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deepsource-autofix[bot]andGitHub
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This commit fixes the style issues introduced in ed45c9e according to the output
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Details: None
418 lines
18 KiB
C#
418 lines
18 KiB
C#
using Xunit;
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using System;
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using TALib;
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using QuanTAlib;
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namespace Validations;
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public class Ta_Lib {
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private readonly GBM_Feed bars;
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private readonly Random rnd = new();
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private readonly int period, digits, skip;
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private readonly double[] TALIB;
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private readonly double[] TALIB2;
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private readonly double[] inopen;
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private readonly double[] inhigh;
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private readonly double[] inlow;
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private readonly double[] inclose;
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private readonly double[] involume;
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public Ta_Lib() {
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bars = new(Bars: 5000, Volatility: 0.8, Drift: 0.0, Precision: 3);
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period = rnd.Next(28) + 3;
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skip = period + 2;
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digits = 9;
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TALIB = new double[bars.Count];
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TALIB2 = new double[bars.Count];
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inopen = bars.Open.v.ToArray();
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inhigh = bars.High.v.ToArray();
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inlow = bars.Low.v.ToArray();
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inclose = bars.Close.v.ToArray();
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involume = bars.Volume.v.ToArray();
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}
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[Fact]
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public void ADD() {
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ADD_Series QL = new(bars.Open, bars.Close);
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Core.Add(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void ADL() {
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ADL_Series QL = new(bars);
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Core.Ad(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > 0; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void ADOSC() {
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ADOSC_Series QL = new(bars, 3, 10, false);
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Core.AdOsc(inhigh, inlow, inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip * 2; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void ATR() {
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ATR_Series QL = new(bars, period: period, useNaN: false);
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Core.Atr(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void BBANDS() {
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double[] outMiddle = new double[bars.Count];
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double[] outUpper = new double[bars.Count];
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double[] outLower = new double[bars.Count];
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BBANDS_Series QL = new(bars.Close, period: period, multiplier: 2.0, false);
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Core.Bbands(inclose, 0, bars.Count - 1, outRealUpperBand: outUpper, outRealMiddleBand: outMiddle, outRealLowerBand: outLower, out int outBegIdx, out _, optInTimePeriod: period, optInNbDevUp: 2.0, optInNbDevDn: 2.0);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL.Upper[i].v;
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double TA_item = outUpper[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
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QL_item = QL.Mid[i].v;
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TA_item = outMiddle[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
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QL_item = QL.Lower[i].v;
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TA_item = outLower[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), high: Math.Exp(-digits));
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}
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}
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[Fact]
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public void CCI() {
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CCI_Series QL = new(bars, period, false);
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Core.Cci(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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/* CMO in TA-LIB is not valid
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[Fact]
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public void CMO() {
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CMO_Series QL = new(bars.Close, period, false);
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Core.Cmo(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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*/
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[Fact]
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public void CORR() {
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CORR_Series QL = new(bars.Open, bars.Close, period);
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Core.Correl(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, optInTimePeriod: period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void DEMA() {
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DEMA_Series QL = new(bars.Close, period, false, useSMA: false);
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Core.Dema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > period * 10; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void DIV() {
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DIV_Series QL = new(bars.Open, bars.Close);
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Core.Div(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void EMA() {
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EMA_Series QL = new(bars.Close, period, false);
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Core.Ema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void HL2() {
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TSeries QL = bars.HL2;
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Core.MedPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void HLC3() {
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TSeries QL = bars.HLC3;
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Core.TypPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void HLCC4() {
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TSeries QL = bars.HLCC4;
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Core.WclPrice(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void KAMA() {
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KAMA_Series QL = new(bars.Close, period, fast: 2, slow: 30);
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Core.Kama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period);
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for (int i = QL.Length - 1; i > skip * 15; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void MACD() {
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double[] macdSignal = new double[bars.Count];
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double[] macdHist = new double[bars.Count];
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MACD_Series QL = new(bars.Close, slow: 26, fast: 12, signal: 9, false);
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// TA-LIB runs EMA without SMA, leaving first 100 values for convergence
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Core.Macd(inclose, 0, bars.Count - 1, outMacd: TALIB, outMacdSignal: macdSignal, outMacdHist: macdHist, out int outBegIdx, out _, optInFastPeriod: 12, optInSlowPeriod: 26, optInSignalPeriod: 9);
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for (int i = QL.Length - 1; i > 100; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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QL_item = QL.Signal[i].v;
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TA_item = macdSignal[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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/*
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[Fact]
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public void MAMA()
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{
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MAMA_Series QL = new(bars.Close, fastlimit: 0.5, slowlimit: 0.05);
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Core.Mama(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outMama: TALIB, outFama: TALIB2, outBegIdx: out int outBegIdx, outNbElement: out _, optInFastLimit: 0.5, optInSlowLimit: 0.05);
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for (int i = QL.Length - 1; i > skip * 10; i--)
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{
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits-1), Math.Exp(-digits-1));
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}
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}
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*/
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[Fact]
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public void MAX() {
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MAX_Series QL = new(bars.Close, period, false);
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Core.Max(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void MIDPOINT() {
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MIDPOINT_Series QL = new(bars.Close, period, false);
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Core.MidPoint(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void MIDPRICE() {
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MIDPRICE_Series QL = new(bars, period, false);
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Core.MidPrice(inhigh, inlow, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void MIN() {
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MIN_Series QL = new(bars.Close, period, false);
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Core.Min(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void MUL() {
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MUL_Series QL = new(bars.Open, bars.Close);
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Core.Mult(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void OBV() {
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OBV_Series QL = new(bars, period, false);
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Core.Obv(inclose, involume, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void OHLC4() {
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TSeries QL = bars.OHLC4;
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Core.AvgPrice(inopen, inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void RSI() {
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RSI_Series QL = new(bars.Close, period, false);
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Core.Rsi(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void SDEV() {
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SDEV_Series QL = new(bars.Close, period, false);
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Core.StdDev(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void SMA() {
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SMA_Series QL = new(bars.Close, period, false);
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Core.Sma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void SUB() {
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SUB_Series QL = new(bars.Open, bars.Close);
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Core.Sub(inopen, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void SUM() {
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CUSUM_Series QL = new(bars.Close, period, false);
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Core.Sum(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void T3() {
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T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, useNaN: false);
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Core.T3(inReal: inclose, startIdx: 0, endIdx: bars.Count - 1, outReal: TALIB, outBegIdx: out int outBegIdx, outNbElement: out _, optInTimePeriod: period, optInVFactor: 0.7);
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for (int i = QL.Length - 1; i > period * 10; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void TEMA() {
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TEMA_Series QL = new(bars.Close, period, false);
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Core.Tema(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
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for (int i = QL.Length - 1; i > skip * 15; i--) {
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double QL_item = QL[i].v;
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double TA_item = TALIB[i - outBegIdx];
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Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
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}
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}
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[Fact]
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public void TR() {
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TR_Series QL = new(bars);
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Core.TRange(inhigh, inlow, inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _);
|
|
for (int i = QL.Length - 1; i > skip; i--) {
|
|
double QL_item = QL[i].v;
|
|
double TA_item = TALIB[i - outBegIdx];
|
|
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void TRIMA() {
|
|
TRIMA_Series QL = new(bars.Close, period, false);
|
|
Core.Trima(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
|
for (int i = QL.Length - 1; i > skip; i--) {
|
|
double QL_item = QL[i].v;
|
|
double TA_item = TALIB[i - outBegIdx];
|
|
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void TRIX() {
|
|
TRIX_Series QL = new(bars.Close, period, useNaN: false, useSMA: true);
|
|
Core.Trix(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
|
for (int i = QL.Length - 1; i > period * 10; i--) {
|
|
double QL_item = QL[i].v;
|
|
double TA_item = TALIB[i - outBegIdx];
|
|
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void VAR() {
|
|
VAR_Series QL = new(bars.Close, period, false);
|
|
Core.Var(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
|
for (int i = QL.Length - 1; i > skip * 15; i--) {
|
|
double QL_item = QL[i].v;
|
|
double TA_item = TALIB[i - outBegIdx];
|
|
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void WMA() {
|
|
WMA_Series QL = new(bars.Close, period, false);
|
|
Core.Wma(inclose, 0, bars.Count - 1, TALIB, out int outBegIdx, out _, period);
|
|
for (int i = QL.Length - 1; i > skip; i--) {
|
|
double QL_item = QL[i].v;
|
|
double TA_item = TALIB[i - outBegIdx];
|
|
Assert.InRange(TA_item! - QL_item, -Math.Exp(-digits), Math.Exp(-digits));
|
|
}
|
|
}
|
|
|
|
}
|