mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 20:47:43 +00:00
Miha Kralj
6f0a339c9b
- Sar.Quantower.Tests.cs: add missing opening quote on string literal (line 48) - Exports.cs: rename Correlation.Batch → Correl.Batch (CS0103) - Ad.Validation.Tests.cs: fix Ooples OutputValues key "Ad" → "Adl"
561 lines
17 KiB
C#
561 lines
17 KiB
C#
// SAR Tests - Parabolic Stop And Reverse
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namespace QuanTAlib.Tests;
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// ── A) Constructor Validation ────────────────────────────────────────────
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public sealed class SarConstructorTests
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{
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[Fact]
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public void Constructor_ZeroAfStart_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afStart: 0));
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Assert.Equal("afStart", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeAfStart_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afStart: -0.01));
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Assert.Equal("afStart", ex.ParamName);
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}
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[Fact]
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public void Constructor_ZeroAfIncrement_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afIncrement: 0));
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Assert.Equal("afIncrement", ex.ParamName);
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}
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[Fact]
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public void Constructor_NegativeAfIncrement_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afIncrement: -0.01));
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Assert.Equal("afIncrement", ex.ParamName);
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}
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[Fact]
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public void Constructor_AfMaxEqualAfStart_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afStart: 0.02, afMax: 0.02));
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Assert.Equal("afMax", ex.ParamName);
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}
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[Fact]
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public void Constructor_AfMaxLessThanAfStart_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Sar(afStart: 0.10, afMax: 0.05));
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Assert.Equal("afStart", ex.ParamName);
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}
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[Fact]
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public void Constructor_ValidDefaults_SetsProperties()
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{
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var sar = new Sar();
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Assert.Equal(0.02, sar.AfStart);
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Assert.Equal(0.02, sar.AfIncrement);
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Assert.Equal(0.20, sar.AfMax);
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Assert.Equal(1, sar.WarmupPeriod);
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Assert.Contains("Sar", sar.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void Constructor_CustomParams_SetsProperties()
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{
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var sar = new Sar(afStart: 0.01, afIncrement: 0.01, afMax: 0.10);
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Assert.Equal(0.01, sar.AfStart);
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Assert.Equal(0.01, sar.AfIncrement);
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Assert.Equal(0.10, sar.AfMax);
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}
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}
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// ── B) Basic Calculation ─────────────────────────────────────────────────
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public sealed class SarBasicTests
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{
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[Fact]
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public void Update_ReturnsTValue()
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{
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var sar = new Sar();
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var bar = new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000);
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TValue result = sar.Update(bar);
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Assert.IsType<TValue>(result);
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}
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[Fact]
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public void Update_Last_IsAccessible()
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{
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var sar = new Sar();
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var bar = new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000);
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_ = sar.Update(bar);
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Assert.True(double.IsFinite(sar.Last.Value) || double.IsNaN(sar.Last.Value));
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}
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[Fact]
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public void Update_Sar_IsAccessible()
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{
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var sar = new Sar();
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// Feed enough bars
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(i),
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price + 2, price - 2, price + 1, price, 1000));
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}
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Assert.True(double.IsFinite(sar.SarValue));
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}
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[Fact]
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public void Name_ContainsParameters()
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{
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var sar = new Sar(afStart: 0.01, afIncrement: 0.02, afMax: 0.10);
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Assert.Contains("0.01", sar.Name, StringComparison.Ordinal);
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Assert.Contains("0.10", sar.Name, StringComparison.Ordinal);
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}
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[Fact]
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public void FirstBar_Uptrend_SarEqualsLow()
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{
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var sar = new Sar();
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// Close(105) > Open(95) → long mode → SAR = low(90)
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_ = sar.Update(new TBar(DateTime.UtcNow, 95, 110, 90, 105, 1000));
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Assert.Equal(90.0, sar.SarValue);
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Assert.True(sar.IsLong);
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}
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[Fact]
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public void FirstBar_Downtrend_SarEqualsHigh()
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{
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var sar = new Sar();
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// Close(90) < Open(105) → short mode → SAR = high(110)
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_ = sar.Update(new TBar(DateTime.UtcNow, 105, 110, 85, 90, 1000));
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Assert.Equal(110.0, sar.SarValue);
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Assert.False(sar.IsLong);
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}
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[Fact]
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public void Sar_BelowPrice_InUptrend()
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{
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var sar = new Sar();
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// Steady uptrend - SAR should trail below
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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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_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(i),
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price + 1, price - 1, price + 0.5, price, 1000));
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}
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double lastClose = 100.0 + 19 * 2;
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Assert.True(sar.SarValue < lastClose, "SAR should be below price in uptrend");
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Assert.True(sar.IsLong, "Should be in long mode during uptrend");
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}
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[Fact]
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public void Sar_AbovePrice_InDowntrend()
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{
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var sar = new Sar();
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// Steady downtrend - SAR should trail above
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for (int i = 0; i < 20; i++)
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{
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double price = 200.0 - i * 2;
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_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(i),
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price + 1, price - 1, price + 0.5, price, 1000));
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}
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double lastClose = 200.0 - 19 * 2;
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Assert.True(sar.SarValue > lastClose, "SAR should be above price in downtrend");
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Assert.False(sar.IsLong, "Should be in short mode during downtrend");
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}
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[Fact]
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public void IsHot_TrueAfterFirstBar()
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{
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var sar = new Sar();
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Assert.False(sar.IsHot);
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_ = sar.Update(new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000));
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Assert.True(sar.IsHot);
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}
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}
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// ── C) State + Bar Correction ────────────────────────────────────────────
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public sealed class SarStateCorrectionTests
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{
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[Fact]
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public void IsNew_True_AdvancesState()
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{
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var sar = new Sar();
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_ = sar.Update(new TBar(DateTime.UtcNow, 105, 95, 100, 100, 1000), isNew: true);
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var first = sar.Last;
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_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(1), 110, 100, 105, 105, 1000), isNew: true);
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var second = sar.Last;
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Assert.NotEqual(first.Time, second.Time);
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}
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[Fact]
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public void IsNew_False_CorrectionRestoresState()
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{
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var sar = new Sar();
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var dt = DateTime.UtcNow;
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// Feed some bars to warm up
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000), isNew: true);
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}
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// New bar
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_ = sar.Update(new TBar(dt.AddMinutes(5), 110, 105, 108, 107, 1000), isNew: true);
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// Correct the bar (isNew=false with different values)
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_ = sar.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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// Another correction should produce same result
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_ = sar.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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var corrected1 = sar.SarValue;
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_ = sar.Update(new TBar(dt.AddMinutes(5), 111, 104, 109, 108, 1000), isNew: false);
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var corrected2 = sar.SarValue;
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Assert.Equal(corrected1, corrected2);
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}
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[Fact]
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public void IterativeCorrections_ProduceSameResult()
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{
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var sar = new Sar();
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var dt = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000), isNew: true);
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}
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// Add new bar then correct 3 times
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_ = sar.Update(new TBar(dt.AddMinutes(5), 110, 100, 108, 105, 1000), isNew: true);
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double[] results = new double[3];
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for (int i = 0; i < 3; i++)
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{
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_ = sar.Update(new TBar(dt.AddMinutes(5), 112, 101, 110, 107, 1000), isNew: false);
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results[i] = sar.SarValue;
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}
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Assert.Equal(results[0], results[1]);
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Assert.Equal(results[1], results[2]);
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}
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[Fact]
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public void Reset_ClearsAllState()
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{
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var sar = new Sar();
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for (int i = 0; i < 10; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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Assert.True(sar.IsHot);
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sar.Reset();
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Assert.False(sar.IsHot);
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Assert.True(double.IsNaN(sar.SarValue));
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}
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}
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// ── D) Warmup / Convergence ──────────────────────────────────────────────
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public sealed class SarWarmupTests
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{
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[Fact]
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public void IsHot_FlipsAfterFirstBar()
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{
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var sar = new Sar();
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Assert.False(sar.IsHot);
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_ = sar.Update(new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000));
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Assert.True(sar.IsHot);
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}
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[Fact]
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public void WarmupPeriod_EqualsOne()
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{
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var sar = new Sar();
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Assert.Equal(1, sar.WarmupPeriod);
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}
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}
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// ── E) Robustness ────────────────────────────────────────────────────────
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public sealed class SarRobustnessTests
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{
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var sar = new Sar();
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var dt = DateTime.UtcNow;
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// Feed valid bars
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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// Feed NaN bar
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_ = sar.Update(new TBar(dt.AddMinutes(5), double.NaN, double.NaN, double.NaN, double.NaN, 0));
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Assert.True(double.IsFinite(sar.SarValue));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var sar = new Sar();
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var dt = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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_ = sar.Update(new TBar(dt.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
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}
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_ = sar.Update(new TBar(dt.AddMinutes(5),
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double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity, double.PositiveInfinity, 0));
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Assert.True(double.IsFinite(sar.SarValue));
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}
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[Fact]
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public void FirstBar_NaN_ReturnsNaN()
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{
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var sar = new Sar();
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_ = sar.Update(new TBar(DateTime.UtcNow, double.NaN, double.NaN, double.NaN, double.NaN, 0));
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Assert.True(double.IsNaN(sar.Last.Value));
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}
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}
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// ── F) Consistency ───────────────────────────────────────────────────────
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public sealed class SarConsistencyTests
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{
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private static TBarSeries CreateGbmBars(int count = 500)
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42);
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return gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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}
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[Fact]
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public void Streaming_MatchesBatch()
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{
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var bars = CreateGbmBars();
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// Streaming
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var streaming = new Sar();
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var streamResults = new double[bars.Count];
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for (int i = 0; i < bars.Count; i++)
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{
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_ = streaming.Update(bars[i], isNew: true);
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streamResults[i] = streaming.SarValue;
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}
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// Batch
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var batchResults = Sar.Batch(bars);
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for (int i = 0; i < bars.Count; i++)
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{
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Assert.Equal(streamResults[i], batchResults[i].Value, precision: 10);
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}
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}
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[Fact]
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public void TValue_Update_MatchesTBar_Update()
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{
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var ch1 = new Sar();
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var ch2 = new Sar();
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double[] prices = [100, 102, 98, 105, 99, 103, 107, 95, 110, 108];
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for (int i = 0; i < prices.Length; i++)
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{
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double p = prices[i];
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// TBar with equal OHLC
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_ = ch1.Update(new TBar(DateTime.UtcNow.AddMinutes(i), p, p, p, p, 0), isNew: true);
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// TValue
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_ = ch2.Update(new TValue(DateTime.UtcNow.AddMinutes(i), p), isNew: true);
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}
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Assert.Equal(ch1.SarValue, ch2.SarValue);
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}
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[Fact]
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public void Reversal_DetectedOnPriceCrossover()
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{
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var sar = new Sar();
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var dt = DateTime.UtcNow;
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// Start in uptrend
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_ = sar.Update(new TBar(dt, 100, 90, 95, 105, 1000), isNew: true);
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Assert.True(sar.IsLong);
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// Continue uptrend
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for (int i = 1; i <= 5; i++)
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{
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double price = 105 + i * 2;
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_ = sar.Update(new TBar(dt.AddMinutes(i),
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price + 1, price - 1, price + 0.5, price, 1000), isNew: true);
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}
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Assert.True(sar.IsLong);
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// Sharp reversal — price drops below SAR
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double sarBeforeReversal = sar.SarValue;
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_ = sar.Update(new TBar(dt.AddMinutes(10),
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sarBeforeReversal - 5, sarBeforeReversal - 20,
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sarBeforeReversal - 18, sarBeforeReversal - 15, 1000), isNew: true);
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Assert.False(sar.IsLong, "Should reverse to short after price crosses below SAR");
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}
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[Fact]
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public void Update_TSeries_MatchesStreaming()
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{
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var bars = CreateGbmBars(100);
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// Streaming
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var streaming = new Sar();
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for (int i = 0; i < bars.Count; i++)
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{
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_ = streaming.Update(bars[i], isNew: true);
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}
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double streamLast = streaming.SarValue;
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// TSeries batch
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var batch = new Sar();
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_ = batch.Update(bars);
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Assert.Equal(streamLast, batch.SarValue, precision: 10);
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}
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}
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// ── G) Span API Tests ────────────────────────────────────────────────────
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public sealed class SarSpanTests
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{
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[Fact]
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public void Batch_Span_InvalidAfStart_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() =>
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Sar.Batch(new double[10], new double[10], new double[10], new double[10], new double[10], afStart: 0));
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Assert.Equal("afStart", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_MismatchedLengths_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() =>
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Sar.Batch(new double[10], new double[10], new double[5], new double[10], new double[10]));
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Assert.Equal("high", ex.ParamName);
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}
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[Fact]
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public void Batch_Span_OutputTooShort_Throws()
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{
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var ex = Assert.Throws<ArgumentException>(() =>
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Sar.Batch(new double[10], new double[10], new double[10], new double[10], new double[5]));
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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_Empty_NoException()
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{
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var output = Array.Empty<double>();
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var ex = Record.Exception(() =>
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Sar.Batch(ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty,
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ReadOnlySpan<double>.Empty, ReadOnlySpan<double>.Empty, output.AsSpan()));
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Assert.Null(ex);
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}
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}
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// ── H) Event / Chainability ──────────────────────────────────────────────
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public sealed class SarEventTests
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{
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[Fact]
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public void Pub_FiresOnUpdate()
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{
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var sar = new Sar();
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int fireCount = 0;
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sar.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
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_ = sar.Update(new TBar(DateTime.UtcNow, 100, 95, 98, 97, 1000));
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Assert.Equal(1, fireCount);
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}
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[Fact]
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public void Pub_FiresOnEachUpdate()
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{
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var sar = new Sar();
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int fireCount = 0;
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sar.Pub += (object? _, in TValueEventArgs _e) => { fireCount++; };
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for (int i = 0; i < 5; i++)
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{
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double price = 100.0 + i;
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|
_ = sar.Update(new TBar(DateTime.UtcNow.AddMinutes(i), price + 2, price - 2, price + 1, price, 1000));
|
|
}
|
|
|
|
Assert.Equal(5, fireCount);
|
|
}
|
|
}
|
|
|
|
// ── I) Prime Tests ───────────────────────────────────────────────────────
|
|
public sealed class SarPrimeTests
|
|
{
|
|
[Fact]
|
|
public void Prime_TBarSeries_SetsState()
|
|
{
|
|
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.20, seed: 42);
|
|
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
|
|
var sar = new Sar();
|
|
sar.Prime(bars);
|
|
|
|
Assert.True(sar.IsHot);
|
|
Assert.True(double.IsFinite(sar.SarValue));
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_EmptySource_NoException()
|
|
{
|
|
var sar = new Sar();
|
|
var bars = new TBarSeries();
|
|
|
|
var ex = Record.Exception(() => sar.Prime(bars));
|
|
Assert.Null(ex);
|
|
Assert.False(sar.IsHot);
|
|
}
|
|
}
|