesSeries[0].GetValue(0);
+        double val2 = indicator2.LinesSeries[0].GetValue(0);
+
+        // Ratio should be approximately 10:1
+        Assert.Equal(10.0, val2 / val1, 1);
+    }
+
+    [Fact]
+    public void NviIndicator_VolumeIncrease_NviUnchanged()
+    {
+        var indicator = new NviIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // First bar
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        double firstVal = indicator.LinesSeries[0].GetValue(0);
+
+        // Second bar with higher volume - NVI should not change
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 110, 100, 108, 150000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        double secondVal = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.Equal(firstVal, secondVal);
+    }
+
+    [Fact]
+    public void NviIndicator_VolumeDecrease_NviUpdates()
+    {
+        var indicator = new NviIndicator();
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // First bar
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 100, 100000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+        double firstVal = indicator.LinesSeries[0].GetValue(0);
+
+        // Second bar with lower volume and higher close - NVI should increase
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 100, 110, 98, 108, 80000);
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        double secondVal = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.True(secondVal > firstVal, $"NVI should increase when volume decreases and price rises: {secondVal} vs {firstVal}");
+    }
+}