mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-09 06:27:45 +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
708 lines
22 KiB
C#
708 lines
22 KiB
C#
namespace QuanTAlib.Tests;
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public class EmaTests
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{
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[Fact]
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public void Ema_Constructor_Period_ValidatesInput()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ema(0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Ema(-1));
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var ema = new Ema(10);
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Assert.NotNull(ema);
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}
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[Fact]
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public void Ema_Constructor_Alpha_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Ema(0.0));
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Assert.Throws<ArgumentException>(() => new Ema(-0.1));
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Assert.Throws<ArgumentException>(() => new Ema(1.1));
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var ema = new Ema(0.5);
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Assert.NotNull(ema);
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}
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[Fact]
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public void Ema_Calc_ReturnsValue()
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{
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var ema = new Ema(10);
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Assert.Equal(0, ema.Last.Value);
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TValue result = ema.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, ema.Last.Value);
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}
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[Fact]
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public void Ema_Calc_IsNew_AcceptsParameter()
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{
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var ema = new Ema(10);
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ema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = ema.Last.Value;
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ema.Update(new TValue(DateTime.UtcNow, 105), isNew: true);
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double value2 = ema.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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[Fact]
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public void Ema_Calc_IsNew_False_UpdatesValue()
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{
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var ema = new Ema(10);
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = ema.Last.Value;
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ema.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = ema.Last.Value;
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// Update should change the value
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Assert.NotEqual(beforeUpdate, afterUpdate);
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}
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[Fact]
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public void Ema_Reset_ClearsState()
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{
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var ema = new Ema(10);
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = ema.Last.Value;
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ema.Reset();
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Assert.Equal(0, ema.Last.Value);
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// After reset, should accept new values
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ema.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, ema.Last.Value);
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Assert.NotEqual(valueBefore, ema.Last.Value);
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}
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[Fact]
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public void Ema_Properties_Accessible()
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{
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var ema = new Ema(10);
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Assert.Equal(0, ema.Last.Value);
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Assert.False(ema.IsHot);
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ema.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, ema.Last.Value);
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}
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[Fact]
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public void Ema_IsHot_BecomesTrueAt95PercentCoverage()
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{
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var ema = new Ema(10);
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// Initially IsHot should be false
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Assert.False(ema.IsHot);
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// IsHot triggers at 95% coverage (E <= 0.05)
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// E = (1 - alpha)^N where alpha = 2 / (period + 1)
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// For period 10: alpha = 2/11 ≈ 0.1818, (1-alpha) ≈ 0.8182
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// N = ln(0.05) / ln(0.8182) ≈ 14.93, so ~15 bars
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int steps = 0;
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while (!ema.IsHot && steps < 1000)
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{
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ema.Update(new TValue(DateTime.UtcNow, 100));
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steps++;
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}
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Assert.True(ema.IsHot);
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Assert.True(steps > 0);
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// For period 10, should become hot around 15 bars
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Assert.InRange(steps, 14, 16);
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}
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[Fact]
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public void Ema_IsHot_IsPeriodDependent()
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{
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// Test that different periods result in different warmup times
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// Formula: N = ln(0.05) / ln((p-1)/(p+1))
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int[] periods = [10, 20, 50, 100];
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int[] expectedSteps = new int[periods.Length];
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for (int i = 0; i < periods.Length; i++)
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{
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int period = periods[i];
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var ema = new Ema(period);
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int steps = 0;
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while (!ema.IsHot && steps < 500)
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{
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ema.Update(new TValue(DateTime.UtcNow, 100));
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steps++;
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}
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expectedSteps[i] = steps;
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}
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// Verify warmup times increase with period
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// Period 10 → ~15 bars, Period 20 → ~30 bars, Period 50 → ~75 bars, Period 100 → ~150 bars
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Assert.True(expectedSteps[0] < expectedSteps[1], $"Period 10 ({expectedSteps[0]}) should be less than Period 20 ({expectedSteps[1]})");
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Assert.True(expectedSteps[1] < expectedSteps[2], $"Period 20 ({expectedSteps[1]}) should be less than Period 50 ({expectedSteps[2]})");
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Assert.True(expectedSteps[2] < expectedSteps[3], $"Period 50 ({expectedSteps[2]}) should be less than Period 100 ({expectedSteps[3]})");
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// Verify approximate expected values (N ≈ 1.5 * period for 95% coverage)
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Assert.InRange(expectedSteps[0], 14, 17); // Period 10 → ~15
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Assert.InRange(expectedSteps[1], 28, 32); // Period 20 → ~30
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Assert.InRange(expectedSteps[2], 73, 78); // Period 50 → ~75
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Assert.InRange(expectedSteps[3], 147, 153); // Period 100 → ~150
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}
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[Fact]
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public void Ema_PeriodEquivalence_BothConstructorsWork()
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{
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const int period = 20;
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double alpha = 2.0 / (period + 1);
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var emaPeriod = new Ema(period);
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var emaAlpha = new Ema(alpha);
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// Both should accept Calc calls and produce same result
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TValue result1 = emaPeriod.Update(new TValue(DateTime.UtcNow, 100));
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TValue result2 = emaAlpha.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(result1.Value, result2.Value, 1e-10);
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}
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[Fact]
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public void Ema_IterativeCorrections_RestoreToOriginalState()
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{
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var ema = new Ema(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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ema.Update(tenthInput, isNew: true);
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}
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// Remember EMA state after 10 values
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double emaAfterTen = ema.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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ema.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 finalEma = ema.Update(tenthInput, isNew: false);
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// EMA should match the original state after 10 values
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Assert.Equal(emaAfterTen, finalEma.Value, 1e-10);
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}
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[Fact]
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public void Ema_BatchCalc_MatchesIterativeCalc()
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{
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var emaIterative = new Ema(10);
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var emaBatch = new Ema(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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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 iteratively
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var iterativeResults = new TSeries();
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foreach (var item in series)
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{
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iterativeResults.Add(emaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = emaBatch.Update(series);
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// Compare
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Assert.Equal(iterativeResults.Count, batchResults.Count);
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for (int i = 0; i < iterativeResults.Count; i++)
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{
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Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10);
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Assert.Equal(iterativeResults[i].Time, batchResults[i].Time);
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}
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}
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[Fact]
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public void Ema_Result_ImplicitConversionToDouble()
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{
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var ema = new Ema(10);
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ema.Update(new TValue(DateTime.UtcNow, 100));
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// This should compile and work because TValue has implicit conversion to double
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double result = ema.Last.Value;
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Assert.Equal(100.0, result, 1e-10);
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}
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[Fact]
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public void Ema_NaN_Input_UsesLastValidValue()
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{
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var ema = new Ema(10);
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// Feed some valid values
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = ema.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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// EMA should continue to evolve (may differ slightly due to substitution)
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Assert.NotEqual(0, resultAfterNaN.Value);
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}
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[Fact]
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public void Ema_Infinity_Input_UsesLastValidValue()
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{
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var ema = new Ema(10);
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// Feed some valid values
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = ema.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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// Feed negative infinity - should use last valid value
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var resultAfterNegInf = ema.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 Ema_MultipleNaN_ContinuesWithLastValid()
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{
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var ema = new Ema(10);
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// Feed valid values
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, 110));
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ema.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = ema.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = ema.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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// EMA should converge toward last valid value (120) with repeated substitution
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// Values should be getting closer to 120
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Assert.True(r3.Value > r1.Value || Math.Abs(r3.Value - 120) < Math.Abs(r1.Value - 120));
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}
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[Fact]
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public void Ema_BatchCalc_HandlesNaN()
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{
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var ema = new Ema(10);
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// Create series with NaN values interspersed
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 100);
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series.Add(DateTime.UtcNow.Ticks + 1, 110);
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series.Add(DateTime.UtcNow.Ticks + 2, double.NaN);
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series.Add(DateTime.UtcNow.Ticks + 3, 120);
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series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
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series.Add(DateTime.UtcNow.Ticks + 5, 130);
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var results = ema.Update(series);
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// All results should be finite
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foreach (var result in results)
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{
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Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}");
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}
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}
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[Fact]
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public void Ema_Reset_ClearsLastValidValue()
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{
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var ema = new Ema(10);
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// Feed values including NaN
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ema.Update(new TValue(DateTime.UtcNow, 100));
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ema.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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ema.Reset();
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// After reset, first valid value should establish new baseline
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var result = ema.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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// ============== Span API Tests ==============
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[Fact]
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public void Ema_SpanBatch_Period_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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// Period must be > 0
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Assert.Throws<ArgumentException>(() => Ema.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Ema.Batch(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Ema.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Ema_SpanBatch_Alpha_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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// Alpha must be > 0 and <= 1
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Assert.Throws<ArgumentOutOfRangeException>(() => Ema.Batch(source.AsSpan(), output.AsSpan(), 0.0));
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Assert.Throws<ArgumentOutOfRangeException>(() => Ema.Batch(source.AsSpan(), output.AsSpan(), -0.1));
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Assert.Throws<ArgumentOutOfRangeException>(() => Ema.Batch(source.AsSpan(), output.AsSpan(), 1.1));
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}
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[Fact]
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public void Ema_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: 42);
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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 = Ema.Batch(series, 10);
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// Calculate with Span API
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Ema.Batch(source.AsSpan(), output.AsSpan(), 10);
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// Compare results - allow small tolerance due to bias correction differences
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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 Ema_SpanBatch_PeriodAndAlphaEquivalent()
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{
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double[] source = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
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double[] outputPeriod = new double[10];
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double[] outputAlpha = new double[10];
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int period = 5;
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double alpha = 2.0 / (period + 1);
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Ema.Batch(source.AsSpan(), outputPeriod.AsSpan(), period);
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Ema.Batch(source.AsSpan(), outputAlpha.AsSpan(), alpha);
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// Results should be identical
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for (int i = 0; i < 10; i++)
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{
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Assert.Equal(outputPeriod[i], outputAlpha[i], 1e-10);
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}
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}
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[Fact]
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public void Ema_SpanBatch_ZeroAllocation()
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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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// Warm up
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Ema.Batch(source.AsSpan(), output.AsSpan(), 100);
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// This test verifies the method runs without throwing
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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 Ema_SpanBatch_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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Ema.Batch(source.AsSpan(), output.AsSpan(), 3);
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// All outputs should be finite
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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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}
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[Fact]
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public void Ema_SpanBatch_BiasCorrection_Works()
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{
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double[] source = [100, 100, 100, 100, 100];
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double[] output = new double[5];
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Ema.Batch(source.AsSpan(), output.AsSpan(), 3);
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// With bias correction, first value should equal input
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Assert.Equal(100.0, output[0], 1e-10);
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// All values should converge to 100 since input is constant
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foreach (var val in output)
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{
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Assert.Equal(100.0, val, 1e-9);
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}
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}
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[Fact]
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public void Ema_SpanBatch_Alpha_DirectUsage()
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{
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double[] source = [10, 20, 30, 40, 50];
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double[] output = new double[5];
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// Use alpha = 0.5 directly
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Ema.Batch(source.AsSpan(), output.AsSpan(), 0.5);
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// Results should be finite and reasonable
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Assert.True(double.IsFinite(output[^1]));
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Assert.True(output[^1] > 10 && output[^1] <= 50);
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}
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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 ema = new Ema(source, 10);
|
|
|
|
source.Add(new TValue(DateTime.UtcNow, 100));
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|
Assert.Equal(100, ema.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_SetsStateCorrectly()
|
|
{
|
|
var ema = new Ema(5);
|
|
double[] history = [10, 20, 30, 40, 50];
|
|
|
|
ema.Prime(history);
|
|
|
|
// EMA(5) of 10,20,30,40,50
|
|
// Alpha = 2/6 = 1/3
|
|
// 10 -> 10
|
|
// 20 -> 10 + 1/3(10) = 13.33...
|
|
// ...
|
|
// We can verify against a fresh EMA fed with same data
|
|
var verifyEma = new Ema(5);
|
|
foreach (var val in history)
|
|
{
|
|
verifyEma.Update(new TValue(DateTime.UtcNow, val));
|
|
}
|
|
|
|
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
|
|
Assert.Equal(verifyEma.IsHot, ema.IsHot);
|
|
|
|
// Verify it continues correctly
|
|
ema.Update(new TValue(DateTime.UtcNow, 60));
|
|
verifyEma.Update(new TValue(DateTime.UtcNow, 60));
|
|
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_HandlesNaN_InHistory()
|
|
{
|
|
var ema = new Ema(5);
|
|
double[] history = [10, 20, double.NaN, 40, 50];
|
|
|
|
ema.Prime(history);
|
|
|
|
var verifyEma = new Ema(5);
|
|
foreach (var val in history)
|
|
{
|
|
verifyEma.Update(new TValue(DateTime.UtcNow, val));
|
|
}
|
|
|
|
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_AllNaNs_ReturnsNaN()
|
|
{
|
|
var ema = new Ema(5);
|
|
double[] history = [double.NaN, double.NaN, double.NaN];
|
|
|
|
ema.Prime(history);
|
|
|
|
Assert.True(double.IsNaN(ema.Last.Value));
|
|
}
|
|
|
|
[Fact]
|
|
public void Calculate_ReturnsCorrectResultsAndHotIndicator()
|
|
{
|
|
var series = new TSeries();
|
|
for (int i = 1; i <= 20; i++)
|
|
{
|
|
series.Add(DateTime.UtcNow, i * 10);
|
|
}
|
|
|
|
// EMA(5)
|
|
var (results, indicator) = Ema.Calculate(series, 5);
|
|
|
|
// Check results
|
|
Assert.Equal(20, results.Count);
|
|
|
|
// Verify against standard calculation
|
|
var verifyEma = new Ema(5);
|
|
var verifyResults = verifyEma.Update(series);
|
|
|
|
Assert.Equal(verifyResults.Last.Value, results.Last.Value, 1e-10);
|
|
Assert.Equal(verifyEma.Last.Value, indicator.Last.Value, 1e-10);
|
|
|
|
// Check indicator state
|
|
Assert.True(indicator.IsHot);
|
|
|
|
// Verify indicator continues correctly
|
|
indicator.Update(new TValue(DateTime.UtcNow, 210));
|
|
verifyEma.Update(new TValue(DateTime.UtcNow, 210));
|
|
Assert.Equal(verifyEma.Last.Value, indicator.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Ema_Batch_AllNaNs_ReturnsNaN()
|
|
{
|
|
double[] source = [double.NaN, double.NaN, double.NaN];
|
|
double[] output = new double[3];
|
|
|
|
Ema.Batch(source.AsSpan(), output.AsSpan(), 5);
|
|
|
|
// Should be all NaNs, not 0s
|
|
foreach (var val in output)
|
|
{
|
|
Assert.True(double.IsNaN(val), $"Expected NaN but got {val}");
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void Ema_AllModes_ProduceSameResult()
|
|
{
|
|
// Arrange
|
|
int period = 10;
|
|
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
|
|
var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
|
|
var series = bars.Close;
|
|
|
|
// 1. Batch Mode
|
|
var batchSeries = Ema.Batch(series, period);
|
|
double expected = batchSeries.Last.Value;
|
|
|
|
// 2. Span Mode
|
|
var tValues = series.Values.ToArray(); // Need array for Span modification safety if any
|
|
var spanInput = new ReadOnlySpan<double>(tValues);
|
|
var spanOutput = new double[tValues.Length];
|
|
Ema.Batch(spanInput, spanOutput, period);
|
|
double spanResult = spanOutput[^1];
|
|
|
|
// 3. Streaming Mode
|
|
var streamingInd = new Ema(period);
|
|
for (int i = 0; i < series.Count; i++)
|
|
{
|
|
streamingInd.Update(series[i]);
|
|
}
|
|
double streamingResult = streamingInd.Last.Value;
|
|
|
|
// 4. Eventing Mode
|
|
var pubSource = new TSeries();
|
|
var eventingInd = new Ema(pubSource, period);
|
|
for (int i = 0; i < series.Count; i++)
|
|
{
|
|
pubSource.Add(series[i]);
|
|
}
|
|
double eventingResult = eventingInd.Last.Value;
|
|
|
|
// Assert
|
|
// Precision 9 due to potential accumulation differences in loop vs batch optimizations
|
|
Assert.Equal(expected, spanResult, precision: 9);
|
|
Assert.Equal(expected, streamingResult, precision: 9);
|
|
Assert.Equal(expected, eventingResult, precision: 9);
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_SingleValue_SetsState()
|
|
{
|
|
var ema = new Ema(5);
|
|
double[] history = [100];
|
|
|
|
ema.Prime(history);
|
|
|
|
// Single value should be returned as-is (bias-corrected to itself)
|
|
Assert.Equal(100.0, ema.Last.Value, 1e-10);
|
|
Assert.False(ema.IsHot); // Not hot with only 1 value
|
|
|
|
// Verify against streaming
|
|
var verifyEma = new Ema(5);
|
|
verifyEma.Update(new TValue(DateTime.UtcNow, 100));
|
|
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Prime_ThenUpdate_StateWorksCorrectly()
|
|
{
|
|
var ema = new Ema(5);
|
|
double[] history = [10, 20, 30, 40, 50];
|
|
|
|
ema.Prime(history);
|
|
double afterPrime = ema.Last.Value;
|
|
|
|
// After Prime, an isNew=true should advance the state
|
|
ema.Update(new TValue(DateTime.UtcNow, 60), isNew: true);
|
|
double afterNewBar = ema.Last.Value;
|
|
|
|
// Values should be different
|
|
Assert.NotEqual(afterPrime, afterNewBar);
|
|
|
|
// isNew=false with a different value should recalculate from previous state
|
|
ema.Update(new TValue(DateTime.UtcNow, 70), isNew: false);
|
|
double afterCorrection = ema.Last.Value;
|
|
|
|
// Correction with 70 should give different result than 60
|
|
Assert.NotEqual(afterNewBar, afterCorrection);
|
|
|
|
// isNew=false with original value (60) should restore to afterNewBar
|
|
ema.Update(new TValue(DateTime.UtcNow, 60), isNew: false);
|
|
Assert.Equal(afterNewBar, ema.Last.Value, 1e-10);
|
|
}
|
|
}
|