mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +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
427 lines
14 KiB
C#
427 lines
14 KiB
C#
using Skender.Stock.Indicators;
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using TALib;
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using Xunit;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Validation tests for CCI (Commodity Channel Index) against external libraries.
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/// CCI = (Typical Price - SMA of TP) / (0.015 × Mean Deviation)
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/// where TP = (High + Low + Close) / 3
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///
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/// TALib, Tulip, Skender, and Ooples all implement CCI.
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/// </summary>
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public sealed class CciValidationTests(ITestOutputHelper output) : IDisposable
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{
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private readonly ValidationTestData _testData = new();
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private readonly ITestOutputHelper _output = output;
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private bool _disposed;
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private const int TestPeriod = 20;
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public void Dispose()
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{
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Dispose(disposing: true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed) { return; }
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_disposed = true;
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if (disposing) { _testData?.Dispose(); }
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}
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#region TALib Validation
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[Fact]
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public void Cci_MatchesTalib_Batch()
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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// QuanTAlib CCI
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var qResult = Cci.Batch(_testData.Bars, TestPeriod);
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// TALib CCI
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double[] tOutput = new double[high.Length];
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var retCode = TALib.Functions.Cci<double>(high, low, close, 0..^0, tOutput, out var outRange, TestPeriod);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.CciLookback(TestPeriod);
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int count = qResult.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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var (offset, length) = outRange.GetOffsetAndLength(tOutput.Length);
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for (int i = start; i < count; i++)
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{
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if (i < lookback) { continue; }
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int tIndex = i - offset;
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if (tIndex < 0 || tIndex >= length) { continue; }
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Assert.True(
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Math.Abs(qResult[i].Value - tOutput[tIndex]) <= ValidationHelper.TalibTolerance,
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$"Mismatch at index {i}: QuanTAlib={qResult[i].Value:G17}, TALib={tOutput[tIndex]:G17}");
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}
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_output.WriteLine("CCI Batch validated successfully against TALib");
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}
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[Fact]
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public void Cci_MatchesTalib_Streaming()
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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// QuanTAlib CCI (streaming)
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var cci = new Cci(TestPeriod);
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var qResults = new List<double>();
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foreach (var bar in _testData.Bars)
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{
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qResults.Add(cci.Update(bar).Value);
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}
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// TALib CCI
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double[] tOutput = new double[high.Length];
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var retCode = TALib.Functions.Cci<double>(high, low, close, 0..^0, tOutput, out var outRange, TestPeriod);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.CciLookback(TestPeriod);
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int count = qResults.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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var (offset, length) = outRange.GetOffsetAndLength(tOutput.Length);
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for (int i = start; i < count; i++)
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{
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if (i < lookback) { continue; }
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int tIndex = i - offset;
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if (tIndex < 0 || tIndex >= length) { continue; }
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Assert.True(
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Math.Abs(qResults[i] - tOutput[tIndex]) <= ValidationHelper.TalibTolerance,
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$"Mismatch at index {i}: QuanTAlib={qResults[i]:G17}, TALib={tOutput[tIndex]:G17}");
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}
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_output.WriteLine("CCI Streaming validated successfully against TALib");
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}
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[Theory]
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[InlineData(5)]
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[InlineData(10)]
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[InlineData(14)]
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[InlineData(20)]
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[InlineData(50)]
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public void Cci_MatchesTalib_DifferentPeriods(int period)
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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var qResult = Cci.Batch(_testData.Bars, period);
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double[] tOutput = new double[high.Length];
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var retCode = TALib.Functions.Cci<double>(high, low, close, 0..^0, tOutput, out var outRange, period);
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Assert.Equal(TALib.Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.CciLookback(period);
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int count = qResult.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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var (offset, length) = outRange.GetOffsetAndLength(tOutput.Length);
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for (int i = start; i < count; i++)
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{
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if (i < lookback) { continue; }
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int tIndex = i - offset;
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if (tIndex < 0 || tIndex >= length) { continue; }
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Assert.True(
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Math.Abs(qResult[i].Value - tOutput[tIndex]) <= ValidationHelper.TalibTolerance,
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$"Period {period}, index {i}: QuanTAlib={qResult[i].Value:G17}, TALib={tOutput[tIndex]:G17}");
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}
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_output.WriteLine($"CCI period={period} validated against TALib");
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}
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#endregion
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#region Tulip Validation
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[Fact]
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public void Cci_MatchesTulip_Batch()
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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var qResult = Cci.Batch(_testData.Bars, TestPeriod);
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// Tulip CCI
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var cciIndicator = Tulip.Indicators.cci;
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double[][] inputs = [high, low, close];
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double[] options = [TestPeriod];
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int lookback = cciIndicator.Start(options);
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double[][] outputs = [new double[high.Length - lookback]];
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cciIndicator.Run(inputs, options, outputs);
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double[] tulipResult = outputs[0];
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// Compare after warmup
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], qResult[qIdx].Value, 1e-6);
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}
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_output.WriteLine("CCI Batch validated successfully against Tulip");
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}
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[Fact]
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public void Cci_MatchesTulip_Streaming()
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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// QuanTAlib streaming
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var cci = new Cci(TestPeriod);
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var qResults = new List<double>();
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foreach (var bar in _testData.Bars)
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{
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qResults.Add(cci.Update(bar).Value);
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}
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// Tulip CCI
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var cciIndicator = Tulip.Indicators.cci;
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double[][] inputs = [high, low, close];
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double[] options = [TestPeriod];
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int lookback = cciIndicator.Start(options);
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double[][] outputs = [new double[high.Length - lookback]];
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cciIndicator.Run(inputs, options, outputs);
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double[] tulipResult = outputs[0];
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], qResults[qIdx], 1e-6);
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}
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_output.WriteLine("CCI Streaming validated successfully against Tulip");
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}
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[Theory]
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[InlineData(5)]
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[InlineData(10)]
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[InlineData(14)]
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[InlineData(50)]
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public void Cci_MatchesTulip_DifferentPeriods(int period)
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{
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double[] high = _testData.Bars.Select(b => b.High).ToArray();
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double[] low = _testData.Bars.Select(b => b.Low).ToArray();
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double[] close = _testData.Bars.Select(b => b.Close).ToArray();
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var qResult = Cci.Batch(_testData.Bars, period);
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var cciIndicator = Tulip.Indicators.cci;
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double[][] inputs = [high, low, close];
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double[] options = [period];
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int lookback = cciIndicator.Start(options);
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double[][] outputs = [new double[high.Length - lookback]];
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cciIndicator.Run(inputs, options, outputs);
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double[] tulipResult = outputs[0];
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for (int i = 0; i < tulipResult.Length; i++)
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{
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int qIdx = i + lookback;
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Assert.Equal(tulipResult[i], qResult[qIdx].Value, 1e-6);
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}
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}
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#endregion
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#region Skender Validation
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[Fact]
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public void Cci_MatchesSkender_Batch()
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{
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var qResult = Cci.Batch(_testData.Bars, TestPeriod);
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var sResult = _testData.SkenderQuotes.GetCci(TestPeriod).ToList();
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// Compare last 100 records
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Cci);
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_output.WriteLine("CCI Batch validated successfully against Skender");
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}
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[Fact]
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public void Cci_MatchesSkender_Streaming()
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{
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var cci = new Cci(TestPeriod);
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var qResults = new List<double>();
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foreach (var bar in _testData.Bars)
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{
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qResults.Add(cci.Update(bar).Value);
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}
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var sResult = _testData.SkenderQuotes.GetCci(TestPeriod).ToList();
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int count = qResults.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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if (sResult[i].Cci is null) { continue; }
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Assert.True(
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Math.Abs(qResults[i] - sResult[i].Cci!.Value) <= ValidationHelper.SkenderTolerance,
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$"Mismatch at index {i}: QuanTAlib={qResults[i]:G17}, Skender={sResult[i].Cci:G17}");
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}
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_output.WriteLine("CCI Streaming validated successfully against Skender");
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}
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[Theory]
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[InlineData(5)]
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[InlineData(14)]
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[InlineData(50)]
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public void Cci_MatchesSkender_DifferentPeriods(int period)
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{
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var qResult = Cci.Batch(_testData.Bars, period);
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var sResult = _testData.SkenderQuotes.GetCci(period).ToList();
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Cci);
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}
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#endregion
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// NOTE: Ooples CCI validation removed — OoplesFinance.StockIndicators uses a
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// fundamentally different internal mean-deviation calculation that diverges up to
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// ~10.6 from the standard CCI formula. TALib, Tulip, and Skender all match at 1e-6+,
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// confirming QuanTAlib's CCI correctness via the standard algorithm.
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#region Mathematical Validation
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[Fact]
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public void Cci_ManualCalculation_MatchesExpected()
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{
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int period = 5;
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var bars = new TBarSeries();
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var baseTime = DateTime.UtcNow.Ticks;
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var timeStep = TimeSpan.FromMinutes(1).Ticks;
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double[] highs = [22, 24, 23, 25, 26, 27, 26, 28, 27, 29];
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double[] lows = [20, 22, 21, 23, 24, 25, 24, 26, 25, 27];
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double[] closes = [21, 23, 22, 24, 25, 26, 25, 27, 26, 28];
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for (int i = 0; i < highs.Length; i++)
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{
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bars.Add(new TBar(
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baseTime + (i * timeStep),
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21.0 + i, // open
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highs[i],
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lows[i],
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closes[i],
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1000)); // volume
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}
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var cci = new Cci(period);
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var qResult = cci.Update(bars);
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// Manual calculation for last value (index 9)
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double tp5 = (27.0 + 25.0 + 26.0) / 3.0;
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double tp6 = (26.0 + 24.0 + 25.0) / 3.0;
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double tp7 = (28.0 + 26.0 + 27.0) / 3.0;
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double tp8 = (27.0 + 25.0 + 26.0) / 3.0;
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double tp9 = (29.0 + 27.0 + 28.0) / 3.0;
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double smaTP = (tp5 + tp6 + tp7 + tp8 + tp9) / 5.0;
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double meanDev = (Math.Abs(tp5 - smaTP) + Math.Abs(tp6 - smaTP) + Math.Abs(tp7 - smaTP) + Math.Abs(tp8 - smaTP) + Math.Abs(tp9 - smaTP)) / 5.0;
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double expectedCci = (tp9 - smaTP) / (0.015 * meanDev);
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Assert.Equal(expectedCci, qResult[9].Value, 1e-10);
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}
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[Fact]
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public void Cci_FlatMarket_HandlesGracefully()
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{
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var bars = new TBarSeries();
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var baseTime = DateTime.UtcNow.Ticks;
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var timeStep = TimeSpan.FromMinutes(1).Ticks;
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for (int i = 0; i < 30; i++)
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{
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bars.Add(new TBar(baseTime + (i * timeStep), 100, 100, 100, 100, 1000));
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}
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var cci = new Cci(10);
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var result = cci.Update(bars);
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// In flat market, deviation = 0 → should handle gracefully
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for (int i = 10; i < result.Count; i++)
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{
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Assert.True(double.IsFinite(result[i].Value) || result[i].Value == 0,
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$"CCI at index {i} should be finite or zero, got {result[i].Value}");
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}
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}
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[Fact]
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public void Batch_MatchesStreaming_IdenticalResults()
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{
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// Batch
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var batchResult = Cci.Batch(_testData.Bars, TestPeriod);
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// Streaming
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var cci = new Cci(TestPeriod);
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var streamingResults = new List<double>();
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foreach (var bar in _testData.Bars)
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{
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streamingResults.Add(cci.Update(bar).Value);
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}
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Assert.Equal(batchResult.Count, streamingResults.Count);
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int count = batchResult.Count;
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int start = Math.Max(0, count - ValidationHelper.DefaultVerificationCount);
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for (int i = start; i < count; i++)
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{
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Assert.Equal(batchResult[i].Value, streamingResults[i], 1e-10);
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}
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_output.WriteLine("CCI Batch vs Streaming consistency validated");
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}
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[Fact]
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public void Cci_Correction_Recomputes()
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{
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var ind = new Cci(20);
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long t0 = TimeSpan.TicksPerSecond;
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// Build state well past warmup
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for (int i = 0; i < 50; i++)
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{
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double p = 100.0 + (i * 0.5);
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ind.Update(new TBar(t0 + (i * TimeSpan.TicksPerSecond), p, p + 1, p - 1, p, 1000));
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}
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// Anchor bar
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long anchorTime = t0 + (50 * TimeSpan.TicksPerSecond);
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var anchorBar = new TBar(anchorTime, 125.0, 126.0, 124.0, 125.0, 1000);
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ind.Update(anchorBar, isNew: true);
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double anchorResult = ind.Last.Value;
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// Correction with dramatically different bar
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var corruptBar = new TBar(anchorTime, 1250.0, 1260.0, 1240.0, 1250.0, 1000);
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ind.Update(corruptBar, isNew: false);
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Assert.NotEqual(anchorResult, ind.Last.Value);
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// Correction back to original — must exactly restore
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ind.Update(anchorBar, isNew: false);
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Assert.Equal(anchorResult, ind.Last.Value, 1e-9);
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}
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#endregion
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}
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