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Add Chaikin Money Flow (CMF) Indicator Implementation and Tests
- Implemented CMF indicator in Cmf.cs with detailed calculations and methods. - Created unit tests for CMF validation against Skender, Ooples, and batch processing. - Added documentation for CMF in Cmf.md, explaining its purpose, calculations, and usage. - Updated project files to include new statistics library. - Updated NDepend badges to reflect changes in classes, methods, and lines of code.
This commit is contained in:
Miha Kralj
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Enums;
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using OoplesFinance.StockIndicators.Models;
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using Skender.Stock.Indicators;
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using TALib;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class BbandsValidationTests : IDisposable
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{
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private readonly ValidationTestData _testData;
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private readonly ITestOutputHelper _output;
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private bool _disposed;
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public BbandsValidationTests(ITestOutputHelper output)
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{
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_output = output;
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_testData = new ValidationTestData();
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}
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public void Dispose()
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{
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Dispose(true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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[Fact]
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public void Validate_Skender_Batch()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (batch TSeries)
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var bbands = new Bbands(period, multiplier);
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var qResult = bbands.Update(_testData.Data);
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// Calculate Skender Bollinger Bands
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var sResult = _testData.SkenderQuotes.GetBollingerBands(period, multiplier).ToList();
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Sma);
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}
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_output.WriteLine("Bbands Batch(TSeries) validated successfully against Skender");
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}
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[Fact]
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public void Validate_Skender_Streaming()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (streaming)
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var bbands = new Bbands(period, multiplier);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(bbands.Update(item).Value);
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}
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// Calculate Skender Bollinger Bands
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var sResult = _testData.SkenderQuotes.GetBollingerBands(period, multiplier).ToList();
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qResults, sResult, (s) => s.Sma);
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}
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_output.WriteLine("Bbands Streaming validated successfully against Skender");
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}
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[Fact]
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public void Validate_Skender_Span()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for Span API
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double[] sourceData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (Span API)
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double[] qMiddle = new double[sourceData.Length];
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double[] qUpper = new double[sourceData.Length];
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double[] qLower = new double[sourceData.Length];
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Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
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// Calculate Skender Bollinger Bands
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var sResult = _testData.SkenderQuotes.GetBollingerBands(period, multiplier).ToList();
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qMiddle, sResult, (s) => s.Sma);
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}
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_output.WriteLine("Bbands Span validated successfully against Skender");
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}
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[Fact]
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public void Validate_Talib_Batch()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for TA-Lib (double[])
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double[] tData = _testData.RawData.ToArray();
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double[] upperOutput = new double[tData.Length];
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double[] middleOutput = new double[tData.Length];
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double[] lowerOutput = new double[tData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (batch TSeries)
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var bbands = new Bbands(period, multiplier);
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var qResult = bbands.Update(_testData.Data);
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// Calculate TA-Lib Bollinger Bands
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var retCode = Functions.Bbands<double>(
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tData,
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0..^0,
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upperOutput,
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middleOutput,
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lowerOutput,
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out var outRange,
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period,
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multiplier,
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multiplier,
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Core.MAType.Sma);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = Functions.BbandsLookback(period);
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qResult, middleOutput, outRange, lookback);
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}
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_output.WriteLine("Bbands Batch(TSeries) validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Talib_Streaming()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for TA-Lib (double[])
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double[] tData = _testData.RawData.ToArray();
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double[] upperOutput = new double[tData.Length];
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double[] middleOutput = new double[tData.Length];
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double[] lowerOutput = new double[tData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (streaming)
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var bbands = new Bbands(period, multiplier);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(bbands.Update(item).Value);
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}
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// Calculate TA-Lib Bollinger Bands
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var retCode = Functions.Bbands<double>(
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tData,
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0..^0,
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upperOutput,
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middleOutput,
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lowerOutput,
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out var outRange,
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period,
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multiplier,
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multiplier,
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Core.MAType.Sma);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = Functions.BbandsLookback(period);
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qResults, middleOutput, outRange, lookback);
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}
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_output.WriteLine("Bbands Streaming validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Talib_Span()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data
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double[] sourceData = _testData.RawData.ToArray();
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double[] talibUpper = new double[sourceData.Length];
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double[] talibMiddle = new double[sourceData.Length];
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double[] talibLower = new double[sourceData.Length];
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (Span API)
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double[] qMiddle = new double[sourceData.Length];
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double[] qUpper = new double[sourceData.Length];
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double[] qLower = new double[sourceData.Length];
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Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
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// Calculate TA-Lib Bollinger Bands
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var retCode = Functions.Bbands<double>(
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sourceData,
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0..^0,
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talibUpper,
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talibMiddle,
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talibLower,
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out var outRange,
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period,
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multiplier,
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multiplier,
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Core.MAType.Sma);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = Functions.BbandsLookback(period);
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// Compare last 100 records (middle band)
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ValidationHelper.VerifyData(qMiddle, talibMiddle, outRange, lookback);
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}
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_output.WriteLine("Bbands Span validated successfully against TA-Lib");
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}
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[Fact]
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public void Validate_Tulip_Batch()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for Tulip (double[])
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (batch TSeries)
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var bbands = new Bbands(period, multiplier);
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var qResult = bbands.Update(_testData.Data);
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// Calculate Tulip Bollinger Bands
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var bbandsIndicator = Tulip.Indicators.bbands;
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double[][] inputs = { tData };
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double[] options = { period, multiplier };
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int lookback = period - 1;
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double[][] outputs = { new double[tData.Length - lookback], new double[tData.Length - lookback], new double[tData.Length - lookback] };
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bbandsIndicator.Run(inputs, options, outputs);
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var tMiddle = outputs[1]; // Tulip outputs: [lower, middle, upper]
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, tMiddle, lookback);
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}
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_output.WriteLine("Bbands Batch(TSeries) validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Tulip_Streaming()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for Tulip (double[])
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (streaming)
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var bbands = new Bbands(period, multiplier);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(bbands.Update(item).Value);
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}
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// Calculate Tulip Bollinger Bands
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var bbandsIndicator = Tulip.Indicators.bbands;
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double[][] inputs = { tData };
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double[] options = { period, multiplier };
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int lookback = period - 1;
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double[][] outputs = { new double[tData.Length - lookback], new double[tData.Length - lookback], new double[tData.Length - lookback] };
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bbandsIndicator.Run(inputs, options, outputs);
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var tMiddle = outputs[1]; // Tulip outputs: [lower, middle, upper]
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// Compare last 100 records
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ValidationHelper.VerifyData(qResults, tMiddle, lookback);
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}
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_output.WriteLine("Bbands Streaming validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Tulip_Span()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data
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double[] sourceData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (Span API)
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double[] qMiddle = new double[sourceData.Length];
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double[] qUpper = new double[sourceData.Length];
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double[] qLower = new double[sourceData.Length];
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Bbands.Calculate(sourceData.AsSpan(), qMiddle.AsSpan(), qUpper.AsSpan(), qLower.AsSpan(), period, multiplier);
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// Calculate Tulip Bollinger Bands
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var bbandsIndicator = Tulip.Indicators.bbands;
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double[][] inputs = { sourceData };
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double[] options = { period, multiplier };
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int lookback = period - 1;
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double[][] outputs = { new double[sourceData.Length - lookback], new double[sourceData.Length - lookback], new double[sourceData.Length - lookback] };
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bbandsIndicator.Run(inputs, options, outputs);
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var tMiddle = outputs[1]; // Tulip outputs: [lower, middle, upper]
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// Compare last 100 records
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ValidationHelper.VerifyData(qMiddle, tMiddle, lookback);
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}
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_output.WriteLine("Bbands Span validated successfully against Tulip");
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}
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[Fact]
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public void Validate_Ooples_Batch()
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{
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int[] periods = { 5, 10, 20, 50, 100 };
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double multiplier = 2.0;
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// Prepare data for Ooples (List<TickerData>)
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var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
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{
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Date = q.Date,
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Close = (double)q.Close,
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High = (double)q.High,
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Low = (double)q.Low,
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Open = (double)q.Open,
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Volume = (double)q.Volume
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}).ToList();
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foreach (var period in periods)
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{
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// Calculate QuanTAlib Bbands (batch TSeries)
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var bbands = new Bbands(period, multiplier);
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var qResult = bbands.Update(_testData.Data);
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// Calculate Ooples Bollinger Bands
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var stockData = new StockData(ooplesData);
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var ooResult = stockData.CalculateBollingerBands(MovingAvgType.SimpleMovingAverage, period, (int)multiplier);
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var sResult = ooResult.OutputValues["MiddleBand"];
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s, 100, ValidationHelper.OoplesTolerance);
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}
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_output.WriteLine("Bbands Batch(TSeries) validated successfully against Ooples");
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}
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}
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