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.
2026-08-17 01:58:06 +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 +1,161 @@
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib.Tests;
+
+public sealed class SgmaIndicatorTests
+{
+    [Fact]
+    public void SgmaIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new SgmaIndicator();
+
+        Assert.Equal(9, indicator.Period);
+        Assert.Equal(2, indicator.Degree);
+        Assert.Equal(SourceType.Close, indicator.Source);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("SGMA - Savitzky-Golay Moving Average", indicator.Name);
+        Assert.False(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+    }
+
+    [Fact]
+    public void SgmaIndicator_MinHistoryDepths_EqualsZero()
+    {
+        var indicator = new SgmaIndicator { Period = 9, Degree = 2 };
+
+        Assert.Equal(0, SgmaIndicator.MinHistoryDepths);
+        Assert.Equal(0, ((IWatchlistIndicator)indicator).MinHistoryDepths);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ShortName_IncludesPeriodAndDegree()
+    {
+        var indicator = new SgmaIndicator { Period = 15, Degree = 3 };
+
+        Assert.Contains("SGMA", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("15", indicator.ShortName, StringComparison.Ordinal);
+        Assert.Contains("3", indicator.ShortName, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void SgmaIndicator_SourceCodeLink_IsValid()
+    {
+        var indicator = new SgmaIndicator();
+
+        Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.Ordinal);
+        Assert.Contains("Sgma", indicator.SourceCodeLink, StringComparison.Ordinal);
+    }
+
+    [Fact]
+    public void SgmaIndicator_Initialize_CreatesInternalSgma()
+    {
+        var indicator = new SgmaIndicator { Period = 9, Degree = 2 };
+
+        indicator.Initialize();
+
+        Assert.Single(indicator.LinesSeries);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new SgmaIndicator { Period = 3, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        var args = new UpdateArgs(UpdateReason.HistoricalBar);
+        indicator.ProcessUpdate(args);
+
+        Assert.Equal(1, indicator.LinesSeries[0].Count);
+        Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
+    }
+
+    [Fact]
+    public void SgmaIndicator_ProcessUpdate_NewBar_ComputesValue()
+    {
+        var indicator = new SgmaIndicator { Period = 3, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+        indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
+
+        Assert.Equal(2, indicator.LinesSeries[0].Count);
+    }
+
+    [Fact]
+    public void SgmaIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
+    {
+        var indicator = new SgmaIndicator { Period = 3, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        indicator.HistoricalData.AddBar(now, 100, 105, 95, 102);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+        double firstValue = indicator.LinesSeries[0].GetValue(0);
+
+        indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
+        double secondValue = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.True(double.IsFinite(firstValue));
+        Assert.True(double.IsFinite(secondValue));
+    }
+
+    [Fact]
+    public void SgmaIndicator_MultipleUpdates_ProducesCorrectSequence()
+    {
+        var indicator = new SgmaIndicator { Period = 3, Degree = 2 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        double[] closes = { 100, 102, 104, 103, 105 };
+
+        foreach (var close in closes)
+        {
+            indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close);
+            indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
+            now = now.AddMinutes(1);
+        }
+
+        for (int i = 0; i < closes.Length; i++)
+        {
+            Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
+        }
+    }
+
+    [Fact]
+    public void SgmaIndicator_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 SgmaIndicator { Period = 3, Degree = 2, 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 value");
+        }
+    }
+
+    [Fact]
+    public void SgmaIndicator_Period_CanBeChanged()
+    {
+        var indicator = new SgmaIndicator { Period = 5 };
+        Assert.Equal(5, indicator.Period);
+
+        indicator.Period = 21;
+        Assert.Equal(21, indicator.Period);
+        Assert.Equal(0, SgmaIndicator.MinHistoryDepths);
+    }
+}
@@ -0,0 +1,58 @@
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class SgmaIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
+    public int Period { get; set; } = 9;
+
+    [InputParameter("Degree", sortIndex: 2, 0, 4, 1, 0)]
+    public int Degree { get; set; } = 2;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Sgma _sgma = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"SGMA {Period},{Degree}:{_sourceName}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/trends_FIR/sgma/Sgma.cs";
+
+    public SgmaIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = false;
+        Name = "SGMA - Savitzky-Golay Moving Average";
+        Description = "Polynomial-fitting FIR filter preserving peaks and inflection points";
+        _series = new LineSeries(name: $"SGMA {Period}", color: IndicatorExtensions.Averages, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _sgma = new Sgma(Period, Degree);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        double value = _sgma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew).Value;
+        _series.SetValue(value, _sgma.IsHot, ShowColdValues);
+    }
+}