namespace QuanTAlib.Tests; /// /// ETHERM Validation Tests — Self-consistency validation. /// Elder's Thermometer is not widely available in TA-Lib, Skender, Tulip, or Ooples, /// so validation focuses on internal consistency and mathematical correctness. /// public sealed class EthermValidationTests : IDisposable { private readonly ValidationTestData _testData; private bool _disposed; public EthermValidationTests() { _testData = new ValidationTestData(); } public void Dispose() { Dispose(true); } private void Dispose(bool disposing) { if (_disposed) { return; } _disposed = true; if (disposing) { _testData?.Dispose(); } } // ============== Self-Consistency ============== [Fact] public void Validation_BatchMatchesStreaming() { int[] periods = { 5, 14, 22, 50 }; foreach (var period in periods) { // Streaming var ethermStream = new Etherm(period); var streamResults = new List(); foreach (var bar in _testData.Bars) { streamResults.Add(ethermStream.Update(bar).Value); } // Batch var batchResults = Etherm.Batch(_testData.Bars, period); Assert.Equal(streamResults.Count, batchResults.Count); for (int i = 0; i < streamResults.Count; i++) { Assert.Equal(streamResults[i], batchResults[i].Value, 1e-10); } } } [Fact] public void Validation_SpanMatchesStreaming() { int[] periods = { 5, 14, 22 }; int len = _testData.Bars.Count; double[] highs = new double[len]; double[] lows = new double[len]; for (int i = 0; i < len; i++) { highs[i] = _testData.Bars[i].High; lows[i] = _testData.Bars[i].Low; } foreach (var period in periods) { // Streaming var ethermStream = new Etherm(period); var streamResults = new double[len]; for (int i = 0; i < len; i++) { streamResults[i] = ethermStream.Update(_testData.Bars[i]).Value; } // Span batch (raw temperature only) double[] spanResults = new double[len]; Etherm.Batch(highs, lows, spanResults, period); for (int i = 0; i < len; i++) { Assert.Equal(streamResults[i], spanResults[i], 1e-10); } } } // ============== Known-Value Tests ============== [Fact] public void Validation_InsideBars_ReturnZero() { var etherm = new Etherm(22); // Bar1: H=110, L=90 var bar1 = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); etherm.Update(bar1); // Bar2: inside bar (H=105 < 110 AND L=95 > 90) → temp = 0 var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 100, 105, 95, 100, 1000); var result = etherm.Update(bar2); Assert.Equal(0.0, result.Value, 1e-10); // Bar3: inside bar again (H=103 < 105... wait, that's relative to bar2) // Re-check: prevH=105, prevL=95 → H=104 < 105, L=96 > 95 → inside var bar3 = new TBar(DateTime.UtcNow.AddMinutes(2), 100, 104, 96, 100, 1000); var result3 = etherm.Update(bar3); Assert.Equal(0.0, result3.Value, 1e-10); } [Fact] public void Validation_FlatMarket_ZeroTemperature() { var etherm = new Etherm(22); var baseTime = DateTime.UtcNow; for (int i = 0; i < 30; i++) { var bar = new TBar(baseTime.AddMinutes(i), 100, 100, 100, 100, 1000); etherm.Update(bar); } // Flat market: all H=L=O=C → highDiff=0, lowDiff=0, not inside bar, temp=0 Assert.Equal(0.0, etherm.Last.Value, 1e-10); Assert.Equal(0.0, etherm.Signal, 1e-10); } [Fact] public void Validation_GapUp_MeasuresHighExtension() { var etherm = new Etherm(22); // Bar1: H=100, L=90 var bar1 = new TBar(DateTime.UtcNow, 95, 100, 90, 95, 1000); etherm.Update(bar1); // Bar2: Gap up → H=120, L=105 → highDiff=|120-100|=20, lowDiff=|90-105|=15 // Not inside (120 > 100), temp = max(20, 15) = 20 var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 110, 120, 105, 115, 1000); var result = etherm.Update(bar2); Assert.Equal(20.0, result.Value, 1e-10); } [Fact] public void Validation_GapDown_MeasuresLowExtension() { var etherm = new Etherm(22); // Bar1: H=100, L=90 var bar1 = new TBar(DateTime.UtcNow, 95, 100, 90, 95, 1000); etherm.Update(bar1); // Bar2: Gap down → H=95, L=70 → highDiff=|95-100|=5, lowDiff=|90-70|=20 // Not inside (95 < 100 but 70 < 90, so not BOTH conditions met) // Inside = H < prevH AND L > prevL → 95 < 100 is true, but 70 > 90 is false → NOT inside // temp = max(5, 20) = 20 var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 80, 95, 70, 75, 1000); var result = etherm.Update(bar2); Assert.Equal(20.0, result.Value, 1e-10); } // ============== Different Periods ============== [Fact] public void Validation_DifferentPeriods_ProduceDifferentSignals() { var etherm5 = new Etherm(5); var etherm22 = new Etherm(22); var etherm50 = new Etherm(50); var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.5); var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { etherm5.Update(bar); etherm22.Update(bar); etherm50.Update(bar); } // Temperature (Last) should be the same regardless of period // (EMA period only affects Signal) Assert.Equal(etherm5.Last.Value, etherm22.Last.Value, 1e-10); Assert.Equal(etherm22.Last.Value, etherm50.Last.Value, 1e-10); // But signals should differ (different EMA periods) // Note: They can be equal in degenerate cases, but generally should differ Assert.True(double.IsFinite(etherm5.Signal)); Assert.True(double.IsFinite(etherm22.Signal)); Assert.True(double.IsFinite(etherm50.Signal)); } [Fact] public void Validation_Calculate_ReturnsHotIndicator() { var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.5); var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var (results, indicator) = Etherm.Calculate(bars, 14); Assert.Equal(bars.Count, results.Count); Assert.True(indicator.IsHot); Assert.True(double.IsFinite(indicator.Signal)); } [Fact] public void Validation_BarCorrection_Consistent() { var etherm1 = new Etherm(14); var etherm2 = new Etherm(14); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.3); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Etherm1: feed all bars normally foreach (var bar in bars) { etherm1.Update(bar, isNew: true); } // Etherm2: feed bars with corrections (isNew=false for last bar, then replace) for (int i = 0; i < bars.Count - 1; i++) { etherm2.Update(bars[i], isNew: true); } // Feed an incorrect last bar first var wrongBar = new TBar(bars[^1].Time, 0, 999, 1, 500, 1000); etherm2.Update(wrongBar, isNew: true); // Correct it etherm2.Update(bars[^1], isNew: false); Assert.Equal(etherm1.Last.Value, etherm2.Last.Value, 1e-10); Assert.Equal(etherm1.Signal, etherm2.Signal, 1e-10); } [Fact] public void Validation_Temperature_AlwaysNonNegative() { var etherm = new Etherm(22); var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 1.0); var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { var result = etherm.Update(bar); Assert.True(result.Value >= 0, $"Temperature must be non-negative, got {result.Value}"); } } [Fact] public void Validation_Signal_AlwaysNonNegative() { var etherm = new Etherm(22); var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 1.0); var bars = gbm.Fetch(500, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { etherm.Update(bar); Assert.True(etherm.Signal >= 0, $"Signal must be non-negative, got {etherm.Signal}"); } } }