gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-24 05:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

T3

Browse Source
This commit is contained in:
Miha Kralj
2022-11-18 21:48:41 -08:00
parent cfa10c79e8
commit f393ec336d
13 changed files with 1264 additions and 985 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Tests/Validations/Skender_Stock.cs
+192 -315
View File
@@ -4,324 +4,201 @@ using Skender.Stock.Indicators;
using Xunit;
namespace Validations;
public class Skender_Stock
{
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period;
private readonly IEnumerable<Quote> quotes;
public class Skender_Stock {
private readonly GBM_Feed bars;
private readonly Random rnd = new();
private readonly int period, digits;
private readonly IEnumerable<Quote> quotes;
public Skender_Stock()
{
bars = new(Bars: 5000, Volatility: 0.7, Drift: 0.0);
period = rnd.Next(28) + 3;
quotes = bars.Select(
q => new Quote
{
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
public Skender_Stock() {
bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0);
period = rnd.Next(28) + 3;
digits = 4; //minimizing rounding errors in type conversions
quotes = bars.Select(q => new Quote {
Date = q.t,
Open = (decimal)q.o,
High = (decimal)q.h,
Low = (decimal)q.l,
Close = (decimal)q.c,
Volume = (decimal)q.v
});
}
[Fact]
public void SMA()
{
SMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSma(period);
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void EMA()
{
EMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetEma(period);
Assert.Equal(Math.Round((double)SK.Last().Ema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void WMA()
{
WMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetWma(period);
Assert.Equal(Math.Round((double)SK.Last().Wma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void DEMA()
{
DEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetDema(period);
Assert.Equal(Math.Round((double)SK.Last().Dema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void TEMA()
{
TEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTema(period);
Assert.Equal(Math.Round((double)SK.Last().Tema!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MAMA() {
}
[Fact] public void ADL() {
ADL_Series QL = new(bars, false);
var SK = quotes.GetAdl();
Assert.Equal(Math.Round(SK.Last().Adl!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void ALMA() {
ALMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetAlma(period);
Assert.Equal(Math.Round((double)SK.Last().Alma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void ATR() {
ATR_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atr!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void ATRP() {
ATRP_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atrp!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void BBANDS() {
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
var SK = quotes.GetBollingerBands(period, 2.0);
Assert.Equal(Math.Round((double)SK.Last().Sma!, digits: digits), Math.Round(QL.Mid.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, digits: digits), Math.Round(QL.Upper.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, digits: digits), Math.Round(QL.Lower.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Width!, digits: digits), Math.Round(QL.Bandwidth.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().PercentB!, digits: digits), Math.Round(QL.PercentB.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().ZScore!, digits: digits), Math.Round(QL.Zscore.Last().v, digits: digits));
}
[Fact] public void CCI() {
CCI_Series QL = new(bars, period, false);
var SK = quotes.GetCci(period);
Assert.Equal(Math.Round((double)SK.Last().Cci!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void CORR() {
CORR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Correlation!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void COVAR() {
COVAR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Covariance!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void DEMA() {
DEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetDema(period);
Assert.Equal(Math.Round((double)SK.Last().Dema!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void EMA() {
EMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetEma(period);
Assert.Equal(Math.Round((double)SK.Last().Ema!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void HL2() {
TSeries QL = bars.HL2;
var SK = quotes.GetBaseQuote(CandlePart.HL2);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void HLC3() {
TSeries QL = bars.HLC3;
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void HMA() {
HMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetHma(period);
Assert.Equal(Math.Round((double)SK.Last().Hma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void KAMA() {
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period);
Assert.Equal(Math.Round((double)SK.Last().Kama!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void LINREG() {
LINREG_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSlope(period);
Assert.Equal(Math.Round((double)SK.Last().Slope!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Intercept!, digits: digits), Math.Round(QL.Intercept.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().RSquared!, digits: digits), Math.Round(QL.RSquared.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().StdDev!, digits: digits), Math.Round(QL.StdDev.Last().v, digits: digits));
}
[Fact] public void MACD() {
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
var SK = quotes.GetMacd(12, 26, 9);
Assert.Equal(Math.Round((double)SK.Last().Macd!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Signal!, digits: digits), Math.Round(QL.Signal.Last().v, digits: digits));
}
[Fact] public void MAD() {
MAD_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mad!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void MAMA() {
MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05);
var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
Assert.Equal(Math.Round((double)SK.Last().Mama!, digits: digits), Math.Round(QL.Last().v, digits: digits));
Assert.Equal(Math.Round((double)SK.Last().Fama!, digits: digits), Math.Round(QL.Fama.Last().v, digits: digits));
}
[Fact] public void MAPE() {
MAPE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mape!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void MSE() {
MSE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mse!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OBV() {
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period);
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OC2() {
TSeries QL = bars.OC2;
var SK = quotes.GetBaseQuote(CandlePart.OC2);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OHL3() {
TSeries QL = bars.OHL3;
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void OHLC4() {
TSeries QL = bars.OHLC4;
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
Assert.Equal(Math.Round(SK.Last().Value!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void RSI() {
RSI_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetRsi(period);
Assert.Equal(Math.Round((double)SK.Last().Rsi!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void SDEV() {
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().StdDev!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void SMA() {
SMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSma(period);
Assert.Equal(Math.Round((double)SK.Last().Sma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void SMMA() {
SMMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSmma(period);
Assert.Equal(Math.Round((double)SK.Last().Smma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void T3() {
T3_Series QL = new(source: bars.Close, period, vfactor: 0.7, false);
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7);
Assert.Equal(Math.Round((double)SK.Last().T3!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void TEMA() {
TEMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetTema(period);
Assert.Equal(Math.Round((double)SK.Last().Tema!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void TR() {
TR_Series QL = new(bars, useNaN: false);
var SK = quotes.GetTr();
Assert.Equal(Math.Round((double)SK.Last().Tr!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void WMA() {
WMA_Series QL = new(bars.Close, period, false);
var SK = quotes.GetWma(period);
Assert.Equal(Math.Round((double)SK.Last().Wma!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
[Fact] public void ZSCORE() {
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().ZScore!, digits: digits), Math.Round(QL.Last().v, digits: digits));
}
Assert.Equal(Math.Round((double)SK.Last().Mama!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MAD()
{
MAD_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mad!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MSE()
{
MSE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mse!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MAPE()
{
MAPE_Series QL = new(bars.Close, period, false);
var SK = quotes.GetSmaAnalysis(period);
Assert.Equal(Math.Round((double)SK.Last().Mape!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void COVAR()
{
COVAR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Covariance!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void CORR()
{
CORR_Series QL = new(bars.High, bars.Low, period, false);
var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period);
Assert.Equal(Math.Round((double)SK.Last().Correlation!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ATR()
{
ATR_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atr!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OBV()
{
OBV_Series QL = new(bars, period, false);
var SK = quotes.GetObv(period);
// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
Assert.Equal(Math.Round(SK.Last().Obv! + (double)quotes.First().Volume!, 5),
Math.Round(QL.Last().v, 5));
}
[Fact]
public void ADL()
{
ADL_Series QL = new(bars, false);
var SK = quotes.GetAdl();
Assert.Equal(Math.Round(SK.Last().Adl!, 5), Math.Round(QL.Last().v, 5));
}
[Fact]
public void CCI()
{
CCI_Series QL = new(bars, period, false);
var SK = quotes.GetCci(period);
Assert.Equal(Math.Round((double)SK.Last().Cci!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ATRP()
{
ATRP_Series QL = new(bars, period, false);
var SK = quotes.GetAtr(period);
Assert.Equal(Math.Round((double)SK.Last().Atrp!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void KAMA()
{
KAMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetKama(period);
Assert.Equal(Math.Round((double)SK.Last().Kama!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HMA()
{
HMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetHma(period);
Assert.Equal(Math.Round((double)SK.Last().Hma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void SMMA()
{
SMMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSmma(period);
Assert.Equal(Math.Round((double)SK.Last().Smma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void MACD()
{
MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
var SK = quotes.GetMacd(12, 26, 9);
Assert.Equal(Math.Round((double)SK.Last().Macd!, 6), Math.Round(QL.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Signal!, 6), Math.Round(QL.Signal.Last().v, 6));
}
[Fact]
public void BBANDS()
{
BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
var SK = quotes.GetBollingerBands(period, 2.0);
Assert.Equal(Math.Round((double)SK.Last().Sma!, 6), Math.Round(QL.Mid.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().UpperBand!, 6), Math.Round(QL.Upper.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().LowerBand!, 6), Math.Round(QL.Lower.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Width!, 6), Math.Round(QL.Bandwidth.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().PercentB!, 6), Math.Round(QL.PercentB.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Zscore.Last().v, 6));
}
[Fact]
public void RSI()
{
RSI_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetRsi(period);
Assert.Equal(Math.Round((double)SK.Last().Rsi!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ALMA()
{
ALMA_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetAlma(period);
Assert.Equal(Math.Round((double)SK.Last().Alma!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void SDEV()
{
SDEV_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void ZSCORE()
{
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetStdDev(period);
Assert.Equal(Math.Round((double)SK.Last().ZScore!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void LINREG()
{
LINREG_Series QL = new(bars.Close, period, useNaN: false);
var SK = quotes.GetSlope(period);
Assert.Equal(Math.Round((double)SK.Last().Slope!, 6), Math.Round(QL.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().Intercept!, 6), Math.Round(QL.Intercept.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().RSquared!, 6), Math.Round(QL.RSquared.Last().v, 6));
Assert.Equal(Math.Round((double)SK.Last().StdDev!, 6), Math.Round(QL.StdDev.Last().v, 6));
}
[Fact]
public void TR()
{
TR_Series QL = new(bars, useNaN: false);
var SK = quotes.GetTr();
Assert.Equal(Math.Round((double)SK.Last().Tr!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HL2()
{
TSeries QL = bars.HL2;
var SK = quotes.GetBaseQuote(CandlePart.HL2);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OC2()
{
TSeries QL = bars.OC2;
var SK = quotes.GetBaseQuote(CandlePart.OC2);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void HLC3()
{
TSeries QL = bars.HLC3;
var SK = quotes.GetBaseQuote(CandlePart.HLC3);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OHL3()
{
TSeries QL = bars.OHL3;
var SK = quotes.GetBaseQuote(CandlePart.OHL3);
Assert.Equal(Math.Round(SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
[Fact]
public void OHLC4()
{
TSeries QL = bars.OHLC4;
var SK = quotes.GetBaseQuote(CandlePart.OHLC4);
Assert.Equal(Math.Round((double)SK.Last().Value!, 6), Math.Round(QL.Last().v, 6));
}
}