using Xunit; using System.Security.Cryptography; namespace QuanTAlib.Tests; public class VolatilityUpdateTests { private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create(); private const int RandomUpdates = 100; private const double ReferenceValue = 100.0; private const int precision = 8; private double GetRandomDouble() { byte[] bytes = new byte[8]; rng.GetBytes(bytes); return ((double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200) - 100; // Range: -100 to 100 } private TBar GetRandomBar(bool IsNew) { double open = GetRandomDouble(); double high = open + Math.Abs(GetRandomDouble()); double low = open - Math.Abs(GetRandomDouble()); double close = low + ((high - low) * GetRandomDouble()); return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew); } [Fact] public void Adr_Update() { var indicator = new Adr(period: 14); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Atr_Update() { var indicator = new Atr(period: 14); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Ap_Update() { var indicator = new Ap(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Atrp_Update() { var indicator = new Atrp(period: 14); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Bband_Update() { var indicator = new Bband(period: 20, multiplier: 2.0); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Ccv_Update() { var indicator = new Ccv(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Ce_Update() { var indicator = new Ce(period: 22, multiplier: 3.0); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Cv_Update() { var indicator = new Cv(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Cvi_Update() { var indicator = new Cvi(period: 10, smoothPeriod: 10); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Ewma_Update() { var indicator = new Ewma(period: 20, lambda: 0.94); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Fcb_Update() { var indicator = new Fcb(period: 20, smoothing: 0.5); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Gkv_Update() { var indicator = new Gkv(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Historical_Update() { var indicator = new Hv(period: 14); double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true)); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false)); } double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Hlv_Update() { var indicator = new Hlv(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Jvolty_Update() { var indicator = new Jvolty(period: 14); double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true)); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false)); } double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Realized_Update() { var indicator = new Rv(period: 14); double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true)); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false)); } double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Rvi_Update() { var indicator = new Rvi(period: 14); double initialValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: true)); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(new TValue(DateTime.Now, GetRandomDouble(), IsNew: false)); } double finalValue = indicator.Calc(new TValue(DateTime.Now, ReferenceValue, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Tr_Update() { var indicator = new Tr(); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Ui_Update() { var indicator = new Ui(period: 14); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Vc_Update() { var indicator = new Vc(period: 20, deviations: 2.0); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Vov_Update() { var indicator = new Vov(period: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Vr_Update() { var indicator = new Vr(shortPeriod: 10, longPeriod: 20); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } [Fact] public void Vs_Update() { var indicator = new Vs(period: 14, multiplier: 2.0); TBar r = GetRandomBar(true); double initialValue = indicator.Calc(r); for (int i = 0; i < RandomUpdates; i++) { indicator.Calc(GetRandomBar(IsNew: false)); } double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); Assert.Equal(initialValue, finalValue, precision); } }