using TradingPlatform.BusinessLayer; namespace QuanTAlib.Tests; public class CorrelationIndicatorTests { [Fact] public void CorrelationIndicator_Constructor_SetsDefaults() { var indicator = new CorrelationIndicator(); Assert.Equal(20, indicator.Period); Assert.Equal(SourceType.Close, indicator.Source); Assert.Equal(SourceType.Open, indicator.Source2); Assert.True(indicator.ShowColdValues); Assert.Equal("CORR - Pearson Correlation Coefficient", indicator.Name); Assert.True(indicator.SeparateWindow); Assert.True(indicator.OnBackGround); } [Fact] public void CorrelationIndicator_MinHistoryDepths_EqualsTwo() { var indicator = new CorrelationIndicator(); Assert.Equal(2, CorrelationIndicator.MinHistoryDepths); Assert.Equal(2, ((IWatchlistIndicator)indicator).MinHistoryDepths); } [Fact] public void CorrelationIndicator_ShortName_IncludesPeriodAndSources() { var indicator = new CorrelationIndicator { Period = 20 }; Assert.Contains("CORR", indicator.ShortName, StringComparison.Ordinal); Assert.Contains("20", indicator.ShortName, StringComparison.Ordinal); } [Fact] public void CorrelationIndicator_Initialize_CreatesInternalCorrelation() { var indicator = new CorrelationIndicator { Period = 10 }; // Initialize should not throw indicator.Initialize(); // After init, line series should exist Assert.Single(indicator.LinesSeries); } [Fact] public void CorrelationIndicator_ProcessUpdate_HistoricalBar_ComputesValue() { var indicator = new CorrelationIndicator { Period = 5 }; indicator.Initialize(); // Add historical data var now = DateTime.UtcNow; indicator.HistoricalData.AddBar(now, 100, 105, 95, 102); // Process update var args = new UpdateArgs(UpdateReason.HistoricalBar); indicator.ProcessUpdate(args); // Line series should have a value (may be NaN during warmup) Assert.Equal(1, indicator.LinesSeries[0].Count); } [Fact] public void CorrelationIndicator_ProcessUpdate_NewBar_ComputesValue() { var indicator = new CorrelationIndicator { Period = 5 }; indicator.Initialize(); var now = DateTime.UtcNow; indicator.HistoricalData.AddBar(now, 100, 105, 95, 102); indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106); indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar)); indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar)); Assert.Equal(2, indicator.LinesSeries[0].Count); } [Fact] public void CorrelationIndicator_ProcessUpdate_NewTick_ProcessesWithoutError() { var indicator = new CorrelationIndicator { Period = 5 }; indicator.Initialize(); var now = DateTime.UtcNow; indicator.HistoricalData.AddBar(now, 100, 105, 95, 102); indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar)); double firstValue = indicator.LinesSeries[0].GetValue(0); // NewTick should not throw indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick)); double secondValue = indicator.LinesSeries[0].GetValue(0); // Values should be produced (may be NaN during warmup, but should not throw) Assert.True(double.IsNaN(firstValue) || double.IsFinite(firstValue)); Assert.True(double.IsNaN(secondValue) || double.IsFinite(secondValue)); } [Fact] public void CorrelationIndicator_MultipleUpdates_ProducesSequence() { var indicator = new CorrelationIndicator { Period = 3 }; indicator.Initialize(); var now = DateTime.UtcNow; // Add bars with different O/C patterns to create varying correlation double[] opens = { 100, 101, 102, 103, 104, 105 }; double[] closes = { 100, 101, 102, 103, 104, 105 }; for (int i = 0; i < opens.Length; i++) { indicator.HistoricalData.AddBar(now.AddMinutes(i), opens[i], opens[i] + 5, opens[i] - 5, closes[i]); indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar)); } // All values should exist Assert.Equal(opens.Length, indicator.LinesSeries[0].Count); } [Fact] public void CorrelationIndicator_DifferentSourceTypes_Work() { var sources = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.Close, SourceType.HL2, SourceType.HLC3 }; foreach (var source in sources) { var indicator = new CorrelationIndicator { Period = 5, Source = source, Source2 = SourceType.Close }; indicator.Initialize(); var now = DateTime.UtcNow; indicator.HistoricalData.AddBar(now, 100, 110, 90, 105); indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar)); // Should have computed a value (may be NaN during warmup, but should not throw) Assert.Equal(1, indicator.LinesSeries[0].Count); } } [Fact] public void CorrelationIndicator_CorrelationBounds() { // This test verifies the indicator produces values in valid range [-1, +1] var indicator = new CorrelationIndicator { Period = 5, Source = SourceType.Close, Source2 = SourceType.Open }; indicator.Initialize(); var now = DateTime.UtcNow; // Add bars with varying patterns for (int i = 0; i < 20; i++) { double open = 100 + i; double close = 100 + i + (i % 2 == 0 ? 2 : -1); // Varying relationship indicator.HistoricalData.AddBar(now.AddMinutes(i), open, open + 5, open - 5, close); indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar)); } // After warmup, should have values in valid range Assert.Equal(20, indicator.LinesSeries[0].Count); // Check that values are bounded for (int i = 0; i < 20; i++) { double value = indicator.LinesSeries[0].GetValue(i); if (double.IsFinite(value)) { Assert.InRange(value, -1.0, 1.0); } } } [Fact] public void CorrelationIndicator_DifferentSource2Types_Work() { var source2Types = new[] { SourceType.Open, SourceType.High, SourceType.Low, SourceType.HL2 }; foreach (var source2 in source2Types) { var indicator = new CorrelationIndicator { Period = 5, Source = SourceType.Close, Source2 = source2 }; indicator.Initialize(); var now = DateTime.UtcNow; indicator.HistoricalData.AddBar(now, 100, 110, 90, 105); indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar)); Assert.Equal(1, indicator.LinesSeries[0].Count); } } [Fact] public void CorrelationIndicator_Period_CanBeChanged() { var indicator = new CorrelationIndicator { Period = 50 }; Assert.Equal(50, indicator.Period); indicator.Period = 100; Assert.Equal(100, indicator.Period); } [Fact] public void CorrelationIndicator_Source2_CanBeChanged() { var indicator = new CorrelationIndicator { Source2 = SourceType.High }; Assert.Equal(SourceType.High, indicator.Source2); indicator.Source2 = SourceType.Low; Assert.Equal(SourceType.Low, indicator.Source2); } [Fact] public void CorrelationIndicator_ReInitialize_ResetsState() { var indicator = new CorrelationIndicator { Period = 5 }; indicator.Initialize(); var now = DateTime.UtcNow; for (int i = 0; i < 10; i++) { indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i); indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar)); } Assert.Equal(10, indicator.LinesSeries[0].Count); // Re-initialize should work without errors var indicator2 = new CorrelationIndicator { Period = 5 }; indicator2.Initialize(); indicator2.HistoricalData.AddBar(now.AddMinutes(100), 200, 210, 190, 205); indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar)); Assert.Equal(1, indicator2.LinesSeries[0].Count); } [Fact] public void CorrelationIndicator_HighLow_ProducesPositiveCorrelation() { // Test with High vs Low - they should be positively correlated var indicator = new CorrelationIndicator { Period = 10, Source = SourceType.High, Source2 = SourceType.Low }; indicator.Initialize(); var now = DateTime.UtcNow; // Add bars with typical High > Low relationship for (int i = 0; i < 15; i++) { double mid = 100 + (i * 0.5); double spread = 5; indicator.HistoricalData.AddBar(now.AddMinutes(i), mid, mid + spread, mid - spread, mid); indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar)); } Assert.Equal(15, indicator.LinesSeries[0].Count); // After warmup period, High and Low should show positive correlation // (they both trend together as price moves) double lastValue = indicator.LinesSeries[0].GetValue(0); if (double.IsFinite(lastValue)) { Assert.True(lastValue > 0, $"Expected positive correlation for High vs Low, got {lastValue}"); } } [Fact] public void CorrelationIndicator_Description_IsSet() { var indicator = new CorrelationIndicator(); Assert.Contains("linear", indicator.Description, StringComparison.OrdinalIgnoreCase); Assert.Contains("-1", indicator.Description, StringComparison.Ordinal); Assert.Contains("+1", indicator.Description, StringComparison.Ordinal); } [Fact] public void CorrelationIndicator_PerfectCorrelation_ReturnsOne() { // When Close == Open for all bars, correlation should be 1.0 (or NaN if zero variance) var indicator = new CorrelationIndicator { Period = 5, Source = SourceType.Close, Source2 = SourceType.Open }; indicator.Initialize(); var now = DateTime.UtcNow; // Add bars where Close always equals Open (perfect linear relationship) for (int i = 0; i < 10; i++) { double price = 100 + i * 2; // Trending up indicator.HistoricalData.AddBar(now.AddMinutes(i), price, price + 5, price - 5, price); indicator.ProcessUpdate(new UpdateArgs(i == 0 ? UpdateReason.HistoricalBar : UpdateReason.NewBar)); } Assert.Equal(10, indicator.LinesSeries[0].Count); // When Open == Close exactly, we get perfect correlation = 1.0 double lastValue = indicator.LinesSeries[0].GetValue(0); if (double.IsFinite(lastValue)) { Assert.Equal(1.0, lastValue, precision: 6); } } }