mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-31 10:57:43 +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
493 lines
16 KiB
C#
493 lines
16 KiB
C#
using Xunit;
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namespace QuanTAlib.Tests;
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// ═══════════════════════════════════════════════════════════════
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// A) Constructor Validation
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// ═══════════════════════════════════════════════════════════════
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public class JbConstructorTests
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{
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[Fact]
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public void Constructor_PeriodLessThan3_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Jb(2));
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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_PeriodZero_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Jb(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_ThrowsArgumentException()
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{
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var ex = Assert.Throws<ArgumentException>(() => new Jb(-5));
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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_ValidPeriod_SetsName()
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{
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var jb = new Jb(20);
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Assert.Equal("Jb(20)", jb.Name);
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}
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[Fact]
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public void Constructor_ValidPeriod_SetsWarmupPeriod()
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{
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var jb = new Jb(20);
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Assert.Equal(20, jb.WarmupPeriod);
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}
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[Fact]
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public void Constructor_MinimumPeriod3_Works()
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{
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var jb = new Jb(3);
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Assert.Equal("Jb(3)", jb.Name);
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// B) Basic Calculation
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// ═══════════════════════════════════════════════════════════════
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public class JbBasicTests
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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 jb = new Jb(5);
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var result = jb.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.IsType<TValue>(result);
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}
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[Fact]
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public void Update_LastAccessible()
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{
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var jb = new Jb(5);
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jb.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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[Fact]
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public void Update_ConstantSeries_JbIsZero()
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{
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// Constant series → skewness = 0, excess kurtosis = 0 → JB = 0
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var jb = new Jb(10);
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for (int i = 0; i < 20; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, 42.0));
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}
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Assert.Equal(0.0, jb.Last.Value, 10);
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}
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[Fact]
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public void Update_SymmetricData_SkewnessZero_KurtosisNonZero()
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{
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// Symmetric data has skewness ≈ 0, but kurtosis may differ from normal
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// For uniform-like data {1,2,3,...,n}, JB > 0 due to platykurtic shape
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var jb = new Jb(20);
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for (int i = 1; i <= 20; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i));
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}
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// Uniform distribution is platykurtic: excess kurtosis < 0, so JB > 0
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Assert.True(jb.Last.Value >= 0.0);
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}
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[Fact]
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public void Update_JbAlwaysNonNegative()
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{
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// JB = (n/6)(S² + EK²/4) is sum of squares → always >= 0
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var jb = new Jb(20);
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var rng = new GBM();
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for (int i = 0; i < 100; i++)
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{
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var bar = rng.Next();
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jb.Update(new TValue(bar.Time, bar.Close));
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Assert.True(jb.Last.Value >= 0.0, $"JB was negative at bar {i}: {jb.Last.Value}");
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}
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}
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[Fact]
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public void Update_KnownNormalDistribution_SmallJb()
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{
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// Near-normal data should produce small JB values
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// Using a simple linear series with period 50 as proxy
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var jb = new Jb(50);
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for (int i = 0; i < 100; i++)
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{
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// Triangular wave approximating normal shape
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double val = 50.0 + Math.Sin(i * 0.1) * 10.0;
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jb.Update(new TValue(DateTime.UtcNow, val));
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}
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// C) State + Bar Correction (critical)
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// ═══════════════════════════════════════════════════════════════
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public class JbStateCorrectionTests
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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 jb = new Jb(5);
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jb.Update(new TValue(DateTime.UtcNow, 10.0), isNew: true);
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jb.Update(new TValue(DateTime.UtcNow, 20.0), isNew: true);
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double afterTwo = jb.Last.Value;
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jb.Update(new TValue(DateTime.UtcNow, 100.0), isNew: true);
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double afterThree = jb.Last.Value;
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// Adding an outlier should change JB
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Assert.NotEqual(afterTwo, afterThree);
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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 jb = new Jb(5);
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for (int i = 1; i <= 5; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i * 10.0));
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}
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double before = jb.Last.Value;
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// Correct last bar with same value
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jb.Update(new TValue(DateTime.UtcNow, 50.0), isNew: false);
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Assert.Equal(before, jb.Last.Value, 10);
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}
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[Fact]
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public void IsNew_False_DifferentValue_ChangesResult()
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{
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var jb = new Jb(5);
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double[] vals = [10, 20, 30, 40, 50];
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for (int i = 0; i < vals.Length; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, vals[i]));
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}
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double before = jb.Last.Value;
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// Correct last bar with very different value → changes skewness → changes JB
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jb.Update(new TValue(DateTime.UtcNow, 200.0), isNew: false);
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Assert.NotEqual(before, jb.Last.Value);
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}
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[Fact]
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public void IterativeCorrections_RestoreState()
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{
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var jb = new Jb(5);
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for (int i = 1; i <= 5; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i * 10.0));
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}
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double original = jb.Last.Value;
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// Multiple corrections
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jb.Update(new TValue(DateTime.UtcNow, 999.0), isNew: false);
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jb.Update(new TValue(DateTime.UtcNow, 50.0), isNew: false);
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Assert.Equal(original, jb.Last.Value, 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 jb = new Jb(5);
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for (int i = 1; i <= 10; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.True(jb.IsHot);
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jb.Reset();
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Assert.False(jb.IsHot);
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Assert.Equal(default, jb.Last);
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// D) Warmup/Convergence
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// ═══════════════════════════════════════════════════════════════
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public class JbWarmupTests
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{
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[Fact]
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public void IsHot_FlipsWhenBufferFull()
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{
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var jb = new Jb(5);
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for (int i = 0; i < 4; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i + 1));
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Assert.False(jb.IsHot);
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}
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jb.Update(new TValue(DateTime.UtcNow, 5));
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Assert.True(jb.IsHot);
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}
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[Fact]
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public void WarmupPeriod_EqualsToPeriod()
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{
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var jb = new Jb(20);
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Assert.Equal(20, jb.WarmupPeriod);
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}
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[Fact]
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public void SingleValue_JbIsZero()
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{
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var jb = new Jb(5);
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jb.Update(new TValue(DateTime.UtcNow, 42.0));
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Assert.Equal(0.0, jb.Last.Value, 10);
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}
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[Fact]
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public void TwoValues_JbIsZero()
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{
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var jb = new Jb(5);
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jb.Update(new TValue(DateTime.UtcNow, 10.0));
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jb.Update(new TValue(DateTime.UtcNow, 20.0));
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Assert.Equal(0.0, jb.Last.Value, 10);
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// E) Robustness (critical)
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// ═══════════════════════════════════════════════════════════════
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public class JbRobustnessTests
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{
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[Fact]
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public void NaN_UsesLastValid()
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{
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var jb = new Jb(5);
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for (int i = 1; i <= 5; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i * 10.0));
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}
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jb.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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[Fact]
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public void Infinity_UsesLastValid()
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{
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var jb = new Jb(5);
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for (int i = 1; i <= 5; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i * 10.0));
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}
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jb.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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[Fact]
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public void NegativeInfinity_UsesLastValid()
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{
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var jb = new Jb(5);
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for (int i = 1; i <= 5; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i * 10.0));
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}
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jb.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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[Fact]
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public void BatchNaN_NoPropagation()
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{
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var jb = new Jb(5);
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for (int i = 0; i < 10; i++)
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{
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jb.Update(new TValue(DateTime.UtcNow, i % 2 == 0 ? double.NaN : (double)(i * 10)));
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}
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// F) Consistency (critical)
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// ═══════════════════════════════════════════════════════════════
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public class JbConsistencyTests
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{
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private const double Tolerance = 1e-8;
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[Fact]
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public void BatchCalc_MatchesStreaming()
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{
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int period = 10;
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int bars = 100;
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var rng = new GBM();
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var source = new TSeries();
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for (int i = 0; i < bars; i++)
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{
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var bar = rng.Next();
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source.Add(new TValue(bar.Time, bar.Close));
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}
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// Streaming
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var streaming = new Jb(period);
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var streamResults = new double[bars];
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for (int i = 0; i < bars; i++)
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{
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streaming.Update(source[i]);
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streamResults[i] = streaming.Last.Value;
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}
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// Batch
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var batchSeries = Jb.Batch(source, period);
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for (int i = period - 1; i < bars; i++)
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{
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Assert.Equal(streamResults[i], batchSeries[i].Value, Tolerance);
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}
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}
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[Fact]
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public void SpanCalc_MatchesStreaming()
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{
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int period = 10;
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int bars = 100;
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var rng = new GBM();
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var source = new TSeries();
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for (int i = 0; i < bars; i++)
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{
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var bar = rng.Next();
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source.Add(new TValue(bar.Time, bar.Close));
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}
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// Streaming
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var streaming = new Jb(period);
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var streamResults = new double[bars];
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for (int i = 0; i < bars; i++)
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{
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streaming.Update(source[i]);
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streamResults[i] = streaming.Last.Value;
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}
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// Span
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var spanOutput = new double[bars];
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Jb.Batch(source.Values, spanOutput.AsSpan(), period);
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for (int i = period - 1; i < bars; i++)
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{
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Assert.Equal(streamResults[i], spanOutput[i], Tolerance);
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}
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}
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[Fact]
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public void EventBased_MatchesStreaming()
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{
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int period = 10;
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int bars = 50;
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var rng = new GBM();
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var source = new TSeries();
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var eventJb = new Jb(source, period);
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var manualJb = new Jb(period);
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for (int i = 0; i < bars; i++)
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{
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var bar = rng.Next();
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var tv = new TValue(bar.Time, bar.Close);
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manualJb.Update(tv);
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source.Add(tv);
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}
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Assert.Equal(manualJb.Last.Value, eventJb.Last.Value, Tolerance);
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// G) Span API Tests
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// ═══════════════════════════════════════════════════════════════
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public class JbSpanTests
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{
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[Fact]
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public void Span_MismatchedLengths_ThrowsArgumentException()
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{
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var source = new double[10];
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var output = new double[5];
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var ex = Assert.Throws<ArgumentException>(() =>
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Jb.Batch(source.AsSpan(), output.AsSpan(), 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 Span_InvalidPeriod_ThrowsArgumentException()
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{
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var source = new double[10];
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var output = new double[10];
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var ex = Assert.Throws<ArgumentException>(() =>
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Jb.Batch(source.AsSpan(), output.AsSpan(), 2));
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Assert.Equal("period", ex.ParamName);
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}
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[Fact]
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public void Span_EmptyInput_NoException()
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{
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var source = ReadOnlySpan<double>.Empty;
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var output = Span<double>.Empty;
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Jb.Batch(source, output, 5);
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Assert.True(true); // S2699 — confirms no exception
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}
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[Fact]
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public void Span_LargeData_NoStackOverflow()
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{
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int len = 10_000;
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var source = new double[len];
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var output = new double[len];
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var rng = new GBM();
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for (int i = 0; i < len; i++)
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{
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var bar = rng.Next();
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source[i] = bar.Close;
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}
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Jb.Batch(source.AsSpan(), output.AsSpan(), 50);
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Assert.True(double.IsFinite(output[len - 1]));
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}
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[Fact]
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public void Span_HandlesNaN()
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{
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var source = new double[] { 10, 20, double.NaN, 40, 50, 60, 70, 80, 90, 100 };
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var output = new double[10];
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Jb.Batch(source.AsSpan(), output.AsSpan(), 5);
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Assert.True(double.IsFinite(output[9]));
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}
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}
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// ═══════════════════════════════════════════════════════════════
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// H) Chainability
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// ═══════════════════════════════════════════════════════════════
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public class JbEventTests
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{
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[Fact]
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public void Pub_Fires()
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{
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var jb = new Jb(5);
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bool fired = false;
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jb.Pub += (object? _, in TValueEventArgs _) => fired = true;
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jb.Update(new TValue(DateTime.UtcNow, 42.0));
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Assert.True(fired);
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}
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[Fact]
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public void EventChaining_Works()
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{
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var source = new TSeries();
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var jb = new Jb(source, 5);
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source.Add(new TValue(DateTime.UtcNow, 10.0));
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source.Add(new TValue(DateTime.UtcNow, 20.0));
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source.Add(new TValue(DateTime.UtcNow, 30.0));
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Assert.True(double.IsFinite(jb.Last.Value));
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}
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}
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