using System; using System.Collections.Generic; using System.Linq; using Skender.Stock.Indicators; using Tulip; using Xunit; using Xunit.Abstractions; namespace QuanTAlib.Tests; public class HmaValidationTests { private readonly TBarSeries _bars; private readonly TSeries _data; private readonly List _skenderQuotes; private readonly ITestOutputHelper _output; public HmaValidationTests(ITestOutputHelper output) { _output = output; // 1. Generate 1000 records using GBM feed var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42); _bars = gbm.Fetch(1000, 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 = { 9, 14, 20, 50 }; foreach (var period in periods) { // Calculate QuanTAlib HMA (batch TSeries) var hma = new global::QuanTAlib.Hma(period); var qResult = hma.Update(_data); // Calculate Skender HMA var sResult = _skenderQuotes.GetHma(period).ToList(); // Compare last 100 records VerifyData_Skender(qResult, sResult); } _output.WriteLine("HMA Batch(TSeries) validated successfully against Skender"); } [Fact] public void Validate_Tulip_Batch() { int[] periods = { 9, 14, 20, 50 }; // Prepare data for Tulip (double[]) double[] tData = _data.Select(x => x.Value).ToArray(); foreach (var period in periods) { // Calculate QuanTAlib HMA (batch TSeries) var hma = new global::QuanTAlib.Hma(period); var qResult = hma.Update(_data); // Calculate Tulip HMA var hmaIndicator = Tulip.Indicators.hma; double[][] inputs = { tData }; double[] options = { period }; // HMA lookback is period + sqrt(period) - 1 roughly // We'll calculate the output size based on the input size and expected lookback // Tulip usually returns (input_len - lookback) elements // But we can just let it fill what it can if we provide a large enough buffer? // No, Tulip.NET wrapper usually expects exact size or it might crash/misbehave. // Let's try to be precise. // WMA(n) lookback = n-1 // HMA = WMA(sqrt(n), 2*WMA(n/2) - WMA(n)) // Path 1: WMA(n) -> valid at n-1 // Path 2: WMA(n/2) -> valid at n/2-1 // Combined: valid at max(n-1, n/2-1) = n-1 // Then WMA(sqrt(n)) on that -> adds sqrt(n)-1 lag // Total lookback = (n-1) + (sqrt(n)-1) = n + sqrt(n) - 2 int sqrtPeriod = (int)Math.Sqrt(period); int lookback = period + sqrtPeriod - 2; double[][] outputs = { new double[tData.Length - lookback] }; hmaIndicator.Run(inputs, options, outputs); var tResult = outputs[0]; // Compare last 100 records VerifyData_Tulip(qResult, tResult, lookback); } _output.WriteLine("HMA Batch(TSeries) validated successfully against Tulip"); } [Fact] public void Validate_Skender_Streaming() { int[] periods = { 9, 14, 20, 50 }; foreach (var period in periods) { // Calculate QuanTAlib HMA (streaming) var hma = new global::QuanTAlib.Hma(period); var qResults = new List(); foreach (var item in _data) { qResults.Add(hma.Update(item).Value); } // Calculate Skender HMA var sResult = _skenderQuotes.GetHma(period).ToList(); // Compare last 100 records VerifyData_Skender_Streaming(qResults, sResult); } _output.WriteLine("HMA Streaming validated successfully against Skender"); } [Fact] public void Validate_Skender_Span() { int[] periods = { 9, 14, 20, 50 }; // Prepare data for Span API double[] sourceData = _data.Select(x => x.Value).ToArray(); foreach (var period in periods) { // Calculate QuanTAlib HMA (Span API) double[] qOutput = new double[sourceData.Length]; global::QuanTAlib.Hma.Calculate(sourceData.AsSpan(), qOutput.AsSpan(), period); // Calculate Skender HMA var sResult = _skenderQuotes.GetHma(period).ToList(); // Compare last 100 records VerifyData_Skender_Span(qOutput, sResult); } _output.WriteLine("HMA Span validated successfully against Skender"); } 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].Hma; if (!sValue.HasValue) continue; Assert.Equal(sValue.Value, qValue, 1e-6); } } private static void VerifyData_Skender_Streaming(List qResults, List sSeries) { Assert.Equal(qResults.Count, sSeries.Count); int count = qResults.Count; int skip = count - 100; for (int i = skip; i < count; i++) { double qValue = qResults[i]; double? sValue = sSeries[i].Hma; if (!sValue.HasValue) continue; Assert.Equal(sValue.Value, qValue, 1e-6); } } private static void VerifyData_Skender_Span(double[] qOutput, List sSeries) { Assert.Equal(qOutput.Length, sSeries.Count); int count = qOutput.Length; int skip = count - 100; for (int i = skip; i < count; i++) { double qValue = qOutput[i]; double? sValue = sSeries[i].Hma; if (!sValue.HasValue) continue; Assert.Equal(sValue.Value, 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); } } }