mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 19:57:44 +00:00
Miha Kralj
060649192f
- Remove 'C# Implementation Considerations' sections from 34 indicator .md files - Delete 29 temp PowerShell scripts (_fix_mojibake.ps1, _hex_scan.ps1, etc.) - Move test files into tests/ subdirectories for consistent project structure - Add trader-focused bullet points to indicator documentation
461 lines
18 KiB
C#
461 lines
18 KiB
C#
using TradingPlatform.BusinessLayer;
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namespace QuanTAlib.Tests;
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public class VwapsdIndicatorTests
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{
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// ── Constructor & Defaults ──────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_Constructor_SetsDefaults()
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{
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var indicator = new VwapsdIndicator();
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Assert.Equal(2.0, indicator.NumDevs);
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Assert.True(indicator.ShowColdValues);
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Assert.Equal("VWAPSD - Volume Weighted Average Price with Configurable Standard Deviation Bands", indicator.Name);
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Assert.False(indicator.SeparateWindow);
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Assert.True(indicator.OnBackGround);
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}
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[Fact]
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public void VwapsdIndicator_Constructor_Description_IsNotEmpty()
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{
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var indicator = new VwapsdIndicator();
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Assert.False(string.IsNullOrWhiteSpace(indicator.Description));
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Assert.Contains("volume", indicator.Description, StringComparison.OrdinalIgnoreCase);
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}
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[Fact]
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public void VwapsdIndicator_Constructor_CreatesFourLineSeries()
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{
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var indicator = new VwapsdIndicator();
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Assert.Equal(4, indicator.LinesSeries.Count);
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}
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[Fact]
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public void VwapsdIndicator_Constructor_LineSeriesNames_BeforeInit()
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{
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var indicator = new VwapsdIndicator();
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// Before OnInit, series have their constructor names
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Assert.Equal("VWAP", indicator.LinesSeries[0].Name);
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Assert.Equal("Upper", indicator.LinesSeries[1].Name);
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Assert.Equal("Lower", indicator.LinesSeries[2].Name);
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Assert.Equal("Width", indicator.LinesSeries[3].Name);
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}
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// ── MinHistoryDepths ────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_MinHistoryDepths_EqualsTwo()
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{
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var indicator = new VwapsdIndicator();
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Assert.Equal(2, indicator.MinHistoryDepths);
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Assert.Equal(2, ((IWatchlistIndicator)indicator).MinHistoryDepths);
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}
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// ── ShortName ───────────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_ShortName_DefaultFormat()
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{
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var indicator = new VwapsdIndicator();
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Assert.Equal("VWAPSD (2.0)", indicator.ShortName);
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}
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[Fact]
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public void VwapsdIndicator_ShortName_IncludesNumDevs()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.5 };
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Assert.Contains("VWAPSD", indicator.ShortName, StringComparison.Ordinal);
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Assert.Contains("2.5", indicator.ShortName, StringComparison.Ordinal);
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}
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// ── SourceCodeLink ──────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_SourceCodeLink_PointsToGitHub()
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{
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var indicator = new VwapsdIndicator();
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Assert.Contains("github.com", indicator.SourceCodeLink, StringComparison.OrdinalIgnoreCase);
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Assert.Contains("Vwapsd.cs", indicator.SourceCodeLink, StringComparison.Ordinal);
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}
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// ── OnInit σ Rename ─────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_Initialize_RenamesSeriesWithSigmaNotation()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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// After OnInit, Upper/Lower should have σ notation
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Assert.Equal("Upper (+2.0σ)", indicator.LinesSeries[1].Name);
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Assert.Equal("Lower (-2.0σ)", indicator.LinesSeries[2].Name);
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}
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[Fact]
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public void VwapsdIndicator_Initialize_SigmaNotation_ReflectsNumDevs()
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{
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var indicator = new VwapsdIndicator { NumDevs = 1.5 };
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indicator.Initialize();
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Assert.Equal("Upper (+1.5σ)", indicator.LinesSeries[1].Name);
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Assert.Equal("Lower (-1.5σ)", indicator.LinesSeries[2].Name);
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}
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[Fact]
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public void VwapsdIndicator_Initialize_PreservesSeriesCount()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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// After init, line series should exist (VWAP, Upper, Lower, Width)
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indicator.Initialize();
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Assert.Equal(4, indicator.LinesSeries.Count);
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}
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// ── Parameters ──────────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_Parameters_CanBeChanged()
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{
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var indicator = new VwapsdIndicator { NumDevs = 1.5 };
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Assert.Equal(1.5, indicator.NumDevs);
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indicator.NumDevs = 2.5;
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Assert.Equal(2.5, indicator.NumDevs);
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}
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[Fact]
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public void VwapsdIndicator_ShowColdValues_CanBeChanged()
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{
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var indicator = new VwapsdIndicator();
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Assert.True(indicator.ShowColdValues);
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indicator.ShowColdValues = false;
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Assert.False(indicator.ShowColdValues);
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}
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// ── ProcessUpdate: HistoricalBar ────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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var args = new UpdateArgs(UpdateReason.HistoricalBar);
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indicator.ProcessUpdate(args);
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Assert.Equal(1, indicator.LinesSeries[0].Count);
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
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}
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// ── ProcessUpdate: NewBar ───────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_ProcessUpdate_NewBar_ComputesValue()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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indicator.HistoricalData.AddBar(now.AddMinutes(1), 102, 108, 100, 106, 1500);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
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Assert.Equal(2, indicator.LinesSeries[0].Count);
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}
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// ── ProcessUpdate: NewTick ──────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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double firstValue = indicator.LinesSeries[0].GetValue(0);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
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double secondValue = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(firstValue));
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Assert.True(double.IsFinite(secondValue));
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}
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// ── MultipleUpdates ─────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_MultipleUpdates_ProducesCorrectSequence()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 102, 104, 103, 105 };
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double[] volumes = { 1000, 1500, 2000, 1200, 1800 };
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for (int i = 0; i < closes.Length; i++)
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{
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double close = closes[i];
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indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close, volumes[i]);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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// All values should be finite
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for (int i = 0; i < closes.Length; i++)
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{
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Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(closes.Length - 1 - i)));
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}
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// VWAP should be within price range
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double lastVwap = indicator.LinesSeries[0].GetValue(0);
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Assert.True(lastVwap >= 95 && lastVwap <= 110);
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}
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// ── AllBandsUpdate ──────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_AllBandsUpdate_Correctly()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 105 + i, 95 + i, 102 + i, 1000 + i * 100);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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}
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// Verify all 4 line series have values (VWAP, Upper, Lower, Width)
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Assert.Equal(4, indicator.LinesSeries.Count);
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foreach (var series in indicator.LinesSeries)
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{
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Assert.Equal(5, series.Count);
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Assert.True(double.IsFinite(series.GetValue(0)));
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}
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}
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// ── BandRelationships ───────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_BandRelationships_AreCorrect()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 105, 95, 110, 90, 105, 100, 108, 92, 103 };
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double[] volumes = { 1000, 1500, 2000, 1200, 1800, 1100, 1600, 1300, 1900, 1400 };
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for (int i = 0; i < closes.Length; i++)
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{
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double close = closes[i];
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indicator.HistoricalData.AddBar(now, close, close + 3, close - 3, close, volumes[i]);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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double vwap = indicator.LinesSeries[0].GetValue(0);
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double upper = indicator.LinesSeries[1].GetValue(0);
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double lower = indicator.LinesSeries[2].GetValue(0);
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double width = indicator.LinesSeries[3].GetValue(0);
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Assert.True(upper >= vwap, $"Upper ({upper}) should be >= VWAP ({vwap})");
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Assert.True(vwap >= lower, $"VWAP ({vwap}) should be >= Lower ({lower})");
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Assert.True(Math.Abs(width - (upper - lower)) < 0.0001,
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$"Width ({width}) should equal Upper - Lower ({upper - lower})");
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}
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// ── VolumeWeighting ─────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_VolumeWeighting_AffectsVwap()
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{
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var indicator1 = new VwapsdIndicator { NumDevs = 2.0 };
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var indicator2 = new VwapsdIndicator { NumDevs = 2.0 };
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indicator1.Initialize();
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indicator2.Initialize();
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var now = DateTime.UtcNow;
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// Indicator1: high volume on low price, low volume on high price
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indicator1.HistoricalData.AddBar(now, 100, 102, 98, 100, 10000);
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indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator1.HistoricalData.AddBar(now.AddMinutes(1), 110, 112, 108, 110, 100);
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indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// Indicator2: low volume on low price, high volume on high price
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indicator2.HistoricalData.AddBar(now, 100, 102, 98, 100, 100);
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indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator2.HistoricalData.AddBar(now.AddMinutes(1), 110, 112, 108, 110, 10000);
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indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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double vwap1 = indicator1.LinesSeries[0].GetValue(0);
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double vwap2 = indicator2.LinesSeries[0].GetValue(0);
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Assert.True(vwap1 < vwap2, $"VWAP1 ({vwap1}) should be less than VWAP2 ({vwap2}) due to volume weighting");
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}
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// ── NumDevs Effect ──────────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_NumDevs_AffectsBandWidth()
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{
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var indicator1 = new VwapsdIndicator { NumDevs = 1.0 };
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var indicator2 = new VwapsdIndicator { NumDevs = 2.0 };
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indicator1.Initialize();
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indicator2.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 105, 95, 110, 90 };
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double[] volumes = { 1000, 1500, 2000, 1200, 1800 };
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for (int i = 0; i < closes.Length; i++)
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{
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double close = closes[i];
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indicator1.HistoricalData.AddBar(now, close, close + 3, close - 3, close, volumes[i]);
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indicator1.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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indicator2.HistoricalData.AddBar(now, close, close + 3, close - 3, close, volumes[i]);
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indicator2.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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double width1 = indicator1.LinesSeries[3].GetValue(0);
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double width2 = indicator2.LinesSeries[3].GetValue(0);
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// Width2 should be approximately 2x Width1
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Assert.True(Math.Abs(width2 - 2 * width1) < 0.0001,
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$"Width2 ({width2}) should be ~2x Width1 ({width1})");
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}
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// ── Width Non-Negative ──────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_Width_IsNonNegative()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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double[] closes = { 100, 102, 98, 105, 97, 103, 101, 99 };
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double[] volumes = { 1000, 1200, 800, 1500, 900, 1100, 1300, 700 };
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for (int i = 0; i < closes.Length; i++)
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{
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double close = closes[i];
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indicator.HistoricalData.AddBar(now, close, close + 2, close - 2, close, volumes[i]);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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now = now.AddMinutes(1);
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}
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// Width should be non-negative at every bar
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for (int i = 0; i < closes.Length; i++)
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{
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double w = indicator.LinesSeries[3].GetValue(closes.Length - 1 - i);
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Assert.True(w >= 0.0, $"Width at bar {i} ({w}) should be >= 0");
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}
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}
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// ── SingleBar Zero Width ────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_SingleBar_ProducesZeroWidth()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// With only one bar, stddev is 0 → width should be 0
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double width = indicator.LinesSeries[3].GetValue(0);
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Assert.Equal(0.0, width, 4);
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}
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// ── ShowColdValues False ────────────────────────────────────────────
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[Fact]
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public void VwapsdIndicator_ShowColdValues_False_SuppressesColdValues()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0, ShowColdValues = false };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// With ShowColdValues=false, cold bars produce NaN
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double vwap = indicator.LinesSeries[0].GetValue(0);
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// Value is either NaN (suppressed) or finite (hot)
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Assert.True(double.IsNaN(vwap) || double.IsFinite(vwap));
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}
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[Fact]
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public void VwapsdIndicator_ShowColdValues_True_ShowsAllValues()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0, ShowColdValues = true };
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indicator.Initialize();
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var now = DateTime.UtcNow;
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indicator.HistoricalData.AddBar(now, 100, 105, 95, 102, 1000);
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indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
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// With ShowColdValues=true, all values should be finite
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double vwap = indicator.LinesSeries[0].GetValue(0);
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Assert.True(double.IsFinite(vwap));
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}
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// ── ReInitialize Updates Series Names ───────────────────────────────
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[Fact]
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public void VwapsdIndicator_ReInitialize_UpdatesSigmaNotation()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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Assert.Equal("Upper (+2.0σ)", indicator.LinesSeries[1].Name);
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Assert.Equal("Lower (-2.0σ)", indicator.LinesSeries[2].Name);
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// Change NumDevs and re-init
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indicator.NumDevs = 3.0;
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indicator.Initialize();
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Assert.Equal("Upper (+3.0σ)", indicator.LinesSeries[1].Name);
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Assert.Equal("Lower (-3.0σ)", indicator.LinesSeries[2].Name);
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}
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// ── VWAP Series Name Unchanged After Init ───────────────────────────
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[Fact]
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public void VwapsdIndicator_Initialize_VwapAndWidthNames_Unchanged()
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{
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var indicator = new VwapsdIndicator { NumDevs = 2.0 };
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indicator.Initialize();
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// VWAP and Width series names should remain as constructor set them
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Assert.Equal("VWAP", indicator.LinesSeries[0].Name);
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Assert.Equal("Width", indicator.LinesSeries[3].Name);
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}
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}
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