namespace QuanTAlib.Tests; public class VhfTests { // ============== A) Constructor & Parameter Validation ============== [Fact] public void Constructor_ValidatesPeriod_Zero() { Assert.Throws(() => new Vhf(0)); } [Fact] public void Constructor_ValidatesPeriod_One() { Assert.Throws(() => new Vhf(1)); } [Fact] public void Constructor_ValidatesPeriod_Negative() { Assert.Throws(() => new Vhf(-5)); } [Fact] public void Constructor_DefaultPeriod_Works() { var vhf = new Vhf(); Assert.Contains("28", vhf.Name, StringComparison.Ordinal); } [Fact] public void Constructor_CustomPeriod_Works() { var vhf = new Vhf(14); Assert.Contains("14", vhf.Name, StringComparison.Ordinal); } [Fact] public void Constructor_Period2_Works() { var vhf = new Vhf(2); Assert.NotNull(vhf); Assert.Equal(3, vhf.WarmupPeriod); } // ============== B) Basic Calculation ============== [Fact] public void BasicCalculation_DoesNotCrash() { var vhf = new Vhf(14); var gbm = new GBM(); var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { vhf.Update(new TValue(bar.Time, bar.Close)); } Assert.True(double.IsFinite(vhf.Last.Value)); } [Fact] public void Calc_ReturnsValue() { var vhf = new Vhf(5); Assert.Equal(0, vhf.Last.Value); var result = vhf.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(double.IsFinite(result.Value)); Assert.Equal(result.Value, vhf.Last.Value); } [Fact] public void Properties_Accessible() { var vhf = new Vhf(28); Assert.Equal(0, vhf.Last.Value); Assert.False(vhf.IsHot); Assert.Contains("Vhf", vhf.Name, StringComparison.Ordinal); Assert.True(vhf.WarmupPeriod > 0); Assert.Equal(29, vhf.WarmupPeriod); } [Fact] public void ConstantPrice_ReturnsZeroAfterWarmup() { var vhf = new Vhf(5); for (int i = 0; i < 20; i++) { vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100)); } Assert.True(vhf.IsHot); Assert.Equal(0.0, vhf.Last.Value, 1e-10); } [Fact] public void OutputAlwaysNonNegative() { var vhf = new Vhf(10); var gbm = new GBM(startPrice: 100.0, mu: -0.5, sigma: 1.0); var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { var result = vhf.Update(new TValue(bar.Time, bar.Close)); Assert.True(result.Value >= 0, $"VHF must be non-negative, got {result.Value}"); } } [Fact] public void MonotonicIncrease_ProducesHighVhf() { var vhf = new Vhf(5); var baseTime = DateTime.UtcNow; // Feed monotonically increasing prices: each bar +1 // VHF = (high-low) / sum(|changes|) = (5) / (5*1) = 1.0 for (int i = 0; i < 20; i++) { vhf.Update(new TValue(baseTime.AddMinutes(i), 100 + i)); } Assert.True(vhf.IsHot); // For monotonic increase, VHF should be exactly 1.0 Assert.Equal(1.0, vhf.Last.Value, 1e-10); } // ============== C) State Management & Bar Correction ============== [Fact] public void Calc_IsNew_AcceptsParameter() { var vhf = new Vhf(5); vhf.Update(new TValue(DateTime.UtcNow, 100), isNew: true); vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(1), 105), isNew: true); Assert.True(vhf.Last.Value >= 0); } [Fact] public void Calc_IsNew_False_UpdatesValue() { var vhf = new Vhf(5); var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42); var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed 10 bars to get past warmup for (int i = 0; i < 10; i++) { vhf.Update(new TValue(bars[i].Time, bars[i].Close), isNew: true); } double beforeUpdate = vhf.Last.Value; // Correct with a very different value vhf.Update(new TValue(bars[9].Time, bars[9].Close * 2), isNew: false); double afterUpdate = vhf.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IsNew_Consistency() { var vhf = new Vhf(5); var gbm = new GBM(); var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed first 14 for (int i = 0; i < 14; i++) { vhf.Update(new TValue(bars[i].Time, bars[i].Close)); } // Feed 15th bar (isNew=true) vhf.Update(new TValue(bars[14].Time, bars[14].Close), true); // Correct with modified value (isNew=false) double modifiedClose = bars[14].Close + 50.0; double val2 = vhf.Update(new TValue(bars[14].Time, modifiedClose), false).Value; // Create new instance and feed up to modified var vhf2 = new Vhf(5); for (int i = 0; i < 14; i++) { vhf2.Update(new TValue(bars[i].Time, bars[i].Close)); } double val3 = vhf2.Update(new TValue(bars[14].Time, modifiedClose), true).Value; Assert.Equal(val3, val2, 1e-9); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var vhf = new Vhf(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed 10 new values TValue tenthValue = default; for (int i = 0; i < 10; i++) { tenthValue = new TValue(bars[i].Time, bars[i].Close); vhf.Update(tenthValue, isNew: true); } // Remember state after 10 values double stateAfter10 = vhf.Last.Value; // Generate corrections with isNew=false (different values) for (int i = 10; i < 20; i++) { vhf.Update(new TValue(bars[i].Time, bars[i].Close), isNew: false); } // Feed the remembered 10th value again with isNew=false TValue finalResult = vhf.Update(tenthValue, isNew: false); // State should match the original state after 10 values Assert.Equal(stateAfter10, finalResult.Value, 1e-10); } [Fact] public void Reset_Works() { var vhf = new Vhf(5); var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { vhf.Update(new TValue(bar.Time, bar.Close)); } Assert.True(vhf.IsHot); vhf.Reset(); Assert.Equal(0, vhf.Last.Value); Assert.False(vhf.IsHot); // After reset, should accept new values vhf.Update(new TValue(bars[0].Time, bars[0].Close)); Assert.True(double.IsFinite(vhf.Last.Value)); } // ============== D) Warmup & Convergence ============== [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var vhf = new Vhf(5); Assert.False(vhf.IsHot); var baseTime = DateTime.UtcNow; // Need period+1 = 6 values for IsHot for (int i = 0; i < 5; i++) { vhf.Update(new TValue(baseTime.AddMinutes(i), 100 + i)); Assert.False(vhf.IsHot); } // 6th value should make it hot (close buffer size = period+1 = 6) vhf.Update(new TValue(baseTime.AddMinutes(5), 105)); Assert.True(vhf.IsHot); } [Fact] public void IsHot_IsPeriodDependent() { var vhf28 = new Vhf(28); var vhf5 = new Vhf(5); Assert.Equal(29, vhf28.WarmupPeriod); Assert.Equal(6, vhf5.WarmupPeriod); } // ============== E) NaN/Infinity Handling ============== [Fact] public void NaN_Input_UsesLastValidValue() { var vhf = new Vhf(5); for (int i = 0; i < 10; i++) { vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i)); } // Feed NaN var resultAfterNaN = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10), double.NaN)); Assert.True(double.IsFinite(resultAfterNaN.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var vhf = new Vhf(5); for (int i = 0; i < 10; i++) { vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i)); } var resultAfterInf = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10), double.PositiveInfinity)); Assert.True(double.IsFinite(resultAfterInf.Value)); var resultAfterNegInf = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(11), double.NegativeInfinity)); Assert.True(double.IsFinite(resultAfterNegInf.Value)); } [Fact] public void MultipleNaN_ContinuesWithLastValid() { var vhf = new Vhf(5); for (int i = 0; i < 10; i++) { vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i)); } // Feed several NaN values for (int i = 0; i < 5; i++) { var result = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10 + i), double.NaN)); Assert.True(double.IsFinite(result.Value)); } } [Fact] public void BatchNaN_Safe() { var vhf = new Vhf(5); var gbm = new GBM(); var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed normal values for (int i = 0; i < 10; i++) { vhf.Update(new TValue(bars[i].Time, bars[i].Close)); } // Feed NaN values for (int i = 0; i < 5; i++) { var result = vhf.Update(new TValue(DateTime.UtcNow.AddHours(i + 1), double.NaN)); Assert.True(double.IsFinite(result.Value)); } // Resume normal for (int i = 10; i < 20; i++) { var result = vhf.Update(new TValue(bars[i].Time, bars[i].Close)); Assert.True(double.IsFinite(result.Value)); } } // ============== F) Consistency Tests ============== [Fact] public void BatchCalc_MatchesIterativeCalc() { var vhfIterative = new Vhf(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // Iterative var iterativeResults = new TSeries(); foreach (var tv in series) { iterativeResults.Add(vhfIterative.Update(tv)); } // Batch var batchResults = Vhf.Batch(series, 10); Assert.Equal(iterativeResults.Count, batchResults.Count); for (int i = 0; i < iterativeResults.Count; i++) { Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10); } } [Fact] public void TSeries_Update_MatchesStreaming() { var vhf1 = new Vhf(10); var vhf2 = new Vhf(10); var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // Streaming foreach (var tv in series) { vhf1.Update(tv); } // Batch via Update(TSeries) vhf2.Update(series); Assert.Equal(vhf1.Last.Value, vhf2.Last.Value, 1e-10); } [Fact] public void SpanBatch_MatchesStreaming() { var vhf = new Vhf(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // Streaming var streamResults = new double[100]; for (int i = 0; i < 100; i++) { streamResults[i] = vhf.Update(series[i]).Value; } // Span batch var values = series.Values.ToArray(); var spanResults = new double[100]; Vhf.Batch(values, spanResults, 10); for (int i = 0; i < 100; i++) { Assert.Equal(streamResults[i], spanResults[i], 1e-10); } } [Fact] public void EventBased_MatchesStreaming() { var vhf1 = new Vhf(10); var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // Collect event-based results var eventResults = new List(); vhf1.Pub += (object? _, in TValueEventArgs e) => eventResults.Add(e.Value.Value); foreach (var tv in series) { vhf1.Update(tv); } // Collect streaming results var vhf2 = new Vhf(10); var streamResults = new List(); foreach (var tv in series) { streamResults.Add(vhf2.Update(tv).Value); } Assert.Equal(streamResults.Count, eventResults.Count); for (int i = 0; i < streamResults.Count; i++) { Assert.Equal(streamResults[i], eventResults[i], 1e-10); } } [Fact] public void AllModes_ProduceSameResult() { int period = 10; var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2); var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // 1. Batch var batchSeries = Vhf.Batch(series, period); double expected = batchSeries.Last.Value; // 2. Span var values = series.Values.ToArray(); var spanOutput = new double[values.Length]; Vhf.Batch(values, spanOutput, period); double spanResult = spanOutput[^1]; // 3. Streaming var streamingInd = new Vhf(period); for (int i = 0; i < series.Count; i++) { streamingInd.Update(series[i]); } double streamingResult = streamingInd.Last.Value; // 4. Eventing var pubSource = new TSeries(); var eventingInd = new Vhf(pubSource, period); for (int i = 0; i < series.Count; i++) { pubSource.Add(series[i]); } double eventingResult = eventingInd.Last.Value; Assert.Equal(expected, spanResult, 1e-9); Assert.Equal(expected, streamingResult, 1e-9); Assert.Equal(expected, eventingResult, 1e-9); } // ============== G) Span API Tests ============== [Fact] public void SpanBatch_ValidatesLengths() { double[] source = new double[10]; double[] output = new double[5]; // too small Assert.Throws(() => Vhf.Batch(source, output, 5)); } [Fact] public void SpanBatch_ValidatesPeriod() { double[] source = new double[10]; double[] output = new double[10]; var ex = Assert.Throws(() => Vhf.Batch(source, output, 1)); Assert.Equal("period", ex.ParamName); } [Fact] public void SpanBatch_ValidatesPeriod_Zero() { double[] source = new double[10]; double[] output = new double[10]; var ex = Assert.Throws(() => Vhf.Batch(source, output, 0)); Assert.Equal("period", ex.ParamName); } [Fact] public void SpanBatch_EmptyInput_NoOp() { double[] source = Array.Empty(); double[] output = Array.Empty(); var ex = Record.Exception(() => Vhf.Batch(source, output, 5)); Assert.Null(ex); } [Fact] public void SpanBatch_NaN_HandledGracefully() { double[] source = { 100, 101, double.NaN, 103, 104, 105, 106, 107, 108, 109, 110 }; double[] output = new double[source.Length]; Vhf.Batch(source, output, 5); for (int i = 0; i < output.Length; i++) { Assert.True(double.IsFinite(output[i]), $"Output[{i}] should be finite but was {output[i]}"); } } [Fact] public void SpanBatch_MatchesTSeriesCalc() { var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // TSeries path var tsResults = Vhf.Batch(series, 10); // Span path var values = series.Values.ToArray(); var spanOutput = new double[values.Length]; Vhf.Batch(values, spanOutput, 10); for (int i = 0; i < values.Length; i++) { Assert.Equal(tsResults[i].Value, spanOutput[i], 1e-10); } } // ============== H) Chainability ============== [Fact] public void Chainability_Works() { var vhf = new Vhf(10); var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; var result = vhf.Update(series); Assert.Equal(50, result.Count); Assert.Equal(vhf.Last.Value, result.Last.Value); } [Fact] public void PubEvent_Fires() { var vhf = new Vhf(5); int eventCount = 0; vhf.Pub += (object? _, in TValueEventArgs _) => eventCount++; for (int i = 0; i < 15; i++) { vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i)); } Assert.Equal(15, eventCount); } [Fact] public void Chaining_ViaConstructor_Works() { // Create a source SMA var sma = new Sma(5); var vhf = new Vhf(sma, 10); var gbm = new GBM(); var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // When SMA updates, chained VHF should also update foreach (var tv in series) { sma.Update(tv); } Assert.True(double.IsFinite(vhf.Last.Value)); } // ============== VHF-Specific Tests ============== [Fact] public void StaticBatch_Works() { var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; var results = Vhf.Batch(series, 28); Assert.Equal(100, results.Count); Assert.True(double.IsFinite(results.Last.Value)); } [Fact] public void Calculate_ReturnsResultsAndIndicator() { var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; var (results, indicator) = Vhf.Calculate(series, 10); Assert.Equal(100, results.Count); Assert.NotNull(indicator); Assert.True(double.IsFinite(indicator.Last.Value)); Assert.True(indicator.IsHot); } }