mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-02 11:37:42 +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
686 lines
22 KiB
C#
686 lines
22 KiB
C#
using Xunit;
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namespace QuanTAlib.Tests;
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public class GammadistTests
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{
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private const double Tolerance = 1e-10;
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// ─── A) Constructor validation ────────────────────────────────────────────
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[Fact]
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public void Constructor_DefaultParameters_SetsProperties()
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{
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var indicator = new Gammadist();
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Assert.Equal("Gammadist(2.00,1.00,14)", indicator.Name);
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Assert.Equal(14, indicator.WarmupPeriod);
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Assert.False(indicator.IsHot);
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}
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[Fact]
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public void Constructor_CustomParameters_SetsName()
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{
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var indicator = new Gammadist(alpha: 3.0, beta: 2.0, period: 20);
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Assert.Equal("Gammadist(3.00,2.00,20)", indicator.Name);
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Assert.Equal(20, indicator.WarmupPeriod);
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}
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[Fact]
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public void Constructor_ZeroAlpha_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(alpha: 0.0));
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Assert.Equal("alpha", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeAlpha_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(alpha: -1.0));
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Assert.Equal("alpha", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroBeta_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(beta: 0.0));
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Assert.Equal("beta", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeBeta_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(beta: -0.5));
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Assert.Equal("beta", ex.ParamName);
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}
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[Fact]
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public void Constructor_PeriodOne_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(period: 1));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativePeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(period: -1));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroPeriod_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Gammadist(period: 0));
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Assert.Equal("period", ex.ParamName);
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}
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// ─── B) Basic calculation ─────────────────────────────────────────────────
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[Fact]
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public void Update_ReturnsValidTValue()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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var input = new TValue(time, 100.0);
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var result = indicator.Update(input);
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Assert.Equal(input.Time, result.Time);
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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 Update_OutputInRange()
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{
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var indicator = new Gammadist(alpha: 2.0, beta: 1.0, period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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Assert.True(indicator.Last.Value >= 0.0, "Output must be >= 0");
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Assert.True(indicator.Last.Value <= 1.0, "Output must be <= 1");
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}
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[Fact]
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public void Last_IsAccessible_AfterUpdate()
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{
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var indicator = new Gammadist(period: 3);
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var time = DateTime.UtcNow;
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indicator.Update(new TValue(time, 50.0));
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Assert.NotEqual(default, indicator.Last);
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}
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[Fact]
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public void Name_ContainsGammadist()
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{
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var indicator = new Gammadist(alpha: 2.0, beta: 1.0, period: 14);
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Assert.Contains("Gammadist", indicator.Name, StringComparison.OrdinalIgnoreCase);
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}
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[Fact]
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public void IsHot_Property_ReflectsWarmup()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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for (int i = 0; i < 4; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), 100.0 + i));
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Assert.False(indicator.IsHot);
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}
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indicator.Update(new TValue(time.AddMinutes(4), 104.0));
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Assert.True(indicator.IsHot);
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}
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[Fact]
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public void Update_AtMaxOfWindow_ReturnsNearOne()
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{
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var indicator = new Gammadist(alpha: 2.0, beta: 1.0, period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 101.0, 110.0 }; // 110 is max
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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// When x=1.0 → xGamma=10.0, Gamma CDF well above 0.9 for α=2,β=1
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Assert.True(indicator.Last.Value > 0.9, $"Expected near 1 but got {indicator.Last.Value}");
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}
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[Fact]
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public void Update_AtMinOfWindow_ReturnsZero()
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{
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var indicator = new Gammadist(alpha: 2.0, beta: 1.0, period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 110.0, 102.0, 98.0, 101.0, 90.0 }; // 90 is min
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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Assert.Equal(0.0, indicator.Last.Value, Tolerance);
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}
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// ─── C) State + bar correction ────────────────────────────────────────────
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[Fact]
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public void Update_IsNewTrue_AdvancesState()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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double first = indicator.Last.Value;
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indicator.Update(new TValue(time, 110.0));
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double second = indicator.Last.Value;
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Assert.NotEqual(first, second, Tolerance);
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}
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[Fact]
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public void Update_IsNewFalse_RewritesLastBar()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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// New bar with value A
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indicator.Update(new TValue(time, 110.0), true);
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double valueA = indicator.Last.Value;
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// Correct same bar with value B
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indicator.Update(new TValue(time, 90.0), false);
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double valueB = indicator.Last.Value;
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Assert.NotEqual(valueA, valueB, Tolerance);
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}
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[Fact]
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public void Update_IterativeCorrection_RestoresState()
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{
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var time = DateTime.UtcNow;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 72001);
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var bars = gbm.Fetch(20, time.Ticks, TimeSpan.FromMinutes(1));
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// Streaming without corrections
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var straight = new Gammadist(period: 5);
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for (int i = 0; i < bars.Close.Count; i++)
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{
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straight.Update(bars.Close[i]);
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}
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double finalStraight = straight.Last.Value;
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// With corrections (wrong → corrected)
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var corrected = new Gammadist(period: 5);
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for (int i = 0; i < bars.Close.Count; i++)
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{
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corrected.Update(new TValue(bars.Close[i].Time, 999.0), true);
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corrected.Update(bars.Close[i], false);
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}
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Assert.Equal(finalStraight, corrected.Last.Value, Tolerance);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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Assert.True(indicator.IsHot);
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indicator.Reset();
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Assert.False(indicator.IsHot);
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Assert.Equal(default, indicator.Last);
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}
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// ─── D) Warmup / convergence ──────────────────────────────────────────────
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[Fact]
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public void IsHot_FlipsAtPeriod()
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{
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int period = 10;
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var indicator = new Gammadist(period: period);
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var time = DateTime.UtcNow;
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for (int i = 0; i < period - 1; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), 100.0 + i));
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Assert.False(indicator.IsHot, $"Should not be hot at bar {i + 1}");
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}
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indicator.Update(new TValue(time.AddMinutes(period - 1), 100.0 + period));
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Assert.True(indicator.IsHot, "Should be hot after period bars");
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}
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[Fact]
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public void WarmupPeriod_EqualsPeriod()
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{
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var indicator = new Gammadist(period: 25);
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Assert.Equal(25, indicator.WarmupPeriod);
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}
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// ─── E) Robustness ────────────────────────────────────────────────────────
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[Fact]
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public void Update_NaN_UsesLastValidValue()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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double before = indicator.Last.Value;
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indicator.Update(new TValue(time, double.NaN));
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Assert.Equal(before, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_PositiveInfinity_UsesLastValidValue()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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double before = indicator.Last.Value;
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indicator.Update(new TValue(time, double.PositiveInfinity));
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Assert.Equal(before, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_NegativeInfinity_UsesLastValidValue()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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indicator.Update(new TValue(time, p));
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time = time.AddMinutes(1);
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}
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double before = indicator.Last.Value;
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indicator.Update(new TValue(time, double.NegativeInfinity));
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Assert.Equal(before, indicator.Last.Value, Tolerance);
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}
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[Fact]
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public void Update_BatchNaN_Stable()
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{
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var indicator = new Gammadist(period: 5);
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var time = DateTime.UtcNow;
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double[] prices = { 100.0, double.NaN, 102.0, double.NaN, 98.0, 105.0, 103.0 };
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foreach (var p in prices)
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{
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var result = indicator.Update(new TValue(time, p));
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Assert.True(double.IsFinite(result.Value), "Output must always be finite");
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Update_FlatRange_ReturnsCdfAtFive()
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{
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// When all values in window are identical, range=0 → xNorm=0.5 → xGamma=5.0
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double alpha = 2.0;
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double beta = 1.0;
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var indicator = new Gammadist(alpha: alpha, beta: beta, period: 5);
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var time = DateTime.UtcNow;
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for (int i = 0; i < 10; i++)
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{
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indicator.Update(new TValue(time.AddMinutes(i), 100.0));
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}
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double expected = Gammadist.GammaCdf(5.0, alpha, beta);
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Assert.Equal(expected, indicator.Last.Value, 1e-6);
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}
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// ─── F) Consistency: batch == streaming == span == eventing ──────────────
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[Fact]
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public void AllModes_ConsistencyCheck()
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{
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int count = 100;
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int period = 20;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 72002);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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// Streaming
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var streaming = new Gammadist(period: period);
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for (int i = 0; i < source.Count; i++)
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{
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streaming.Update(source[i]);
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}
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// Batch (TSeries)
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var batch = Gammadist.Batch(source, period: period);
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// Span
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var rawValues = new double[source.Count];
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for (int i = 0; i < source.Count; i++)
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{
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rawValues[i] = source[i].Value;
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}
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var spanOutput = new double[source.Count];
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Gammadist.Batch(rawValues, spanOutput, period: period);
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// Eventing
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var eventResults = new List<double>();
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var eventSource = new TSeries();
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var eventIndicator = new Gammadist(eventSource, period: period);
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eventIndicator.Pub += (object? s, in TValueEventArgs e) => eventResults.Add(e.Value.Value);
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for (int i = 0; i < source.Count; i++)
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{
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eventSource.Add(source[i], true);
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}
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// Verify last value matches across all modes
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double streamingLast = streaming.Last.Value;
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double batchLast = batch[source.Count - 1].Value;
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double spanLast = spanOutput[source.Count - 1];
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double eventLast = eventResults[^1];
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Assert.Equal(streamingLast, batchLast, Tolerance);
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Assert.Equal(streamingLast, spanLast, Tolerance);
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Assert.Equal(streamingLast, eventLast, Tolerance);
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}
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[Fact]
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public void Streaming_VsBatch_AllValues_Match()
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{
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int count = 80;
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int period = 15;
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var gbm = new GBM(startPrice: 50, mu: 0.0, sigma: 0.3, seed: 72003);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var source = bars.Close;
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var streaming = new Gammadist(period: period);
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var streamingVals = new double[count];
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for (int i = 0; i < count; i++)
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{
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streaming.Update(source[i]);
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streamingVals[i] = streaming.Last.Value;
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}
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var batch = Gammadist.Batch(source, period: period);
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for (int i = 0; i < count; i++)
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{
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Assert.Equal(streamingVals[i], batch[i].Value, Tolerance);
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}
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}
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// ─── G) Span API tests ────────────────────────────────────────────────────
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[Fact]
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public void Batch_Span_EmptySource_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() =>
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Gammadist.Batch([], Array.Empty<double>()));
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Assert.Equal("source", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_OutputTooShort_ThrowsArgumentException()
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{
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double[] src = { 1.0, 2.0, 3.0 };
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double[] dst = new double[2];
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var ex = Assert.Throws<ArgumentException>(() =>
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Gammadist.Batch(src, dst));
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Assert.Equal("output", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_ZeroAlpha_ThrowsArgumentException()
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{
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double[] src = { 1.0, 2.0, 3.0 };
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double[] dst = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Gammadist.Batch(src, dst, alpha: 0.0));
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Assert.Equal("alpha", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_ZeroBeta_ThrowsArgumentException()
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{
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double[] src = { 1.0, 2.0, 3.0 };
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double[] dst = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Gammadist.Batch(src, dst, beta: 0.0));
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Assert.Equal("beta", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_InvalidPeriod_ThrowsArgumentException()
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{
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double[] src = { 1.0, 2.0, 3.0 };
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double[] dst = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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Gammadist.Batch(src, dst, period: 1));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_OutputInRange()
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{
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int count = 100;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 72004);
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var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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double[] src = new double[count];
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||
for (int i = 0; i < count; i++)
|
||
{
|
||
src[i] = bars.Close[i].Value;
|
||
}
|
||
|
||
double[] dst = new double[count];
|
||
Gammadist.Batch(src, dst, period: 20);
|
||
|
||
foreach (double v in dst)
|
||
{
|
||
Assert.True(v >= 0.0 && v <= 1.0, $"Output {v} out of [0,1] range");
|
||
}
|
||
}
|
||
|
||
[Fact]
|
||
public void Batch_Span_HandlesNaN()
|
||
{
|
||
double[] src = { 100.0, double.NaN, 102.0, 98.0, 105.0, 103.0 };
|
||
double[] dst = new double[src.Length];
|
||
Gammadist.Batch(src, dst, period: 5);
|
||
|
||
foreach (double v in dst)
|
||
{
|
||
Assert.True(double.IsFinite(v), "Span output should always be finite");
|
||
}
|
||
}
|
||
|
||
[Fact]
|
||
public void Batch_Span_NoStackOverflow_LargeData()
|
||
{
|
||
int count = 5000;
|
||
double[] src = new double[count];
|
||
for (int i = 0; i < count; i++)
|
||
{
|
||
src[i] = 100.0 + Math.Sin(i * 0.1) * 10.0;
|
||
}
|
||
|
||
double[] dst = new double[count];
|
||
Gammadist.Batch(src, dst, period: 300);
|
||
|
||
foreach (double v in dst)
|
||
{
|
||
Assert.True(double.IsFinite(v));
|
||
}
|
||
}
|
||
|
||
[Fact]
|
||
public void Batch_Span_MatchesStreaming()
|
||
{
|
||
int count = 60;
|
||
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.25, seed: 72005);
|
||
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||
|
||
double[] src = new double[count];
|
||
for (int i = 0; i < count; i++)
|
||
{
|
||
src[i] = bars.Close[i].Value;
|
||
}
|
||
|
||
double[] spanOut = new double[count];
|
||
Gammadist.Batch(src, spanOut, period: 14);
|
||
|
||
var streaming = new Gammadist(period: 14);
|
||
for (int i = 0; i < count; i++)
|
||
{
|
||
streaming.Update(bars.Close[i]);
|
||
Assert.Equal(streaming.Last.Value, spanOut[i], Tolerance);
|
||
}
|
||
}
|
||
|
||
// ─── H) Chainability ──────────────────────────────────────────────────────
|
||
|
||
[Fact]
|
||
public void Pub_EventFires()
|
||
{
|
||
var indicator = new Gammadist(period: 3);
|
||
int count = 0;
|
||
indicator.Pub += (object? sender, in TValueEventArgs args) => count++;
|
||
|
||
var time = DateTime.UtcNow;
|
||
indicator.Update(new TValue(time, 100.0));
|
||
indicator.Update(new TValue(time.AddMinutes(1), 102.0));
|
||
indicator.Update(new TValue(time.AddMinutes(2), 98.0));
|
||
|
||
Assert.Equal(3, count);
|
||
}
|
||
|
||
[Fact]
|
||
public void Chaining_Constructor_Works()
|
||
{
|
||
int period = 5;
|
||
var source = new TSeries();
|
||
var indicator = new Gammadist(source, period: period);
|
||
|
||
var time = DateTime.UtcNow;
|
||
double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
|
||
|
||
foreach (var p in prices)
|
||
{
|
||
source.Add(new TValue(time, p), true);
|
||
time = time.AddMinutes(1);
|
||
}
|
||
|
||
Assert.True(indicator.IsHot);
|
||
Assert.True(indicator.Last.Value >= 0.0 && indicator.Last.Value <= 1.0);
|
||
}
|
||
|
||
[Fact]
|
||
public void Pub_EventValue_MatchesLast()
|
||
{
|
||
var indicator = new Gammadist(period: 5);
|
||
TValue? lastEvent = null;
|
||
indicator.Pub += (object? s, in TValueEventArgs e) => lastEvent = e.Value;
|
||
|
||
var time = DateTime.UtcNow;
|
||
double[] prices = { 100.0, 102.0, 98.0, 105.0, 103.0 };
|
||
|
||
foreach (var p in prices)
|
||
{
|
||
indicator.Update(new TValue(time, p));
|
||
time = time.AddMinutes(1);
|
||
}
|
||
|
||
Assert.NotNull(lastEvent);
|
||
Assert.Equal(indicator.Last.Value, lastEvent.Value.Value, Tolerance);
|
||
}
|
||
|
||
// ─── Additional: Alpha/Beta parameter effects ─────────────────────────────
|
||
|
||
[Fact]
|
||
public void DifferentAlpha_ProduceDifferentResults()
|
||
{
|
||
int count = 60;
|
||
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 72006);
|
||
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||
|
||
var ind1 = new Gammadist(alpha: 1.0, beta: 1.0, period: 20);
|
||
var ind2 = new Gammadist(alpha: 2.0, beta: 1.0, period: 20);
|
||
var ind3 = new Gammadist(alpha: 5.0, beta: 1.0, period: 20);
|
||
|
||
for (int i = 0; i < count; i++)
|
||
{
|
||
ind1.Update(bars.Close[i]);
|
||
ind2.Update(bars.Close[i]);
|
||
ind3.Update(bars.Close[i]);
|
||
}
|
||
|
||
// All outputs must be in [0, 1]
|
||
Assert.True(ind1.Last.Value >= 0.0 && ind1.Last.Value <= 1.0);
|
||
Assert.True(ind2.Last.Value >= 0.0 && ind2.Last.Value <= 1.0);
|
||
Assert.True(ind3.Last.Value >= 0.0 && ind3.Last.Value <= 1.0);
|
||
}
|
||
|
||
[Fact]
|
||
public void Calculate_StaticMethod_ReturnsTuple()
|
||
{
|
||
int count = 50;
|
||
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 72007);
|
||
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
||
|
||
var (results, instance) = Gammadist.Calculate(bars.Close, period: 20);
|
||
|
||
Assert.Equal(count, results.Count);
|
||
Assert.True(instance.IsHot);
|
||
Assert.Equal(results[^1].Value, instance.Last.Value, Tolerance);
|
||
}
|
||
}
|