mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-21 20:18:05 +00:00
Miha Kralj
5c3b3fbab4
- Updated the Prime method signature in multiple indicators (Jma, Kama, Lsma, Mama, Mgdi, Pwma, Rma, Sma, Ssf, Super, T3, Tema, Trima, Usf, Vidya, Wma, Atr) to accept an optional TimeSpan parameter for improved flexibility. - Added unit tests for Lsma to verify Dispose functionality, ensuring proper unsubscription from the source and thread safety. - Enhanced Mama and Wma classes to handle non-finite inputs gracefully and added checks for valid parameters in constructors. - Introduced additional tests for T3 to validate constructor behavior with invalid volume factors. - Ensured all indicators maintain consistent behavior when handling edge cases, such as empty buffers and non-finite values.
308 lines
9.4 KiB
C#
308 lines
9.4 KiB
C#
using System;
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using System.Collections.Generic;
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using Xunit;
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namespace QuanTAlib;
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public class WmaTests
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{
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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Assert.True(double.IsFinite(wma.Last.Value));
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}
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[Fact]
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public void IsNew_Consistency()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed first 99
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for (int i = 0; i < 99; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Update with 100th point (isNew=true)
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wma.Update(new TValue(bars[99].Time, bars[99].Close), true);
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// Update with modified 100th point (isNew=false)
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var val2 = wma.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), false);
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// Create new instance and feed up to modified
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var wma2 = new Wma(10);
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for (int i = 0; i < 99; i++)
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{
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wma2.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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var val3 = wma2.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), true);
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Assert.Equal(val3.Value, val2.Value, 1e-9);
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}
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[Fact]
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public void Reset_Works()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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wma.Reset();
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Assert.Equal(0, wma.Last.Value);
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Assert.False(wma.IsHot);
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// Feed again
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for (int i = 0; i < bars.Count; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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Assert.True(double.IsFinite(wma.Last.Value));
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}
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[Fact]
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public void TSeries_Update_Matches_Streaming()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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var streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var wma2 = new Wma(10);
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var seriesResults = wma2.Update(series);
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Assert.Equal(streamingResults.Count, seriesResults.Count);
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for (int i = 0; i < seriesResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void StaticBatch_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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var wma = new Wma(10);
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var streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var staticResults = Wma.Batch(series, 10);
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Assert.Equal(streamingResults.Count, staticResults.Count);
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for (int i = 0; i < staticResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void StaticBatchSpan_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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var wma = new Wma(10);
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var streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var spanResults = new double[series.Count];
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Wma.Batch(series.Values, spanResults, 10);
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for (int i = 0; i < spanResults.Length; i++)
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{
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Assert.Equal(streamingResults[i], spanResults[i], 1e-9);
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}
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}
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[Fact]
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public void Chainability_Works()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Test TSeries chain
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var result = wma.Update(series);
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Assert.NotNull(result);
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Assert.IsType<TSeries>(result);
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// Test TValue chain
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var result2 = wma.Update(series[0]);
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Assert.IsType<TValue>(result2);
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}
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[Fact]
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public void Constructor_InvalidParameters_ThrowsArgumentException()
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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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}
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[Fact]
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public void Dispose_UnsubscribesFromSource()
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{
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var source = new TSeries();
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var wma = new Wma(source, 10);
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// Verify subscription works
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, wma.Last.Value);
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// Dispose
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wma.Dispose();
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// Verify unsubscription
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source.Add(new TValue(DateTime.UtcNow, 200));
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// Last value should remain unchanged if unsubscribed
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Assert.Equal(100, wma.Last.Value);
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}
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[Fact]
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public void DefaultLastValidValue_IsNaN()
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{
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var wma = new Wma(10);
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Assert.True(double.IsNaN(wma.DefaultLastValidValue));
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}
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[Fact]
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public void InitialNaNs_ResultInNaN()
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{
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var wma = new Wma(5);
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wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsNaN(wma.Last.Value));
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}
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[Fact]
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public void RecoveryFromNaN_Works()
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{
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var wma = new Wma(3);
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// Feed NaNs
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // [NaN]
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // [NaN, NaN]
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Assert.True(double.IsNaN(wma.Last.Value));
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// Feed valid values
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wma.Update(new TValue(DateTime.UtcNow, 1.0)); // [NaN, NaN, 1] -> Sum is NaN
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, 2.0)); // [NaN, 1, 2] -> Sum is NaN
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, 3.0)); // [1, 2, 3] -> Sum should recover!
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// WMA(3) of [1, 2, 3] = (1*1 + 2*2 + 3*3) / 6 = (1+4+9)/6 = 14/6 = 2.333...
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Assert.Equal(2.333333333, wma.Last.Value, 1e-6);
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}
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[Fact]
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public void ConfigurableDefault_Works()
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{
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var wma = new Wma(3) { DefaultLastValidValue = 0 };
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// Feed NaN
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // Treated as 0 -> [0]
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// WMA(3) of [0] -> (1*0)/1 = 0
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Assert.Equal(0, wma.Last.Value);
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wma.Update(new TValue(DateTime.UtcNow, 3.0)); // [0, 3]
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// WMA(3) of [0, 3] -> (1*0 + 2*3) / 3 = 6/3 = 2
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Assert.Equal(2, wma.Last.Value);
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}
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[Fact]
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public void Update_IsNewFalse_OnEmptyBuffer_ThrowsInvalidOperationException()
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{
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var wma = new Wma(10);
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// Calling Update with isNew=false on an empty buffer should throw
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var exception = Assert.Throws<InvalidOperationException>(() =>
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wma.Update(new TValue(DateTime.UtcNow, 100.0), isNew: false));
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Assert.Contains("isNew=false", exception.Message, StringComparison.Ordinal);
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Assert.Contains("buffer is empty", exception.Message, StringComparison.Ordinal);
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Assert.Contains("isNew=true", exception.Message, StringComparison.Ordinal);
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}
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[Fact]
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public void Update_IsNewFalse_AfterReset_ThrowsInvalidOperationException()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some data
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for (int i = 0; i < 10; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Reset clears the buffer
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wma.Reset();
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// Calling Update with isNew=false after reset should throw
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var exception = Assert.Throws<InvalidOperationException>(() =>
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wma.Update(new TValue(bars[10].Time, bars[10].Close), isNew: false));
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Assert.Contains("isNew=false", exception.Message, StringComparison.Ordinal);
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Assert.Contains("buffer is empty", exception.Message, StringComparison.Ordinal);
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}
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[Fact]
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public void Update_IsNewFalse_WithData_WorksCorrectly()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some data first
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for (int i = 0; i < 5; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close), isNew: true);
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}
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// Now isNew=false should work (buffer has data)
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var result = wma.Update(new TValue(bars[4].Time, bars[4].Close + 10), isNew: false);
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// Should not throw and should return a finite value
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Assert.True(double.IsFinite(result.Value));
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}
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}
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