mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 16:48:04 +00:00
Miha Kralj
5c1fb18520
- Added Wma class for calculating the Weighted Moving Average with detailed documentation and optimized performance using dual running sums. - Introduced WmaVector class to handle multiple WMAs simultaneously, supporting batch calculations and real-time updates. - Implemented last-value substitution for handling invalid inputs (NaN/Infinity) in both classes. - Created comprehensive unit tests for Wma and WmaVector to ensure accuracy and reliability of calculations. - Updated documentation to include usage examples, mathematical foundations, and performance characteristics.
411 lines
13 KiB
C#
411 lines
13 KiB
C#
using System.Linq;
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using Xunit;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public class WmaVectorTests
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{
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[Fact]
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public void Initialization_WithPeriods_Works()
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{
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int[] periods = { 5, 10, 20 };
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var wmaVector = new WmaVector(periods);
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var res = wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(3, res.Length);
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Assert.Equal(100.0, res[0].Value, 1e-9);
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Assert.Equal(100.0, res[1].Value, 1e-9);
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Assert.Equal(100.0, res[2].Value, 1e-9);
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}
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[Fact]
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public void Initialization_WithZeroPeriod_ThrowsArgumentException()
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{
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int[] periods = { 10, 0, 20 };
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Assert.Throws<ArgumentOutOfRangeException>(() => new WmaVector(periods));
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}
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[Fact]
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public void Initialization_WithNegativePeriod_ThrowsArgumentException()
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{
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int[] periods = { 10, -5, 20 };
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Assert.Throws<ArgumentOutOfRangeException>(() => new WmaVector(periods));
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}
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[Fact]
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public void Calc_Streaming_MatchesSingleWma()
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{
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int[] periods = { 5, 10, 20 };
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var wmaVector = new WmaVector(periods);
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var wmaSingles = periods.Select(p => new Wma(p)).ToArray();
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var values = new double[] { 10, 20, 30, 40, 50, 40, 30, 20, 10 };
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var time = DateTime.UtcNow;
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foreach (var val in values)
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{
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var tVal = new TValue(time, val);
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var multiRes = wmaVector.Update(tVal);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = wmaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Value, 1e-9);
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Assert.Equal(singleRes.Time, multiRes[i].Time);
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}
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Calc_Series_MatchesSingleWma()
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{
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int[] periods = { 5, 10, 20 };
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var wmaVector = new WmaVector(periods);
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int len = 100;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var multiRes = wmaVector.Calculate(series);
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// Reset and recalculate for comparison
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var wmaSingles = periods.Select(p => new Wma(p)).ToArray();
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for (int j = 0; j < len; j++)
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{
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var tVal = new TValue(new DateTime(t[j], DateTimeKind.Utc), v[j]);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = wmaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Values[j], 1e-8);
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}
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}
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}
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[Fact]
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public void Calc_Series_MatchesStreaming()
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{
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int[] periods = { 5, 10, 20 };
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var wmaVectorBatch = new WmaVector(periods);
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var wmaVectorStream = new WmaVector(periods);
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int len = 100;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var batchRes = wmaVectorBatch.Calculate(series);
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for (int i = 0; i < len; i++)
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{
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var tVal = new TValue(new DateTime(t[i], DateTimeKind.Utc), v[i]);
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var streamRes = wmaVectorStream.Update(tVal);
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for (int j = 0; j < periods.Length; j++)
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{
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Assert.Equal(batchRes[j].Values[i], streamRes[j].Value, 1e-9);
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}
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}
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}
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[Fact]
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public void Calculate_Static_MatchesInstanceMethod()
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{
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int[] periods = { 5, 10, 20 };
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int len = 50;
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var t = new System.Collections.Generic.List<long>(len);
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var v = new System.Collections.Generic.List<double>(len);
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var now = DateTime.UtcNow;
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for (int i = 0; i < len; i++)
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{
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t.Add(now.AddMinutes(i).Ticks);
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v.Add(Math.Sin(i * 0.1) * 100);
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}
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var series = new TSeries(t, v);
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var instanceWma = new WmaVector(periods);
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var instanceRes = instanceWma.Calculate(series);
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var staticRes = WmaVector.Calculate(series, periods);
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for (int i = 0; i < periods.Length; i++)
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{
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Assert.Equal(instanceRes[i].Count, staticRes[i].Count);
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for (int j = 0; j < len; j++)
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{
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Assert.Equal(instanceRes[i].Values[j], staticRes[i].Values[j], 1e-9);
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}
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}
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}
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[Fact]
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public void Reset_ClearsState()
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{
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int[] periods = { 10 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, 200.0));
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wmaVector.Reset();
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var res = wmaVector.Update(new TValue(DateTime.UtcNow, 50.0));
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Assert.Equal(50.0, res[0].Value, 1e-9);
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}
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[Fact]
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public void Update_NaN_Input_UsesLastValidValue()
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{
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int[] periods = { 10, 20 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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var resultAfterNaN = wmaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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foreach (var result in resultAfterNaN)
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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 Update_Infinity_Input_UsesLastValidValue()
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{
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int[] periods = { 10, 20 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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var resultAfterPosInf = wmaVector.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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foreach (var result in resultAfterPosInf)
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{
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Assert.True(double.IsFinite(result.Value));
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}
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var resultAfterNegInf = wmaVector.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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foreach (var result in resultAfterNegInf)
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{
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Assert.True(double.IsFinite(result.Value));
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}
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}
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[Fact]
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public void Update_MultipleNaN_ContinuesWithLastValid()
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{
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int[] periods = { 5, 10 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, 110.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, 120.0));
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var r1 = wmaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = wmaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = wmaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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foreach (var result in r1) Assert.True(double.IsFinite(result.Value));
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foreach (var result in r2) Assert.True(double.IsFinite(result.Value));
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foreach (var result in r3) Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Calculate_Series_HandlesNaN()
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{
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int[] periods = { 5, 10 };
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var wmaVector = new WmaVector(periods);
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var t = new System.Collections.Generic.List<long>();
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var v = new System.Collections.Generic.List<double>();
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var now = DateTime.UtcNow;
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t.Add(now.Ticks); v.Add(100.0);
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t.Add(now.AddMinutes(1).Ticks); v.Add(110.0);
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t.Add(now.AddMinutes(2).Ticks); v.Add(double.NaN);
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t.Add(now.AddMinutes(3).Ticks); v.Add(120.0);
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t.Add(now.AddMinutes(4).Ticks); v.Add(double.PositiveInfinity);
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t.Add(now.AddMinutes(5).Ticks); v.Add(130.0);
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var series = new TSeries(t, v);
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var results = wmaVector.Calculate(series);
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foreach (var periodResults in results)
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{
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foreach (var val in periodResults.Values)
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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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}
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[Fact]
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public void Reset_ClearsLastValidValue()
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{
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int[] periods = { 10 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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wmaVector.Update(new TValue(DateTime.UtcNow, double.NaN));
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wmaVector.Reset();
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var result = wmaVector.Update(new TValue(DateTime.UtcNow, 50.0));
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Assert.Equal(50.0, result[0].Value, 1e-9);
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}
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[Fact]
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public void NaN_Handling_MatchesSingleWma()
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{
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int[] periods = { 5, 10, 20 };
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var wmaVector = new WmaVector(periods);
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var wmaSingles = periods.Select(p => new Wma(p)).ToArray();
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var values = new double[] { 10, 20, double.NaN, 40, double.PositiveInfinity, 60, 70 };
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var time = DateTime.UtcNow;
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foreach (var val in values)
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{
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var tVal = new TValue(time, val);
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var multiRes = wmaVector.Update(tVal);
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for (int i = 0; i < periods.Length; i++)
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{
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var singleRes = wmaSingles[i].Update(tVal);
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Assert.Equal(singleRes.Value, multiRes[i].Value, 1e-9);
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}
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time = time.AddMinutes(1);
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}
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}
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[Fact]
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public void Values_Property_UpdatesAfterUpdate()
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{
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int[] periods = { 5, 10 };
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var wmaVector = new WmaVector(periods);
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var result = wmaVector.Update(new TValue(DateTime.UtcNow, 100.0));
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Assert.Equal(result[0].Value, wmaVector.Values[0].Value);
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Assert.Equal(result[1].Value, wmaVector.Values[1].Value);
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}
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[Fact]
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public void Values_Property_UpdatesAfterCalculate()
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{
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int[] periods = { 5, 10 };
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var wmaVector = new WmaVector(periods);
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var t = new System.Collections.Generic.List<long> { 100, 200, 300 };
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var v = new System.Collections.Generic.List<double> { 10.0, 20.0, 30.0 };
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var series = new TSeries(t, v);
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var results = wmaVector.Calculate(series);
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Assert.Equal(results[0].Last.Value, wmaVector.Values[0].Value, 1e-9);
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Assert.Equal(results[1].Last.Value, wmaVector.Values[1].Value, 1e-9);
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}
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[Fact]
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public void Update_BarCorrection_WorksCorrectly()
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{
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int[] periods = { 3 };
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var wmaVector = new WmaVector(periods);
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wmaVector.Update(new TValue(DateTime.UtcNow, 10.0), isNew: true);
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wmaVector.Update(new TValue(DateTime.UtcNow, 20.0), isNew: true);
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wmaVector.Update(new TValue(DateTime.UtcNow, 30.0), isNew: true);
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// WMA(3) of 10,20,30 = (1*10 + 2*20 + 3*30) / 6 = 140/6 = 23.333...
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var res1 = wmaVector.Values[0].Value;
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Assert.Equal(140.0 / 6.0, res1, 1e-9);
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// Correct the last bar to 60
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var res2 = wmaVector.Update(new TValue(DateTime.UtcNow, 60.0), isNew: false);
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// WMA(3) of 10,20,60 = (1*10 + 2*20 + 3*60) / 6 = (10 + 40 + 180) / 6 = 230/6 = 38.333...
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Assert.Equal(230.0 / 6.0, res2[0].Value, 1e-9);
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}
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[Fact]
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public void WMA_MatchesExpectedValues()
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{
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int[] periods = { 3 };
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var wmaVector = new WmaVector(periods);
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// Test sequence: 10, 20, 30, 40, 50
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// WMA(3) weights: [1, 2, 3], divisor = 6
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// Bar 1: 10 (only value) = 10
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// Bar 2: (1*10 + 2*20) / 3 = 50/3 = 16.666...
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// Bar 3: (1*10 + 2*20 + 3*30) / 6 = 140/6 = 23.333...
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// Bar 4: (1*20 + 2*30 + 3*40) / 6 = 200/6 = 33.333...
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// Bar 5: (1*30 + 2*40 + 3*50) / 6 = 260/6 = 43.333...
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double[] expected = [10.0, 50.0/3.0, 140.0/6.0, 200.0/6.0, 260.0/6.0];
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var values = new double[] { 10, 20, 30, 40, 50 };
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var time = DateTime.UtcNow;
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for (int i = 0; i < values.Length; i++)
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{
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var res = wmaVector.Update(new TValue(time, values[i]));
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Assert.Equal(expected[i], res[0].Value, 1e-9);
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time = time.AddMinutes(1);
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}
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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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int[] periods = { 3 };
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var wmaVector = new WmaVector(periods);
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var smaVector = new SmaVector(periods);
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var values = new double[] { 10, 20, 100 }; // High recent value
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var time = DateTime.UtcNow;
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TValue[] wmaRes = null!;
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TValue[] smaRes = null!;
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foreach (var val in values)
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{
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var tVal = new TValue(time, val);
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wmaRes = wmaVector.Update(tVal);
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smaRes = smaVector.Update(tVal);
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time = time.AddMinutes(1);
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}
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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(wmaRes[0].Value > smaRes[0].Value);
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Assert.Equal(350.0 / 6.0, wmaRes[0].Value, 1e-9);
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Assert.Equal(130.0 / 3.0, smaRes[0].Value, 1e-9);
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}
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}
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