using OoplesFinance.StockIndicators; using OoplesFinance.StockIndicators.Models; using Skender.Stock.Indicators; using TALib; using Xunit.Abstractions; namespace QuanTAlib.Tests; public sealed class MacdValidationTests : IDisposable { private readonly ValidationTestData _testData; private readonly ITestOutputHelper _output; private bool _disposed; public MacdValidationTests(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_Skender_Batch() { // Standard MACD parameters const int fastPeriod = 12; const int slowPeriod = 26; const int signalPeriod = 9; // Calculate QuanTAlib MACD (batch TSeries) var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod); var qResult = macd.Update(_testData.Data); // Calculate Skender MACD var sResult = _testData.SkenderQuotes.GetMacd(fastPeriod, slowPeriod, signalPeriod).ToList(); // Compare last 100 records // MACD Line ValidationHelper.VerifyData(qResult, sResult, (s) => s.Macd); // Signal Line // We need to extract Signal line from QuanTAlib result. // Since Update returns TSeries of MACD line, we need to access Signal property from the indicator instance // But for batch update, we need to re-run or capture signal. // The Macd.Update(TSeries) returns the MACD line series. // To validate Signal and Histogram, we should use the streaming approach or modify Macd to return all lines. // For now, let's validate MACD line here, and do full validation in Streaming test. } [Fact] public void Validate_Skender_Streaming() { const int fastPeriod = 12; const int slowPeriod = 26; const int signalPeriod = 9; // Calculate QuanTAlib MACD (streaming) var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod); var qMacd = new List(); var qSignal = new List(); var qHist = new List(); foreach (var item in _testData.Data) { macd.Update(item); qMacd.Add(macd.Last.Value); qSignal.Add(macd.Signal.Value); qHist.Add(macd.Histogram.Value); } // Calculate Skender MACD var sResult = _testData.SkenderQuotes.GetMacd(fastPeriod, slowPeriod, signalPeriod).ToList(); // Compare last 100 records ValidationHelper.VerifyData(qMacd, sResult, (s) => s.Macd); ValidationHelper.VerifyData(qSignal, sResult, (s) => s.Signal); ValidationHelper.VerifyData(qHist, sResult, (s) => s.Histogram); _output.WriteLine("MACD Streaming validated successfully against Skender"); } [Fact] public void Validate_Talib_Streaming() { const int fastPeriod = 12; const int slowPeriod = 26; const int signalPeriod = 9; // Prepare data for TA-Lib (double[]) double[] tData = _testData.RawData.ToArray(); double[] outMacd = new double[tData.Length]; double[] outSignal = new double[tData.Length]; double[] outHist = new double[tData.Length]; // Calculate QuanTAlib MACD (streaming) var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod); var qMacd = new List(); var qSignal = new List(); var qHist = new List(); foreach (var item in _testData.Data) { macd.Update(item); qMacd.Add(macd.Last.Value); qSignal.Add(macd.Signal.Value); qHist.Add(macd.Histogram.Value); } // Calculate TA-Lib MACD var retCode = TALib.Functions.Macd(tData, 0..^0, outMacd, outSignal, outHist, out var outRange, fastPeriod, slowPeriod, signalPeriod); Assert.Equal(TALib.Core.RetCode.Success, retCode); int lookback = TALib.Functions.MacdLookback(fastPeriod, slowPeriod, signalPeriod); // Compare last 100 records ValidationHelper.VerifyData(qMacd, outMacd, outRange, lookback); ValidationHelper.VerifyData(qSignal, outSignal, outRange, lookback); ValidationHelper.VerifyData(qHist, outHist, outRange, lookback); _output.WriteLine("MACD Streaming validated successfully against TA-Lib"); } [Fact] public void Validate_Against_Ooples() { const int fastPeriod = 12; const int slowPeriod = 26; const int signalPeriod = 9; // Prepare data for Ooples (List) var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData { Date = q.Date, Close = (double)q.Close, High = (double)q.High, Low = (double)q.Low, Open = (double)q.Open, Volume = (double)q.Volume }).ToList(); // Calculate QuanTAlib MACD (streaming) var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod); var qMacd = new List(); var qSignal = new List(); var qHist = new List(); foreach (var item in _testData.Data) { macd.Update(item); qMacd.Add(macd.Last.Value); qSignal.Add(macd.Signal.Value); qHist.Add(macd.Histogram.Value); } // Calculate Ooples MACD var stockData = new StockData(ooplesData); var oResult = stockData.CalculateMovingAverageConvergenceDivergence(fastLength: fastPeriod, slowLength: slowPeriod, signalLength: signalPeriod); var oMacd = oResult.OutputValues["Macd"]; var oSignal = oResult.OutputValues["Signal"]; var oHist = oResult.OutputValues["Histogram"]; // Compare ValidationHelper.VerifyData(qMacd, oMacd, (s) => s, tolerance: ValidationHelper.OoplesTolerance); ValidationHelper.VerifyData(qSignal, oSignal, (s) => s, tolerance: ValidationHelper.OoplesTolerance); ValidationHelper.VerifyData(qHist, oHist, (s) => s, tolerance: ValidationHelper.OoplesTolerance); _output.WriteLine("MACD validated successfully against Ooples"); } [Fact] public void Validate_Tulip_Streaming() { // Tulip has a hardcoded override for 12/26 that uses 0.15 and 0.075 instead of standard alpha // We use different periods to validate the algorithm correctness without this quirk const int fastPeriod = 10; const int slowPeriod = 20; const int signalPeriod = 9; // Prepare data for Tulip (double[]) double[] tData = _testData.RawData.ToArray(); // Calculate QuanTAlib MACD (streaming) var macd = new global::QuanTAlib.Macd(fastPeriod, slowPeriod, signalPeriod); var qMacd = new List(); var qSignal = new List(); var qHist = new List(); foreach (var item in _testData.Data) { macd.Update(item); qMacd.Add(macd.Last.Value); qSignal.Add(macd.Signal.Value); qHist.Add(macd.Histogram.Value); } // Calculate Tulip MACD var macdIndicator = Tulip.Indicators.macd; double[][] inputs = { tData }; double[] options = { fastPeriod, slowPeriod, signalPeriod }; // Tulip MACD lookback int lookback = macdIndicator.Start(options); double[][] outputs = { new double[tData.Length - lookback], // MACD new double[tData.Length - lookback], // Signal new double[tData.Length - lookback] // Histogram }; macdIndicator.Run(inputs, options, outputs); var tMacd = outputs[0]; var tSignal = outputs[1]; var tHist = outputs[2]; // Compare last 100 records ValidationHelper.VerifyData(qMacd, tMacd, lookback); ValidationHelper.VerifyData(qSignal, tSignal, lookback); ValidationHelper.VerifyData(qHist, tHist, lookback); _output.WriteLine("MACD Streaming validated successfully against Tulip"); } [Fact] public void Macd_Correction_Recomputes() { var ind = new Macd(); var t0 = DateTime.MinValue; // Build state well past warmup for (int i = 0; i < 50; i++) { ind.Update(new TValue(t0.AddSeconds(i), 100.0 + (i * 0.5))); } // Anchor bar var anchorTime = t0.AddSeconds(50); const double anchorPrice = 125.0; ind.Update(new TValue(anchorTime, anchorPrice), isNew: true); double anchorMacd = ind.Last.Value; double anchorSignal = ind.Signal.Value; double anchorHistogram = ind.Histogram.Value; // Correction with dramatically different value ind.Update(new TValue(anchorTime, anchorPrice * 10), isNew: false); Assert.NotEqual(anchorMacd, ind.Last.Value); // Correction back to original — all three outputs must restore exactly ind.Update(new TValue(anchorTime, anchorPrice), isNew: false); Assert.Equal(anchorMacd, ind.Last.Value, 1e-9); Assert.Equal(anchorSignal, ind.Signal.Value, 1e-9); Assert.Equal(anchorHistogram, ind.Histogram.Value, 1e-9); } }