mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-01 11:17:46 +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
671 lines
19 KiB
C#
671 lines
19 KiB
C#
namespace QuanTAlib.Tests;
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public class VhfTests
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{
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// ============== A) Constructor & Parameter Validation ==============
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[Fact]
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public void Constructor_ValidatesPeriod_Zero()
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{
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Assert.Throws<ArgumentException>(() => new Vhf(0));
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}
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[Fact]
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public void Constructor_ValidatesPeriod_One()
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{
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Assert.Throws<ArgumentException>(() => new Vhf(1));
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}
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[Fact]
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public void Constructor_ValidatesPeriod_Negative()
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{
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Assert.Throws<ArgumentException>(() => new Vhf(-5));
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}
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[Fact]
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public void Constructor_DefaultPeriod_Works()
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{
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var vhf = new Vhf();
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Assert.Contains("28", vhf.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_CustomPeriod_Works()
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{
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var vhf = new Vhf(14);
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Assert.Contains("14", vhf.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_Period2_Works()
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{
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var vhf = new Vhf(2);
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Assert.NotNull(vhf);
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Assert.Equal(3, vhf.WarmupPeriod);
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}
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// ============== B) Basic Calculation ==============
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var vhf = new Vhf(14);
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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vhf.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(double.IsFinite(vhf.Last.Value));
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}
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[Fact]
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public void Calc_ReturnsValue()
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{
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var vhf = new Vhf(5);
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Assert.Equal(0, vhf.Last.Value);
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var result = vhf.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(result.Value));
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Assert.Equal(result.Value, vhf.Last.Value);
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}
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[Fact]
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public void Properties_Accessible()
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{
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var vhf = new Vhf(28);
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Assert.Equal(0, vhf.Last.Value);
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Assert.False(vhf.IsHot);
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Assert.Contains("Vhf", vhf.Name, StringComparison.Ordinal);
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Assert.True(vhf.WarmupPeriod > 0);
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Assert.Equal(29, vhf.WarmupPeriod);
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}
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[Fact]
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public void ConstantPrice_ReturnsZeroAfterWarmup()
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{
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var vhf = new Vhf(5);
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for (int i = 0; i < 20; i++)
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{
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vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100));
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}
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Assert.True(vhf.IsHot);
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Assert.Equal(0.0, vhf.Last.Value, 1e-10);
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}
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[Fact]
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public void OutputAlwaysNonNegative()
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{
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var vhf = new Vhf(10);
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var gbm = new GBM(startPrice: 100.0, mu: -0.5, sigma: 1.0);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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var result = vhf.Update(new TValue(bar.Time, bar.Close));
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Assert.True(result.Value >= 0, $"VHF must be non-negative, got {result.Value}");
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}
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}
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[Fact]
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public void MonotonicIncrease_ProducesHighVhf()
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{
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var vhf = new Vhf(5);
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var baseTime = DateTime.UtcNow;
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// Feed monotonically increasing prices: each bar +1
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// VHF = (high-low) / sum(|changes|) = (5) / (5*1) = 1.0
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for (int i = 0; i < 20; i++)
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{
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vhf.Update(new TValue(baseTime.AddMinutes(i), 100 + i));
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}
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Assert.True(vhf.IsHot);
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// For monotonic increase, VHF should be exactly 1.0
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Assert.Equal(1.0, vhf.Last.Value, 1e-10);
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}
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// ============== C) State Management & Bar Correction ==============
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[Fact]
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public void Calc_IsNew_AcceptsParameter()
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{
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var vhf = new Vhf(5);
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vhf.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(1), 105), isNew: true);
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Assert.True(vhf.Last.Value >= 0);
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}
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[Fact]
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public void Calc_IsNew_False_UpdatesValue()
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{
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var vhf = new Vhf(5);
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
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var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed 10 bars to get past warmup
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for (int i = 0; i < 10; i++)
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{
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vhf.Update(new TValue(bars[i].Time, bars[i].Close), isNew: true);
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}
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double beforeUpdate = vhf.Last.Value;
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// Correct with a very different value
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vhf.Update(new TValue(bars[9].Time, bars[9].Close * 2), isNew: false);
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double afterUpdate = vhf.Last.Value;
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Assert.NotEqual(beforeUpdate, afterUpdate);
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}
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[Fact]
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public void IsNew_Consistency()
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{
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var vhf = new Vhf(5);
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var gbm = new GBM();
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed first 14
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for (int i = 0; i < 14; i++)
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{
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vhf.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Feed 15th bar (isNew=true)
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vhf.Update(new TValue(bars[14].Time, bars[14].Close), true);
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// Correct with modified value (isNew=false)
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double modifiedClose = bars[14].Close + 50.0;
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double val2 = vhf.Update(new TValue(bars[14].Time, modifiedClose), false).Value;
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// Create new instance and feed up to modified
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var vhf2 = new Vhf(5);
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for (int i = 0; i < 14; i++)
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{
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vhf2.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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double val3 = vhf2.Update(new TValue(bars[14].Time, modifiedClose), true).Value;
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Assert.Equal(val3, val2, 1e-9);
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var vhf = new Vhf(5);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed 10 new values
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TValue tenthValue = default;
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for (int i = 0; i < 10; i++)
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{
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tenthValue = new TValue(bars[i].Time, bars[i].Close);
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vhf.Update(tenthValue, isNew: true);
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}
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// Remember state after 10 values
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double stateAfter10 = vhf.Last.Value;
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// Generate corrections with isNew=false (different values)
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for (int i = 10; i < 20; i++)
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{
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vhf.Update(new TValue(bars[i].Time, bars[i].Close), isNew: false);
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}
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// Feed the remembered 10th value again with isNew=false
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TValue finalResult = vhf.Update(tenthValue, isNew: false);
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// State should match the original state after 10 values
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Assert.Equal(stateAfter10, finalResult.Value, 1e-10);
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}
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[Fact]
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public void Reset_Works()
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{
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var vhf = new Vhf(5);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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foreach (var bar in bars)
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{
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vhf.Update(new TValue(bar.Time, bar.Close));
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}
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Assert.True(vhf.IsHot);
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vhf.Reset();
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Assert.Equal(0, vhf.Last.Value);
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Assert.False(vhf.IsHot);
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// After reset, should accept new values
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vhf.Update(new TValue(bars[0].Time, bars[0].Close));
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Assert.True(double.IsFinite(vhf.Last.Value));
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}
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// ============== D) Warmup & Convergence ==============
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[Fact]
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public void IsHot_BecomesTrueWhenBufferFull()
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{
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var vhf = new Vhf(5);
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Assert.False(vhf.IsHot);
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var baseTime = DateTime.UtcNow;
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// Need period+1 = 6 values for IsHot
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for (int i = 0; i < 5; i++)
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{
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vhf.Update(new TValue(baseTime.AddMinutes(i), 100 + i));
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Assert.False(vhf.IsHot);
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}
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// 6th value should make it hot (close buffer size = period+1 = 6)
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vhf.Update(new TValue(baseTime.AddMinutes(5), 105));
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Assert.True(vhf.IsHot);
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}
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[Fact]
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public void IsHot_IsPeriodDependent()
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{
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var vhf28 = new Vhf(28);
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var vhf5 = new Vhf(5);
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Assert.Equal(29, vhf28.WarmupPeriod);
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Assert.Equal(6, vhf5.WarmupPeriod);
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}
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// ============== E) NaN/Infinity Handling ==============
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var vhf = new Vhf(5);
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for (int i = 0; i < 10; i++)
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{
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vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
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}
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// Feed NaN
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var resultAfterNaN = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10), double.NaN));
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Assert.True(double.IsFinite(resultAfterNaN.Value));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var vhf = new Vhf(5);
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for (int i = 0; i < 10; i++)
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{
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vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
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}
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var resultAfterInf = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10), double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterInf.Value));
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var resultAfterNegInf = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(11), double.NegativeInfinity));
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Assert.True(double.IsFinite(resultAfterNegInf.Value));
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}
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[Fact]
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public void MultipleNaN_ContinuesWithLastValid()
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{
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var vhf = new Vhf(5);
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for (int i = 0; i < 10; i++)
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{
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vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
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}
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// Feed several NaN values
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for (int i = 0; i < 5; i++)
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{
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var result = vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(10 + i), double.NaN));
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Assert.True(double.IsFinite(result.Value));
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}
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}
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[Fact]
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public void BatchNaN_Safe()
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{
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var vhf = new Vhf(5);
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var gbm = new GBM();
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var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed normal values
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for (int i = 0; i < 10; i++)
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{
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vhf.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Feed NaN values
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for (int i = 0; i < 5; i++)
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{
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var result = vhf.Update(new TValue(DateTime.UtcNow.AddHours(i + 1), double.NaN));
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Assert.True(double.IsFinite(result.Value));
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}
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// Resume normal
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for (int i = 10; i < 20; i++)
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{
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var result = vhf.Update(new TValue(bars[i].Time, bars[i].Close));
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Assert.True(double.IsFinite(result.Value));
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}
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}
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// ============== F) Consistency Tests ==============
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[Fact]
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public void BatchCalc_MatchesIterativeCalc()
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{
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var vhfIterative = new Vhf(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Iterative
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var iterativeResults = new TSeries();
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foreach (var tv in series)
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{
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iterativeResults.Add(vhfIterative.Update(tv));
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}
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// Batch
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var batchResults = Vhf.Batch(series, 10);
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Assert.Equal(iterativeResults.Count, batchResults.Count);
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for (int i = 0; i < iterativeResults.Count; i++)
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{
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Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10);
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}
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}
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[Fact]
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public void TSeries_Update_MatchesStreaming()
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{
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var vhf1 = new Vhf(10);
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var vhf2 = new Vhf(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Streaming
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foreach (var tv in series)
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{
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vhf1.Update(tv);
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}
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// Batch via Update(TSeries)
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vhf2.Update(series);
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Assert.Equal(vhf1.Last.Value, vhf2.Last.Value, 1e-10);
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}
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[Fact]
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public void SpanBatch_MatchesStreaming()
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{
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var vhf = new Vhf(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Streaming
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var streamResults = new double[100];
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for (int i = 0; i < 100; i++)
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{
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streamResults[i] = vhf.Update(series[i]).Value;
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}
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// Span batch
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var values = series.Values.ToArray();
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var spanResults = new double[100];
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Vhf.Batch(values, spanResults, 10);
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(streamResults[i], spanResults[i], 1e-10);
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}
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}
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[Fact]
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public void EventBased_MatchesStreaming()
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{
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var vhf1 = new Vhf(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Collect event-based results
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var eventResults = new List<double>();
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vhf1.Pub += (object? _, in TValueEventArgs e) => eventResults.Add(e.Value.Value);
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foreach (var tv in series)
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{
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vhf1.Update(tv);
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}
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// Collect streaming results
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var vhf2 = new Vhf(10);
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var streamResults = new List<double>();
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foreach (var tv in series)
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{
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streamResults.Add(vhf2.Update(tv).Value);
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}
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Assert.Equal(streamResults.Count, eventResults.Count);
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for (int i = 0; i < streamResults.Count; i++)
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{
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Assert.Equal(streamResults[i], eventResults[i], 1e-10);
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}
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}
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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int period = 10;
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch
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var batchSeries = Vhf.Batch(series, period);
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double expected = batchSeries.Last.Value;
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// 2. Span
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var values = series.Values.ToArray();
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var spanOutput = new double[values.Length];
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Vhf.Batch(values, spanOutput, period);
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double spanResult = spanOutput[^1];
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// 3. Streaming
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var streamingInd = new Vhf(period);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing
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var pubSource = new TSeries();
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var eventingInd = new Vhf(pubSource, period);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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Assert.Equal(expected, spanResult, 1e-9);
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Assert.Equal(expected, streamingResult, 1e-9);
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Assert.Equal(expected, eventingResult, 1e-9);
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}
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// ============== G) Span API Tests ==============
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[Fact]
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public void SpanBatch_ValidatesLengths()
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{
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double[] source = new double[10];
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double[] output = new double[5]; // too small
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Assert.Throws<ArgumentException>(() => Vhf.Batch(source, output, 5));
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}
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[Fact]
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public void SpanBatch_ValidatesPeriod()
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{
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double[] source = new double[10];
|
|
double[] output = new double[10];
|
|
|
|
var ex = Assert.Throws<ArgumentException>(() => Vhf.Batch(source, output, 1));
|
|
Assert.Equal("period", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void SpanBatch_ValidatesPeriod_Zero()
|
|
{
|
|
double[] source = new double[10];
|
|
double[] output = new double[10];
|
|
|
|
var ex = Assert.Throws<ArgumentException>(() => Vhf.Batch(source, output, 0));
|
|
Assert.Equal("period", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void SpanBatch_EmptyInput_NoOp()
|
|
{
|
|
double[] source = Array.Empty<double>();
|
|
double[] output = Array.Empty<double>();
|
|
|
|
var ex = Record.Exception(() => Vhf.Batch(source, output, 5));
|
|
Assert.Null(ex);
|
|
}
|
|
|
|
[Fact]
|
|
public void SpanBatch_NaN_HandledGracefully()
|
|
{
|
|
double[] source = { 100, 101, double.NaN, 103, 104, 105, 106, 107, 108, 109, 110 };
|
|
double[] output = new double[source.Length];
|
|
|
|
Vhf.Batch(source, output, 5);
|
|
|
|
for (int i = 0; i < output.Length; i++)
|
|
{
|
|
Assert.True(double.IsFinite(output[i]), $"Output[{i}] should be finite but was {output[i]}");
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void SpanBatch_MatchesTSeriesCalc()
|
|
{
|
|
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
|
|
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
// TSeries path
|
|
var tsResults = Vhf.Batch(series, 10);
|
|
|
|
// Span path
|
|
var values = series.Values.ToArray();
|
|
var spanOutput = new double[values.Length];
|
|
Vhf.Batch(values, spanOutput, 10);
|
|
|
|
for (int i = 0; i < values.Length; i++)
|
|
{
|
|
Assert.Equal(tsResults[i].Value, spanOutput[i], 1e-10);
|
|
}
|
|
}
|
|
|
|
// ============== H) Chainability ==============
|
|
|
|
[Fact]
|
|
public void Chainability_Works()
|
|
{
|
|
var vhf = new Vhf(10);
|
|
var gbm = new GBM();
|
|
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
var result = vhf.Update(series);
|
|
Assert.Equal(50, result.Count);
|
|
Assert.Equal(vhf.Last.Value, result.Last.Value);
|
|
}
|
|
|
|
[Fact]
|
|
public void PubEvent_Fires()
|
|
{
|
|
var vhf = new Vhf(5);
|
|
int eventCount = 0;
|
|
vhf.Pub += (object? _, in TValueEventArgs _) => eventCount++;
|
|
|
|
for (int i = 0; i < 15; i++)
|
|
{
|
|
vhf.Update(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
|
|
}
|
|
|
|
Assert.Equal(15, eventCount);
|
|
}
|
|
|
|
[Fact]
|
|
public void Chaining_ViaConstructor_Works()
|
|
{
|
|
// Create a source SMA
|
|
var sma = new Sma(5);
|
|
var vhf = new Vhf(sma, 10);
|
|
|
|
var gbm = new GBM();
|
|
var bars = gbm.Fetch(30, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
// When SMA updates, chained VHF should also update
|
|
foreach (var tv in series)
|
|
{
|
|
sma.Update(tv);
|
|
}
|
|
|
|
Assert.True(double.IsFinite(vhf.Last.Value));
|
|
}
|
|
|
|
// ============== VHF-Specific Tests ==============
|
|
|
|
[Fact]
|
|
public void StaticBatch_Works()
|
|
{
|
|
var gbm = new GBM();
|
|
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
var results = Vhf.Batch(series, 28);
|
|
|
|
Assert.Equal(100, results.Count);
|
|
Assert.True(double.IsFinite(results.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Calculate_ReturnsResultsAndIndicator()
|
|
{
|
|
var gbm = new GBM();
|
|
var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
var (results, indicator) = Vhf.Calculate(series, 10);
|
|
|
|
Assert.Equal(100, results.Count);
|
|
Assert.NotNull(indicator);
|
|
Assert.True(double.IsFinite(indicator.Last.Value));
|
|
Assert.True(indicator.IsHot);
|
|
}
|
|
}
|