using System; using System.Collections.Generic; using System.Linq; using Skender.Stock.Indicators; using TALib; using Tulip; using Xunit; using Xunit.Abstractions; namespace QuanTAlib.Tests; public class DemaValidationTests { private readonly TBarSeries _bars; private readonly TSeries _data; private readonly List _skenderQuotes; private readonly ITestOutputHelper _output; public DemaValidationTests(ITestOutputHelper output) { _output = output; // 1. Generate 5000 records using GBM feed var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2); _bars = gbm.Fetch(5000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // 2. Extract Close TSeries _data = _bars.Close; // 3. Prepare data for Skender (List) _skenderQuotes = new List(); for (int i = 0; i < _bars.Count; i++) { _skenderQuotes.Add(new Quote { Date = new DateTime(_bars.Open.Times[i], DateTimeKind.Utc), Open = (decimal)_bars.Open[i].Value, High = (decimal)_bars.High[i].Value, Low = (decimal)_bars.Low[i].Value, Close = (decimal)_bars.Close[i].Value, Volume = (decimal)_bars.Volume[i].Value }); } } [Fact] public void Validate_Skender_Batch() { int[] periods = { 5, 10, 20, 50, 100 }; foreach (var period in periods) { // Calculate QuanTAlib DEMA (batch TSeries) var dema = new global::QuanTAlib.Dema(period); var qResult = dema.Update(_data); // Calculate Skender DEMA var sResult = _skenderQuotes.GetDema(period).ToList(); // Compare last 100 records VerifyData_Skender(qResult, sResult); } _output.WriteLine("DEMA Batch(TSeries) validated successfully against Skender.Stock.Indicators"); } [Fact] public void Validate_Talib_Batch() { int[] periods = { 5, 10, 20, 50, 100 }; // Prepare data for TA-Lib (double[]) double[] tData = _data.Select(x => x.Value).ToArray(); double[] output = new double[tData.Length]; foreach (var period in periods) { // Calculate QuanTAlib DEMA (batch TSeries) var dema = new global::QuanTAlib.Dema(period); var qResult = dema.Update(_data); // Calculate TA-Lib DEMA var retCode = TALib.Functions.Dema(tData, 0..^0, output, out var outRange, period); Assert.Equal(Core.RetCode.Success, retCode); int lookback = TALib.Functions.DemaLookback(period); // Compare last 100 records VerifyData_Talib(qResult, output, outRange, lookback); } _output.WriteLine("DEMA Batch(TSeries) validated successfully against TA-Lib"); } [Fact] public void Validate_Tulip_Batch() { int[] periods = { 5, 10, 20, 50, 100 }; // Prepare data for Tulip (double[]) double[] tData = _data.Select(x => x.Value).ToArray(); foreach (var period in periods) { // Calculate QuanTAlib DEMA (batch TSeries) var dema = new global::QuanTAlib.Dema(period); var qResult = dema.Update(_data); // Calculate Tulip DEMA var demaIndicator = Tulip.Indicators.dema; double[][] inputs = { tData }; double[] options = { period }; // Tulip DEMA lookback is usually period-1 for EMA, but DEMA is 2*EMA - EMA(EMA) // Let's rely on the output length to align. // Tulip DEMA lookback is same as EMA lookback? No, it involves double smoothing. // Actually, Tulip's DEMA implementation might have a specific lookback. // We'll calculate it based on output length. // Tulip.Indicators.dema.Run expects outputs to be sized correctly. // We'll use a large buffer and resize if needed, or just calculate lookback. // For DEMA(n), lookback is roughly n-1 (same as EMA). // Wait, DEMA uses EMA(EMA), so it might be 2*(n-1)? // Let's try with n-1 first, if it fails we adjust. // Actually, TA-Lib DEMA lookback is 2*(period-1). // Let's assume Tulip is similar. int lookback = 2 * (period - 1); double[][] outputs = { new double[tData.Length - lookback] }; demaIndicator.Run(inputs, options, outputs); var tResult = outputs[0]; // Compare last 100 records VerifyData_Tulip(qResult, tResult, lookback); } _output.WriteLine("DEMA Batch(TSeries) validated successfully against Tulip"); } [Fact] public void Validate_Talib_Span() { int[] periods = { 5, 10, 20, 50, 100 }; // Prepare data double[] sourceData = _data.Select(x => x.Value).ToArray(); double[] talibOutput = new double[sourceData.Length]; foreach (var period in periods) { // Calculate QuanTAlib DEMA (Span API) double[] qOutput = new double[sourceData.Length]; global::QuanTAlib.Dema.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period); // Calculate TA-Lib DEMA var retCode = TALib.Functions.Dema(sourceData, 0..^0, talibOutput, out var outRange, period); Assert.Equal(Core.RetCode.Success, retCode); int lookback = TALib.Functions.DemaLookback(period); // Compare last 100 records VerifyData_Talib_Span(qOutput, talibOutput, outRange, lookback); } _output.WriteLine("DEMA Span validated successfully against TA-Lib"); } // ==================== Verification Helpers ==================== private static void VerifyData_Skender(TSeries qSeries, List sSeries) { Assert.Equal(qSeries.Count, sSeries.Count); int count = qSeries.Count; int skip = count - 100; for (int i = skip; i < count; i++) { double qValue = qSeries[i].Value; double? sValue = sSeries[i].Dema; if (!sValue.HasValue) continue; Assert.Equal(sValue.Value, qValue, 1e-6); } } private static void VerifyData_Talib(TSeries qSeries, double[] tOutput, Range outRange, int lookback) { int count = qSeries.Count; int skip = count - 100; int validCount = outRange.End.Value - outRange.Start.Value; for (int i = skip; i < count; i++) { double qValue = qSeries[i].Value; if (i < lookback) continue; int tIndex = i - lookback; if (tIndex >= validCount) continue; double tValue = tOutput[tIndex]; Assert.Equal(tValue, qValue, 1e-6); } } private static void VerifyData_Talib_Span(double[] qOutput, double[] tOutput, Range outRange, int lookback) { int count = qOutput.Length; int skip = count - 100; int validCount = outRange.End.Value - outRange.Start.Value; for (int i = skip; i < count; i++) { double qValue = qOutput[i]; if (i < lookback) continue; int tIndex = i - lookback; if (tIndex >= validCount) continue; double tValue = tOutput[tIndex]; Assert.Equal(tValue, qValue, 1e-6); } } private static void VerifyData_Tulip(TSeries qSeries, double[] tOutput, int lookback) { int count = qSeries.Count; int skip = count - 100; for (int i = skip; i < count; i++) { double qValue = qSeries[i].Value; if (i < lookback) continue; int tIndex = i - lookback; if (tIndex >= tOutput.Length) continue; double tValue = tOutput[tIndex]; Assert.Equal(tValue, qValue, 1e-6); } } }