namespace QuanTAlib.Tests; #pragma warning disable S2245 // Random is acceptable for simulation/testing purposes public class PwmaTests { [Fact] public void Pwma_Constructor_ValidatesInput() { Assert.Throws(() => new Pwma(0)); Assert.Throws(() => new Pwma(-1)); Assert.Throws(() => new Pwma(null!, 10)); var pwma = new Pwma(10); Assert.NotNull(pwma); } [Fact] public void Pwma_Calc_ReturnsValue() { var pwma = new Pwma(10); Assert.Equal(0, pwma.Last.Value); TValue result = pwma.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(result.Value > 0); Assert.Equal(result.Value, pwma.Last.Value); } [Fact] public void Pwma_FirstValue_ReturnsItself() { var pwma = new Pwma(10); TValue result = pwma.Update(new TValue(DateTime.UtcNow, 100)); Assert.Equal(100.0, result.Value, 1e-10); } [Fact] public void Pwma_Calc_IsNew_AcceptsParameter() { var pwma = new Pwma(10); pwma.Update(new TValue(DateTime.UtcNow, 100), isNew: true); double value1 = pwma.Last.Value; pwma.Update(new TValue(DateTime.UtcNow, 200), isNew: true); double value2 = pwma.Last.Value; // Values should change with new bars Assert.NotEqual(value1, value2); } [Fact] public void Pwma_Calc_IsNew_False_UpdatesValue() { var pwma = new Pwma(10); pwma.Update(new TValue(DateTime.UtcNow, 100)); pwma.Update(new TValue(DateTime.UtcNow, 110), isNew: true); double beforeUpdate = pwma.Last.Value; pwma.Update(new TValue(DateTime.UtcNow, 120), isNew: false); double afterUpdate = pwma.Last.Value; // Update should change the value Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void Pwma_Reset_ClearsState() { var pwma = new Pwma(10); pwma.Update(new TValue(DateTime.UtcNow, 100)); pwma.Update(new TValue(DateTime.UtcNow, 105)); double valueBefore = pwma.Last.Value; pwma.Reset(); Assert.Equal(0, pwma.Last.Value); // After reset, should accept new values pwma.Update(new TValue(DateTime.UtcNow, 50)); Assert.NotEqual(0, pwma.Last.Value); Assert.NotEqual(valueBefore, pwma.Last.Value); } [Fact] public void Pwma_Properties_Accessible() { var pwma = new Pwma(10); Assert.Equal(0, pwma.Last.Value); Assert.False(pwma.IsHot); pwma.Update(new TValue(DateTime.UtcNow, 100)); Assert.NotEqual(0, pwma.Last.Value); } [Fact] public void Pwma_IsHot_BecomesTrueWhenBufferFull() { var pwma = new Pwma(5); Assert.False(pwma.IsHot); for (int i = 1; i <= 4; i++) { pwma.Update(new TValue(DateTime.UtcNow, i * 10)); Assert.False(pwma.IsHot); } pwma.Update(new TValue(DateTime.UtcNow, 50)); Assert.True(pwma.IsHot); } [Fact] public void Pwma_CalculatesCorrectWeightedAverage() { var pwma = new Pwma(3); pwma.Update(new TValue(DateTime.UtcNow, 10)); pwma.Update(new TValue(DateTime.UtcNow, 20)); pwma.Update(new TValue(DateTime.UtcNow, 30)); // PWMA(3) of 10,20,30 = (1^2*10 + 2^2*20 + 3^2*30) / (1^2 + 2^2 + 3^2) // = (1*10 + 4*20 + 9*30) / (1 + 4 + 9) // = (10 + 80 + 270) / 14 // = 360 / 14 = 25.7142857... Assert.Equal(360.0 / 14.0, pwma.Last.Value, 1e-10); } [Fact] public void Pwma_SlidingWindow_Works() { var pwma = new Pwma(3); pwma.Update(new TValue(DateTime.UtcNow, 10)); pwma.Update(new TValue(DateTime.UtcNow, 20)); pwma.Update(new TValue(DateTime.UtcNow, 30)); // PWMA(3) of 10,20,30 = 360/14 Assert.Equal(360.0 / 14.0, pwma.Last.Value, 1e-10); pwma.Update(new TValue(DateTime.UtcNow, 40)); // PWMA(3) of 20,30,40 = (1^2*20 + 2^2*30 + 3^2*40) / 14 // = (20 + 120 + 360) / 14 = 500 / 14 = 35.7142857... Assert.Equal(500.0 / 14.0, pwma.Last.Value, 1e-10); } [Fact] public void Pwma_IterativeCorrections_RestoreToOriginalState() { var pwma = new Pwma(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Feed 10 new values TValue tenthInput = default; for (int i = 0; i < 10; i++) { var bar = gbm.Next(isNew: true); tenthInput = new TValue(bar.Time, bar.Close); pwma.Update(tenthInput, isNew: true); } // Remember PWMA state after 10 values double pwmaAfterTen = pwma.Last.Value; // Generate 9 corrections with isNew=false (different values) for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); pwma.Update(new TValue(bar.Time, bar.Close), isNew: false); } // Feed the remembered 10th input again with isNew=false TValue finalPwma = pwma.Update(tenthInput, isNew: false); // PWMA should match the original state after 10 values Assert.Equal(pwmaAfterTen, finalPwma.Value, 1e-10); } [Fact] public void Pwma_BatchCalc_MatchesIterativeCalc() { var pwmaIterative = new Pwma(10); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); // Generate data var series = new TSeries(); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); series.Add(bar.Time, bar.Close); } Assert.True(series.Count > 0); // Calculate iteratively var iterativeResults = new TSeries(); foreach (var item in series) { iterativeResults.Add(pwmaIterative.Update(item)); } // Calculate batch var batchResults = Pwma.Batch(series, 10); // 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); Assert.Equal(iterativeResults[i].Time, batchResults[i].Time); } } [Fact] public void Pwma_NaN_Input_UsesLastValidValue() { var pwma = new Pwma(5); // Feed some valid values pwma.Update(new TValue(DateTime.UtcNow, 100)); pwma.Update(new TValue(DateTime.UtcNow, 110)); // Feed NaN - should use last valid value (110) var resultAfterNaN = pwma.Update(new TValue(DateTime.UtcNow, double.NaN)); // Result should be finite (not NaN) Assert.True(double.IsFinite(resultAfterNaN.Value)); Assert.NotEqual(0, resultAfterNaN.Value); } [Fact] public void Pwma_Infinity_Input_UsesLastValidValue() { var pwma = new Pwma(5); // Feed some valid values pwma.Update(new TValue(DateTime.UtcNow, 100)); pwma.Update(new TValue(DateTime.UtcNow, 110)); // Feed positive infinity - should use last valid value var resultAfterPosInf = pwma.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity)); Assert.True(double.IsFinite(resultAfterPosInf.Value)); // Feed negative infinity - should use last valid value var resultAfterNegInf = pwma.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity)); Assert.True(double.IsFinite(resultAfterNegInf.Value)); } [Fact] public void Pwma_StaticCalculate_Works() { var series = new TSeries(); series.Add(DateTime.UtcNow.Ticks, 10); series.Add(DateTime.UtcNow.Ticks + 1, 20); series.Add(DateTime.UtcNow.Ticks + 2, 30); var results = Pwma.Batch(series, 3); Assert.Equal(3, results.Count); // PWMA(3) for last 3 values [10,20,30]: 360/14 Assert.Equal(360.0 / 14.0, results.Last.Value, 1e-10); } [Fact] public void Pwma_MoreWeightOnRecentValues_ThanWma() { var pwma = new Pwma(3); var wma = new Wma(3); // Feed same values to both pwma.Update(new TValue(DateTime.UtcNow, 10)); wma.Update(new TValue(DateTime.UtcNow, 10)); pwma.Update(new TValue(DateTime.UtcNow, 20)); wma.Update(new TValue(DateTime.UtcNow, 20)); pwma.Update(new TValue(DateTime.UtcNow, 100)); // High recent value wma.Update(new TValue(DateTime.UtcNow, 100)); // PWMA should be higher than WMA because it weights the high recent value even more (parabolically) // WMA = (1*10 + 2*20 + 3*100) / 6 = 350/6 = 58.333... // PWMA = (1*10 + 4*20 + 9*100) / 14 = 990/14 = 70.714... Assert.True(pwma.Last.Value > wma.Last.Value); Assert.Equal(990.0 / 14.0, pwma.Last.Value, 1e-10); Assert.Equal(350.0 / 6.0, wma.Last.Value, 1e-10); } // ============== Span API Tests ============== [Fact] public void Pwma_SpanCalc_ValidatesInput() { double[] source = [1, 2, 3, 4, 5]; double[] output = new double[5]; double[] wrongSizeOutput = new double[3]; // Period must be > 0 Assert.Throws(() => Pwma.Calculate(source.AsSpan(), output.AsSpan(), 0)); Assert.Throws(() => Pwma.Calculate(source.AsSpan(), output.AsSpan(), -1)); // Output must be same length as source Assert.Throws(() => Pwma.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3)); } [Fact] public void Pwma_SpanCalc_MatchesTSeriesCalc() { var series = new TSeries(); double[] source = new double[100]; double[] output = new double[100]; var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); source[i] = bar.Close; series.Add(bar.Time, bar.Close); } // Calculate with TSeries API var tseriesResult = Pwma.Batch(series, 10); // Calculate with Span API Pwma.Calculate(source.AsSpan(), output.AsSpan(), 10); // Compare results for (int i = 0; i < 100; i++) { Assert.Equal(tseriesResult[i].Value, output[i], 1e-10); } } [Fact] public void Pwma_SpanCalc_CalculatesCorrectly() { double[] source = [10, 20, 30]; double[] output = new double[3]; Pwma.Calculate(source.AsSpan(), output.AsSpan(), 3); // PWMA(3) warmup: // i=0: 10 (1^2*10 / 1^2) = 10 // i=1: (1^2*10 + 2^2*20) / (1^2 + 2^2) = (10 + 80) / 5 = 90/5 = 18 // i=2: (1^2*10 + 2^2*20 + 3^2*30) / (1^2 + 2^2 + 3^2) = (10 + 80 + 270) / 14 = 360/14 = 25.714... Assert.Equal(10.0, output[0], 1e-10); Assert.Equal(18.0, output[1], 1e-10); Assert.Equal(360.0 / 14.0, output[2], 1e-10); } [Fact] public void Pwma_AllModes_ProduceSameResult() { // Arrange int period = 10; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123); var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); var series = bars.Close; // 1. Batch Mode var batchSeries = Pwma.Batch(series, period); double expected = batchSeries.Last.Value; // 2. Span Mode var tValues = series.Values.ToArray(); var spanInput = new ReadOnlySpan(tValues); var spanOutput = new double[tValues.Length]; Pwma.Calculate(spanInput, spanOutput, period); double spanResult = spanOutput[^1]; // 3. Streaming Mode var streamingInd = new Pwma(period); for (int i = 0; i < series.Count; i++) { streamingInd.Update(series[i]); } double streamingResult = streamingInd.Last.Value; // 4. Eventing Mode var pubSource = new TSeries(); var eventingInd = new Pwma(pubSource, period); for (int i = 0; i < series.Count; i++) { pubSource.Add(series[i]); } double eventingResult = eventingInd.Last.Value; // Assert Assert.Equal(expected, spanResult, precision: 9); Assert.Equal(expected, streamingResult, precision: 8); Assert.Equal(expected, eventingResult, precision: 8); } }