mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +00:00
Miha Kralj
ed5e5c8209
- Implement tests for HMA (Hull Moving Average) indicator to verify default settings, history depth calculations, and value computations during updates. - Create tests for KAMA (Kaufman Adaptive Moving Average) indicator, ensuring correct defaults, history depth, and value calculations. - Add tests for SMA (Simple Moving Average) indicator, checking default values, history depth, and value computations. - Develop tests for T3 (Tillson T3 Moving Average) indicator, validating defaults, history depth, and value calculations. - Implement tests for TEMA (Triple Exponential Moving Average) indicator, ensuring correct defaults and value computations. - Create tests for TRIMA (Triangular Moving Average) indicator, verifying defaults, history depth, and value calculations. - Add tests for WMA (Weighted Moving Average) indicator, checking default values, history depth, and value computations.
573 lines
18 KiB
C#
573 lines
18 KiB
C#
namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class WmaTests
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{
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[Fact]
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public void Wma_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Wma(0));
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Assert.Throws<ArgumentException>(() => new Wma(-1));
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var wma = new Wma(10);
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Assert.NotNull(wma);
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}
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[Fact]
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public void Wma_Calc_ReturnsValue()
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{
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var wma = new Wma(10);
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Assert.Equal(0, wma.Last.Value);
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TValue result = wma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, wma.Last.Value);
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}
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[Fact]
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public void Wma_FirstValue_ReturnsItself()
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{
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var wma = new Wma(10);
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TValue result = wma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, result.Value, 1e-10);
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}
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[Fact]
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public void Wma_Calc_IsNew_AcceptsParameter()
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{
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var wma = new Wma(10);
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wma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = wma.Last.Value;
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wma.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
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double value2 = wma.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 Wma_Calc_IsNew_False_UpdatesValue()
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{
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var wma = new Wma(10);
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = wma.Last.Value;
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wma.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = wma.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 Wma_Reset_ClearsState()
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{
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var wma = new Wma(10);
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = wma.Last.Value;
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wma.Reset();
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Assert.Equal(0, wma.Last.Value);
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// After reset, should accept new values
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wma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, wma.Last.Value);
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Assert.NotEqual(valueBefore, wma.Last.Value);
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}
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[Fact]
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public void Wma_Properties_Accessible()
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{
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var wma = new Wma(10);
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Assert.Equal(0, wma.Last.Value);
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Assert.False(wma.IsHot);
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wma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, wma.Last.Value);
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}
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[Fact]
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public void Wma_IsHot_BecomesTrueWhenBufferFull()
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{
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var wma = new Wma(5);
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Assert.False(wma.IsHot);
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for (int i = 1; i <= 4; i++)
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{
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wma.Update(new TValue(DateTime.UtcNow, i * 10));
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Assert.False(wma.IsHot);
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}
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wma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(wma.IsHot);
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}
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[Fact]
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public void Wma_CalculatesCorrectWeightedAverage()
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{
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var wma = new Wma(5);
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wma.Update(new TValue(DateTime.UtcNow, 10));
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wma.Update(new TValue(DateTime.UtcNow, 20));
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wma.Update(new TValue(DateTime.UtcNow, 30));
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wma.Update(new TValue(DateTime.UtcNow, 40));
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wma.Update(new TValue(DateTime.UtcNow, 50));
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// WMA(5) of 10,20,30,40,50 = (1*10 + 2*20 + 3*30 + 4*40 + 5*50) / 15
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// = (10 + 40 + 90 + 160 + 250) / 15 = 550 / 15 = 36.666...
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Assert.Equal(550.0 / 15.0, wma.Last.Value, 1e-10);
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}
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[Fact]
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public void Wma_SlidingWindow_Works()
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{
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var wma = new Wma(3);
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wma.Update(new TValue(DateTime.UtcNow, 10));
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wma.Update(new TValue(DateTime.UtcNow, 20));
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wma.Update(new TValue(DateTime.UtcNow, 30));
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// WMA(3) of 10,20,30 = (1*10 + 2*20 + 3*30) / 6 = (10 + 40 + 90) / 6 = 140/6 = 23.333...
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Assert.Equal(140.0 / 6.0, wma.Last.Value, 1e-10);
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wma.Update(new TValue(DateTime.UtcNow, 40));
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// WMA(3) of 20,30,40 = (1*20 + 2*30 + 3*40) / 6 = (20 + 60 + 120) / 6 = 200/6 = 33.333...
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Assert.Equal(200.0 / 6.0, wma.Last.Value, 1e-10);
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wma.Update(new TValue(DateTime.UtcNow, 50));
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// WMA(3) of 30,40,50 = (1*30 + 2*40 + 3*50) / 6 = (30 + 80 + 150) / 6 = 260/6 = 43.333...
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Assert.Equal(260.0 / 6.0, wma.Last.Value, 1e-10);
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}
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[Fact]
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public void Wma_IterativeCorrections_RestoreToOriginalState()
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{
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var wma = new Wma(5);
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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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wma.Update(tenthInput, isNew: true);
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}
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// Remember WMA state after 10 values
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double wmaAfterTen = wma.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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wma.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 finalWma = wma.Update(tenthInput, isNew: false);
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// WMA should match the original state after 10 values
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Assert.Equal(wmaAfterTen, finalWma.Value, 1e-10);
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}
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[Fact]
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public void Wma_BatchCalc_MatchesIterativeCalc()
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{
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var wmaIterative = new Wma(10);
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var wmaBatch = new Wma(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(wmaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = wmaBatch.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 Wma_Result_ImplicitConversionToDouble()
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{
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var wma = new Wma(10);
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wma.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 = wma.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 Wma_NaN_Input_UsesLastValidValue()
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{
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var wma = new Wma(5);
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// Feed some valid values
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = wma.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 Wma_Infinity_Input_UsesLastValidValue()
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{
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var wma = new Wma(5);
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// Feed some valid values
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = wma.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 = wma.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 Wma_MultipleNaN_ContinuesWithLastValid()
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{
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var wma = new Wma(5);
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// Feed valid values
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, 110));
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wma.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = wma.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 Wma_BatchCalc_HandlesNaN()
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{
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var wma = new Wma(5);
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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 = wma.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 Wma_Reset_ClearsLastValidValue()
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{
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var wma = new Wma(5);
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// Feed values including NaN
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wma.Update(new TValue(DateTime.UtcNow, 100));
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wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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wma.Reset();
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// After reset, first valid value should establish new baseline
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var result = wma.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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[Fact]
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public void Wma_StaticCalculate_Works()
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{
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 10);
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series.Add(DateTime.UtcNow.Ticks + 1, 20);
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series.Add(DateTime.UtcNow.Ticks + 2, 30);
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series.Add(DateTime.UtcNow.Ticks + 3, 40);
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series.Add(DateTime.UtcNow.Ticks + 4, 50);
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var results = Wma.Calculate(series, 3);
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Assert.Equal(5, results.Count);
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// WMA(3) for last 3 values [30,40,50]: (1*30 + 2*40 + 3*50) / 6 = 260/6 = 43.333...
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Assert.Equal(260.0 / 6.0, results.Last.Value, 1e-10);
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}
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[Fact]
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public void Wma_Period1_ReturnsInputValues()
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{
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var wma = new Wma(1);
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Assert.Equal(100.0, wma.Update(new TValue(DateTime.UtcNow, 100)).Value, 1e-10);
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Assert.Equal(200.0, wma.Update(new TValue(DateTime.UtcNow, 200)).Value, 1e-10);
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Assert.Equal(150.0, wma.Update(new TValue(DateTime.UtcNow, 150)).Value, 1e-10);
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}
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[Fact]
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public void Wma_MoreWeightOnRecentValues()
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{
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var wma = new Wma(3);
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var sma = new Sma(3);
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// Feed same values to both
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wma.Update(new TValue(DateTime.UtcNow, 10));
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sma.Update(new TValue(DateTime.UtcNow, 10));
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wma.Update(new TValue(DateTime.UtcNow, 20));
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sma.Update(new TValue(DateTime.UtcNow, 20));
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wma.Update(new TValue(DateTime.UtcNow, 100)); // High recent value
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sma.Update(new TValue(DateTime.UtcNow, 100));
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// WMA should be higher than SMA because it weights the high recent value more
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// SMA = (10 + 20 + 100) / 3 = 43.333...
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// WMA = (1*10 + 2*20 + 3*100) / 6 = (10 + 40 + 300) / 6 = 58.333...
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Assert.True(wma.Last.Value > sma.Last.Value);
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Assert.Equal(350.0 / 6.0, wma.Last.Value, 1e-10);
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Assert.Equal(130.0 / 3.0, sma.Last.Value, 1e-10);
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}
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[Fact]
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public void Wma_WarmupDivisor_CalculatedCorrectly()
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{
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var wma = new Wma(5);
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// First value: divisor = 1*(1+1)/2 = 1
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var r1 = wma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, r1.Value, 1e-10);
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// Second value: divisor = 2*(2+1)/2 = 3, wsum = 1*100 + 2*200 = 500
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var r2 = wma.Update(new TValue(DateTime.UtcNow, 200));
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Assert.Equal(500.0 / 3.0, r2.Value, 1e-10);
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// Third value: divisor = 3*(3+1)/2 = 6, wsum = 1*100 + 2*200 + 3*300 = 1400
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var r3 = wma.Update(new TValue(DateTime.UtcNow, 300));
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Assert.Equal(1400.0 / 6.0, r3.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 Wma_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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// Period must be > 0
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Assert.Throws<ArgumentException>(() => Wma.Calculate(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Wma.Calculate(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Wma.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Wma_SpanCalc_MatchesTSeriesCalc()
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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 = Wma.Calculate(series, 10);
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// Calculate with Span API
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Wma.Calculate(source.AsSpan(), output.AsSpan(), 10);
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// Compare results
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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-10);
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}
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}
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[Fact]
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public void Wma_SpanCalc_CalculatesCorrectly()
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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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Wma.Calculate(source.AsSpan(), output.AsSpan(), 3);
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// WMA(3) warmup:
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// i=0: 10 (1*10 / 1)
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// i=1: (1*10 + 2*20) / 3 = 50/3 = 16.666...
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// i=2: (1*10 + 2*20 + 3*30) / 6 = 140/6 = 23.333...
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// i=3: sliding: (1*20 + 2*30 + 3*40) / 6 = 200/6 = 33.333...
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// i=4: (1*30 + 2*40 + 3*50) / 6 = 260/6 = 43.333...
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Assert.Equal(10.0, output[0], 1e-10);
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Assert.Equal(50.0 / 3.0, output[1], 1e-10);
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Assert.Equal(140.0 / 6.0, output[2], 1e-10);
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Assert.Equal(200.0 / 6.0, output[3], 1e-10);
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Assert.Equal(260.0 / 6.0, output[4], 1e-10);
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}
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[Fact]
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public void Wma_SpanCalc_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++)
|
|
source[i] = gbm.Next().Close;
|
|
|
|
// Warm up
|
|
Wma.Calculate(source.AsSpan(), output.AsSpan(), 100);
|
|
|
|
// This test verifies the method runs without throwing
|
|
Assert.True(double.IsFinite(output[^1]));
|
|
}
|
|
|
|
[Fact]
|
|
public void Wma_SpanCalc_HandlesNaN()
|
|
{
|
|
double[] source = [100, 110, double.NaN, 120, 130];
|
|
double[] output = new double[5];
|
|
|
|
Wma.Calculate(source.AsSpan(), output.AsSpan(), 3);
|
|
|
|
// All outputs should be finite
|
|
foreach (var val in output)
|
|
{
|
|
Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void Wma_SpanCalc_Period1_ReturnsInput()
|
|
{
|
|
double[] source = [10, 20, 30, 40, 50];
|
|
double[] output = new double[5];
|
|
|
|
Wma.Calculate(source.AsSpan(), output.AsSpan(), 1);
|
|
|
|
for (int i = 0; i < source.Length; i++)
|
|
{
|
|
Assert.Equal(source[i], output[i], 1e-10);
|
|
}
|
|
}
|
|
|
|
[Fact]
|
|
public void Wma_SpanCalc_UsesStackallocForSmallPeriods()
|
|
{
|
|
double[] source = new double[1000];
|
|
double[] output = new double[1000];
|
|
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
|
|
for (int i = 0; i < source.Length; i++)
|
|
source[i] = gbm.Next().Close;
|
|
|
|
// Period <= 512 uses stackalloc
|
|
Wma.Calculate(source.AsSpan(), output.AsSpan(), 100);
|
|
Assert.True(double.IsFinite(output[^1]));
|
|
|
|
// Period > 512 uses heap allocation
|
|
double[] output2 = new double[1000];
|
|
Wma.Calculate(source.AsSpan(), output2.AsSpan(), 600);
|
|
Assert.True(double.IsFinite(output2[^1]));
|
|
}
|
|
[Fact]
|
|
public void Wma_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 = Wma.Calculate(series, period);
|
|
double expected = batchSeries.Last.Value;
|
|
|
|
// 2. Span Mode
|
|
var tValues = series.Values.ToArray();
|
|
var spanInput = new ReadOnlySpan<double>(tValues);
|
|
var spanOutput = new double[tValues.Length];
|
|
Wma.Calculate(spanInput, spanOutput, period);
|
|
double spanResult = spanOutput[^1];
|
|
|
|
// 3. Streaming Mode
|
|
var streamingInd = new Wma(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 Wma(pubSource, period);
|
|
for (int i = 0; i < series.Count; i++)
|
|
{
|
|
pubSource.Add(series[i]);
|
|
}
|
|
double eventingResult = eventingInd.Last.Value;
|
|
|
|
// Assert
|
|
Assert.Equal(expected, spanResult, precision: 9);
|
|
Assert.Equal(expected, streamingResult, precision: 9);
|
|
Assert.Equal(expected, eventingResult, precision: 9);
|
|
}
|
|
}
|