using System; using System.Collections.Generic; using System.Linq; using OoplesFinance.StockIndicators; using OoplesFinance.StockIndicators.Enums; using OoplesFinance.StockIndicators.Models; using Skender.Stock.Indicators; using TALib; using Tulip; using Xunit; using Xunit.Abstractions; namespace QuanTAlib.Tests; public sealed class AtrValidationTests : IDisposable { private readonly ValidationTestData _testData; private readonly ITestOutputHelper _output; private bool _disposed; public AtrValidationTests(ITestOutputHelper output) { _output = output; _testData = new ValidationTestData(); } public void Dispose() { Dispose(true); } private void Dispose(bool disposing) { if (_disposed) { return; } _disposed = true; if (disposing) { _testData?.Dispose(); } } [Fact] public void Validate_Skender_Batch() { int[] periods = { 14 }; foreach (var period in periods) { // Calculate QuanTAlib ATR (batch TSeries) var atr = new global::QuanTAlib.Atr(period); var qResult = atr.Update(_testData.Bars); // Calculate Skender ATR var sResult = _testData.SkenderQuotes.GetAtr(period).ToList(); // Compare last 100 records ValidationHelper.VerifyData(qResult, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance); } _output.WriteLine("ATR Batch(TSeries) validated successfully against Skender"); } [Fact] public void Validate_Skender_Streaming() { int[] periods = { 14 }; foreach (var period in periods) { // Calculate QuanTAlib ATR (streaming) var atr = new global::QuanTAlib.Atr(period); var qResults = new List(); foreach (var item in _testData.Bars) { qResults.Add(atr.Update(item).Value); } // Calculate Skender ATR var sResult = _testData.SkenderQuotes.GetAtr(period).ToList(); // Compare last 100 records ValidationHelper.VerifyData(qResults, sResult, (s) => s.Atr, tolerance: ValidationHelper.SkenderTolerance); } _output.WriteLine("ATR Streaming validated successfully against Skender"); } [Fact] public void Validate_Talib_Batch() { int[] periods = { 14 }; // Prepare data for TA-Lib (double[]) double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray(); double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray(); double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray(); double[] output = new double[hData.Length]; foreach (var period in periods) { // Calculate QuanTAlib ATR (batch TSeries) var atr = new global::QuanTAlib.Atr(period); var qResult = atr.Update(_testData.Bars); // Calculate TA-Lib ATR var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period); Assert.Equal(Core.RetCode.Success, retCode); int lookback = TALib.Functions.AtrLookback(period); // Compare last 100 records ValidationHelper.VerifyData(qResult, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance); } _output.WriteLine("ATR Batch(TSeries) validated successfully against TA-Lib"); } [Fact] public void Validate_Talib_Streaming() { int[] periods = { 14 }; // Prepare data for TA-Lib (double[]) double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray(); double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray(); double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray(); double[] output = new double[hData.Length]; foreach (var period in periods) { // Calculate QuanTAlib ATR (streaming) var atr = new global::QuanTAlib.Atr(period); var qResults = new List(); foreach (var item in _testData.Bars) { qResults.Add(atr.Update(item).Value); } // Calculate TA-Lib ATR var retCode = TALib.Functions.Atr(hData, lData, cData, 0..^0, output, out var outRange, period); Assert.Equal(Core.RetCode.Success, retCode); int lookback = TALib.Functions.AtrLookback(period); // Compare last 100 records ValidationHelper.VerifyData(qResults, output, outRange, lookback, tolerance: ValidationHelper.TalibTolerance); } _output.WriteLine("ATR Streaming validated successfully against TA-Lib"); } [Fact] public void Validate_Tulip_Batch() { int[] periods = { 14 }; // Prepare data for Tulip (double[]) double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray(); double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray(); double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray(); foreach (var period in periods) { // Calculate QuanTAlib ATR (batch TSeries) var atr = new global::QuanTAlib.Atr(period); var qResult = atr.Update(_testData.Bars); // Calculate Tulip ATR var atrIndicator = Tulip.Indicators.atr; double[][] inputs = { hData, lData, cData }; double[] options = { period }; // Tulip ATR lookback int lookback = atrIndicator.Start(options); double[][] outputs = { new double[hData.Length - lookback] }; atrIndicator.Run(inputs, options, outputs); var tResult = outputs[0]; // Compare last 100 records ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: ValidationHelper.TulipTolerance); } _output.WriteLine("ATR Batch(TSeries) validated successfully against Tulip"); } [Fact] public void Validate_Tulip_Streaming() { int[] periods = { 14 }; // Prepare data for Tulip (double[]) double[] hData = _testData.Bars.High.Select(x => x.Value).ToArray(); double[] lData = _testData.Bars.Low.Select(x => x.Value).ToArray(); double[] cData = _testData.Bars.Close.Select(x => x.Value).ToArray(); foreach (var period in periods) { // Calculate QuanTAlib ATR (streaming) var atr = new global::QuanTAlib.Atr(period); var qResults = new List(); foreach (var item in _testData.Bars) { qResults.Add(atr.Update(item).Value); } // Calculate Tulip ATR var atrIndicator = Tulip.Indicators.atr; double[][] inputs = { hData, lData, cData }; double[] options = { period }; // Tulip ATR lookback int lookback = atrIndicator.Start(options); double[][] outputs = { new double[hData.Length - lookback] }; atrIndicator.Run(inputs, options, outputs); var tResult = outputs[0]; // Compare last 100 records ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: ValidationHelper.TulipTolerance); } _output.WriteLine("ATR Streaming validated successfully against Tulip"); } [Fact] public void Validate_Ooples_Batch() { int[] periods = { 14 }; // Prepare data for Ooples (List) var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData { Date = q.Date, Close = (double)q.Close, High = (double)q.High, Low = (double)q.Low, Open = (double)q.Open, Volume = (double)q.Volume }).ToList(); foreach (var period in periods) { // Calculate QuanTAlib ATR (batch TSeries) var atr = new global::QuanTAlib.Atr(period); var qResult = atr.Update(_testData.Bars); // Calculate Ooples ATR var stockData = new StockData(ooplesData); var sResult = Calculations.CalculateAverageTrueRange(stockData, MovingAvgType.WildersSmoothingMethod, period).OutputValues.Values.First(); // Compare last 100 records ValidationHelper.VerifyData(qResult, sResult, (s) => s, 100, ValidationHelper.OoplesTolerance); } _output.WriteLine("ATR Batch(TSeries) validated successfully against Ooples"); } }