namespace QuanTAlib.Tests; public class AtrpTests { // ============== Constructor & Parameter Validation ============== [Fact] public void Constructor_ValidatesInput() { Assert.Throws(() => new Atrp(0)); Assert.Throws(() => new Atrp(-1)); var atrp = new Atrp(14); Assert.NotNull(atrp); } // ============== Basic Functionality ============== [Fact] public void BasicCalculation_DoesNotCrash() { var atrp = new Atrp(14); var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { atrp.Update(bar); } Assert.True(double.IsFinite(atrp.Last.Value)); } [Fact] public void Calc_ReturnsValue() { var atrp = new Atrp(14); var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); Assert.Equal(0, atrp.Last.Value); TValue result = atrp.Update(bar); Assert.True(result.Value > 0); Assert.Equal(result.Value, atrp.Last.Value); } [Fact] public void FirstValue_ReturnsPercentage() { var atrp = new Atrp(14); var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); // First bar TR = High - Low = 110 - 90 = 20 // ATRP = (20 / 100) * 100 = 20% TValue result = atrp.Update(bar); Assert.Equal(20.0, result.Value, 1e-10); } [Fact] public void Properties_Accessible() { var atrp = new Atrp(14); Assert.Equal(0, atrp.Last.Value); Assert.False(atrp.IsHot); Assert.Contains("Atrp", atrp.Name, StringComparison.Ordinal); Assert.True(atrp.WarmupPeriod > 0); var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); atrp.Update(bar); Assert.NotEqual(0, atrp.Last.Value); } // ============== State Management & Bar Correction ============== [Fact] public void Calc_IsNew_AcceptsParameter() { var atrp = new Atrp(14); var bar1 = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); atrp.Update(bar1, isNew: true); double value1 = atrp.Last.Value; var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 102, 110, 100, 108, 1000); atrp.Update(bar2, isNew: true); double value2 = atrp.Last.Value; Assert.NotEqual(value1, value2); } [Fact] public void Calc_IsNew_False_UpdatesValue() { var atrp = new Atrp(14); var bar1 = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); atrp.Update(bar1, isNew: true); var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 102, 110, 100, 108, 1000); atrp.Update(bar2, isNew: true); double beforeUpdate = atrp.Last.Value; var bar2Modified = new TBar(DateTime.UtcNow.AddMinutes(1), 102, 120, 90, 108, 1000); atrp.Update(bar2Modified, isNew: false); double afterUpdate = atrp.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IsNew_Consistency() { var atrp = new Atrp(14); var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed first 99 for (int i = 0; i < 99; i++) { atrp.Update(bars[i]); } // Update with 100th point (isNew=true) atrp.Update(bars[99], true); // Update with modified 100th point (isNew=false) var modifiedBar = new TBar(bars[99].Time, bars[99].Open, bars[99].High + 10.0, bars[99].Low - 10.0, bars[99].Close, bars[99].Volume); double val2 = atrp.Update(modifiedBar, false).Value; // Create new instance and feed up to modified var atrp2 = new Atrp(14); for (int i = 0; i < 99; i++) { atrp2.Update(bars[i]); } double val3 = atrp2.Update(modifiedBar, true).Value; Assert.Equal(val3, val2, 1e-9); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var atrp = new Atrp(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Feed 10 new values TBar tenthBar = default; for (int i = 0; i < 10; i++) { tenthBar = bars[i]; atrp.Update(tenthBar, isNew: true); } // Remember state after 10 values double stateAfterTen = atrp.Last.Value; // Generate 9 corrections with isNew=false (different values) for (int i = 10; i < 19; i++) { atrp.Update(bars[i], isNew: false); } // Feed the remembered 10th bar again with isNew=false TValue finalResult = atrp.Update(tenthBar, isNew: false); // State should match the original state after 10 values Assert.Equal(stateAfterTen, finalResult.Value, 1e-10); } [Fact] public void Reset_Works() { var atrp = new Atrp(14); var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) atrp.Update(bar); double lastVal = atrp.Last.Value; Assert.NotEqual(0, lastVal); atrp.Reset(); Assert.Equal(0, atrp.Last.Value); Assert.False(atrp.IsHot); // After reset, should accept new values atrp.Update(bars[0]); Assert.NotEqual(0, atrp.Last.Value); } // ============== Warmup & Convergence ============== [Fact] public void IsHot_BecomesTrueAfterWarmup() { var atrp = new Atrp(5); Assert.False(atrp.IsHot); int steps = 0; var baseTime = DateTime.UtcNow; while (!atrp.IsHot && steps < 100) { var bar = new TBar(baseTime.AddMinutes(steps), 100, 110, 90, 100, 1000); atrp.Update(bar); steps++; } Assert.True(atrp.IsHot); Assert.True(steps > 0); } [Fact] public void WarmupPeriod_IsPositive() { var atrp = new Atrp(14); Assert.True(atrp.WarmupPeriod > 0); var atrp2 = new Atrp(20); Assert.True(atrp2.WarmupPeriod > 0); // WarmupPeriod should increase with the period parameter Assert.True(atrp2.WarmupPeriod >= atrp.WarmupPeriod); } // ============== NaN/Infinity Handling ============== [Fact] public void NaN_Input_UsesLastValidValue() { var atrp = new Atrp(5); var bar1 = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); atrp.Update(bar1); var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 102, 110, 98, 108, 1000); atrp.Update(bar2); // Feed bar with NaN values var barWithNaN = new TBar(DateTime.UtcNow.AddMinutes(2), double.NaN, 115, 100, 112, 1000); var resultAfterNaN = atrp.Update(barWithNaN); // Result should be finite Assert.True(double.IsFinite(resultAfterNaN.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var atrp = new Atrp(5); var bar1 = new TBar(DateTime.UtcNow, 100, 105, 95, 102, 1000); atrp.Update(bar1); var bar2 = new TBar(DateTime.UtcNow.AddMinutes(1), 102, 110, 98, 108, 1000); atrp.Update(bar2); // Feed bar with Infinity var barWithInf = new TBar(DateTime.UtcNow.AddMinutes(2), 108, double.PositiveInfinity, 100, 112, 1000); var resultAfterInf = atrp.Update(barWithInf); Assert.True(double.IsFinite(resultAfterInf.Value) || double.IsPositiveInfinity(resultAfterInf.Value)); } // ============== Consistency Tests ============== [Fact] public void BatchCalc_MatchesIterativeCalc() { var atrpIterative = new Atrp(14); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Calculate iteratively var iterativeResults = new TSeries(); foreach (var bar in bars) { iterativeResults.Add(atrpIterative.Update(bar)); } // Calculate batch var batchResults = Atrp.Batch(bars, 14); // 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); } } [Fact] public void TBarSeries_Update_MatchesStreaming() { var atrp1 = new Atrp(14); var atrp2 = new Atrp(14); var gbm = new GBM(); var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); // Streaming foreach (var bar in bars) { atrp1.Update(bar); } // Batch atrp2.Update(bars); Assert.Equal(atrp1.Last.Value, atrp2.Last.Value, 1e-10); } [Fact] public void Chainability_Works() { var atrp = new Atrp(14); var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var result = atrp.Update(bars); Assert.Equal(50, result.Count); Assert.Equal(atrp.Last.Value, result.Last.Value); } // ============== ATRP-Specific Tests ============== [Fact] public void ATRP_IsPercentageOfPrice() { var atrp = new Atrp(14); var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); // TR = 20, Close = 100 // ATRP = (20 / 100) * 100 = 20% var result = atrp.Update(bar); Assert.Equal(20.0, result.Value, 1e-10); } [Fact] public void ATRP_HigherPriceAsset_LowerPercentage() { // Same volatility (TR=20) but different price levels var atrp1 = new Atrp(14); var atrp2 = new Atrp(14); // Low price asset: Close = 100, TR = 20 -> ATRP = 20% var bar1 = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); var result1 = atrp1.Update(bar1); // High price asset: Close = 1000, TR = 20 -> ATRP = 2% var bar2 = new TBar(DateTime.UtcNow, 1000, 1010, 990, 1000, 1000); var result2 = atrp2.Update(bar2); Assert.True(result1.Value > result2.Value); Assert.Equal(20.0, result1.Value, 1e-10); Assert.Equal(2.0, result2.Value, 1e-10); } [Fact] public void ATRP_ProportionalVolatility_SamePercentage() { var atrp1 = new Atrp(14); var atrp2 = new Atrp(14); // Asset 1: Close = 100, TR = 10 (10% volatility) var bar1 = new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000); var result1 = atrp1.Update(bar1); // Asset 2: Close = 1000, TR = 100 (10% volatility) var bar2 = new TBar(DateTime.UtcNow, 1000, 1050, 950, 1000, 1000); var result2 = atrp2.Update(bar2); Assert.Equal(result1.Value, result2.Value, 1e-10); Assert.Equal(10.0, result1.Value, 1e-10); } // ============== Static Batch Method ============== [Fact] public void StaticBatch_Works() { var gbm = new GBM(); var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var results = Atrp.Batch(bars, 14); Assert.Equal(50, results.Count); Assert.True(double.IsFinite(results.Last.Value)); } // ============== Edge Cases ============== [Fact] public void SingleBar_ReturnsValidResult() { var atrp = new Atrp(14); var bar = new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000); var result = atrp.Update(bar); Assert.True(double.IsFinite(result.Value)); Assert.Equal(20.0, result.Value, 1e-10); // (H-L)/Close * 100 = 20/100 * 100 = 20% } [Fact] public void Period1_Works() { var atrp = new Atrp(1); var gbm = new GBM(); var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); foreach (var bar in bars) { var result = atrp.Update(bar); Assert.True(double.IsFinite(result.Value)); } Assert.True(atrp.IsHot); } [Fact] public void FlatBars_ZeroVolatility() { var atrp = new Atrp(5); // All bars have same OHLC values for (int i = 0; i < 10; i++) { var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 100, 100, 100, 1000); atrp.Update(bar); } // ATRP should be 0 for flat bars Assert.Equal(0.0, atrp.Last.Value, 1e-10); } [Fact] public void ZeroClose_ReturnsNaN() { var atrp = new Atrp(14); var bar = new TBar(DateTime.UtcNow, 0, 10, -10, 0, 1000); var result = atrp.Update(bar); Assert.True(double.IsNaN(result.Value)); } }