mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 19:07:42 +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
333 lines
11 KiB
C#
333 lines
11 KiB
C#
using System;
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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 IMI (Intraday Momentum Index) implementation.
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/// These tests validate the calculation against the published formula by Tushar Chande:
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/// IMI = 100 × Sum(Gains) / (Sum(Gains) + Sum(Losses))
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/// where Gain = Close - Open if Close > Open, else 0
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/// and Loss = Open - Close if Close < Open, else 0
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/// </summary>
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public sealed class ImiValidationTests : IDisposable
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{
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private readonly ITestOutputHelper _output;
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public ImiValidationTests(ITestOutputHelper output)
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{
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_output = output;
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}
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public void Dispose()
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{
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// Cleanup if needed
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}
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#region Manual Calculation Verification
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[Fact]
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public void ManualCalculation_SimpleUpBars()
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{
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// Given 3 up bars with known gains
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var imi = new Imi(3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Bar 1: Open=100, Close=105 → Gain=5
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imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000));
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// Bar 2: Open=105, Close=108 → Gain=3
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imi.Update(new TBar(baseTime + 60000, 105, 110, 104, 108, 1000));
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// Bar 3: Open=108, Close=110 → Gain=2
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imi.Update(new TBar(baseTime + 120000, 108, 112, 107, 110, 1000));
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// Total gains = 5 + 3 + 2 = 10
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// Total losses = 0
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// IMI = 100 × 10 / (10 + 0) = 100
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Assert.Equal(100.0, imi.Last.Value, 1e-10);
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_output.WriteLine($"Gains: 5 + 3 + 2 = 10");
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_output.WriteLine($"Losses: 0");
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_output.WriteLine($"IMI = 100 × 10 / 10 = {imi.Last.Value}");
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}
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[Fact]
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public void ManualCalculation_SimpleDownBars()
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{
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// Given 3 down bars with known losses
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var imi = new Imi(3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Bar 1: Open=105, Close=100 → Loss=5
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imi.Update(new TBar(baseTime, 105, 108, 98, 100, 1000));
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// Bar 2: Open=100, Close=97 → Loss=3
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imi.Update(new TBar(baseTime + 60000, 100, 102, 95, 97, 1000));
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// Bar 3: Open=97, Close=95 → Loss=2
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imi.Update(new TBar(baseTime + 120000, 97, 99, 93, 95, 1000));
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// Total gains = 0
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// Total losses = 5 + 3 + 2 = 10
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// IMI = 100 × 0 / (0 + 10) = 0
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Assert.Equal(0.0, imi.Last.Value, 1e-10);
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_output.WriteLine($"Gains: 0");
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_output.WriteLine($"Losses: 5 + 3 + 2 = 10");
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_output.WriteLine($"IMI = 100 × 0 / 10 = {imi.Last.Value}");
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}
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[Fact]
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public void ManualCalculation_MixedBars()
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{
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// Given a mix of up and down bars
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var imi = new Imi(5);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Bar 1: Open=100, Close=106 → Gain=6
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imi.Update(new TBar(baseTime, 100, 108, 98, 106, 1000));
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// Bar 2: Open=106, Close=102 → Loss=4
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imi.Update(new TBar(baseTime + 60000, 106, 108, 100, 102, 1000));
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// Bar 3: Open=102, Close=105 → Gain=3
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imi.Update(new TBar(baseTime + 120000, 102, 107, 101, 105, 1000));
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// Bar 4: Open=105, Close=105 → Doji (Gain=0, Loss=0)
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imi.Update(new TBar(baseTime + 180000, 105, 108, 102, 105, 1000));
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// Bar 5: Open=105, Close=103 → Loss=2
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imi.Update(new TBar(baseTime + 240000, 105, 107, 101, 103, 1000));
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// Total gains = 6 + 3 = 9
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// Total losses = 4 + 2 = 6
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// IMI = 100 × 9 / (9 + 6) = 100 × 9 / 15 = 60
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double expected = 100.0 * 9.0 / 15.0;
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Assert.Equal(expected, imi.Last.Value, 1e-10);
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_output.WriteLine($"Gains: 6 + 0 + 3 + 0 + 0 = 9");
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_output.WriteLine($"Losses: 0 + 4 + 0 + 0 + 2 = 6");
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_output.WriteLine($"IMI = 100 × 9 / 15 = {expected}");
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_output.WriteLine($"Actual: {imi.Last.Value}");
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}
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#endregion
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#region Rolling Window Validation
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[Fact]
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public void RollingWindow_DropsOldestValue()
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{
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var imi = new Imi(3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Fill with 3 up bars (gains: 5, 5, 5)
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imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 60000, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 120000, 100, 108, 98, 105, 1000)); // +5
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Assert.Equal(100.0, imi.Last.Value, 1e-10);
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// Add a down bar (loss: 5) - oldest gain (5) drops off
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imi.Update(new TBar(baseTime + 180000, 105, 108, 98, 100, 1000)); // -5
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// Now: gains = 5 + 5 = 10, losses = 5
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// IMI = 100 × 10 / 15 = 66.666...
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double expected = 100.0 * 10.0 / 15.0;
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Assert.Equal(expected, imi.Last.Value, 1e-10);
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_output.WriteLine($"After 4th bar:");
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_output.WriteLine($" Window: [+5, +5, -5]");
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_output.WriteLine($" Gains: 5 + 5 = 10");
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_output.WriteLine($" Losses: 5");
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_output.WriteLine($" IMI = {expected}");
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}
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#endregion
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#region Edge Case Validation
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[Fact]
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public void EdgeCase_AllDojiBars_Returns50()
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{
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// When all bars are doji (Open == Close), IMI should be 50 (neutral)
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var imi = new Imi(5);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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for (int i = 0; i < 5; i++)
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{
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// Doji: Open == Close
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imi.Update(new TBar(baseTime + i * 60000, 100, 105, 95, 100, 1000));
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}
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Assert.Equal(50.0, imi.Last.Value, 1e-10);
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_output.WriteLine("All doji bars (O==C) → IMI = 50 (neutral)");
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}
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[Fact]
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public void EdgeCase_VerySmallMovements()
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{
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var imi = new Imi(3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Very small gains
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imi.Update(new TBar(baseTime, 100.0, 100.1, 99.9, 100.0001, 1000));
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imi.Update(new TBar(baseTime + 60000, 100.0, 100.1, 99.9, 100.0002, 1000));
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imi.Update(new TBar(baseTime + 120000, 100.0, 100.1, 99.9, 100.0003, 1000));
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// All are tiny up bars, should still be 100
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Assert.Equal(100.0, imi.Last.Value, 1e-10);
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_output.WriteLine($"Very small gains still → IMI = {imi.Last.Value}");
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}
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[Fact]
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public void EdgeCase_Period1()
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{
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// With period 1, each bar is its own calculation
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var imi = new Imi(1);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Up bar
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imi.Update(new TBar(baseTime, 100, 110, 95, 108, 1000));
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Assert.Equal(100.0, imi.Last.Value, 1e-10);
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// Down bar
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imi.Update(new TBar(baseTime + 60000, 108, 110, 95, 100, 1000));
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Assert.Equal(0.0, imi.Last.Value, 1e-10);
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// Doji
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imi.Update(new TBar(baseTime + 120000, 100, 105, 95, 100, 1000));
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Assert.Equal(50.0, imi.Last.Value, 1e-10);
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_output.WriteLine("Period=1: Each bar → immediate IMI response");
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}
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#endregion
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#region Investopedia Example Validation
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[Fact]
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public void InvestopediaFormula_MatchesDefinition()
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{
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// Validate against Investopedia formula:
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// IMI = (Sum of Up Closes / (Sum of Up Closes + Sum of Down Closes)) × 100
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// Where Up Close = Close - Open when Close > Open
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var imi = new Imi(4);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Day 1: Close > Open (Up day: +3)
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imi.Update(new TBar(baseTime, 50, 54, 49, 53, 1000));
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// Day 2: Close < Open (Down day: -2)
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imi.Update(new TBar(baseTime + 86400000, 53, 54, 50, 51, 1000));
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// Day 3: Close > Open (Up day: +4)
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imi.Update(new TBar(baseTime + 172800000, 51, 56, 50, 55, 1000));
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// Day 4: Close > Open (Up day: +1)
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imi.Update(new TBar(baseTime + 259200000, 55, 57, 54, 56, 1000));
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// Sum of Up Closes = 3 + 4 + 1 = 8
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// Sum of Down Closes = 2
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// IMI = 100 × 8 / (8 + 2) = 80
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double expected = 100.0 * 8.0 / 10.0;
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Assert.Equal(expected, imi.Last.Value, 1e-10);
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_output.WriteLine("Investopedia formula validation:");
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_output.WriteLine($" Up gains: 3 + 4 + 1 = 8");
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_output.WriteLine($" Down losses: 2");
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_output.WriteLine($" IMI = 100 × 8 / 10 = {expected}");
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}
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#endregion
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#region Comparison with RSI Concept
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[Fact]
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public void ImiVsRsiConcept_UsesIntradayNotInterday()
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{
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// IMI differs from RSI in that it uses Open-to-Close (intraday)
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// rather than Close-to-Close (interday)
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var imi = new Imi(3);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Bar 1: Open=100, Close=105 (up bar, +5)
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// Bar 2: Open=110, Close=108 (down bar, -2)
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// Note: This is up from prev close (105→108) but down intraday!
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// Bar 3: Open=105, Close=110 (up bar, +5)
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imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000));
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imi.Update(new TBar(baseTime + 60000, 110, 112, 106, 108, 1000)); // Intraday down
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imi.Update(new TBar(baseTime + 120000, 105, 112, 104, 110, 1000));
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// Gains = 5 + 5 = 10
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// Losses = 2
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// IMI = 100 × 10 / 12 = 83.333...
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double expected = 100.0 * 10.0 / 12.0;
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Assert.Equal(expected, imi.Last.Value, 1e-10);
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_output.WriteLine("IMI uses Open-to-Close (intraday), not Close-to-Close (interday)");
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_output.WriteLine($"Bar 2: Opens at 110, closes at 108 → DOWN day for IMI");
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_output.WriteLine($"IMI = {imi.Last.Value:F4}");
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}
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#endregion
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#region Overbought/Oversold Levels
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[Fact]
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public void OverboughtLevel_Above70()
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{
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var imi = new Imi(5);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Create scenario with IMI > 70 (overbought)
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// Need gains > 2.33 × losses for IMI > 70
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// 4 up bars (+5 each), 1 down bar (-3)
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// Gains = 20, Losses = 3
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// IMI = 100 × 20/23 = 86.96
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imi.Update(new TBar(baseTime, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 60000, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 120000, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 180000, 100, 108, 98, 105, 1000)); // +5
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imi.Update(new TBar(baseTime + 240000, 100, 102, 95, 97, 1000)); // -3
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Assert.True(imi.Last.Value > 70);
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_output.WriteLine($"Overbought (>70): IMI = {imi.Last.Value:F2}");
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}
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[Fact]
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public void OversoldLevel_Below30()
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{
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var imi = new Imi(5);
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long baseTime = DateTimeOffset.UtcNow.ToUnixTimeMilliseconds();
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// Create scenario with IMI < 30 (oversold)
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// Need losses > 2.33 × gains for IMI < 30
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// 4 down bars (-5 each), 1 up bar (+3)
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// Gains = 3, Losses = 20
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// IMI = 100 × 3/23 = 13.04
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imi.Update(new TBar(baseTime, 105, 108, 98, 100, 1000)); // -5
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imi.Update(new TBar(baseTime + 60000, 105, 108, 98, 100, 1000)); // -5
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imi.Update(new TBar(baseTime + 120000, 105, 108, 98, 100, 1000)); // -5
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imi.Update(new TBar(baseTime + 180000, 105, 108, 98, 100, 1000)); // -5
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imi.Update(new TBar(baseTime + 240000, 100, 108, 98, 103, 1000)); // +3
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Assert.True(imi.Last.Value < 30);
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_output.WriteLine($"Oversold (<30): IMI = {imi.Last.Value:F2}");
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}
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#endregion
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}
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