QuanTAlib/lib/dynamics/dx/Dx.Validation.Tests.cs

using Skender.Stock.Indicators;
using TALib;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using OoplesFinance.StockIndicators.Enums;
using QuanTAlib.Tests;

namespace QuanTAlib;

/// <summary>
/// Validation tests for DX (Directional Movement Index).
/// Note: DX is the unsmoothed version of ADX. Not all libraries provide DX directly,
/// but TA-Lib has DX function. Skender provides ADX which includes DI values.
/// </summary>
public sealed class DxValidationTests : IDisposable
{
    private readonly ValidationTestData _data;

    public DxValidationTests()
    {
        _data = new ValidationTestData();
    }

    public void Dispose()
    {
        _data.Dispose();
    }

    [Fact]
    public void MatchesTulip()
    {
        var dx = new Dx(14);
        var results = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            var res = dx.Update(_data.Bars[i]);
            results.Add(res.Value);
        }

        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
        double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
        double[][] inputs = { hData, lData, cData };
        double[] options = { 14 };

        var dxInd = Tulip.Indicators.dx;
        double[][] outputs = { new double[hData.Length - dxInd.Start(options)] };
        dxInd.Run(inputs, options, outputs);
        double[] tulipResults = outputs[0];

        // Tulip initializes differently, so we skip the warmup period to verify convergence
        int offset = dxInd.Start(options);
        ValidationHelper.VerifyData(results, tulipResults, lookback: offset);
    }

    [Fact]
    public void DiPlus_MatchesTalib()
    {
        var dx = new Dx(14);
        var diPlusResults = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            dx.Update(_data.Bars[i]);
            diPlusResults.Add(dx.DiPlus.Value);
        }

        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
        double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
        double[] outReal = new double[_data.Bars.Count];

        var retCode = Functions.PlusDI(hData, lData, cData, 0..^0, outReal, out var outRange, 14);
        Assert.Equal(TALib.Core.RetCode.Success, retCode);

        int lookback = Functions.PlusDILookback(14);
        ValidationHelper.VerifyData(diPlusResults, outReal, outRange, lookback);
    }

    [Fact]
    public void DiMinus_MatchesTalib()
    {
        var dx = new Dx(14);
        var diMinusResults = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            dx.Update(_data.Bars[i]);
            diMinusResults.Add(dx.DiMinus.Value);
        }

        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
        double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
        double[] outReal = new double[_data.Bars.Count];

        var retCode = Functions.MinusDI(hData, lData, cData, 0..^0, outReal, out var outRange, 14);
        Assert.Equal(TALib.Core.RetCode.Success, retCode);

        int lookback = Functions.MinusDILookback(14);
        ValidationHelper.VerifyData(diMinusResults, outReal, outRange, lookback);
    }

    [Fact]
    public void DmPlus_MatchesTalib()
    {
        var dx = new Dx(14);
        var dmPlusResults = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            dx.Update(_data.Bars[i]);
            dmPlusResults.Add(dx.DmPlus.Value);
        }

        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
        double[] outReal = new double[_data.Bars.Count];

        var retCode = Functions.PlusDM(hData, lData, 0..^0, outReal, out var outRange, 14);
        Assert.Equal(TALib.Core.RetCode.Success, retCode);

        int lookback = Functions.PlusDMLookback(14);
        ValidationHelper.VerifyData(dmPlusResults, outReal, outRange, lookback);
    }

    [Fact]
    public void DmMinus_MatchesTalib()
    {
        var dx = new Dx(14);
        var dmMinusResults = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            dx.Update(_data.Bars[i]);
            dmMinusResults.Add(dx.DmMinus.Value);
        }

        double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
        double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
        double[] outReal = new double[_data.Bars.Count];

        var retCode = Functions.MinusDM(hData, lData, 0..^0, outReal, out var outRange, 14);
        Assert.Equal(TALib.Core.RetCode.Success, retCode);

        int lookback = Functions.MinusDMLookback(14);
        ValidationHelper.VerifyData(dmMinusResults, outReal, outRange, lookback);
    }

    [Fact]
    public void MatchesSkender_DiValues()
    {
        var dx = new Dx(14);
        var diPlusResults = new List<double>();
        var diMinusResults = new List<double>();

        for (int i = 0; i < _data.Bars.Count; i++)
        {
            dx.Update(_data.Bars[i]);
            diPlusResults.Add(dx.DiPlus.Value);
            diMinusResults.Add(dx.DiMinus.Value);
        }

        // Skender's GetAdx returns ADX with +DI and -DI values
        var skenderResults = _data.SkenderQuotes.GetAdx(14).ToList();

        // Verify +DI
        ValidationHelper.VerifyData(diPlusResults, skenderResults, x => x.Pdi);

        // Verify -DI
        ValidationHelper.VerifyData(diMinusResults, skenderResults, x => x.Mdi);
    }
}