namespace QuanTAlib.Tests; public class JmaTests { [Fact] public void Jma_Constructor_ValidatesInput() { // JMA doesn't explicitly throw on period currently, but let's check if it handles valid inputs var jma = new Jma(10); Assert.NotNull(jma); } [Fact] public void Jma_Calc_ReturnsValue() { var jma = new Jma(10); Assert.Equal(0, jma.Last.Value); TValue result = jma.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(result.Value > 0); Assert.Equal(result.Value, jma.Last.Value); } [Fact] public void Jma_SpanCalc_ValidatesInput() { double[] source = [1, 2, 3, 4, 5]; double[] output = new double[5]; double[] wrongSizeOutput = new double[3]; // Period must be > 0 Assert.Throws(() => Jma.Batch(source.AsSpan(), output.AsSpan(), 0, 0)); Assert.Throws(() => Jma.Batch(source.AsSpan(), output.AsSpan(), -1, 0)); // Output must be same length as source Assert.Throws(() => Jma.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3, 0)); } [Fact] public void Jma_Calc_IsNew_False_UpdatesValue() { var jma = new Jma(10); jma.Update(new TValue(DateTime.UtcNow, 100)); jma.Update(new TValue(DateTime.UtcNow, 110), isNew: true); double beforeUpdate = jma.Last.Value; jma.Update(new TValue(DateTime.UtcNow, 120), isNew: false); double afterUpdate = jma.Last.Value; // Update should change the value Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void Jma_Reset_ClearsState() { var jma = new Jma(10); jma.Update(new TValue(DateTime.UtcNow, 100)); jma.Update(new TValue(DateTime.UtcNow, 105)); double valueBefore = jma.Last.Value; jma.Reset(); Assert.Equal(0, jma.Last.Value); // After reset, should accept new values jma.Update(new TValue(DateTime.UtcNow, 50)); Assert.NotEqual(0, jma.Last.Value); Assert.NotEqual(valueBefore, jma.Last.Value); } [Fact] public void Jma_IsHot_BecomesTrueAfterWarmup() { var jma = new Jma(10); Assert.False(jma.IsHot); // Warmup for JMA(10) is approx 203 bars // ceil(20 + 80 * 10^0.36) = 203 int warmup = (int)Math.Ceiling(20.0 + 80.0 * Math.Pow(10, 0.36)); for (int i = 1; i < warmup; i++) { jma.Update(new TValue(DateTime.UtcNow, i * 10)); Assert.False(jma.IsHot); } jma.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(jma.IsHot); } [Fact] public void Jma_IterativeCorrections_RestoreToOriginalState() { var jma = new Jma(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Feed 20 new values (enough to fill buffer and stabilize) TValue lastInput = default; for (int i = 0; i < 20; i++) { var bar = gbm.Next(isNew: true); lastInput = new TValue(bar.Time, bar.Close); jma.Update(lastInput, isNew: true); } // Remember JMA state double jmaAfter = jma.Last.Value; // Generate 5 corrections with isNew=false (different values) for (int i = 0; i < 5; i++) { var bar = gbm.Next(isNew: false); jma.Update(new TValue(bar.Time, bar.Close), isNew: false); } // Feed the remembered last input again with isNew=false TValue finalJma = jma.Update(lastInput, isNew: false); // JMA should match the original state Assert.Equal(jmaAfter, finalJma.Value, 1e-10); } [Fact] public void Jma_NaN_Input_UsesLastValidValue() { var jma = new Jma(10); // Feed some valid values jma.Update(new TValue(DateTime.UtcNow, 100)); jma.Update(new TValue(DateTime.UtcNow, 110)); // Feed NaN - should use last valid value (110) var resultAfterNaN = jma.Update(new TValue(DateTime.UtcNow, double.NaN)); // Result should be finite (not NaN) Assert.True(double.IsFinite(resultAfterNaN.Value)); Assert.NotEqual(0, resultAfterNaN.Value); } [Fact] public void Jma_SpanCalc_MatchesTSeriesCalc() { var series = new TSeries(); double[] source = new double[100]; double[] output = new double[100]; var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); source[i] = bar.Close; series.Add(bar.Time, bar.Close); } // Calculate with TSeries API var tseriesResult = Jma.Batch(series, 10); // Calculate with Span API Jma.Batch(source.AsSpan(), output.AsSpan(), 10); // Compare results for (int i = 0; i < 100; i++) { Assert.Equal(tseriesResult[i].Value, output[i], 1e-10); } } [Fact] public void Jma_AllModes_ProduceSameResult() { // Arrange const int period = 10; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123); var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // 1. Batch Mode var batchSeries = Jma.Batch(series, period); double expected = batchSeries.Last.Value; // 2. Span Mode var tValues = series.Values.ToArray(); var spanInput = new ReadOnlySpan(tValues); var spanOutput = new double[tValues.Length]; Jma.Batch(spanInput, spanOutput, period); double spanResult = spanOutput[^1]; // 3. Streaming Mode var streamingInd = new Jma(period); for (int i = 0; i < series.Count; i++) { streamingInd.Update(series[i]); } double streamingResult = streamingInd.Last.Value; // 4. Eventing Mode var pubSource = new TSeries(); var eventingInd = new Jma(pubSource, period); for (int i = 0; i < series.Count; i++) { pubSource.Add(series[i]); } double eventingResult = eventingInd.Last.Value; // Assert Assert.Equal(expected, spanResult, precision: 9); Assert.Equal(expected, streamingResult, precision: 9); Assert.Equal(expected, eventingResult, precision: 9); } [Fact] public void Jma_Phase_AffectsResult() { var series = new TSeries(); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } var jmaPhase0 = Jma.Batch(series, 10, phase: 0); var jmaPhase100 = Jma.Batch(series, 10, phase: 100); var jmaPhaseMinus100 = Jma.Batch(series, 10, phase: -100); Assert.NotEqual(jmaPhase0.Last.Value, jmaPhase100.Last.Value); Assert.NotEqual(jmaPhase0.Last.Value, jmaPhaseMinus100.Last.Value); } [Fact] public void Jma_Power_RemovedFromApi() { // Power parameter was removed — it was never used in calculation. // Verify the 2-parameter Batch still works correctly. var series = new TSeries(); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } var result = Jma.Batch(series, 10); Assert.True(double.IsFinite(result.Last.Value)); } [Fact] public void Jma_Period_AffectsResult() { // Verify that different periods produce meaningfully different outputs var series = new TSeries(); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 500; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } // --- TSeries Batch mode --- var jma7 = Jma.Batch(series, 7); var jma14 = Jma.Batch(series, 14); var jma50 = Jma.Batch(series, 50); var jma100 = Jma.Batch(series, 100); // Last values must all differ Assert.NotEqual(jma7.Last.Value, jma14.Last.Value); Assert.NotEqual(jma14.Last.Value, jma50.Last.Value); Assert.NotEqual(jma50.Last.Value, jma100.Last.Value); // Longer period = smoother = values closer to mean (less extreme) // Verify at least some interior values differ (not just the last) int midIdx = series.Count / 2; Assert.NotEqual(jma7[midIdx].Value, jma50[midIdx].Value); Assert.NotEqual(jma14[midIdx].Value, jma100[midIdx].Value); // --- Span Batch mode --- double[] source = series.Values.ToArray(); double[] out7 = new double[source.Length]; double[] out14 = new double[source.Length]; double[] out50 = new double[source.Length]; Jma.Batch(source.AsSpan(), out7.AsSpan(), 7); Jma.Batch(source.AsSpan(), out14.AsSpan(), 14); Jma.Batch(source.AsSpan(), out50.AsSpan(), 50); Assert.NotEqual(out7[^1], out14[^1]); Assert.NotEqual(out14[^1], out50[^1]); // Span results must match TSeries results Assert.Equal(jma7.Last.Value, out7[^1], 1e-10); Assert.Equal(jma14.Last.Value, out14[^1], 1e-10); Assert.Equal(jma50.Last.Value, out50[^1], 1e-10); // --- Streaming mode --- var stream7 = new Jma(7); var stream50 = new Jma(50); for (int i = 0; i < series.Count; i++) { stream7.Update(series[i]); stream50.Update(series[i]); } Assert.NotEqual(stream7.Last.Value, stream50.Last.Value); Assert.Equal(jma7.Last.Value, stream7.Last.Value, 1e-10); Assert.Equal(jma50.Last.Value, stream50.Last.Value, 1e-10); } [Fact] public void Jma_SpanCalc_HandlesNaN() { double[] source = [100, 110, double.NaN, 120, 130]; double[] output = new double[5]; Jma.Batch(source.AsSpan(), output.AsSpan(), 3); foreach (var val in output) { Assert.True(double.IsFinite(val)); } } [Fact] public void Jma_BatchUpdate_ThenStreamingUpdate_IsNewFalse_Works() { // This test verifies the fix for the state synchronization issue // where _p_state and buffers weren't updated after batch Update(TSeries) var jma = new Jma(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); // Create a batch series with enough bars to reach warmup (203 for JMA(10)) int warmupBars = jma.WarmupPeriod + 50; var series = new TSeries(); for (int i = 0; i < warmupBars; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } // Process batch - this should update _state, _p_state, and buffer snapshots jma.Update(series); // Now do a streaming update with isNew=true (new bar) var bar51 = gbm.Next(isNew: true); jma.Update(new TValue(bar51.Time, bar51.Close), isNew: true); // Do several corrections with isNew=false for (int i = 0; i < 3; i++) { var correction = gbm.Next(isNew: false); jma.Update(new TValue(correction.Time, correction.Close), isNew: false); } // Feed the original bar51 value again with isNew=false // It should restore to the state after bar51 var restoredResult = jma.Update(new TValue(bar51.Time, bar51.Close), isNew: false); // The key test: After batch processing, we should be able to advance to a new bar // and then do corrections without errors. Before the fix, this would fail because // _p_state had stale data from before the batch processing. Assert.True(double.IsFinite(restoredResult.Value)); Assert.True(jma.IsHot); } }