mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-01 03:07:43 +00:00
Miha Kralj
15f4bb90f3
New indicators: - HWC (Holt-Winters Channel) — channels, 27 tests - VWMACD (Volume-Weighted MACD) — momentum, 38 tests - Squeeze Pro — oscillators, 69 tests - BW_MFI (Bill Williams MFI) — oscillators - DSTOCH (Double Stochastic) — oscillators - ATRSTOP (ATR Trailing Stop) — reversals - VSTOP (Volatility Stop) — reversals - Convexity (Beta Convexity) — statistics, 23 tests Integration: - Python bridge: Exports.cs, _bridge.py, wrapper modules - Documentation: _sidebar.md, _index.md pages, SPEC.md - All analyzer warnings fixed (MA0074, xUnit2013, S2699) Build: 0 warnings, 0 errors | Tests: 15,933 passed, 0 failed
620 lines
19 KiB
C#
620 lines
19 KiB
C#
using Xunit;
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namespace QuanTAlib.Tests;
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public sealed class SqueezeProTests
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{
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private static TBarSeries GenerateBars(int count, int seed = 42)
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.15, seed: seed);
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return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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// === A) Constructor validation ===
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[Fact]
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public void Constructor_InvalidPeriod_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(period: 0));
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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_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(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_InvalidBbMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(bbMult: 0.0));
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Assert.Equal("bbMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeBbMult_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(bbMult: -1.0));
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Assert.Equal("bbMult", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidKcMultWide_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(kcMultWide: 0.0));
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Assert.Equal("kcMultWide", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidKcMultNormal_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(kcMultNormal: 0.0));
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Assert.Equal("kcMultNormal", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidKcMultNarrow_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(kcMultNarrow: 0.0));
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Assert.Equal("kcMultNarrow", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidMomLength_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(momLength: 0));
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Assert.Equal("momLength", ex.ParamName);
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}
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[Fact]
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public void Constructor_InvalidMomSmooth_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new SqueezePro(momSmooth: 0));
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Assert.Equal("momSmooth", ex.ParamName);
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}
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[Fact]
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public void Constructor_DefaultParams()
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{
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var sq = new SqueezePro();
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Assert.Equal("SqueezePro(20,2,2,1.5,1)", sq.Name);
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Assert.Equal(20, sq.WarmupPeriod); // Max(20, 12+6=18) = 20
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}
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// === B) Basic calculation ===
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[Fact]
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public void Update_ReturnsTValue()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bar = new TBar(DateTime.UtcNow, 100, 105, 95, 101, 1000);
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TValue result = sq.Update(bar);
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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_Last_Momentum_Accessible()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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for (int i = 0; i < 20; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 105 + i, 95 + i, 101 + i, 1000);
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sq.Update(bar);
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}
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Assert.True(double.IsFinite(sq.Last.Value));
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Assert.True(double.IsFinite(sq.Momentum));
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Assert.NotEmpty(sq.Name);
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}
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[Fact]
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public void SqueezeLevel_IsInRange()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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for (int i = 0; i < 20; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 101, 99, 100, 1000);
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sq.Update(bar);
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}
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Assert.InRange(sq.SqueezeLevel, 0, 3);
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}
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[Fact]
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public void ConstantBars_MomentumNearZero()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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for (int i = 0; i < 30; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 100, 100, 100, 1000);
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sq.Update(bar);
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}
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// With constant price, MOM = 0 at all times, smooth of zero = 0
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Assert.Equal(0.0, sq.Momentum, precision: 10);
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}
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[Fact]
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public void ConstantBars_SqueezeLevel3_NarrowSqueeze()
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{
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// With constant price, BB width = 0, all KCs have width > 0 from ATR
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// Actually with constant price, ATR → 0 too, so both BB and KC collapse
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// BB upper < KC upper when stddev * bbMult < atr * kcMult
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// For constant bars: stddev=0, atr=0, so bbUpper = smaVal = kcUpper → not inside
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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for (int i = 0; i < 30; i++)
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{
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 100, 100, 100, 1000);
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sq.Update(bar);
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}
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// Both collapse to same value, so bbUpper == kcUpper (not strictly less) → level 0
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Assert.Equal(0, sq.SqueezeLevel);
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}
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[Fact]
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public void RisingBars_PositiveMomentum_AfterWarmup()
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{
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var sq = new SqueezePro(period: 10, momLength: 5, momSmooth: 3);
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for (int i = 0; i < 40; i++)
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{
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double price = 100.0 + i;
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000);
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sq.Update(bar);
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}
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Assert.True(sq.IsHot);
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Assert.True(sq.Momentum > 0.0);
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}
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[Fact]
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public void FallingBars_NegativeMomentum_AfterWarmup()
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{
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var sq = new SqueezePro(period: 10, momLength: 5, momSmooth: 3);
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for (int i = 0; i < 40; i++)
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{
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double price = 200.0 - i;
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 1, price - 1, price, 1000);
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sq.Update(bar);
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}
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Assert.True(sq.IsHot);
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Assert.True(sq.Momentum < 0.0);
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}
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// === C) Squeeze level detection ===
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[Fact]
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public void HighVolatility_SqueezeLevelZero()
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{
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// Wide BB (high vol) with tight KC should push BB outside KC → squeeze off
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// Use very small KC multipliers so KC is narrow relative to BB
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var sq = new SqueezePro(period: 10, momLength: 3, momSmooth: 2,
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kcMultWide: 0.1, kcMultNormal: 0.05, kcMultNarrow: 0.01);
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for (int i = 0; i < 30; i++)
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{
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// Alternating large swings to create wide BB
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double swing = (i % 2 == 0) ? 50.0 : -50.0;
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double price = 100.0 + swing;
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 20, price - 20, price, 1000);
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sq.Update(bar);
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}
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Assert.Equal(0, sq.SqueezeLevel);
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}
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[Fact]
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public void TightRange_SqueezeOn()
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{
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// Very tight range should create narrow BB inside KC
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var sq = new SqueezePro(period: 10, momLength: 3, momSmooth: 2);
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// First seed with some volatility to build ATR
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for (int i = 0; i < 20; i++)
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{
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double price = 100.0 + (i * 2);
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 5, price - 5, price, 1000);
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sq.Update(bar);
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}
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// Then go very tight
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for (int i = 20; i < 50; i++)
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{
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double price = 140.0 + (i % 2 == 0 ? 0.01 : -0.01);
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var bar = new TBar(DateTime.UtcNow.AddMinutes(i), price, price + 0.01, price - 0.01, price, 1000);
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sq.Update(bar);
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}
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// After many tight bars, squeeze should be active (level > 0)
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Assert.True(sq.SqueezeLevel > 0);
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}
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// === D) State + bar correction ===
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[Fact]
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public void IsNew_True_Advances_State()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(10);
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for (int i = 0; i < 10; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double momBefore = sq.Momentum;
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var nextBar = new TBar(DateTime.UtcNow.AddMinutes(100), 200, 210, 190, 205, 1000);
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sq.Update(nextBar, isNew: true);
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Assert.True(double.IsFinite(sq.Momentum));
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_ = momBefore;
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}
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[Fact]
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public void IsNew_False_Rewrites()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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sq.Update(bars[9], isNew: true);
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double momAfterNew = sq.Momentum;
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var corrected = new TBar(bars[9].Time, 999, 1005, 990, 1000, 1000);
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sq.Update(corrected, isNew: false);
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double momAfterCorrect = sq.Momentum;
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Assert.NotEqual(momAfterNew, momAfterCorrect);
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}
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[Fact]
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public void IterativeCorrection_Restores()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(15);
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for (int i = 0; i < 14; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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sq.Update(bars[14], isNew: true);
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double momAfterTrue = sq.Momentum;
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for (int j = 0; j < 3; j++)
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{
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sq.Update(bars[14], isNew: false);
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}
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Assert.Equal(momAfterTrue, sq.Momentum, precision: 10);
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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 sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(20);
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for (int i = 0; i < 20; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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sq.Reset();
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Assert.False(sq.IsHot);
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Assert.Equal(0.0, sq.Momentum);
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Assert.Equal(0, sq.SqueezeLevel);
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}
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// === E) Warmup/convergence ===
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[Fact]
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public void IsHot_FlipsCorrectly()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(20);
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for (int i = 0; i < 20; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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// After enough bars (momLength + momSmooth worth), should be hot
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Assert.True(sq.IsHot);
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}
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[Fact]
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public void WarmupPeriod_IsMaxOfPeriodAndMomTotal()
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{
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var sq1 = new SqueezePro(period: 30, momLength: 5, momSmooth: 3);
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Assert.Equal(30, sq1.WarmupPeriod); // Max(30, 5+3=8) = 30
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var sq2 = new SqueezePro(period: 5, momLength: 20, momSmooth: 10);
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Assert.Equal(30, sq2.WarmupPeriod); // Max(5, 20+10=30) = 30
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}
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// === F) Robustness ===
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[Fact]
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public void NaN_Input_UsesLastValid()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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var nanBar = new TBar(DateTime.UtcNow.AddMinutes(100), double.NaN, double.NaN, double.NaN, double.NaN, 0);
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sq.Update(nanBar, isNew: true);
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// Should not throw
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Assert.True(true);
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}
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[Fact]
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public void Infinity_Input_Handled()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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var bars = GenerateBars(10);
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for (int i = 0; i < 9; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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var infBar = new TBar(DateTime.UtcNow.AddMinutes(100),
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double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, 0);
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sq.Update(infBar, isNew: true);
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Assert.True(true);
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}
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[Fact]
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public void MixedNaN_NoThrow()
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{
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var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
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for (int i = 0; i < 20; i++)
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{
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TBar bar;
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if (i % 5 == 0)
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{
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bar = new TBar(DateTime.UtcNow.AddMinutes(i), double.NaN, double.NaN, double.NaN, double.NaN, 0);
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}
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else
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{
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bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100 + i, 105 + i, 95 + i, 101 + i, 1000);
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}
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sq.Update(bar, isNew: true);
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}
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Assert.True(true);
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}
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// === G) EMA smoothing mode ===
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[Fact]
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public void EmaMode_ProducesFiniteValues()
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{
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var sq = new SqueezePro(period: 10, momLength: 5, momSmooth: 3, useSma: false);
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var bars = GenerateBars(40);
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for (int i = 0; i < 40; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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Assert.True(double.IsFinite(sq.Momentum));
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}
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[Fact]
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public void EmaMode_DiffersFromSma()
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{
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var bars = GenerateBars(50);
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var sqSma = new SqueezePro(period: 10, momLength: 5, momSmooth: 3, useSma: true);
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var sqEma = new SqueezePro(period: 10, momLength: 5, momSmooth: 3, useSma: false);
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for (int i = 0; i < 50; i++)
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{
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sqSma.Update(bars[i], isNew: true);
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sqEma.Update(bars[i], isNew: true);
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}
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// SMA and EMA smoothing should produce different momentum values
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Assert.NotEqual(sqSma.Momentum, sqEma.Momentum);
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}
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// === H) Consistency ===
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[Fact]
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public void BatchCalc_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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var sq = new SqueezePro(period: 10, momLength: 5, momSmooth: 3);
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for (int i = 0; i < 50; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double streamMom = sq.Momentum;
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var (batchMom, _) = SqueezePro.Batch(bars, period: 10, momLength: 5, momSmooth: 3);
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double batchLast = batchMom[^1].Value;
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Assert.Equal(streamMom, batchLast, precision: 6);
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}
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[Fact]
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public void SpanBatch_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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var sq = new SqueezePro(period: 10, momLength: 5, momSmooth: 3);
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for (int i = 0; i < 50; i++)
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{
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sq.Update(bars[i], isNew: true);
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}
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double streamMom = sq.Momentum;
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double[] momOut = new double[50];
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double[] sqOut = new double[50];
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SqueezePro.Batch(bars.HighValues, bars.LowValues, bars.CloseValues,
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momOut, sqOut, period: 10, momLength: 5, momSmooth: 3);
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double spanLast = momOut[49];
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Assert.Equal(streamMom, spanLast, precision: 6);
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}
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[Fact]
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public void EventingMode_MatchesStreaming()
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{
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var bars = GenerateBars(50);
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var sqStream = new SqueezePro(period: 10, momLength: 5, momSmooth: 3);
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for (int i = 0; i < 50; i++)
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{
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sqStream.Update(bars[i], isNew: true);
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}
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double streamMom = sqStream.Momentum;
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var sqEvent = new SqueezePro(bars, period: 10, momLength: 5, momSmooth: 3);
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Assert.Equal(streamMom, sqEvent.Momentum, precision: 6);
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}
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// === I) Span API tests ===
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[Fact]
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public void BatchSpan_ThrowsOnInvalidPeriod()
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{
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double[] h = [100, 101, 102];
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double[] l = [99, 100, 101];
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double[] c = [100, 101, 102];
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double[] mom = new double[3];
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double[] sq = new double[3];
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var ex = Assert.Throws<ArgumentException>(() =>
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SqueezePro.Batch(h, l, c, mom, sq, period: 0));
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Assert.Equal("period", ex.ParamName);
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}
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|
|
|
[Fact]
|
|
public void BatchSpan_ThrowsOnMismatchedLengths()
|
|
{
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double[] h = [100, 101];
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|
double[] l = [99];
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|
double[] c = [100, 101];
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|
double[] mom = new double[2];
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|
double[] sq = new double[2];
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|
var ex = Assert.Throws<ArgumentException>(() =>
|
|
SqueezePro.Batch(h, l, c, mom, sq, period: 5));
|
|
Assert.Equal("high", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void BatchSpan_ThrowsOnShortMomOutput()
|
|
{
|
|
double[] h = [100, 101, 102, 103, 104];
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|
double[] l = [99, 100, 101, 102, 103];
|
|
double[] c = [100, 101, 102, 103, 104];
|
|
double[] mom = new double[2]; // too short
|
|
double[] sq = new double[5];
|
|
var ex = Assert.Throws<ArgumentException>(() =>
|
|
SqueezePro.Batch(h, l, c, mom, sq, period: 3));
|
|
Assert.Equal("momOut", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void BatchSpan_ThrowsOnShortSqOutput()
|
|
{
|
|
double[] h = [100, 101, 102, 103, 104];
|
|
double[] l = [99, 100, 101, 102, 103];
|
|
double[] c = [100, 101, 102, 103, 104];
|
|
double[] mom = new double[5];
|
|
double[] sq = new double[2]; // too short
|
|
var ex = Assert.Throws<ArgumentException>(() =>
|
|
SqueezePro.Batch(h, l, c, mom, sq, period: 3));
|
|
Assert.Equal("sqOut", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void BatchSpan_ThrowsOnInvalidMomLength()
|
|
{
|
|
double[] h = [100, 101, 102];
|
|
double[] l = [99, 100, 101];
|
|
double[] c = [100, 101, 102];
|
|
double[] mom = new double[3];
|
|
double[] sq = new double[3];
|
|
var ex = Assert.Throws<ArgumentException>(() =>
|
|
SqueezePro.Batch(h, l, c, mom, sq, momLength: 0));
|
|
Assert.Equal("momLength", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void BatchSpan_ThrowsOnInvalidMomSmooth()
|
|
{
|
|
double[] h = [100, 101, 102];
|
|
double[] l = [99, 100, 101];
|
|
double[] c = [100, 101, 102];
|
|
double[] mom = new double[3];
|
|
double[] sq = new double[3];
|
|
var ex = Assert.Throws<ArgumentException>(() =>
|
|
SqueezePro.Batch(h, l, c, mom, sq, momSmooth: 0));
|
|
Assert.Equal("momSmooth", ex.ParamName);
|
|
}
|
|
|
|
[Fact]
|
|
public void BatchSpan_LargeData_NoStackOverflow()
|
|
{
|
|
const int size = 2000;
|
|
var gbm = new GBM(100.0, 0.02, 0.15, seed: 1);
|
|
var bars = gbm.Fetch(size, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
double[] mom = new double[size];
|
|
double[] sq = new double[size];
|
|
// period=300 forces ArrayPool path
|
|
SqueezePro.Batch(bars.HighValues, bars.LowValues, bars.CloseValues, mom, sq, period: 300);
|
|
Assert.True(double.IsFinite(mom[size - 1]));
|
|
}
|
|
|
|
// === J) Chainability ===
|
|
|
|
[Fact]
|
|
public void PubEvent_Fires()
|
|
{
|
|
var sq = new SqueezePro(period: 5, momLength: 3, momSmooth: 2);
|
|
int fireCount = 0;
|
|
sq.Pub += (_, in e) => fireCount++;
|
|
|
|
for (int i = 0; i < 10; i++)
|
|
{
|
|
var bar = new TBar(DateTime.UtcNow.AddMinutes(i), 100, 105, 95, 101, 1000);
|
|
sq.Update(bar, isNew: true);
|
|
}
|
|
Assert.Equal(10, fireCount);
|
|
}
|
|
|
|
[Fact]
|
|
public void TBarSeries_Constructor_Subscribes()
|
|
{
|
|
var bars = GenerateBars(30);
|
|
var sq = new SqueezePro(bars, period: 10, momLength: 5, momSmooth: 3);
|
|
|
|
Assert.True(sq.IsHot);
|
|
Assert.True(double.IsFinite(sq.Momentum));
|
|
}
|
|
|
|
// === K) Calculate factory ===
|
|
|
|
[Fact]
|
|
public void Calculate_ReturnsResultsAndIndicator()
|
|
{
|
|
var bars = GenerateBars(30);
|
|
var ((momSeries, sqSeries), indicator) = SqueezePro.Calculate(bars, period: 10, momLength: 5, momSmooth: 3);
|
|
|
|
Assert.Equal(30, momSeries.Count);
|
|
Assert.Equal(30, sqSeries.Count);
|
|
Assert.NotNull(indicator);
|
|
Assert.True(double.IsFinite(indicator.Momentum));
|
|
}
|
|
|
|
// === L) Squeeze level output values ===
|
|
|
|
[Fact]
|
|
public void BatchSqueezeLevels_AreInRange()
|
|
{
|
|
var bars = GenerateBars(100);
|
|
double[] mom = new double[100];
|
|
double[] sq = new double[100];
|
|
SqueezePro.Batch(bars.HighValues, bars.LowValues, bars.CloseValues, mom, sq, period: 10, momLength: 5, momSmooth: 3);
|
|
|
|
for (int i = 0; i < 100; i++)
|
|
{
|
|
Assert.InRange(sq[i], 0.0, 3.0);
|
|
Assert.True(sq[i] == 0.0 || sq[i] == 1.0 || sq[i] == 2.0 || sq[i] == 3.0);
|
|
}
|
|
}
|
|
}
|