mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-05 04:27:43 +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
330 lines
9.5 KiB
C#
330 lines
9.5 KiB
C#
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namespace QuanTAlib.Tests;
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public class DemaTests
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{
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[Fact]
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public void Dema_Matches_ManualCalculation()
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{
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// Arrange
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const int period = 10;
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var dema = new Dema(period);
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var ema1 = new Ema(period);
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var ema2 = new Ema(period);
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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// Act & Assert
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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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var tVal = new TValue(bar.Time, bar.Close);
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var dVal = dema.Update(tVal);
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var e1Val = ema1.Update(tVal);
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var e2Val = ema2.Update(e1Val);
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double expected = 2 * e1Val.Value - e2Val.Value;
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Assert.Equal(expected, dVal.Value, 1e-9);
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}
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}
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[Fact]
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public void StaticCalculate_Matches_ObjectUpdate()
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{
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// Arrange
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const int period = 10;
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var source = new TSeries();
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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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.Add(new TValue(bar.Time, bar.Close));
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}
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// Act
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var demaSeries = Dema.Batch(source, period);
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var demaObj = new Dema(period);
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// Assert
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for (int i = 0; i < source.Count; i++)
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{
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var val = demaObj.Update(source[i]);
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Assert.Equal(val.Value, demaSeries[i].Value, 1e-9);
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}
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}
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[Fact]
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public void ZeroAllocCalculate_Matches_ObjectUpdate()
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{
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// Arrange
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const int period = 10;
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const int count = 100;
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var source = new double[count];
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var output = new double[count];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < count; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Act
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Dema.Batch(source, output, period);
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var demaObj = new Dema(period);
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// Assert
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for (int i = 0; i < count; i++)
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{
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var val = demaObj.Update(new TValue(DateTime.UtcNow, source[i]));
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Assert.Equal(val.Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Alpha_Constructor_Matches_Period_Constructor()
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{
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// Arrange
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const int period = 10;
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double alpha = 2.0 / (period + 1);
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var demaPeriod = new Dema(period);
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var demaAlpha = new Dema(alpha);
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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// Act & Assert
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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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var tVal = new TValue(bar.Time, bar.Close);
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var pVal = demaPeriod.Update(tVal);
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var aVal = demaAlpha.Update(tVal);
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Assert.Equal(pVal.Value, aVal.Value, 1e-9);
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}
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}
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[Fact]
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public void Alpha_Constructor_Sets_WarmupPeriod()
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{
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const int period = 10;
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double alpha = 2.0 / (period + 1);
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var dema = new Dema(alpha);
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Assert.Equal(period, dema.WarmupPeriod);
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}
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[Fact]
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public void StaticCalculate_Alpha_Matches_ObjectUpdate()
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{
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// Arrange
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const double alpha = 0.15;
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var source = new TSeries();
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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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.Add(new TValue(bar.Time, bar.Close));
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}
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// Act
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var demaSeries = Dema.Batch(source, alpha);
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var demaObj = new Dema(alpha);
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// Assert
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for (int i = 0; i < source.Count; i++)
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{
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var val = demaObj.Update(source[i]);
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Assert.Equal(val.Value, demaSeries[i].Value, 1e-9);
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}
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}
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[Fact]
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public void ZeroAllocCalculate_Alpha_Matches_ObjectUpdate()
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{
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// Arrange
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const double alpha = 0.15;
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const int count = 100;
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var source = new double[count];
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var output = new double[count];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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for (int i = 0; i < count; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Act
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Dema.Batch(source, output, alpha);
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var demaObj = new Dema(alpha);
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// Assert
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for (int i = 0; i < count; i++)
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{
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var val = demaObj.Update(new TValue(DateTime.UtcNow, source[i]));
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Assert.Equal(val.Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Dema_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Dema(0));
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Assert.Throws<ArgumentException>(() => new Dema(-1));
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Assert.Throws<ArgumentException>(() => new Dema(0.0));
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Assert.Throws<ArgumentException>(() => new Dema(1.1));
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}
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[Fact]
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public void Dema_Calc_IsNew_AcceptsParameter()
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{
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var dema = new Dema(10);
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dema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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Assert.Equal(100, dema.Last.Value);
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}
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[Fact]
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public void Dema_Reset_ClearsState()
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{
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var dema = new Dema(10);
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dema.Update(new TValue(DateTime.UtcNow, 100));
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dema.Update(new TValue(DateTime.UtcNow, 110));
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dema.Reset();
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Assert.Equal(0, dema.Last.Value);
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Assert.False(dema.IsHot);
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}
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[Fact]
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public void Dema_IterativeCorrections_RestoreToOriginalState()
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{
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var dema = new Dema(10);
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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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dema.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double valueAfterTen = dema.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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dema.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 finalValue = dema.Update(tenthInput, isNew: false);
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// Should match the original state after 10 values
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Assert.Equal(valueAfterTen, finalValue.Value, 1e-9);
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}
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[Fact]
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public void Dema_NaN_Input_UsesLastValidValue()
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{
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var dema = new Dema(10);
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dema.Update(new TValue(DateTime.UtcNow, 100));
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dema.Update(new TValue(DateTime.UtcNow, 110));
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var resultAfterNaN = dema.Update(new TValue(DateTime.UtcNow, double.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 Dema_SpanCalc_ValidatesInput()
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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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double[] wrongSizeOutput = new double[3];
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Assert.Throws<ArgumentException>(() => Dema.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Dema.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Dema_SpanCalc_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Dema.Batch(source.AsSpan(), output.AsSpan(), 3);
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val));
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}
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}
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[Fact]
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public void Dema_AllModes_ProduceSameResult()
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{
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// Arrange
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const int period = 10;
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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 = Dema.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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Dema.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 Dema(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 Dema(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
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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 StaticCalculate_HandlesInitialNaN_Correctly()
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{
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double[] source = { double.NaN, double.NaN, 10.0, 11.0, 12.0 };
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double[] output = new double[source.Length];
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Dema.Batch(source, output, 3);
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// We expect the first two outputs to be NaN because the input was NaN
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Assert.True(double.IsNaN(output[0]), $"Output[0] should be NaN, but was {output[0]}");
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Assert.True(double.IsNaN(output[1]), $"Output[1] should be NaN, but was {output[1]}");
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// The first valid value is 10.0.
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Assert.Equal(10.0, output[2], 1e-9);
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}
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}
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