using System; using QuanTAlib; using Skender.Stock.Indicators; using Xunit; namespace Validations; public class Skender { private readonly GBM_Feed bars; private readonly Random rnd = new(); private readonly int period, digits, skip; private readonly IEnumerable quotes; public Skender() { bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2); period = rnd.Next(30) + 5; digits = 2; //minimizing rounding errors in type conversions skip = 300; quotes = bars.Select(q => new Quote { Date = q.t, Open = (decimal)q.o, High = (decimal)q.h, Low = (decimal)q.l, Close = (decimal)q.c, Volume = (decimal)q.v }); } [Fact] public void ADL() { // TODO: check precision of ADL() ADL_Series QL = new(bars, false); var SK = quotes.GetAdl().Select(i => i.Adl); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void ALMA() { ALMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void ATR() { ATR_Series QL = new(bars, period, false); var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void ATRP() { ATRP_Series QL = new(bars, period, false); var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void BBANDS() { BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false); var SK = quotes.GetBollingerBands(period, 2.0); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL.Mid[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Sma!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Upper[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).UpperBand!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Lower[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).LowerBand!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Bandwidth[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Width!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.PercentB[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).PercentB!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Zscore[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).ZScore!.Value, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void CCI() { CCI_Series QL = new(bars, period, false); var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void CORR() { CORR_Series QL = new(bars.High, bars.Low, period, false); var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Correlation.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void COVAR() { COVAR_Series QL = new(bars.High, bars.Low, period, false); var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Covariance.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void DEMA() { DEMA_Series QL = new(bars.Close, period, false); var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void EMA() { EMA_Series QL = new(bars.Close, period, false); var SK = quotes.GetEma(period).Select(i => i.Ema.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } /* [Fact] public void HL2() { TSeries QL = bars.HL2; var SK = quotes.GetBaseQuote(CandlePart.HL2).Select(i => i.Value); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void HLC3() { TSeries QL = bars.HLC3; var SK = quotes.GetBaseQuote(CandlePart.HLC3).Select(i => i.Value); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } */ [Fact] public void HMA() { HMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void KAMA() { // TODO: check precision of KAMA() KAMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void LINREG() { LINREG_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetSlope(period); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1).Slope!, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Intercept[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).Intercept!, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.RSquared[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).RSquared!, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.StdDev[i - 1].v, digits: digits); SK_item = Math.Round((double)SK.ElementAt(i - 1).StdDev!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void MACD() { MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false); var SK = quotes.GetMacd(12, 26, 9); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Macd.Null2NaN()!, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Signal[i - 1].v, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Signal.Null2NaN()!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void MAD() { MAD_Series QL = new(bars.Close, period, false); var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void MAMA() { MAMA_Series QL = new(bars.HL2, fastlimit: 0.5, slowlimit: 0.05); var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1).Mama.Null2NaN()!, digits: digits); Assert.Equal(SK_item!, QL_item); QL_item = Math.Round(QL.Fama[i - 1].v, digits: digits); SK_item = Math.Round(SK.ElementAt(i - 1).Fama.Null2NaN()!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void MAPE() { MAPE_Series QL = new(bars.Close, period, false); var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void MSE() { MSE_Series QL = new(bars.Close, period, false); var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void OBV() { OBV_Series QL = new(bars, period, false); var SK = quotes.GetObv(period).Select(i => i.Obv!); // adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL.Last().v, digits: digits); double SK_item = Math.Round(SK.Last()! + (double)quotes.First().Volume!, digits: digits); Assert.Equal(SK_item!, QL_item); } } /* [Fact] public void OC2() { TSeries QL = bars.OC2; var SK = quotes.GetBaseQuote(CandlePart.OC2).Select(i => i.Value); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void OHL3() { TSeries QL = bars.OHL3; var SK = quotes.GetBaseQuote(CandlePart.OHL3).Select(i => i.Value); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void OHLC4() { TSeries QL = bars.OHLC4; var SK = quotes.GetBaseQuote(CandlePart.OHLC4).Select(i => i.Value); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round((double)SK.ElementAt(i - 1)!, digits: digits); Assert.Equal(SK_item!, QL_item); } } */ [Fact] public void RSI() { RSI_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void SDEV() { SDEV_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void SMA() { SMA_Series QL = new(bars.Close, period, false); var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void SMMA() { SMMA_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void T3() { T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false); var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void TEMA() { TEMA_Series QL = new(bars.Close, period, false); var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void TR() { TR_Series QL = new(bars, useNaN: false); var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void WMA() { WMA_Series QL = new(bars.Close, period, false); var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } [Fact] public void ZSCORE() { ZSCORE_Series QL = new(bars.Close, period, useNaN: false); var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!); for (int i = QL.Length; i > skip; i--) { double QL_item = Math.Round(QL[i - 1].v, digits: digits); double SK_item = Math.Round(SK.ElementAt(i - 1), digits: digits); Assert.Equal(SK_item!, QL_item); } } }