namespace QuanTAlib.Tests; public class WadTests { [Fact] public void Wad_BasicCalculation_ReturnsExpectedValues() { // Arrange var wad = new Wad(); var time = DateTime.UtcNow; // Bar 1: First bar, WAD = 0 (no previous close) var bar1 = new TBar(time, 100, 105, 95, 100, 1000); var val1 = wad.Update(bar1); Assert.Equal(0, val1.Value); // Bar 2: Close=110 > PrevClose=100, TrueLow = min(92, 100) = 92 // PM = 110 - 92 = 18, Vol = 2000 // AD = 18 * 2000 = 36000, WAD = 0 + 36000 = 36000 var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000); var val2 = wad.Update(bar2); Assert.Equal(36000, val2.Value); // Bar 3: Close=105 < PrevClose=110, TrueHigh = max(108, 110) = 110 // PM = 105 - 110 = -5, Vol = 1500 // AD = -5 * 1500 = -7500, WAD = 36000 - 7500 = 28500 var bar3 = new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500); var val3 = wad.Update(bar3); Assert.Equal(28500, val3.Value); } [Fact] public void Wad_CloseUnchanged_ZeroPriceMovement() { var wad = new Wad(); var time = DateTime.UtcNow; // Bar 1 var bar1 = new TBar(time, 100, 105, 95, 100, 1000); wad.Update(bar1); // Bar 2: Close=100 == PrevClose=100 -> PM = 0 var bar2 = new TBar(time.AddMinutes(1), 100, 110, 90, 100, 2000); var val2 = wad.Update(bar2); Assert.Equal(0, val2.Value); } [Fact] public void Wad_IsNew_False_UpdatesSameBar() { var wad = new Wad(); var time = DateTime.UtcNow; // Initial bar var bar1 = new TBar(time, 100, 105, 95, 100, 1000); wad.Update(bar1, isNew: true); Assert.Equal(0, wad.Last.Value); // Bar 2: Close=110 > PrevClose=100 var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000); wad.Update(bar2, isNew: true); Assert.Equal(36000, wad.Last.Value); // Update same bar with different data (isNew=false) // Close=108 > PrevClose=100, TrueLow = min(92, 100) = 92 // PM = 108 - 92 = 16, Vol = 1000 // AD = 16 * 1000 = 16000, WAD = 0 + 16000 = 16000 var bar2Update = new TBar(time.AddMinutes(1), 100, 115, 92, 108, 1000); wad.Update(bar2Update, isNew: false); Assert.Equal(16000, wad.Last.Value); } [Fact] public void Wad_Reset_ClearsState() { var wad = new Wad(); var time = DateTime.UtcNow; var bar1 = new TBar(time, 100, 105, 95, 100, 1000); wad.Update(bar1); var bar2 = new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000); wad.Update(bar2); Assert.True(wad.IsHot); Assert.NotEqual(0, wad.Last.Value); wad.Reset(); Assert.False(wad.IsHot); Assert.Equal(0, wad.Last.Value); } [Fact] public void Wad_TValueUpdate_ThrowsNotSupportedException() { var wad = new Wad(); var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000); wad.Update(bar); Assert.Throws(() => wad.Update(new TValue(DateTime.UtcNow, 15))); } [Fact] public void Wad_Name_IsCorrect() { Assert.Equal("WAD", Wad.Name); } [Fact] public void Wad_PubEvent_FiresOnUpdate() { var wad = new Wad(); bool eventFired = false; wad.Pub += (object? sender, in TValueEventArgs args) => eventFired = true; wad.Update(new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000)); Assert.True(eventFired); } [Fact] public void Wad_UpdateTBarSeries_ReturnsCorrectSeries() { var wad = new Wad(); var bars = new TBarSeries(); var time = DateTime.UtcNow; bars.Add(new TBar(time, 100, 105, 95, 100, 1000)); bars.Add(new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000)); bars.Add(new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500)); var result = wad.Update(bars); Assert.Equal(3, result.Count); Assert.Equal(0, result[0].Value); Assert.Equal(36000, result[1].Value); Assert.Equal(28500, result[2].Value); } [Fact] public void Wad_CalculateTBarSeries_ReturnsCorrectSeries() { var bars = new TBarSeries(); var time = DateTime.UtcNow; bars.Add(new TBar(time, 100, 105, 95, 100, 1000)); bars.Add(new TBar(time.AddMinutes(1), 100, 115, 92, 110, 2000)); bars.Add(new TBar(time.AddMinutes(2), 110, 108, 102, 105, 1500)); var result = Wad.Batch(bars); Assert.Equal(3, result.Count); Assert.Equal(0, result[0].Value); Assert.Equal(36000, result[1].Value); Assert.Equal(28500, result[2].Value); } [Fact] public void Wad_CalculateSpan_ReturnsCorrectValues() { double[] high = { 105, 115, 108 }; double[] low = { 95, 92, 102 }; double[] close = { 100, 110, 105 }; double[] volume = { 1000, 2000, 1500 }; double[] output = new double[3]; Wad.Batch(high, low, close, volume, output); Assert.Equal(0, output[0]); Assert.Equal(36000, output[1]); Assert.Equal(28500, output[2]); } [Fact] public void Wad_CalculateSpan_ThrowsOnMismatchedLengths() { double[] high = { 105, 115 }; double[] low = { 95, 92 }; double[] close = { 100, 110 }; double[] volume = { 1000 }; // Short double[] output = new double[2]; Assert.Throws(() => Wad.Batch(high, low, close, volume, output)); } [Fact] public void Wad_Calculate_EmptySeries_ReturnsEmpty() { var bars = new TBarSeries(); var result = Wad.Batch(bars); Assert.Empty(result); } [Fact] public void Wad_CalculateSpan_LargeDataset() { const int count = 1000; double[] high = new double[count]; double[] low = new double[count]; double[] close = new double[count]; double[] volume = new double[count]; double[] output = new double[count]; // Setup: Ascending close pattern for (int i = 0; i < count; i++) { close[i] = 100 + i; high[i] = close[i] + 5; low[i] = close[i] - 5; volume[i] = 100; } Wad.Batch(high, low, close, volume, output); // First bar should be 0 Assert.Equal(0, output[0]); // All subsequent bars should have positive accumulation since close is always rising for (int i = 1; i < count; i++) { Assert.True(output[i] > output[i - 1], $"WAD should increase at index {i}"); } } [Fact] public void Wad_StreamingMatchesBatch() { var bars = new TBarSeries(); var gbm = new GBM(); // Generate bars using GBM for (int i = 0; i < 100; i++) { bars.Add(gbm.Next()); } // Batch calculation var batchResult = Wad.Batch(bars); // Streaming calculation var wad = new Wad(); var streamingResult = wad.Update(bars); // Compare results Assert.Equal(batchResult.Count, streamingResult.Count); for (int i = 0; i < batchResult.Count; i++) { Assert.Equal(batchResult[i].Value, streamingResult[i].Value, precision: 10); } } [Fact] public void Wad_IsHot_BecomesTrue_AfterFirstBar() { var wad = new Wad(); Assert.False(wad.IsHot); wad.Update(new TBar(DateTime.UtcNow, 100, 105, 95, 100, 1000)); Assert.True(wad.IsHot); } }