namespace QuanTAlib.Tests; public class UsfTests { // ============== Constructor & Parameter Validation ============== [Fact] public void Usf_Constructor_ValidatesInput() { Assert.Throws(() => new Usf(0)); Assert.Throws(() => new Usf(-1)); var usf = new Usf(10); Assert.NotNull(usf); } // ============== Basic Functionality ============== [Fact] public void Usf_Calc_ReturnsValue() { var usf = new Usf(10); Assert.Equal(0, usf.Last.Value); TValue result = usf.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(result.Value > 0); Assert.Equal(result.Value, usf.Last.Value); } [Fact] public void Usf_FirstValue_ReturnsItself() { var usf = new Usf(10); TValue result = usf.Update(new TValue(DateTime.UtcNow, 100)); Assert.Equal(100.0, result.Value, 1e-10); } [Fact] public void Usf_Properties_Accessible() { var usf = new Usf(10); Assert.Equal(0, usf.Last.Value); Assert.False(usf.IsHot); Assert.Contains("Usf", usf.Name, StringComparison.Ordinal); usf.Update(new TValue(DateTime.UtcNow, 100)); Assert.NotEqual(0, usf.Last.Value); } // ============== State Management & Bar Correction ============== [Fact] public void Usf_Calc_IsNew_AcceptsParameter() { var usf = new Usf(10); usf.Update(new TValue(DateTime.UtcNow, 100), isNew: true); double value1 = usf.Last.Value; usf.Update(new TValue(DateTime.UtcNow, 200), isNew: true); double value2 = usf.Last.Value; // Values should change with new bars Assert.NotEqual(value1, value2); } [Fact] public void Usf_Calc_IsNew_False_UpdatesValue() { var usf = new Usf(10); usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, 110), isNew: true); double beforeUpdate = usf.Last.Value; usf.Update(new TValue(DateTime.UtcNow, 120), isNew: false); double afterUpdate = usf.Last.Value; // Update should change the value Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void Usf_IterativeCorrections_RestoreToOriginalState() { var usf = new Usf(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); usf.Update(tenthInput, isNew: true); } // Remember state after 10 values double stateAfterTen = usf.Last.Value; // Generate 9 corrections with isNew=false (different values) for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); usf.Update(new TValue(bar.Time, bar.Close), isNew: false); } // Feed the remembered 10th input again with isNew=false TValue finalResult = usf.Update(tenthInput, isNew: false); // State should match the original state after 10 values Assert.Equal(stateAfterTen, finalResult.Value, 1e-10); } [Fact] public void Usf_Reset_ClearsState() { var usf = new Usf(10); usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, 105)); double valueBefore = usf.Last.Value; usf.Reset(); Assert.Equal(0, usf.Last.Value); Assert.False(usf.IsHot); // After reset, should accept new values usf.Update(new TValue(DateTime.UtcNow, 50)); Assert.NotEqual(0, usf.Last.Value); Assert.NotEqual(valueBefore, usf.Last.Value); } [Fact] public void Usf_Reset_ClearsLastValidValue() { var usf = new Usf(5); // Feed values including NaN usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, double.NaN)); // Reset usf.Reset(); // After reset, first valid value should establish new baseline var result = usf.Update(new TValue(DateTime.UtcNow, 50)); Assert.Equal(50.0, result.Value, 1e-10); } // ============== Warmup & Convergence ============== [Fact] public void Usf_IsHot_BecomesTrueWhenBufferFull() { var usf = new Usf(5); Assert.False(usf.IsHot); for (int i = 1; i <= 4; i++) { usf.Update(new TValue(DateTime.UtcNow, i * 10)); Assert.False(usf.IsHot); } usf.Update(new TValue(DateTime.UtcNow, 50)); Assert.True(usf.IsHot); } [Fact] public void Usf_WarmupPeriod_IsSetCorrectly() { var usf = new Usf(10); Assert.Equal(10, usf.WarmupPeriod); } // ============== NaN/Infinity Handling ============== [Fact] public void Usf_NaN_Input_UsesLastValidValue() { var usf = new Usf(5); // Feed some valid values usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, 110)); // Feed NaN - should use last valid value (110) var resultAfterNaN = usf.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 Usf_Infinity_Input_UsesLastValidValue() { var usf = new Usf(5); // Feed some valid values usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, 110)); // Feed positive infinity - should use last valid value var resultAfterPosInf = usf.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity)); Assert.True(double.IsFinite(resultAfterPosInf.Value)); // Feed negative infinity - should use last valid value var resultAfterNegInf = usf.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity)); Assert.True(double.IsFinite(resultAfterNegInf.Value)); } [Fact] public void Usf_MultipleNaN_ContinuesWithLastValid() { var usf = new Usf(5); // Feed valid values usf.Update(new TValue(DateTime.UtcNow, 100)); usf.Update(new TValue(DateTime.UtcNow, 110)); usf.Update(new TValue(DateTime.UtcNow, 120)); // Feed multiple NaN values var r1 = usf.Update(new TValue(DateTime.UtcNow, double.NaN)); var r2 = usf.Update(new TValue(DateTime.UtcNow, double.NaN)); var r3 = usf.Update(new TValue(DateTime.UtcNow, double.NaN)); // All results should be finite Assert.True(double.IsFinite(r1.Value)); Assert.True(double.IsFinite(r2.Value)); Assert.True(double.IsFinite(r3.Value)); } [Fact] public void Usf_BatchCalc_HandlesNaN() { var usf = new Usf(5); // Create series with NaN values interspersed var series = new TSeries(); series.Add(DateTime.UtcNow.Ticks, 100); series.Add(DateTime.UtcNow.Ticks + 1, 110); series.Add(DateTime.UtcNow.Ticks + 2, double.NaN); series.Add(DateTime.UtcNow.Ticks + 3, 120); series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity); series.Add(DateTime.UtcNow.Ticks + 5, 130); var results = usf.Update(series); // All results should be finite foreach (var result in results) { Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}"); } } // ============== Consistency Tests ============== [Fact] public void Usf_BatchCalc_MatchesIterativeCalc() { var usfIterative = new Usf(10); var usfBatch = new Usf(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(usfIterative.Update(item)); } // Calculate batch var batchResults = usfBatch.Update(series); // 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 Usf_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 (static Calculate) var (batchSeries, _) = Usf.Calculate(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]; Usf.Calculate(spanInput, spanOutput, period); double spanResult = spanOutput[^1]; // 3. Streaming Mode var streamingInd = new Usf(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 Usf(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: 9); Assert.Equal(expected, eventingResult, precision: 9); } [Fact] public void Usf_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); series.Add(DateTime.UtcNow.Ticks + 3, 40); series.Add(DateTime.UtcNow.Ticks + 4, 50); var (results, indicator) = Usf.Calculate(series, 3); Assert.Equal(5, results.Count); Assert.True(indicator.IsHot); Assert.True(double.IsFinite(results.Last.Value)); } // ============== Span API Tests ============== [Fact] public void Usf_SpanCalculate_ValidatesInput() { double[] source = [1, 2, 3, 4, 5]; double[] output = new double[5]; double[] wrongSizeOutput = new double[3]; // Period must be > 0 Assert.Throws(() => Usf.Calculate(source.AsSpan(), output.AsSpan(), 0)); Assert.Throws(() => Usf.Calculate(source.AsSpan(), output.AsSpan(), -1)); // Output must be same length as source Assert.Throws(() => Usf.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3)); } [Fact] public void Usf_SpanCalculate_MatchesTSeriesCalculate() { 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, _) = Usf.Calculate(series, 10); // Calculate with Span API Usf.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 Usf_SpanCalculate_ZeroAllocation() { double[] source = new double[10000]; double[] output = new double[10000]; var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42); for (int i = 0; i < source.Length; i++) source[i] = gbm.Next().Close; // Warm up Usf.Calculate(source.AsSpan(), output.AsSpan(), 100); // This test verifies the method runs without throwing Assert.True(double.IsFinite(output[^1])); } [Fact] public void Usf_SpanCalculate_HandlesNaN() { double[] source = [100, 110, double.NaN, 120, 130]; double[] output = new double[5]; Usf.Calculate(source.AsSpan(), output.AsSpan(), 3); // All outputs should be finite foreach (var val in output) { Assert.True(double.IsFinite(val), $"Expected finite value but got {val}"); } } // ============== Chainability Tests ============== [Fact] public void Usf_Chainability_Works() { var source = new TSeries(); var usf = new Usf(source, 10); source.Add(new TValue(DateTime.UtcNow, 100)); Assert.Equal(100, usf.Last.Value); } [Fact] public void Usf_Pub_EventFires() { var usf = new Usf(10); bool eventFired = false; usf.Pub += (object? sender, in TValueEventArgs args) => eventFired = true; usf.Update(new TValue(DateTime.UtcNow, 100)); Assert.True(eventFired); } // ============== Priming Tests ============== [Fact] public void Usf_Prime_SetsStateCorrectly() { var usf = new Usf(5); double[] history = [10, 20, 30, 40, 50]; usf.Prime(history); Assert.True(usf.IsHot); Assert.True(double.IsFinite(usf.Last.Value)); // Verify it continues correctly usf.Update(new TValue(DateTime.UtcNow, 60)); Assert.True(double.IsFinite(usf.Last.Value)); } [Fact] public void Usf_Prime_WithInsufficientHistory_IsNotHot() { var usf = new Usf(10); double[] history = [10, 20, 30, 40, 50]; usf.Prime(history); Assert.False(usf.IsHot); Assert.True(double.IsFinite(usf.Last.Value)); // It still calculates what it can } [Fact] public void Usf_Prime_HandlesNaN_InHistory() { var usf = new Usf(3); double[] history = [10, 20, double.NaN, 40]; usf.Prime(history); Assert.True(usf.IsHot); Assert.True(double.IsFinite(usf.Last.Value)); } // ============== Calculate Method Tests ============== [Fact] public void Usf_Calculate_ReturnsCorrectResultsAndHotIndicator() { var series = new TSeries(); for (int i = 1; i <= 10; i++) series.Add(DateTime.UtcNow, i * 10); var (results, indicator) = Usf.Calculate(series, 5); // Check results Assert.Equal(10, results.Count); Assert.True(double.IsFinite(results.Last.Value)); // Check indicator state Assert.True(indicator.IsHot); Assert.True(double.IsFinite(indicator.Last.Value)); Assert.Equal(5, indicator.WarmupPeriod); // Verify indicator continues correctly indicator.Update(new TValue(DateTime.UtcNow, 110)); Assert.True(double.IsFinite(indicator.Last.Value)); } // ============== Flat Line Test ============== [Fact] public void Usf_FlatLine_ReturnsSameValue() { var usf = new Usf(10); for (int i = 0; i < 20; i++) { usf.Update(new TValue(DateTime.UtcNow, 100)); } // For a flat line, USF should converge to the input value Assert.Equal(100.0, usf.Last.Value, 1e-6); } }