mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 19:37:43 +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
657 lines
20 KiB
C#
657 lines
20 KiB
C#
namespace QuanTAlib.Tests;
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public class AfirmaTests
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{
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[Fact]
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public void Afirma_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Afirma(0));
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Assert.Throws<ArgumentException>(() => new Afirma(-1));
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var afirma = new Afirma(10);
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Assert.NotNull(afirma);
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}
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[Fact]
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public void Afirma_Constructor_AcceptsValidParameters()
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{
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var afirma1 = new Afirma(1);
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Assert.NotNull(afirma1);
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var afirma2 = new Afirma(10, Afirma.WindowType.Blackman);
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Assert.NotNull(afirma2);
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var afirma3 = new Afirma(5, Afirma.WindowType.Rectangular);
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Assert.NotNull(afirma3);
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var afirma4 = new Afirma(10, Afirma.WindowType.BlackmanHarris, leastSquares: true);
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Assert.NotNull(afirma4);
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}
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[Fact]
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public void Afirma_Calc_ReturnsValue()
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{
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var afirma = new Afirma(10);
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Assert.Equal(0, afirma.Last.Value);
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TValue result = afirma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, afirma.Last.Value);
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}
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[Fact]
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public void Afirma_FirstValue_ReturnsValue()
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{
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var afirma = new Afirma(10);
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TValue result = afirma.Update(new TValue(DateTime.UtcNow, 100));
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// First value should be based on the single input
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Assert.True(double.IsFinite(result.Value));
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Assert.True(result.Value > 0);
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}
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[Fact]
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public void Afirma_LeastSquares_AffectsResult()
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{
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// Generate trend data where LS regression should differ from raw window
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.01, seed: 42);
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var data = new List<TValue>();
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for (int i = 0; i < 20; i++)
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{
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var bar = gbm.Next(isNew: true);
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data.Add(new TValue(bar.Time, bar.Close));
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}
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var afirmaDefault = new Afirma(10, Afirma.WindowType.BlackmanHarris, leastSquares: false);
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var afirmaLS = new Afirma(10, Afirma.WindowType.BlackmanHarris, leastSquares: true);
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double lastDefault = 0;
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double lastLS = 0;
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foreach (var item in data)
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{
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lastDefault = afirmaDefault.Update(item).Value;
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lastLS = afirmaLS.Update(item).Value;
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}
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// They should be different
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Assert.NotEqual(lastDefault, lastLS, 1e-6);
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Assert.True(double.IsFinite(lastLS));
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}
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[Fact]
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public void Afirma_LeastSquares_HandlesNaN()
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{
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var afirma = new Afirma(10, Afirma.WindowType.BlackmanHarris, leastSquares: true);
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should handle gracefully (typically carries forward last valid or handles via regression on existing points)
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var result = afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Afirma_Calc_IsNew_AcceptsParameter()
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{
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var afirma = new Afirma(10);
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afirma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = afirma.Last.Value;
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afirma.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
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double value2 = afirma.Last.Value;
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// Values should change with new bars
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Assert.NotEqual(value1, value2);
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}
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[Fact]
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public void Afirma_Calc_IsNew_False_UpdatesValue()
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{
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var afirma = new Afirma(10);
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = afirma.Last.Value;
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afirma.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = afirma.Last.Value;
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// Update should change the value
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Assert.NotEqual(beforeUpdate, afterUpdate);
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}
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[Fact]
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public void Afirma_Reset_ClearsState()
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{
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var afirma = new Afirma(10);
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = afirma.Last.Value;
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afirma.Reset();
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Assert.Equal(0, afirma.Last.Value);
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// After reset, should accept new values
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afirma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, afirma.Last.Value);
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Assert.NotEqual(valueBefore, afirma.Last.Value);
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}
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[Fact]
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public void Afirma_Properties_Accessible()
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{
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var afirma = new Afirma(10);
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Assert.Equal(0, afirma.Last.Value);
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Assert.False(afirma.IsHot);
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, afirma.Last.Value);
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}
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[Fact]
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public void Afirma_IsHot_BecomesTrueWhenBufferFull()
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{
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var afirma = new Afirma(5);
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Assert.False(afirma.IsHot);
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for (int i = 1; i <= 4; i++)
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{
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afirma.Update(new TValue(DateTime.UtcNow, i * 10));
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Assert.False(afirma.IsHot);
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}
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afirma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(afirma.IsHot);
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}
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[Fact]
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public void Afirma_IterativeCorrections_RestoreToOriginalState()
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{
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var afirma = new Afirma(5);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 10 new values
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TValue tenthInput = default;
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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tenthInput = new TValue(bar.Time, bar.Close);
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afirma.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double stateAfterTen = afirma.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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afirma.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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// Feed the remembered 10th input again with isNew=false
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TValue finalResult = afirma.Update(tenthInput, isNew: false);
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// State should match the original state after 10 values
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Assert.Equal(stateAfterTen, finalResult.Value, 1e-10);
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}
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[Fact]
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public void Afirma_BatchCalc_MatchesIterativeCalc()
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{
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var afirmaIterative = new Afirma(10);
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var afirmaBatch = new Afirma(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Generate data
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var series = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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series.Add(bar.Time, bar.Close);
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}
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Assert.True(series.Count > 0);
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// Calculate iteratively
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var iterativeResults = new TSeries();
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foreach (var item in series)
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{
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iterativeResults.Add(afirmaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = afirmaBatch.Update(series);
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// Compare
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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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Assert.Equal(iterativeResults[i].Time, batchResults[i].Time);
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}
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}
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[Fact]
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public void Afirma_NaN_Input_UsesLastValidValue()
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{
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var afirma = new Afirma(10);
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// Feed some valid values
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value
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var resultAfterNaN = afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Result should be finite (not NaN)
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Assert.True(double.IsFinite(resultAfterNaN.Value));
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Assert.NotEqual(0, resultAfterNaN.Value);
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}
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[Fact]
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public void Afirma_Infinity_Input_UsesLastValidValue()
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{
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var afirma = new Afirma(10);
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// Feed some valid values
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = afirma.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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// Feed negative infinity - should use last valid value
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var resultAfterNegInf = afirma.Update(new TValue(DateTime.UtcNow, 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 Afirma_MultipleNaN_ContinuesWithLastValid()
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{
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var afirma = new Afirma(10);
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// Feed valid values
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, 110));
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afirma.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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// All results should be finite
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Assert.True(double.IsFinite(r1.Value));
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Assert.True(double.IsFinite(r2.Value));
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Assert.True(double.IsFinite(r3.Value));
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}
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[Fact]
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public void Afirma_BatchCalc_HandlesNaN()
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{
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var afirma = new Afirma(10);
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// Create series with NaN values interspersed
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 100);
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series.Add(DateTime.UtcNow.Ticks + 1, 110);
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series.Add(DateTime.UtcNow.Ticks + 2, double.NaN);
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series.Add(DateTime.UtcNow.Ticks + 3, 120);
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series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
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series.Add(DateTime.UtcNow.Ticks + 5, 130);
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var results = afirma.Update(series);
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// All results should be finite
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foreach (var result in results)
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{
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Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}");
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}
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}
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[Fact]
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public void Afirma_Reset_ClearsLastValidValue()
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{
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var afirma = new Afirma(10);
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// Feed values including NaN
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afirma.Update(new TValue(DateTime.UtcNow, 100));
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afirma.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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afirma.Reset();
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// After reset, first valid value should establish new baseline
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var result = afirma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Afirma_StaticBatch_Works()
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{
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 10);
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series.Add(DateTime.UtcNow.Ticks + 1, 20);
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series.Add(DateTime.UtcNow.Ticks + 2, 30);
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series.Add(DateTime.UtcNow.Ticks + 3, 40);
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series.Add(DateTime.UtcNow.Ticks + 4, 50);
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var results = Afirma.Batch(series, 5);
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Assert.Equal(5, results.Count);
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Assert.True(double.IsFinite(results.Last.Value));
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}
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[Fact]
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public void Afirma_Period1_ReturnsSmoothedValues()
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{
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var afirma = new Afirma(1);
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var r1 = afirma.Update(new TValue(DateTime.UtcNow, 100));
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var r2 = afirma.Update(new TValue(DateTime.UtcNow, 200));
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var r3 = afirma.Update(new TValue(DateTime.UtcNow, 150));
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Assert.True(double.IsFinite(r1.Value));
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Assert.True(double.IsFinite(r2.Value));
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Assert.True(double.IsFinite(r3.Value));
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}
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// ============== Span API Tests ==============
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[Fact]
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public void Afirma_SpanBatch_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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// Period must be >= 1
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Assert.Throws<ArgumentException>(() => Afirma.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Afirma.Batch(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Afirma.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 5));
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}
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[Fact]
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public void Afirma_SpanBatch_MatchesTSeriesBatch()
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{
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var series = new TSeries();
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double[] source = new double[100];
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double[] output = new double[100];
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source[i] = bar.Close;
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series.Add(bar.Time, bar.Close);
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}
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// Calculate with TSeries API
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var tseriesResult = Afirma.Batch(series, 10);
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// Calculate with Span API
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Afirma.Batch(source.AsSpan(), output.AsSpan(), 10);
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// Compare results
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(tseriesResult[i].Value, output[i], 1e-10);
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}
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}
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[Fact]
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public void Afirma_SpanBatch_CalculatesCorrectly()
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{
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double[] source = [10, 20, 30, 40, 50];
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double[] output = new double[5];
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Afirma.Batch(source.AsSpan(), output.AsSpan(), 5);
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// All outputs should be finite
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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[Fact]
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public void Afirma_SpanBatch_ZeroAllocation()
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{
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double[] source = new double[10000];
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double[] output = new double[10000];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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for (int i = 0; i < source.Length; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Warm up
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Afirma.Batch(source.AsSpan(), output.AsSpan(), 10);
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// This test verifies the method runs without throwing
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void Afirma_SpanBatch_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Afirma.Batch(source.AsSpan(), output.AsSpan(), 5);
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// All outputs should be finite
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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[Fact]
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public void Afirma_AllModes_ProduceSameResult()
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{
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// Arrange
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const int period = 10;
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var window = Afirma.WindowType.BlackmanHarris;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch Mode
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var batchSeries = Afirma.Batch(series, period, window);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Afirma.Batch(spanInput, spanOutput, period, window);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Afirma(period, window);
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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 Mode
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var pubSource = new TSeries();
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var eventingInd = new Afirma(pubSource, period, window);
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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
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Assert.Equal(expected, spanResult, precision: 9);
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Assert.Equal(expected, streamingResult, precision: 9);
|
|
Assert.Equal(expected, eventingResult, precision: 9);
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Chainability_Works()
|
|
{
|
|
var source = new TSeries();
|
|
var afirma = new Afirma(source, 10);
|
|
|
|
source.Add(new TValue(DateTime.UtcNow, 100));
|
|
Assert.True(double.IsFinite(afirma.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_WarmupPeriod_IsSetCorrectly()
|
|
{
|
|
var afirma = new Afirma(21);
|
|
Assert.Equal(21, afirma.WarmupPeriod);
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Prime_SetsStateCorrectly()
|
|
{
|
|
var afirma = new Afirma(5);
|
|
double[] history = [10, 20, 30, 40, 50];
|
|
|
|
afirma.Prime(history);
|
|
|
|
Assert.True(afirma.IsHot);
|
|
Assert.True(double.IsFinite(afirma.Last.Value));
|
|
|
|
// Verify it continues correctly
|
|
afirma.Update(new TValue(DateTime.UtcNow, 60));
|
|
Assert.True(double.IsFinite(afirma.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Prime_WithInsufficientHistory_IsNotHot()
|
|
{
|
|
var afirma = new Afirma(10);
|
|
double[] history = [10, 20, 30, 40, 50];
|
|
|
|
afirma.Prime(history);
|
|
|
|
Assert.False(afirma.IsHot);
|
|
Assert.True(double.IsFinite(afirma.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Prime_HandlesNaN_InHistory()
|
|
{
|
|
var afirma = new Afirma(3);
|
|
double[] history = [10, 20, double.NaN, 40];
|
|
|
|
afirma.Prime(history);
|
|
|
|
Assert.True(afirma.IsHot);
|
|
Assert.True(double.IsFinite(afirma.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Calculate_ReturnsCorrectResultsAndHotIndicator()
|
|
{
|
|
var series = new TSeries();
|
|
for (int i = 1; i <= 10; i++)
|
|
{
|
|
series.Add(DateTime.UtcNow, i * 10);
|
|
}
|
|
|
|
var (results, indicator) = Afirma.Calculate(series, 5);
|
|
|
|
// Check results
|
|
Assert.Equal(10, results.Count);
|
|
Assert.True(double.IsFinite(results.Last.Value));
|
|
|
|
// Check indicator state
|
|
Assert.True(indicator.IsHot);
|
|
Assert.Equal(results.Last.Value, indicator.Last.Value);
|
|
Assert.Equal(5, indicator.WarmupPeriod);
|
|
|
|
// Verify indicator continues correctly
|
|
indicator.Update(new TValue(DateTime.UtcNow, 110));
|
|
Assert.True(double.IsFinite(indicator.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_DifferentWindowTypes_Work()
|
|
{
|
|
var windows = new[]
|
|
{
|
|
Afirma.WindowType.Rectangular,
|
|
Afirma.WindowType.Hanning,
|
|
Afirma.WindowType.Hamming,
|
|
Afirma.WindowType.Blackman,
|
|
Afirma.WindowType.BlackmanHarris
|
|
};
|
|
|
|
foreach (var window in windows)
|
|
{
|
|
var afirma = new Afirma(10, window);
|
|
|
|
for (int i = 0; i < 20; i++)
|
|
{
|
|
afirma.Update(new TValue(DateTime.UtcNow, 100 + i));
|
|
}
|
|
|
|
Assert.True(double.IsFinite(afirma.Last.Value), $"Window {window} should produce finite value");
|
|
Assert.True(afirma.IsHot, $"Window {window} should become hot");
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_FlatLine_ReturnsSameValue()
|
|
{
|
|
var afirma = new Afirma(10);
|
|
|
|
for (int i = 0; i < 20; i++)
|
|
{
|
|
afirma.Update(new TValue(DateTime.UtcNow, 100));
|
|
}
|
|
|
|
// With a flat line, the filtered value should be close to the input
|
|
Assert.Equal(100, afirma.Last.Value, 1e-6);
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Taps1_Works()
|
|
{
|
|
var afirma = new Afirma(1);
|
|
|
|
var r1 = afirma.Update(new TValue(DateTime.UtcNow, 100));
|
|
var r2 = afirma.Update(new TValue(DateTime.UtcNow, 200));
|
|
|
|
// With 1 tap, output should equal input
|
|
Assert.Equal(100, r1.Value, 1e-10);
|
|
Assert.Equal(200, r2.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Afirma_Pub_EventFires()
|
|
{
|
|
var afirma = new Afirma(10);
|
|
bool eventFired = false;
|
|
afirma.Pub += (object? sender, in TValueEventArgs args) => eventFired = true;
|
|
|
|
afirma.Update(new TValue(DateTime.UtcNow, 100));
|
|
Assert.True(eventFired);
|
|
}
|
|
}
|