namespace QuanTAlib.Tests; #pragma warning disable S2245 // Random is acceptable for simulation/testing purposes public class WmaTests { [Fact] public void Wma_Constructor_ValidatesInput() { Assert.Throws(() => new Wma(0)); Assert.Throws(() => new Wma(-1)); var wma = new Wma(10); Assert.NotNull(wma); } [Fact] public void Wma_Calc_ReturnsValue() { var wma = new Wma(10); Assert.Equal(0, wma.Last.Value); TValue result = wma.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(result.Value > 0); Assert.Equal(result.Value, wma.Last.Value); } [Fact] public void Wma_FirstValue_ReturnsItself() { var wma = new Wma(10); TValue result = wma.Update(new TValue(DateTime.UtcNow, 100)); Assert.Equal(100.0, result.Value, 1e-10); } [Fact] public void Wma_Calc_IsNew_AcceptsParameter() { var wma = new Wma(10); wma.Update(new TValue(DateTime.UtcNow, 100), isNew: true); double value1 = wma.Last.Value; wma.Update(new TValue(DateTime.UtcNow, 200), isNew: true); double value2 = wma.Last.Value; // Values should change with new bars Assert.NotEqual(value1, value2); } [Fact] public void Wma_Calc_IsNew_False_UpdatesValue() { var wma = new Wma(10); wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, 110), isNew: true); double beforeUpdate = wma.Last.Value; wma.Update(new TValue(DateTime.UtcNow, 120), isNew: false); double afterUpdate = wma.Last.Value; // Update should change the value Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void Wma_Reset_ClearsState() { var wma = new Wma(10); wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, 105)); double valueBefore = wma.Last.Value; wma.Reset(); Assert.Equal(0, wma.Last.Value); // After reset, should accept new values wma.Update(new TValue(DateTime.UtcNow, 50)); Assert.NotEqual(0, wma.Last.Value); Assert.NotEqual(valueBefore, wma.Last.Value); } [Fact] public void Wma_Properties_Accessible() { var wma = new Wma(10); Assert.Equal(0, wma.Last.Value); Assert.False(wma.IsHot); wma.Update(new TValue(DateTime.UtcNow, 100)); Assert.NotEqual(0, wma.Last.Value); } [Fact] public void Wma_IsHot_BecomesTrueWhenBufferFull() { var wma = new Wma(5); Assert.False(wma.IsHot); for (int i = 1; i <= 4; i++) { wma.Update(new TValue(DateTime.UtcNow, i * 10)); Assert.False(wma.IsHot); } wma.Update(new TValue(DateTime.UtcNow, 50)); Assert.True(wma.IsHot); } [Fact] public void Wma_CalculatesCorrectWeightedAverage() { var wma = new Wma(5); wma.Update(new TValue(DateTime.UtcNow, 10)); wma.Update(new TValue(DateTime.UtcNow, 20)); wma.Update(new TValue(DateTime.UtcNow, 30)); wma.Update(new TValue(DateTime.UtcNow, 40)); wma.Update(new TValue(DateTime.UtcNow, 50)); // WMA(5) of 10,20,30,40,50 = (1*10 + 2*20 + 3*30 + 4*40 + 5*50) / 15 // = (10 + 40 + 90 + 160 + 250) / 15 = 550 / 15 = 36.666... Assert.Equal(550.0 / 15.0, wma.Last.Value, 1e-10); } [Fact] public void Wma_SlidingWindow_Works() { var wma = new Wma(3); wma.Update(new TValue(DateTime.UtcNow, 10)); wma.Update(new TValue(DateTime.UtcNow, 20)); wma.Update(new TValue(DateTime.UtcNow, 30)); // WMA(3) of 10,20,30 = (1*10 + 2*20 + 3*30) / 6 = (10 + 40 + 90) / 6 = 140/6 = 23.333... Assert.Equal(140.0 / 6.0, wma.Last.Value, 1e-10); wma.Update(new TValue(DateTime.UtcNow, 40)); // WMA(3) of 20,30,40 = (1*20 + 2*30 + 3*40) / 6 = (20 + 60 + 120) / 6 = 200/6 = 33.333... Assert.Equal(200.0 / 6.0, wma.Last.Value, 1e-10); wma.Update(new TValue(DateTime.UtcNow, 50)); // WMA(3) of 30,40,50 = (1*30 + 2*40 + 3*50) / 6 = (30 + 80 + 150) / 6 = 260/6 = 43.333... Assert.Equal(260.0 / 6.0, wma.Last.Value, 1e-10); } [Fact] public void Wma_IterativeCorrections_RestoreToOriginalState() { var wma = new Wma(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Feed 10 new values TValue tenthInput = default; for (int i = 0; i < 10; i++) { var bar = gbm.Next(isNew: true); tenthInput = new TValue(bar.Time, bar.Close); wma.Update(tenthInput, isNew: true); } // Remember WMA state after 10 values double wmaAfterTen = wma.Last.Value; // Generate 9 corrections with isNew=false (different values) for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); wma.Update(new TValue(bar.Time, bar.Close), isNew: false); } // Feed the remembered 10th input again with isNew=false TValue finalWma = wma.Update(tenthInput, isNew: false); // WMA should match the original state after 10 values Assert.Equal(wmaAfterTen, finalWma.Value, 1e-10); } [Fact] public void Wma_BatchCalc_MatchesIterativeCalc() { var wmaIterative = new Wma(10); var wmaBatch = new Wma(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Generate data var series = new TSeries(); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } Assert.True(series.Count > 0); // Calculate iteratively var iterativeResults = new TSeries(); foreach (var item in series) { iterativeResults.Add(wmaIterative.Update(item)); } // Calculate batch var batchResults = wmaBatch.Update(series); // Compare Assert.Equal(iterativeResults.Count, batchResults.Count); for (int i = 0; i < iterativeResults.Count; i++) { Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10); Assert.Equal(iterativeResults[i].Time, batchResults[i].Time); } } [Fact] public void Wma_Result_ImplicitConversionToDouble() { var wma = new Wma(10); wma.Update(new TValue(DateTime.UtcNow, 100)); // This should compile and work because TValue has implicit conversion to double double result = wma.Last.Value; Assert.Equal(100.0, result, 1e-10); } [Fact] public void Wma_NaN_Input_UsesLastValidValue() { var wma = new Wma(5); // Feed some valid values wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, 110)); // Feed NaN - should use last valid value (110) var resultAfterNaN = wma.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 Wma_Infinity_Input_UsesLastValidValue() { var wma = new Wma(5); // Feed some valid values wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, 110)); // Feed positive infinity - should use last valid value var resultAfterPosInf = wma.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity)); Assert.True(double.IsFinite(resultAfterPosInf.Value)); // Feed negative infinity - should use last valid value var resultAfterNegInf = wma.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity)); Assert.True(double.IsFinite(resultAfterNegInf.Value)); } [Fact] public void Wma_MultipleNaN_ContinuesWithLastValid() { var wma = new Wma(5); // Feed valid values wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, 110)); wma.Update(new TValue(DateTime.UtcNow, 120)); // Feed multiple NaN values var r1 = wma.Update(new TValue(DateTime.UtcNow, double.NaN)); var r2 = wma.Update(new TValue(DateTime.UtcNow, double.NaN)); var r3 = wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // All results should be finite Assert.True(double.IsFinite(r1.Value)); Assert.True(double.IsFinite(r2.Value)); Assert.True(double.IsFinite(r3.Value)); } [Fact] public void Wma_BatchCalc_HandlesNaN() { var wma = new Wma(5); // Create series with NaN values interspersed var series = new TSeries(); series.Add(DateTime.UtcNow.Ticks, 100); series.Add(DateTime.UtcNow.Ticks + 1, 110); series.Add(DateTime.UtcNow.Ticks + 2, double.NaN); series.Add(DateTime.UtcNow.Ticks + 3, 120); series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity); series.Add(DateTime.UtcNow.Ticks + 5, 130); var results = wma.Update(series); // All results should be finite foreach (var result in results) { Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}"); } } [Fact] public void Wma_Reset_ClearsLastValidValue() { var wma = new Wma(5); // Feed values including NaN wma.Update(new TValue(DateTime.UtcNow, 100)); wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // Reset wma.Reset(); // After reset, first valid value should establish new baseline var result = wma.Update(new TValue(DateTime.UtcNow, 50)); Assert.Equal(50.0, result.Value, 1e-10); } [Fact] public void Wma_StaticCalculate_Works() { var series = new TSeries(); series.Add(DateTime.UtcNow.Ticks, 10); series.Add(DateTime.UtcNow.Ticks + 1, 20); series.Add(DateTime.UtcNow.Ticks + 2, 30); series.Add(DateTime.UtcNow.Ticks + 3, 40); series.Add(DateTime.UtcNow.Ticks + 4, 50); var results = Wma.Calculate(series, 3); Assert.Equal(5, results.Count); // WMA(3) for last 3 values [30,40,50]: (1*30 + 2*40 + 3*50) / 6 = 260/6 = 43.333... Assert.Equal(260.0 / 6.0, results.Last.Value, 1e-10); } [Fact] public void Wma_Period1_ReturnsInputValues() { var wma = new Wma(1); Assert.Equal(100.0, wma.Update(new TValue(DateTime.UtcNow, 100)).Value, 1e-10); Assert.Equal(200.0, wma.Update(new TValue(DateTime.UtcNow, 200)).Value, 1e-10); Assert.Equal(150.0, wma.Update(new TValue(DateTime.UtcNow, 150)).Value, 1e-10); } [Fact] public void Wma_MoreWeightOnRecentValues() { var wma = new Wma(3); var sma = new Sma(3); // Feed same values to both wma.Update(new TValue(DateTime.UtcNow, 10)); sma.Update(new TValue(DateTime.UtcNow, 10)); wma.Update(new TValue(DateTime.UtcNow, 20)); sma.Update(new TValue(DateTime.UtcNow, 20)); wma.Update(new TValue(DateTime.UtcNow, 100)); // High recent value sma.Update(new TValue(DateTime.UtcNow, 100)); // WMA should be higher than SMA because it weights the high recent value more // SMA = (10 + 20 + 100) / 3 = 43.333... // WMA = (1*10 + 2*20 + 3*100) / 6 = (10 + 40 + 300) / 6 = 58.333... Assert.True(wma.Last.Value > sma.Last.Value); Assert.Equal(350.0 / 6.0, wma.Last.Value, 1e-10); Assert.Equal(130.0 / 3.0, sma.Last.Value, 1e-10); } [Fact] public void Wma_WarmupDivisor_CalculatedCorrectly() { var wma = new Wma(5); // First value: divisor = 1*(1+1)/2 = 1 var r1 = wma.Update(new TValue(DateTime.UtcNow, 100)); Assert.Equal(100.0, r1.Value, 1e-10); // Second value: divisor = 2*(2+1)/2 = 3, wsum = 1*100 + 2*200 = 500 var r2 = wma.Update(new TValue(DateTime.UtcNow, 200)); Assert.Equal(500.0 / 3.0, r2.Value, 1e-10); // Third value: divisor = 3*(3+1)/2 = 6, wsum = 1*100 + 2*200 + 3*300 = 1400 var r3 = wma.Update(new TValue(DateTime.UtcNow, 300)); Assert.Equal(1400.0 / 6.0, r3.Value, 1e-10); } // ============== Span API Tests ============== [Fact] public void Wma_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(() => Wma.Calculate(source.AsSpan(), output.AsSpan(), 0)); Assert.Throws(() => Wma.Calculate(source.AsSpan(), output.AsSpan(), -1)); // Output must be same length as source Assert.Throws(() => Wma.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3)); } [Fact] public void Wma_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 = Wma.Calculate(series, 10); // Calculate with Span API Wma.Calculate(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 Wma_SpanCalc_CalculatesCorrectly() { double[] source = [10, 20, 30, 40, 50]; double[] output = new double[5]; Wma.Calculate(source.AsSpan(), output.AsSpan(), 3); // WMA(3) warmup: // i=0: 10 (1*10 / 1) // i=1: (1*10 + 2*20) / 3 = 50/3 = 16.666... // i=2: (1*10 + 2*20 + 3*30) / 6 = 140/6 = 23.333... // i=3: sliding: (1*20 + 2*30 + 3*40) / 6 = 200/6 = 33.333... // i=4: (1*30 + 2*40 + 3*50) / 6 = 260/6 = 43.333... Assert.Equal(10.0, output[0], 1e-10); Assert.Equal(50.0 / 3.0, output[1], 1e-10); Assert.Equal(140.0 / 6.0, output[2], 1e-10); Assert.Equal(200.0 / 6.0, output[3], 1e-10); Assert.Equal(260.0 / 6.0, output[4], 1e-10); } [Fact] public void Wma_SpanCalc_ZeroAllocation() { double[] source = new double[10000]; double[] output = new double[10000]; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42); for (int i = 0; i < source.Length; i++) source[i] = gbm.Next().Close; // Warm up Wma.Calculate(source.AsSpan(), output.AsSpan(), 100); // This test verifies the method runs without throwing Assert.True(double.IsFinite(output[^1])); } [Fact] public void Wma_SpanCalc_HandlesNaN() { double[] source = [100, 110, double.NaN, 120, 130]; double[] output = new double[5]; Wma.Calculate(source.AsSpan(), output.AsSpan(), 3); // All outputs should be finite foreach (var val in output) { Assert.True(double.IsFinite(val), $"Expected finite value but got {val}"); } } [Fact] public void Wma_SpanCalc_Period1_ReturnsInput() { double[] source = [10, 20, 30, 40, 50]; double[] output = new double[5]; Wma.Calculate(source.AsSpan(), output.AsSpan(), 1); for (int i = 0; i < source.Length; i++) { Assert.Equal(source[i], output[i], 1e-10); } } [Fact] public void Wma_SpanCalc_UsesStackallocForSmallPeriods() { double[] source = new double[1000]; double[] output = new double[1000]; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42); for (int i = 0; i < source.Length; i++) source[i] = gbm.Next().Close; // Period <= 512 uses stackalloc Wma.Calculate(source.AsSpan(), output.AsSpan(), 100); Assert.True(double.IsFinite(output[^1])); // Period > 512 uses heap allocation double[] output2 = new double[1000]; Wma.Calculate(source.AsSpan(), output2.AsSpan(), 600); Assert.True(double.IsFinite(output2[^1])); } [Fact] public void Wma_AllModes_ProduceSameResult() { // Arrange 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 = Wma.Calculate(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]; Wma.Calculate(spanInput, spanOutput, period); double spanResult = spanOutput[^1]; // 3. Streaming Mode var streamingInd = new Wma(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 Wma(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); } }