Add Savitzky-Golay Moving Average (SGMA) Indicator Implementation

- Implemented SgmaIndicator class in C# with properties for Period, Degree, and Source. - Added unit tests for SgmaIndicator covering constructor defaults, initialization, and various update scenarios. - Created a new Quantower adapter for the SGMA indicator, including input parameters and line series setup. - Removed legacy SGMA implementation and tests to streamline the codebase. - Updated project files to include new indicator and tests in the build process. - Generated a missing indicators report and outlined a plan for oscillator documentation rewrite.
2026-08-16 09:38:05 +00:00 · 2026-02-13 21:44:45 -08:00
parent 951842acca
commit dfeb23bf3d
81 changed files with 13629 additions and 2041 deletions
@@ -0,0 +1,142 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public sealed class AmatIndicatorTests
+{
+    [Fact]
+    public void AmatIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new AmatIndicator();
+
+        Assert.Equal(10, indicator.FastPeriod);
+        Assert.Equal(50, indicator.SlowPeriod);
+        Assert.Equal(SourceType.Close, indicator.Source);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("AMAT - Archer Moving Averages Trends", indicator.Name);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+    }
+
+    [Fact]
+    public void AmatIndicator_MinHistoryDepths_EqualsZero()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 10, SlowPeriod = 50 };
+
+        Assert.Equal(0, AmatIndicator.MinHistoryDepths);
+        Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void AmatIndicator_ShortName_IncludesParameters()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 8, SlowPeriod = 40 };
+
+        Assert.Contains("AMAT", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("8", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("40", indicator.ShortName, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void AmatIndicator_SourceCodeLink_IsValid()
+    {
+        var indicator = new AmatIndicator();
+
+        Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
+        Assert.Contains("Amat", indicator.SourceCodeLink, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void AmatIndicator_Initialize_CreatesInternalAmat()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 10, SlowPeriod = 50 };
+
+        indicator.Initialize();
+
+        // Trend + Strength = 2 line series
+        Assert.Equal(2, indicator.LinesSeries.Count);
+    }
+
+    [Fact]
+    public void AmatIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 5, SlowPeriod = 10 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        double trend = indicator.LinesSeries[0].GetValue(0);
+        double strength = indicator.LinesSeries[1].GetValue(0);
+
+        Assert.True(double.IsFinite(trend));
+        Assert.True(double.IsFinite(strength));
+    }
+
+    [Fact]
+    public void AmatIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 5, SlowPeriod = 10 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 15; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Simulate a new bar
+        indicator.HistoricalData.AddBar(now.AddMinutes(15), 115, 125, 105, 120);
+        var newArgs = new UpdateArgs(UpdateReason.NewBar);
+        indicator.ProcessUpdate(newArgs);
+
+        double trend = indicator.LinesSeries[0].GetValue(0);
+        double strength = indicator.LinesSeries[1].GetValue(0);
+
+        Assert.True(double.IsFinite(trend));
+        Assert.True(double.IsFinite(strength));
+    }
+
+    [Fact]
+    public void AmatIndicator_DifferentSourceTypes_Work()
+    {
+        var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 };
+
+        foreach (var source in sources)
+        {
+            var indicator = new AmatIndicator { FastPeriod = 3, SlowPeriod = 8, Source = source };
+            indicator.Initialize();
+
+            var now = DateTime.UtcNow;
+            indicator.HistoricalData.AddBar(now, 100, 110, 90, 105);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)),
+                $"Source {source} should produce finite trend value");
+            Assert.True(double.IsFinite(indicator.LinesSeries[1].GetValue(0)),
+                $"Source {source} should produce finite strength value");
+        }
+    }
+
+    [Fact]
+    public void AmatIndicator_Periods_CanBeChanged()
+    {
+        var indicator = new AmatIndicator { FastPeriod = 5, SlowPeriod = 20 };
+        Assert.Equal(5, indicator.FastPeriod);
+        Assert.Equal(20, indicator.SlowPeriod);
+
+        indicator.FastPeriod = 15;
+        indicator.SlowPeriod = 60;
+        Assert.Equal(15, indicator.FastPeriod);
+        Assert.Equal(60, indicator.SlowPeriod);
+        Assert.Equal(0, AmatIndicator.MinHistoryDepths);
+    }
+}
@@ -0,0 +1,66 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class AmatIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Fast Period", sortIndex: 1, 1, 500, 1, 0)]
+    public int FastPeriod { get; set; } = 10;
+
+    [InputParameter("Slow Period", sortIndex: 2, 1, 500, 1, 0)]
+    public int SlowPeriod { get; set; } = 50;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Amat _amat = null!;
+    private readonly LineSeries _trendSeries;
+    private readonly LineSeries _strengthSeries;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"AMAT {FastPeriod},{SlowPeriod}:{_sourceName}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/dynamics/amat/Amat.cs";
+
+    public AmatIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "AMAT - Archer Moving Averages Trends";
+        Description = "Trend system using fast/slow EMA alignment for directional signals";
+
+        _trendSeries = new LineSeries(name: "Trend", color: Color.Green, width: 2, style: LineStyle.Solid);
+        _strengthSeries = new LineSeries(name: "Strength", color: Color.Orange, width: 1, style: LineStyle.Solid);
+
+        AddLineSeries(_trendSeries);
+        AddLineSeries(_strengthSeries);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _amat = new Amat(FastPeriod, SlowPeriod);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        _ = _amat.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew);
+
+        _trendSeries.SetValue(_amat.Last.Value, _amat.IsHot, ShowColdValues);
+        _strengthSeries.SetValue(_amat.Strength.Value, _amat.IsHot, ShowColdValues);
+    }
+}