mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-01 19:27:44 +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
558 lines
21 KiB
C#
558 lines
21 KiB
C#
using Xunit;
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namespace QuanTAlib.Tests;
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public class QstickTests
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{
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// ═══════════════════════════════════════════════════════════════════════════
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// Constructor Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Constructor_DefaultParameters_CreatesValidIndicator()
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{
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var qstick = new Qstick();
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Assert.Equal(14, qstick.Period);
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Assert.False(qstick.UseEma);
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Assert.Equal("QSTICK(14)", qstick.Name);
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}
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[Fact]
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public void Constructor_CustomPeriod_SetsCorrectly()
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{
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var qstick = new Qstick(20);
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Assert.Equal(20, qstick.Period);
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}
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[Fact]
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public void Constructor_EmaMode_SetsCorrectly()
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{
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var qstick = new Qstick(14, useEma: true);
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Assert.True(qstick.UseEma);
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Assert.Equal("QSTICK(14,EMA)", qstick.Name);
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}
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[Fact]
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public void Constructor_PeriodLessThanOne_ThrowsException()
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{
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Assert.Throws<ArgumentException>(() => new Qstick(0));
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}
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[Fact]
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public void Constructor_NegativePeriod_ThrowsException()
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{
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Assert.Throws<ArgumentException>(() => new Qstick(-1));
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}
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[Fact]
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public void Constructor_PeriodOne_IsValid()
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{
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var qstick = new Qstick(1);
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Assert.Equal(1, qstick.Period);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Basic Calculation Tests - SMA Mode
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_SingleBullishBar_ReturnsPositiveValue()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(5.0, result.Value); // close - open = 105 - 100 = 5
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}
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[Fact]
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public void Update_SingleBearishBar_ReturnsNegativeValue()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 105.0, 105.0, 99.0, 100.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(-5.0, result.Value); // close - open = 100 - 105 = -5
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}
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[Fact]
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public void Update_DojiBar_ReturnsZero()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 100.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(0.0, result.Value); // close - open = 100 - 100 = 0
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}
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[Fact]
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public void Update_ThreeBars_CalculatesCorrectSMA()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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// Bar 1: +5 (bullish)
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: -3 (bearish)
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 97.0, 1000));
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// Bar 3: +2 (bullish)
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// SMA = (5 + -3 + 2) / 3 = 4/3 ≈ 1.333
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Assert.Equal(4.0 / 3.0, result.Value, 10);
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Assert.True(qstick.IsHot);
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}
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[Fact]
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public void Update_NotWarmUp_ReturnsPartialAverage()
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{
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var qstick = new Qstick(5);
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var time = DateTime.UtcNow;
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// Bar 1: +5
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: +3
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var result = qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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// Partial average = (5 + 3) / 2 = 4
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Assert.Equal(4.0, result.Value, 10);
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Assert.False(qstick.IsHot);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Basic Calculation Tests - EMA Mode
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_EmaMode_FirstBar_ReturnsDiff()
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{
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var qstick = new Qstick(14, useEma: true);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(5.0, result.Value);
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}
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[Fact]
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public void Update_EmaMode_MultipleBar_CalculatesEma()
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{
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var qstick = new Qstick(3, useEma: true); // alpha = 2/(3+1) = 0.5
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var time = DateTime.UtcNow;
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// Bar 1: diff = 5
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2: diff = -3, EMA = 0.5 * -3 + 0.5 * 5 = 1.0
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var result = qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 97.0, 1000));
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Assert.Equal(1.0, result.Value, 10);
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}
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[Fact]
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public void Update_EmaMode_IsHotFromFirstBar()
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{
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var qstick = new Qstick(14, useEma: true);
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var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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qstick.Update(bar);
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Assert.True(qstick.IsHot);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Bar Correction Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_IsNewFalse_CorrectsPreviousBar()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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// Bar 1
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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// Bar 2
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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// Bar 3 initial
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// Bar 3 correction (close changes from 102 to 108)
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 108.0, 1000), isNew: false);
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// SMA = (5 + 3 + 8) / 3 = 16/3 ≈ 5.333
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Assert.Equal(16.0 / 3.0, result.Value, 10);
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}
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[Fact]
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public void Update_MultipleCorrections_ProducesSameResult()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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// Multiple corrections to same bar should be idempotent
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 107.0, 1000), isNew: false);
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// SMA = (5 + 3 + 7) / 3 = 15/3 = 5
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Assert.Equal(5.0, result.Value, 10);
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}
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[Fact]
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public void Update_EmaMode_BarCorrection_Works()
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{
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var qstick = new Qstick(3, useEma: true); // alpha = 0.5
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff=5, ema=5
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff=3, ema=0.5*3+0.5*5=4
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000)); // diff=2, ema=0.5*2+0.5*4=3
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// Correct bar 3: diff changes from 2 to 8
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var result = qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 110.0, 95.0, 108.0, 1000), isNew: false);
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// ema = 0.5*8 + 0.5*4 = 6
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Assert.Equal(6.0, result.Value, 10);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Edge Case Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_NaNOpen_ReturnsLastValue()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result1 = qstick.Update(bar1);
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var bar2 = new TBar(time.AddMinutes(1).Ticks, double.NaN, 105.0, 99.0, 105.0, 1000);
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var result2 = qstick.Update(bar2);
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Assert.Equal(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_NaNClose_ReturnsLastValue()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result1 = qstick.Update(bar1);
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var bar2 = new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 99.0, double.NaN, 1000);
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var result2 = qstick.Update(bar2);
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Assert.Equal(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_InfinityInput_ReturnsLastValue()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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var bar1 = new TBar(time.Ticks, 100.0, 105.0, 99.0, 105.0, 1000);
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var result1 = qstick.Update(bar1);
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var bar2 = new TBar(time.AddMinutes(1).Ticks, double.PositiveInfinity, 105.0, 99.0, 105.0, 1000);
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var result2 = qstick.Update(bar2);
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Assert.Equal(result1.Value, result2.Value);
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}
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[Fact]
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public void Update_LargeValues_CalculatesCorrectly()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 1e10, 1.1e10, 0.9e10, 1.05e10, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(0.05e10, result.Value, 1);
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}
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[Fact]
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public void Update_SmallValues_CalculatesCorrectly()
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{
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var qstick = new Qstick(1);
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var bar = new TBar(DateTime.UtcNow.Ticks, 0.0001, 0.00015, 0.00009, 0.00012, 1000);
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var result = qstick.Update(bar);
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Assert.Equal(0.00002, result.Value, 10);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Reset Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Reset_ClearsState()
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{
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var qstick = new Qstick(3);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
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Assert.True(qstick.IsHot);
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qstick.Reset();
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Assert.False(qstick.IsHot);
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Assert.Equal(default, qstick.Last);
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}
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[Fact]
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public void Reset_EmaMode_ClearsState()
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{
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var qstick = new Qstick(3, useEma: true);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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Assert.True(qstick.IsHot);
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qstick.Reset();
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Assert.False(qstick.IsHot);
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}
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[Fact]
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public void Reset_CanReuseAfterReset()
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{
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var qstick = new Qstick(2);
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var time = DateTime.UtcNow;
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qstick.Update(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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qstick.Update(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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qstick.Reset();
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// New data after reset
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qstick.Update(new TBar(time.AddMinutes(2).Ticks, 100.0, 105.0, 95.0, 98.0, 1000)); // diff = -2
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var result = qstick.Update(new TBar(time.AddMinutes(3).Ticks, 100.0, 105.0, 95.0, 106.0, 1000)); // diff = 6
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// SMA = (-2 + 6) / 2 = 2
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Assert.Equal(2.0, result.Value, 10);
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Assert.True(qstick.IsHot);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Batch Processing Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Update_BarSeries_ReturnsCorrectLength()
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{
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var qstick = new Qstick(3);
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
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var result = qstick.Update(bars);
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Assert.Equal(3, result.Count);
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}
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[Fact]
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public void Update_BarSeries_LastValueMatchesLast()
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{
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var qstick = new Qstick(3);
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
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var result = qstick.Update(bars);
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Assert.Equal(qstick.Last.Value, result.Values[^1], 10);
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}
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[Fact]
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public void Update_EmptyBarSeries_ReturnsEmpty()
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{
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var qstick = new Qstick(3);
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var bars = new TBarSeries();
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var result = qstick.Update(bars);
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Assert.True(result.Count == 0);
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}
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[Fact]
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public void Batch_ReturnsCorrectResults()
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{
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000)); // diff = 5
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000)); // diff = 3
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000)); // diff = 6
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var result = Qstick.Batch(bars, period: 3);
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// Last value = SMA(5, 3, 6) = 14/3 ≈ 4.667
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Assert.Equal(14.0 / 3.0, result.Values[^1], 10);
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}
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[Fact]
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public void Calculate_ReturnsIndicatorAndResults()
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{
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
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var (results, indicator) = Qstick.Calculate(bars, period: 3);
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Assert.Equal(3, results.Count);
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Assert.True(indicator.IsHot);
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Assert.Equal(3, indicator.Period);
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}
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// ═══════════════════════════════════════════════════════════════════════════
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// Prime Tests
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// ═══════════════════════════════════════════════════════════════════════════
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[Fact]
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public void Prime_WarmUpIndicator()
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{
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var qstick = new Qstick(3);
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var bars = new TBarSeries();
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var time = DateTime.UtcNow;
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bars.Add(new TBar(time.Ticks, 100.0, 110.0, 95.0, 105.0, 1000));
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bars.Add(new TBar(time.AddMinutes(1).Ticks, 100.0, 105.0, 95.0, 103.0, 1000));
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bars.Add(new TBar(time.AddMinutes(2).Ticks, 100.0, 108.0, 95.0, 106.0, 1000));
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qstick.Prime(bars);
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|
|
|
Assert.True(qstick.IsHot);
|
|
Assert.NotEqual(default, qstick.Last);
|
|
}
|
|
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
// Event Tests
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
|
|
[Fact]
|
|
public void Update_RaisesPubEvent()
|
|
{
|
|
var qstick = new Qstick(3);
|
|
var eventRaised = false;
|
|
TValue receivedValue = default;
|
|
|
|
qstick.Pub += (object? sender, in TValueEventArgs args) =>
|
|
{
|
|
eventRaised = true;
|
|
receivedValue = args.Value;
|
|
};
|
|
|
|
var bar = new TBar(DateTime.UtcNow.Ticks, 100.0, 110.0, 95.0, 105.0, 1000);
|
|
var result = qstick.Update(bar);
|
|
|
|
Assert.True(eventRaised);
|
|
Assert.Equal(result.Value, receivedValue.Value);
|
|
}
|
|
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
// Property Tests
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
|
|
[Fact]
|
|
public void WarmupPeriod_EqualsPeriod()
|
|
{
|
|
var qstick = new Qstick(20);
|
|
Assert.Equal(20, qstick.WarmupPeriod);
|
|
}
|
|
|
|
[Fact]
|
|
public void IsHot_SmaMode_FalseBeforeFullPeriod()
|
|
{
|
|
var qstick = new Qstick(5);
|
|
var time = DateTime.UtcNow;
|
|
|
|
for (int i = 0; i < 4; i++)
|
|
{
|
|
qstick.Update(new TBar(time.AddMinutes(i).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
|
|
Assert.False(qstick.IsHot);
|
|
}
|
|
|
|
qstick.Update(new TBar(time.AddMinutes(4).Ticks, 100.0, 105.0, 95.0, 102.0, 1000));
|
|
Assert.True(qstick.IsHot);
|
|
}
|
|
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
// Consistency Tests
|
|
// ═══════════════════════════════════════════════════════════════════════════
|
|
|
|
[Fact]
|
|
public void Update_BatchVsStreaming_ProducesSameResults()
|
|
{
|
|
var bars = new TBarSeries();
|
|
var time = DateTime.UtcNow;
|
|
|
|
for (int i = 0; i < 20; i++)
|
|
{
|
|
double open = 100.0 + i * 0.5;
|
|
double close = open + (i % 3 - 1); // varies between -1, 0, 1
|
|
bars.Add(new TBar(time.AddMinutes(i).Ticks, open, open + 2, open - 1, close, 1000));
|
|
}
|
|
|
|
// Batch processing
|
|
var batchQstick = new Qstick(5);
|
|
var batchResult = batchQstick.Update(bars);
|
|
|
|
// Streaming processing
|
|
var streamQstick = new Qstick(5);
|
|
var streamResults = new List<double>();
|
|
for (int i = 0; i < bars.Count; i++)
|
|
{
|
|
var result = streamQstick.Update(bars[i]);
|
|
streamResults.Add(result.Value);
|
|
}
|
|
|
|
// Compare results
|
|
for (int i = 0; i < bars.Count; i++)
|
|
{
|
|
Assert.Equal(batchResult.Values[i], streamResults[i], 10);
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void SmaVsEma_DifferentResults()
|
|
{
|
|
var bars = new TBarSeries();
|
|
var time = DateTime.UtcNow;
|
|
|
|
for (int i = 0; i < 10; i++)
|
|
{
|
|
double open = 100.0;
|
|
double close = 100.0 + (i % 2 == 0 ? 5 : -3);
|
|
bars.Add(new TBar(time.AddMinutes(i).Ticks, open, 110.0, 95.0, close, 1000));
|
|
}
|
|
|
|
var smaQstick = new Qstick(5, useEma: false);
|
|
var emaQstick = new Qstick(5, useEma: true);
|
|
|
|
var smaResult = smaQstick.Update(bars);
|
|
var emaResult = emaQstick.Update(bars);
|
|
|
|
// SMA and EMA should produce different results (EMA weights more recent)
|
|
Assert.NotEqual(smaResult.Values[^1], emaResult.Values[^1]);
|
|
}
|
|
}
|