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.
2026-08-23 13:08:04 +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 +1,122 @@
+using TradingPlatform.BusinessLayer;
+using QuanTAlib;
+
+namespace QuanTAlib.Tests;
+
+public sealed class GeomeanIndicatorTests
+{
+    [Fact]
+    public void GeomeanIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new GeomeanIndicator();
+
+        Assert.Equal(14, indicator.Period);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("GEOMEAN - Geometric Mean", indicator.Name);
+        Assert.False(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(SourceType.Close, indicator.Source);
+    }
+
+    [Fact]
+    public void GeomeanIndicator_MinHistoryDepths_EqualsZero()
+    {
+        var indicator = new GeomeanIndicator { Period = 14 };
+
+        Assert.Equal(0, GeomeanIndicator.MinHistoryDepths);
+        IWatchlistIndicator watchlistIndicator = indicator;
+        Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void GeomeanIndicator_Initialize_CreatesInternalGeomean()
+    {
+        var indicator = new GeomeanIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+        Assert.Equal("Geomean", indicator.LinesSeries[0].Name);
+    }
+
+    [Fact]
+    public void GeomeanIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new GeomeanIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Add historical data
+        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);
+        }
+
+        // Line series should have a value
+        double geomean = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.True(double.IsFinite(geomean));
+        Assert.True(geomean > 0, $"Geometric mean should be positive, got {geomean}");
+    }
+
+    [Fact]
+    public void GeomeanIndicator_DifferentSourceTypes()
+    {
+        var indicator = new GeomeanIndicator { Period = 5, Source = SourceType.Open };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 10; 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 geomean = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(geomean));
+        Assert.True(geomean > 0);
+    }
+
+    [Fact]
+    public void GeomeanIndicator_ShortName_IncludesPeriod()
+    {
+        var indicator = new GeomeanIndicator { Period = 20 };
+        Assert.Equal("Geomean 20", indicator.ShortName);
+    }
+
+    [Fact]
+    public void GeomeanIndicator_NewBar_UpdatesValue()
+    {
+        var indicator = new GeomeanIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add enough bars to warm up
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        _ = indicator.LinesSeries[0].GetValue(0);
+
+        // Add a new bar with a very different value
+        indicator.HistoricalData.AddBar(now.AddMinutes(10), 200, 210, 190, 205);
+        var newArgs = new UpdateArgs(UpdateReason.NewBar);
+        indicator.ProcessUpdate(newArgs);
+
+        double valueAfter = indicator.LinesSeries[0].GetValue(0);
+
+        // Value should change after adding a significantly different bar
+        Assert.True(double.IsFinite(valueAfter));
+        Assert.True(valueAfter > 0);
+    }
+}