mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 00:28:05 +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
497 lines
15 KiB
C#
497 lines
15 KiB
C#
namespace QuanTAlib.Tests;
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public class DecyclerTests
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{
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// ============== Bucket A: Constructor Validation ==============
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[Fact]
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public void Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Decycler(period: 1));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Decycler(period: 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Decycler(period: -10));
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var dec = new Decycler(2);
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Assert.NotNull(dec);
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}
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// ============== Bucket B: Basic Calculation ==============
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[Fact]
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public void Properties_AreAccessible()
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{
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var dec = new Decycler(60);
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Assert.Equal(60, dec.Period);
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Assert.StartsWith("Decycler", dec.Name, StringComparison.Ordinal);
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Assert.Equal("Decycler(60)", dec.Name);
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}
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[Fact]
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public void Calc_ReturnsValue()
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{
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var dec = new Decycler(60);
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var res = dec.Update(new TValue(DateTime.UtcNow, 100));
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// First bar: output = source (HP = 0)
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Assert.Equal(100, res.Value);
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Assert.Equal(100, dec.Last.Value);
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}
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[Fact]
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public void Calc_IsNew_AcceptsParameter()
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{
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var dec = new Decycler(20);
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dec.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = dec.Last.Value;
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dec.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double value2 = dec.Last.Value;
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// Values should change with new bars
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Assert.NotEqual(value1, value2);
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}
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// ============== Bucket C: State + Bar Correction ==============
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[Fact]
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public void Calc_IsNew_False_UpdatesValue()
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{
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var dec = new Decycler(20);
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// Feed initial values
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, 110));
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// Committed state after 2 bars
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_ = dec.Last.Value;
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// New bar
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var newVal = dec.Update(new TValue(DateTime.UtcNow, 120), isNew: true).Value;
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// Same bar correction
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var correctedVal = dec.Update(new TValue(DateTime.UtcNow, 125), isNew: false).Value;
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Assert.NotEqual(newVal, correctedVal);
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var dec = new Decycler(20);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 10 new values
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TValue tenthInput = default;
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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tenthInput = new TValue(bar.Time, bar.Close);
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dec.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double stateAfterTen = dec.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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dec.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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// Feed the remembered 10th input again with isNew=false
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TValue finalResult = dec.Update(tenthInput, isNew: false);
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// Should match the original state after 10 values
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Assert.Equal(stateAfterTen, finalResult.Value, 1e-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 dec = new Decycler(20);
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, 110));
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dec.Reset();
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// After reset, IsHot should be false (state cleared)
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Assert.False(dec.IsHot);
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// After reset, first value should be source itself (HP = 0 on first bar)
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var res = dec.Update(new TValue(DateTime.UtcNow, 50));
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Assert.Equal(50, res.Value);
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}
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[Fact]
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public void Reset_ClearsLastValidValue()
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{
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var dec = new Decycler(20);
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// Feed values including NaN
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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dec.Reset();
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// After reset, first valid value should establish new baseline
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var result = dec.Update(new TValue(DateTime.UtcNow, 50));
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Assert.Equal(50.0, result.Value, 1e-10);
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}
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// ============== Bucket D: Warmup / Convergence ==============
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[Fact]
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public void IsHot_BecomeTrueAfterFirstBar()
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{
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var dec = new Decycler(60);
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// Initially IsHot should be false
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Assert.False(dec.IsHot);
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// After first bar, IsHot should become true (IsInitialized flag)
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dec.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(dec.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 dec20 = new Decycler(20);
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var dec60 = new Decycler(60);
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var dec100 = new Decycler(100);
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Assert.Equal(20, dec20.WarmupPeriod);
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Assert.Equal(60, dec60.WarmupPeriod);
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Assert.Equal(100, dec100.WarmupPeriod);
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}
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// ============== Bucket E: Robustness — NaN + Infinity ==============
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var dec = new Decycler(20);
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// Feed some valid values
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN — should use last valid value (110)
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var resultAfterNaN = dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Result should be finite (not NaN)
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Assert.True(double.IsFinite(resultAfterNaN.Value));
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Assert.NotEqual(0, resultAfterNaN.Value);
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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 dec = new Decycler(20);
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity
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var resultAfterPosInf = dec.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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// Feed negative infinity
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var resultAfterNegInf = dec.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(resultAfterNegInf.Value));
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}
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[Fact]
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public void MultipleNaN_ContinuesWithLastValid()
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{
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var dec = new Decycler(20);
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dec.Update(new TValue(DateTime.UtcNow, 100));
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dec.Update(new TValue(DateTime.UtcNow, 110));
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dec.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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// All results should be finite
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Assert.True(double.IsFinite(r1.Value));
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Assert.True(double.IsFinite(r2.Value));
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Assert.True(double.IsFinite(r3.Value));
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}
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[Fact]
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public void StreamingCalc_HandlesNaN_InSeries()
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{
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var dec = new Decycler(10);
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// Streaming Update handles NaN via last-valid substitution
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var r1 = dec.Update(new TValue(DateTime.UtcNow, 100));
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var r2 = dec.Update(new TValue(DateTime.UtcNow, 110));
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var r3 = dec.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r4 = dec.Update(new TValue(DateTime.UtcNow, 120));
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Assert.True(double.IsFinite(r1.Value));
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Assert.True(double.IsFinite(r2.Value));
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Assert.True(double.IsFinite(r3.Value));
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Assert.True(double.IsFinite(r4.Value));
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}
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// ============== Bucket F: Consistency — All 4 Modes Match ==============
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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// Arrange
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int period = 20;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch Mode
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var batchSeries = Decycler.Batch(series, period);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Decycler.Batch(spanInput, spanOutput, period);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Decycler(period);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Decycler(pubSource, period);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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// Assert — precision 9 due to accumulation differences
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Assert.Equal(expected, spanResult, precision: 9);
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Assert.Equal(expected, streamingResult, precision: 9);
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Assert.Equal(expected, eventingResult, precision: 9);
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}
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[Fact]
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public void BatchCalc_MatchesStaticBatch()
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 123);
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// Generate data
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var series = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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series.Add(bar.Time, bar.Close);
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}
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Assert.True(series.Count > 0);
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// Calculate via instance batch
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var dec = new Decycler(20);
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var batchResults = dec.Update(series);
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// Calculate via static Batch(TSeries)
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var staticResults = Decycler.Batch(series, 20);
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// Compare
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Assert.Equal(batchResults.Count, staticResults.Count);
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for (int i = 0; i < batchResults.Count; i++)
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{
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Assert.Equal(batchResults[i].Value, staticResults[i].Value, 1e-9);
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}
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}
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// ============== Bucket G: Span API Tests ==============
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[Fact]
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public void SpanBatch_ValidatesInput()
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{
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double[] src = new double[10];
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double[] dst = new double[5];
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Assert.Throws<ArgumentException>(() => Decycler.Batch(src, dst, 20));
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}
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[Fact]
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public void SpanBatch_ValidatesPeriod()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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// Period must be >= 2
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Assert.Throws<ArgumentOutOfRangeException>(() => Decycler.Batch(source.AsSpan(), output.AsSpan(), 1));
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Assert.Throws<ArgumentOutOfRangeException>(() => Decycler.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => Decycler.Batch(source.AsSpan(), output.AsSpan(), -5));
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}
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[Fact]
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public void SpanBatch_MatchesTSeriesBatch()
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{
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var series = new TSeries();
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double[] source = new double[100];
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double[] output = new double[100];
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 456);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source[i] = bar.Close;
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series.Add(bar.Time, bar.Close);
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}
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// Calculate with TSeries API
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var tseriesResult = Decycler.Batch(series, 20);
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// Calculate with Span API
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Decycler.Batch(source.AsSpan(), output.AsSpan(), 20);
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// Compare
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(tseriesResult[i].Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void SpanBatch_ProducesFiniteOutput_ForValidInput()
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{
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double[] source = [100, 110, 105, 120, 130];
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double[] output = new double[5];
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Decycler.Batch(source.AsSpan(), output.AsSpan(), 3);
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// All outputs should be finite for valid input
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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// First bar output = source (no HP yet)
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Assert.Equal(100.0, output[0]);
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}
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[Fact]
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public void SpanBatch_LargeData_NoStackOverflow()
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{
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double[] source = new double[10000];
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double[] output = new double[10000];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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for (int i = 0; i < source.Length; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Should run without throwing (no stack overflow)
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Decycler.Batch(source.AsSpan(), output.AsSpan(), 60);
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void SpanBatch_EmptyInput_NoThrow()
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{
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double[] source = [];
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double[] output = [];
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// Should handle empty input gracefully
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Decycler.Batch(source.AsSpan(), output.AsSpan(), 20);
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Assert.Empty(output);
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}
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// ============== Bucket H: Chainability ==============
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[Fact]
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public void Chainability_Works()
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{
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var source = new TSeries();
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var dec = new Decycler(source, 20);
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source.Add(new TValue(DateTime.UtcNow, 100));
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// First bar: output = source
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Assert.Equal(100, dec.Last.Value, 1e-10);
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}
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[Fact]
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public void Pub_Fires_OnUpdate()
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{
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var dec = new Decycler(20);
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bool pubFired = false;
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void OnPub(object? sender, in TValueEventArgs args) => pubFired = true;
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dec.Pub += OnPub;
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dec.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(pubFired);
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}
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[Fact]
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public void EventChaining_ProducesResults()
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{
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// Chain: source → decycler1 → decycler2
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var source = new TSeries();
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var dec1 = new Decycler(source, 20);
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var dec2 = new Decycler(dec1, 30);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 789);
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for (int i = 0; i < 50; i++)
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{
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var bar = gbm.Next(isNew: true);
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source.Add(new TValue(bar.Time, bar.Close));
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}
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// Both indicators should have processed data
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Assert.True(double.IsFinite(dec1.Last.Value));
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Assert.True(double.IsFinite(dec2.Last.Value));
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Assert.NotEqual(0, dec1.Last.Value);
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Assert.NotEqual(0, dec2.Last.Value);
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}
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[Fact]
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public void Calculate_ReturnsCorrectResultsAndHotIndicator()
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{
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var series = new TSeries();
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for (int i = 1; i <= 20; i++)
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{
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series.Add(DateTime.UtcNow, i * 10);
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}
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var (results, indicator) = Decycler.Calculate(series, 10);
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// Check results
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Assert.Equal(20, results.Count);
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// Verify against standard calculation
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var verifyDec = new Decycler(10);
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var verifyResults = verifyDec.Update(series);
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Assert.Equal(verifyResults.Last.Value, results.Last.Value, 1e-10);
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Assert.Equal(verifyDec.Last.Value, indicator.Last.Value, 1e-10);
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// Check indicator state
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Assert.True(indicator.IsHot);
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// Verify indicator continues correctly
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indicator.Update(new TValue(DateTime.UtcNow, 210));
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verifyDec.Update(new TValue(DateTime.UtcNow, 210));
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Assert.Equal(verifyDec.Last.Value, indicator.Last.Value, 1e-10);
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}
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}
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