Jvolty

2026-08-22 12:38:06 +00:00 · 2024-10-14 12:28:56 -07:00
parent ffed6491d4
commit e5a1948fc0
10 changed files with 314 additions and 101 deletions
@@ -0,0 +1,104 @@
+using Xunit;
+using System.Security.Cryptography;
+
+namespace QuanTAlib.Tests;
+
+public class VolatilityUpdateTests
+{
+    private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create();
+    private const int RandomUpdates = 100;
+    private const double ReferenceValue = 100.0;
+    private const int precision = 8;
+
+    private double GetRandomDouble()
+    {
+        byte[] bytes = new byte[8];
+        rng.GetBytes(bytes);
+        return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100
+    }
+
+    private TBar GetRandomBar(bool IsNew)
+    {
+        double open = GetRandomDouble();
+        double high = open + Math.Abs(GetRandomDouble());
+        double low = open - Math.Abs(GetRandomDouble());
+        double close = low + (high - low) * GetRandomDouble();
+        return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew);
+    }
+
+    [Fact]
+    public void Atr_Update()
+    {
+        var indicator = new Atr(period: 14);
+        TBar r = GetRandomBar(true);
+        double initialValue = indicator.Calc(r);
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(IsNew: false));
+        }
+        double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Historical_Update()
+    {
+        var indicator = new Historical(period: 14);
+        double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(false));
+        }
+        double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Jvolty_Update()
+    {
+        var indicator = new Jvolty(period: 14);
+        double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(false));
+        }
+        double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Realized_Update()
+    {
+        var indicator = new Realized(period: 14);
+        double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(false));
+        }
+        double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+
+    [Fact]
+    public void Rvi_Update()
+    {
+        var indicator = new Rvi(period: 14);
+        double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true));
+
+        for (int i = 0; i < RandomUpdates; i++)
+        {
+            indicator.Calc(GetRandomBar(false));
+        }
+        double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false));
+
+        Assert.Equal(initialValue, finalValue, precision);
+    }
+}