using Skender.Stock.Indicators; using Xunit.Abstractions; using OoplesFinance.StockIndicators; using OoplesFinance.StockIndicators.Models; namespace QuanTAlib.Tests; public sealed class FcbValidationTests : IDisposable { private readonly ValidationTestData _testData; private readonly ITestOutputHelper _output; private bool _disposed; public FcbValidationTests(ITestOutputHelper output) { _output = output; _testData = new ValidationTestData(); } public void Dispose() => Dispose(true); private void Dispose(bool disposing) { if (_disposed) { return; } _disposed = true; if (disposing) { _testData?.Dispose(); } } [Fact] public void Validate_ManualCalculation_FractalDetection() { var series = new TBarSeries(); var t0 = DateTime.UtcNow; // Create clear fractal patterns: // Fractal high at bar 1: highs = 100, 120, 110 // Fractal low at bar 1: lows = 90, 70, 80 series.Add(new TBar(t0, 0, 100, 90, 95, 100)); series.Add(new TBar(t0.AddMinutes(1), 0, 120, 70, 95, 100)); // Fractal high=120, low=70 series.Add(new TBar(t0.AddMinutes(2), 0, 110, 80, 95, 100)); // Confirms fractals var ind = new Fcb(3); var (mid, up, lo) = ind.Update(series); // Upper should be highest fractal high = 120 // Lower should be lowest fractal low = 70 // Middle = (120 + 70) / 2 = 95 Assert.Equal(120.0, up.Last.Value, 1e-10); Assert.Equal(70.0, lo.Last.Value, 1e-10); Assert.Equal(95.0, mid.Last.Value, 1e-10); _output.WriteLine("FCB manual fractal detection validated"); } [Fact] public void Validate_AllModes_Consistency() { int[] periods = { 5, 10, 20, 50 }; foreach (int period in periods) { // Batch (instance) var inst = new Fcb(period); var (bMid, bUp, bLo) = inst.Update(_testData.Bars); // Static batch var (sMid, sUp, sLo) = Fcb.Batch(_testData.Bars, period); ValidationHelper.VerifySeriesEqual(bMid, sMid); ValidationHelper.VerifySeriesEqual(bUp, sUp); ValidationHelper.VerifySeriesEqual(bLo, sLo); // Streaming var streaming = new Fcb(period); var sMidStream = new TSeries(); var sUpStream = new TSeries(); var sLoStream = new TSeries(); foreach (var bar in _testData.Bars) { streaming.Update(bar); sMidStream.Add(streaming.Last); sUpStream.Add(streaming.Upper); sLoStream.Add(streaming.Lower); } ValidationHelper.VerifySeriesEqual(sMid, sMidStream); ValidationHelper.VerifySeriesEqual(sUp, sUpStream); ValidationHelper.VerifySeriesEqual(sLo, sLoStream); // Span double[] high = _testData.HighPrices.ToArray(); double[] low = _testData.LowPrices.ToArray(); double[] spanMid = new double[high.Length]; double[] spanUp = new double[high.Length]; double[] spanLo = new double[high.Length]; Fcb.Batch(high.AsSpan(), low.AsSpan(), spanMid.AsSpan(), spanUp.AsSpan(), spanLo.AsSpan(), period); for (int i = 0; i < high.Length; i++) { Assert.Equal(sMid[i].Value, spanMid[i], 9); Assert.Equal(sUp[i].Value, spanUp[i], 9); Assert.Equal(sLo[i].Value, spanLo[i], 9); } } _output.WriteLine("FCB mode consistency validated (batch/stream/span)"); } [Fact] public void Validate_EventingMode_MatchesBatch() { const int period = 20; var pub = new TBarSeries(); var evtInd = new Fcb(pub, period); var evtMid = new TSeries(); var evtUp = new TSeries(); var evtLo = new TSeries(); foreach (var bar in _testData.Bars) { pub.Add(bar); evtMid.Add(evtInd.Last); evtUp.Add(evtInd.Upper); evtLo.Add(evtInd.Lower); } var (bMid, bUp, bLo) = Fcb.Batch(_testData.Bars, period); ValidationHelper.VerifySeriesEqual(bMid, evtMid); ValidationHelper.VerifySeriesEqual(bUp, evtUp); ValidationHelper.VerifySeriesEqual(bLo, evtLo); _output.WriteLine("FCB eventing mode validated"); } [Fact] public void Validate_Calculate_ReturnsHotIndicator() { const int period = 15; var ((mid, up, lo), ind) = Fcb.Calculate(_testData.Bars, period); Assert.True(ind.IsHot); Assert.Equal(period + 2, ind.WarmupPeriod); // period + 2 for fractal detection Assert.Equal(mid.Last.Value, ind.Last.Value, 1e-10); Assert.Equal(up.Last.Value, ind.Upper.Value, 1e-10); Assert.Equal(lo.Last.Value, ind.Lower.Value, 1e-10); // Continue streaming var next = new TBar(DateTime.UtcNow, 0, 150, 50, 100, 1000); ind.Update(next); Assert.True(ind.IsHot); _output.WriteLine("FCB Calculate validated"); } [Fact] public void Validate_Prime_MatchesBatch() { const int period = 25; var (bMid, bUp, bLo) = Fcb.Batch(_testData.Bars, period); var primed = new Fcb(period); var subset = new TBarSeries(); for (int i = 0; i < 200; i++) { subset.Add(_testData.Bars[i]); } primed.Prime(subset); for (int i = 200; i < _testData.Bars.Count; i++) { primed.Update(_testData.Bars[i]); } Assert.Equal(bMid.Last.Value, primed.Last.Value, 1e-9); Assert.Equal(bUp.Last.Value, primed.Upper.Value, 1e-9); Assert.Equal(bLo.Last.Value, primed.Lower.Value, 1e-9); _output.WriteLine("FCB Prime validated against batch"); } [Fact] public void Validate_LargeDataset_FiniteOutputs() { var (mid, up, lo) = Fcb.Batch(_testData.Bars, 50); ValidationHelper.VerifyAllFinite(mid, startIndex: 0); ValidationHelper.VerifyAllFinite(up, startIndex: 0); ValidationHelper.VerifyAllFinite(lo, startIndex: 0); // After warmup, upper should always be >= lower int warmup = 50 + 2; // period + 2 for fractal detection for (int i = warmup; i < mid.Count; i++) { Assert.True(up[i].Value >= lo[i].Value, $"Upper >= Lower at {i}"); } _output.WriteLine("FCB large dataset validated"); } [Fact] public void Validate_FractalPattern_CorrectDetection() { // Create a series with known fractal patterns var series = new TBarSeries(); var t0 = DateTime.UtcNow; // Pattern designed to have clear fractals: // highs: 100, 110, 105 -> fractal high at index 1 = 110 // lows: 50, 45, 48 -> fractal low at index 1 = 45 double[] highs = { 100, 110, 105, 108, 115, 112, 118, 125, 120 }; double[] lows = { 50, 45, 48, 42, 47, 40, 44, 38, 42 }; for (int i = 0; i < highs.Length; i++) { series.Add(new TBar(t0.AddMinutes(i), 0, highs[i], lows[i], (highs[i] + lows[i]) / 2, 100)); } var ind = new Fcb(5); var (mid, up, lo) = ind.Update(series); // All outputs should be finite for (int i = 0; i < series.Count; i++) { Assert.True(double.IsFinite(mid[i].Value), $"Mid finite at {i}"); Assert.True(double.IsFinite(up[i].Value), $"Upper finite at {i}"); Assert.True(double.IsFinite(lo[i].Value), $"Lower finite at {i}"); } // After enough bars, upper should be >= lower for (int i = 3; i < series.Count; i++) { Assert.True(up[i].Value >= lo[i].Value, $"Upper >= Lower at {i}"); } _output.WriteLine("FCB fractal pattern validation passed"); } [Fact] public void Validate_MiddleIsAverage_AllBars() { var ind = new Fcb(20); var (mid, up, lo) = ind.Update(_testData.Bars); for (int i = 0; i < mid.Count; i++) { double expected = (up[i].Value + lo[i].Value) * 0.5; Assert.Equal(expected, mid[i].Value, 1e-10); } _output.WriteLine("FCB middle = average validated for all bars"); } [Fact] public void Validate_BandsAreMonotonic_WithinWindow() { // The upper band should be the highest fractal high in the window // The lower band should be the lowest fractal low in the window // These values shouldn't jump erratically unless new fractals are detected var ind = new Fcb(10); foreach (var bar in _testData.Bars) { ind.Update(bar); // Upper should always be >= Lower if (ind.IsHot) { Assert.True(ind.Upper.Value >= ind.Lower.Value, $"Upper ({ind.Upper.Value}) should be >= Lower ({ind.Lower.Value})"); } } _output.WriteLine("FCB band monotonicity validated"); } [Fact] public void Validate_Skender_BandStructure() { // Skender GetFcb(windowSpan) uses Williams fractal carry-forward: // - windowSpan is half-width for 3-bar fractal detection (min=2) // - UpperBand = last confirmed FractalBear (highest high carry-forward) // - LowerBand = last confirmed FractalBull (lowest low carry-forward) // - Results are decimal? (need cast to double) // // NOTE: Skender's UpperBand can be LOWER than LowerBand when the last // bear fractal occurred at a lower price than the last bull fractal. // This is a known property of fractal carry-forward algorithms. // // QuanTAlib Fcb(period) uses monotonic deques over a lookback window // and always maintains Upper >= Lower ordering. int windowSpan = 2; var sResult = _testData.SkenderQuotes .GetFcb(windowSpan) .ToList(); // Verify Skender produces finite values int validCount = 0; for (int i = 0; i < sResult.Count; i++) { if (sResult[i].UpperBand.HasValue && sResult[i].LowerBand.HasValue) { double upper = (double)sResult[i].UpperBand!.Value; double lower = (double)sResult[i].LowerBand!.Value; Assert.True(double.IsFinite(upper), $"Skender Upper finite at bar {i}"); Assert.True(double.IsFinite(lower), $"Skender Lower finite at bar {i}"); Assert.True(upper > 0, $"Skender Upper positive at bar {i}"); Assert.True(lower > 0, $"Skender Lower positive at bar {i}"); validCount++; } } Assert.True(validCount > 0, "Skender should produce some valid FCB values"); _output.WriteLine($"Skender FCB band structure validated ({validCount} valid bars with finite values)"); } [Fact] public void Validate_Skender_BothProduceChannels() { // Both QuanTAlib and Skender FCB should produce meaningful channels // that track price structure. Verify both produce valid finite values. // // NOTE: Skender bands can cross (Upper < Lower) due to fractal // carry-forward semantics, so we only validate finite positive values. int windowSpan = 2; int period = 20; var sResult = _testData.SkenderQuotes .GetFcb(windowSpan) .ToList(); var (qMiddle, qUpper, qLower) = Fcb.Batch(_testData.Bars, period); // After warmup, both should have valid bands int qValidCount = 0; int sValidCount = 0; for (int i = period + 2; i < qMiddle.Count && i < sResult.Count; i++) { if (qUpper[i].Value > 0 && qLower[i].Value > 0) { Assert.True(qUpper[i].Value >= qLower[i].Value, $"QuanTAlib Upper >= Lower at bar {i}"); qValidCount++; } if (sResult[i].UpperBand.HasValue && sResult[i].LowerBand.HasValue) { double sUpper = (double)sResult[i].UpperBand!.Value; double sLower = (double)sResult[i].LowerBand!.Value; Assert.True(double.IsFinite(sUpper) && sUpper > 0, $"Skender Upper finite and positive at bar {i}"); Assert.True(double.IsFinite(sLower) && sLower > 0, $"Skender Lower finite and positive at bar {i}"); sValidCount++; } } Assert.True(qValidCount > 100, $"QuanTAlib produced {qValidCount} valid bars"); Assert.True(sValidCount > 100, $"Skender produced {sValidCount} valid bars"); _output.WriteLine($"FCB channel comparison: QuanTAlib={qValidCount}, Skender={sValidCount} valid bars"); } [Fact] public void Fcb_MatchesOoples_Structural() { var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: 42); var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var ooplesData = bars.Select(b => new TickerData { Date = new DateTime(b.Time, DateTimeKind.Utc), Open = b.Open, High = b.High, Low = b.Low, Close = b.Close, Volume = b.Volume }).ToList(); var result = new StockData(ooplesData).CalculateFractalChaosBands(); var values = result.OutputValues.Values.First(); int finiteCount = values.Count(v => double.IsFinite(v)); Assert.True(finiteCount > 100, $"Expected >100 finite values, got {finiteCount}"); } }