mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-13 08:08:05 +00:00
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
676 lines
22 KiB
C#
676 lines
22 KiB
C#
namespace QuanTAlib.Tests;
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public class AbberTests
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{
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[Fact]
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public void Abber_Constructor_ValidatesInput()
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{
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// Period validation
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Assert.Throws<ArgumentException>(() => new Abber(0));
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Assert.Throws<ArgumentException>(() => new Abber(-1));
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// Multiplier validation
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Assert.Throws<ArgumentException>(() => new Abber(10, 0));
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Assert.Throws<ArgumentException>(() => new Abber(10, -1));
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// Valid construction
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var abber = new Abber(10);
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Assert.NotNull(abber);
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var abber2 = new Abber(20, 3.0);
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Assert.NotNull(abber2);
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}
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[Fact]
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public void Abber_Calc_ReturnsValue()
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{
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var abber = new Abber(10);
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Assert.Equal(0, abber.Last.Value);
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Assert.Equal(0, abber.Upper.Value);
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Assert.Equal(0, abber.Lower.Value);
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TValue result = abber.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(double.IsFinite(result.Value));
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Assert.Equal(result.Value, abber.Last.Value);
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Assert.True(double.IsFinite(abber.Upper.Value));
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Assert.True(double.IsFinite(abber.Lower.Value));
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}
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[Fact]
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public void Abber_FirstValue_ReturnsExpected()
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{
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var abber = new Abber(10);
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// First value: source = 100
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// SMA(1) = 100, Deviation = |100 - 100| = 0, AvgDeviation = 0
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// Middle = 100, Upper = 100 + 0 = 100, Lower = 100 - 0 = 100
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abber.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, abber.Last.Value, 1e-10);
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Assert.Equal(100.0, abber.Upper.Value, 1e-10);
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Assert.Equal(100.0, abber.Lower.Value, 1e-10);
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}
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[Fact]
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public void Abber_Calc_IsNew_AcceptsParameter()
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{
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var abber = new Abber(10);
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abber.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = abber.Last.Value;
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abber.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double value2 = abber.Last.Value;
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// Values should change with new data
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Assert.NotEqual(value1, value2);
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}
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[Fact]
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public void Abber_Calc_IsNew_False_UpdatesValue()
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{
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var abber = new Abber(10);
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abber.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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abber.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = abber.Last.Value;
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abber.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = abber.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 Abber_Reset_ClearsState()
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{
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var abber = new Abber(10);
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abber.Update(new TValue(DateTime.UtcNow, 100));
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abber.Update(new TValue(DateTime.UtcNow, 105));
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double middleBefore = abber.Last.Value;
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abber.Reset();
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Assert.Equal(0, abber.Last.Value);
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Assert.Equal(0, abber.Upper.Value);
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Assert.Equal(0, abber.Lower.Value);
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Assert.False(abber.IsHot);
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// After reset, should accept new values
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abber.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, abber.Last.Value);
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Assert.NotEqual(middleBefore, abber.Last.Value);
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}
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[Fact]
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public void Abber_Properties_Accessible()
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{
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var abber = new Abber(10, 2.5);
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Assert.Equal(0, abber.Last.Value);
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Assert.False(abber.IsHot);
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Assert.Contains("Abber", abber.Name, StringComparison.Ordinal);
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Assert.Equal(10, abber.WarmupPeriod);
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abber.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, abber.Last.Value);
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}
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[Fact]
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public void Abber_IsHot_BecomesTrueWhenBufferFull()
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{
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var abber = new Abber(5);
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Assert.False(abber.IsHot);
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for (int i = 1; i <= 4; i++)
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{
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abber.Update(new TValue(DateTime.UtcNow, 100 + i));
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Assert.False(abber.IsHot);
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}
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abber.Update(new TValue(DateTime.UtcNow, 105));
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Assert.True(abber.IsHot);
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}
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[Fact]
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public void Abber_CalculatesCorrectBands()
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{
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var abber = new Abber(3, 2.0);
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// Bar 1: source = 100
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// SMA = 100, Deviation = 0, AvgDev = 0
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abber.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, abber.Last.Value, 1e-10);
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// Bar 2: source = 110
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// SMA(2) = (100+110)/2 = 105
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// Dev1 = |100 - 100| = 0 (calculated when 100 was added, SMA was 100)
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// Dev2 = |110 - 100| = 10 (calculated when 110 is added, SMA was 100)
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// AvgDev = (0+10)/2 = 5
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// Upper = 105 + 2*5 = 115, Lower = 105 - 2*5 = 95
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abber.Update(new TValue(DateTime.UtcNow, 110));
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Assert.Equal(105.0, abber.Last.Value, 1e-10);
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// Bar 3: source = 120
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// SMA(3) = (100+110+120)/3 = 110
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// Dev3 = |120 - 105| = 15 (calculated when 120 is added, SMA was 105)
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// AvgDev = (0+10+15)/3 = 8.333...
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// Upper = 110 + 2*8.333 = 126.666..., Lower = 110 - 2*8.333 = 93.333...
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abber.Update(new TValue(DateTime.UtcNow, 120));
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Assert.Equal(110.0, abber.Last.Value, 1e-10);
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Assert.Equal(110.0 + 2.0 * 25.0 / 3.0, abber.Upper.Value, 1e-10);
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Assert.Equal(110.0 - 2.0 * 25.0 / 3.0, abber.Lower.Value, 1e-10);
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}
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[Fact]
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public void Abber_SlidingWindow_Works()
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{
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var abber = new Abber(3, 2.0);
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// Feed initial values
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abber.Update(new TValue(DateTime.UtcNow, 100));
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abber.Update(new TValue(DateTime.UtcNow, 110));
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abber.Update(new TValue(DateTime.UtcNow, 120));
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double middle1 = abber.Last.Value;
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// Add another value - window slides
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abber.Update(new TValue(DateTime.UtcNow, 130));
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// SMA(3) should now be (110+120+130)/3 = 120
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Assert.NotEqual(middle1, abber.Last.Value);
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Assert.Equal(120.0, abber.Last.Value, 1e-10);
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}
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[Fact]
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public void Abber_IterativeCorrections_RestoreToOriginalState()
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{
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var abber = new Abber(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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abber.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double middleAfterTen = abber.Last.Value;
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double upperAfterTen = abber.Upper.Value;
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double lowerAfterTen = abber.Lower.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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abber.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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abber.Update(tenthInput, isNew: false);
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// State should match the original state after 10 values
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Assert.Equal(middleAfterTen, abber.Last.Value, 1e-10);
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Assert.Equal(upperAfterTen, abber.Upper.Value, 1e-10);
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Assert.Equal(lowerAfterTen, abber.Lower.Value, 1e-10);
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}
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[Fact]
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public void Abber_BatchCalc_MatchesIterativeCalc()
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{
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var abberIterative = new Abber(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 iterativeMiddle = new List<double>();
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var iterativeUpper = new List<double>();
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var iterativeLower = new List<double>();
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foreach (var item in series)
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{
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abberIterative.Update(item);
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iterativeMiddle.Add(abberIterative.Last.Value);
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iterativeUpper.Add(abberIterative.Upper.Value);
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iterativeLower.Add(abberIterative.Lower.Value);
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}
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// Calculate batch
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var abberBatch = new Abber(10);
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var (batchMiddle, batchUpper, batchLower) = abberBatch.Update(series);
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// Compare
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Assert.Equal(iterativeMiddle.Count, batchMiddle.Count);
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for (int i = 0; i < iterativeMiddle.Count; i++)
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{
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Assert.Equal(iterativeMiddle[i], batchMiddle[i].Value, 1e-10);
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Assert.Equal(iterativeUpper[i], batchUpper[i].Value, 1e-10);
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Assert.Equal(iterativeLower[i], batchLower[i].Value, 1e-10);
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}
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}
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[Fact]
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public void Abber_NaN_Input_UsesLastValidValue()
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{
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var abber = new Abber(5);
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// Feed some valid values
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abber.Update(new TValue(DateTime.UtcNow, 100));
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abber.Update(new TValue(DateTime.UtcNow, 105));
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// Feed NaN - should use last valid value
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var resultAfterNaN = abber.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.True(double.IsFinite(abber.Upper.Value));
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Assert.True(double.IsFinite(abber.Lower.Value));
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}
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[Fact]
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public void Abber_Infinity_Input_UsesLastValidValue()
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{
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var abber = new Abber(5);
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// Feed some valid values
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abber.Update(new TValue(DateTime.UtcNow, 100));
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abber.Update(new TValue(DateTime.UtcNow, 105));
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// Feed positive infinity
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var resultAfterPosInf = abber.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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Assert.True(double.IsFinite(abber.Upper.Value));
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Assert.True(double.IsFinite(abber.Lower.Value));
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// Feed negative infinity
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var resultAfterNegInf = abber.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(resultAfterNegInf.Value));
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Assert.True(double.IsFinite(abber.Upper.Value));
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Assert.True(double.IsFinite(abber.Lower.Value));
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}
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[Fact]
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public void Abber_MultipleNaN_ContinuesWithLastValid()
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{
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var abber = new Abber(5);
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// Feed valid values
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abber.Update(new TValue(DateTime.UtcNow, 100));
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abber.Update(new TValue(DateTime.UtcNow, 105));
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abber.Update(new TValue(DateTime.UtcNow, 110));
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// Feed multiple NaN values
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var r1 = abber.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = abber.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = abber.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 Abber_StaticBatch_Works()
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{
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var series = new TSeries();
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series.Add(DateTime.UtcNow, 100);
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series.Add(DateTime.UtcNow, 110);
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series.Add(DateTime.UtcNow, 120);
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series.Add(DateTime.UtcNow, 130);
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series.Add(DateTime.UtcNow, 140);
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var (middle, upper, lower) = Abber.Batch(series, 3);
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Assert.Equal(5, middle.Count);
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Assert.Equal(5, upper.Count);
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Assert.Equal(5, lower.Count);
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// All values should be finite
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for (int i = 0; i < 5; i++)
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{
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Assert.True(double.IsFinite(middle[i].Value));
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Assert.True(double.IsFinite(upper[i].Value));
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Assert.True(double.IsFinite(lower[i].Value));
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}
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}
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[Fact]
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public void Abber_Period1_ReturnsDirectCalculation()
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{
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var abber = new Abber(1);
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// Single value: SMA(1) = 100, Deviation = 0
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abber.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, abber.Last.Value, 1e-10);
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Assert.Equal(100.0, abber.Upper.Value, 1e-10);
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Assert.Equal(100.0, abber.Lower.Value, 1e-10);
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// Next value: SMA(1) = 110, Deviation from previous SMA = |110 - 100| = 10
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// But with period 1, the old value drops out, so AvgDev = |110 - 110| = 0?
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// Actually deviation is calculated BEFORE adding to buffer
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// When 110 comes in, SMA is still 100, so Dev = |110 - 100| = 10
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// Then buffer updates to just [110], so SMA = 110, AvgDev = 10
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abber.Update(new TValue(DateTime.UtcNow, 110));
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Assert.Equal(110.0, abber.Last.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 Abber_SpanBatch_ValidatesInput()
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{
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double[] source = [100, 110, 120];
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double[] middle = new double[3];
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double[] upper = new double[3];
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double[] lower = new double[3];
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// Period must be > 0
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Assert.Throws<ArgumentException>(() =>
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() =>
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), -1));
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// Multiplier must be > 0
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Assert.Throws<ArgumentException>(() =>
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3, 0));
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Assert.Throws<ArgumentException>(() =>
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3, -1));
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// Output buffers must be same length as input
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double[] shortOutput = new double[2];
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Assert.Throws<ArgumentException>(() =>
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Abber.Batch(source.AsSpan(), shortOutput.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3));
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}
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[Fact]
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public void Abber_SpanBatch_MatchesTSeriesBatch()
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{
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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var series = new TSeries();
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double[] source = new double[100];
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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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source[i] = bar.Close;
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}
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// Calculate with TSeries API
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var (tseriesMiddle, tseriesUpper, tseriesLower) = Abber.Batch(series, 10);
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// Calculate with Span API
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double[] spanMiddle = new double[100];
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double[] spanUpper = new double[100];
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double[] spanLower = new double[100];
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Abber.Batch(source.AsSpan(), spanMiddle.AsSpan(), spanUpper.AsSpan(), spanLower.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(tseriesMiddle[i].Value, spanMiddle[i], 1e-10);
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Assert.Equal(tseriesUpper[i].Value, spanUpper[i], 1e-10);
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Assert.Equal(tseriesLower[i].Value, spanLower[i], 1e-10);
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}
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}
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[Fact]
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public void Abber_SpanBatch_ZeroAllocation()
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{
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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double[] source = new double[10000];
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double[] middle = new double[10000];
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double[] upper = new double[10000];
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double[] lower = new double[10000];
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for (int i = 0; i < source.Length; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Warm up
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 100);
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// Verify method completes without OOM or stack overflow
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Assert.True(double.IsFinite(middle[^1]));
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Assert.True(double.IsFinite(upper[^1]));
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Assert.True(double.IsFinite(lower[^1]));
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}
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[Fact]
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public void Abber_SpanBatch_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 130, 140];
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double[] middle = new double[5];
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double[] upper = new double[5];
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double[] lower = new double[5];
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Abber.Batch(source.AsSpan(), middle.AsSpan(), upper.AsSpan(), lower.AsSpan(), 3);
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// All outputs should be finite
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for (int i = 0; i < 5; i++)
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{
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Assert.True(double.IsFinite(middle[i]), $"Middle[{i}] expected finite but got {middle[i]}");
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Assert.True(double.IsFinite(upper[i]), $"Upper[{i}] expected finite but got {upper[i]}");
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Assert.True(double.IsFinite(lower[i]), $"Lower[{i}] expected finite but got {lower[i]}");
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}
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}
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[Fact]
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public void Abber_AllModes_ProduceSameResult()
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{
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// Arrange
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const int period = 10;
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double multiplier = 2.0;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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|
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// 1. Batch Mode
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var (batchMiddle, batchUpper, batchLower) = Abber.Batch(series, period, multiplier);
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double expectedMiddle = batchMiddle.Last.Value;
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double expectedUpper = batchUpper.Last.Value;
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double expectedLower = batchLower.Last.Value;
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|
|
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// 2. Span Mode
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double[] source = series.Values.ToArray();
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double[] spanMiddle = new double[series.Count];
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double[] spanUpper = new double[series.Count];
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double[] spanLower = new double[series.Count];
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Abber.Batch(source.AsSpan(), spanMiddle.AsSpan(), spanUpper.AsSpan(), spanLower.AsSpan(), period, multiplier);
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|
|
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// 3. Streaming Mode
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var streamingInd = new Abber(period, multiplier);
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foreach (var item in series)
|
|
{
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|
streamingInd.Update(item);
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|
}
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double streamingMiddle = streamingInd.Last.Value;
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double streamingUpper = streamingInd.Upper.Value;
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double streamingLower = streamingInd.Lower.Value;
|
|
|
|
// 4. Eventing Mode
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|
var pubSource = new TSeries();
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|
var eventingInd = new Abber(pubSource, period, multiplier);
|
|
foreach (var item in series)
|
|
{
|
|
pubSource.Add(item);
|
|
}
|
|
double eventingMiddle = eventingInd.Last.Value;
|
|
double eventingUpper = eventingInd.Upper.Value;
|
|
double eventingLower = eventingInd.Lower.Value;
|
|
|
|
// Assert
|
|
Assert.Equal(expectedMiddle, spanMiddle[^1], precision: 9);
|
|
Assert.Equal(expectedUpper, spanUpper[^1], precision: 9);
|
|
Assert.Equal(expectedLower, spanLower[^1], precision: 9);
|
|
|
|
Assert.Equal(expectedMiddle, streamingMiddle, precision: 9);
|
|
Assert.Equal(expectedUpper, streamingUpper, precision: 9);
|
|
Assert.Equal(expectedLower, streamingLower, precision: 9);
|
|
|
|
Assert.Equal(expectedMiddle, eventingMiddle, precision: 9);
|
|
Assert.Equal(expectedUpper, eventingUpper, precision: 9);
|
|
Assert.Equal(expectedLower, eventingLower, precision: 9);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_Chainability_Works()
|
|
{
|
|
var source = new TSeries();
|
|
var abber = new Abber(source, 10);
|
|
|
|
source.Add(new TValue(DateTime.UtcNow, 100));
|
|
Assert.Equal(100, abber.Last.Value);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_WarmupPeriod_IsSetCorrectly()
|
|
{
|
|
var abber = new Abber(10);
|
|
Assert.Equal(10, abber.WarmupPeriod);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_Prime_SetsStateCorrectly()
|
|
{
|
|
var abber = new Abber(3, 2.0);
|
|
var series = new TSeries();
|
|
|
|
// Add 5 values
|
|
series.Add(DateTime.UtcNow, 100);
|
|
series.Add(DateTime.UtcNow, 110);
|
|
series.Add(DateTime.UtcNow, 120);
|
|
series.Add(DateTime.UtcNow, 130);
|
|
series.Add(DateTime.UtcNow, 140);
|
|
|
|
abber.Prime(series);
|
|
|
|
Assert.True(abber.IsHot);
|
|
|
|
// Last 3 values: 120, 130, 140 -> SMA = 130
|
|
Assert.Equal(130.0, abber.Last.Value, 1e-10);
|
|
|
|
// Verify it continues correctly
|
|
abber.Update(new TValue(DateTime.UtcNow, 150));
|
|
// New window: 130, 140, 150 -> SMA = 140
|
|
Assert.Equal(140.0, abber.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_Calculate_ReturnsCorrectResultsAndHotIndicator()
|
|
{
|
|
var series = new TSeries();
|
|
series.Add(DateTime.UtcNow, 100);
|
|
series.Add(DateTime.UtcNow, 110);
|
|
series.Add(DateTime.UtcNow, 120);
|
|
series.Add(DateTime.UtcNow, 130);
|
|
series.Add(DateTime.UtcNow, 140);
|
|
|
|
var ((middle, upper, lower), indicator) = Abber.Calculate(series, 3, 2.0);
|
|
|
|
// Check results
|
|
Assert.Equal(5, middle.Count);
|
|
Assert.Equal(5, upper.Count);
|
|
Assert.Equal(5, lower.Count);
|
|
|
|
// Check indicator state
|
|
Assert.True(indicator.IsHot);
|
|
Assert.Equal(130.0, indicator.Last.Value, 1e-10);
|
|
Assert.Equal(3, indicator.WarmupPeriod);
|
|
|
|
// Verify indicator continues correctly
|
|
indicator.Update(new TValue(DateTime.UtcNow, 150));
|
|
Assert.Equal(140.0, indicator.Last.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_DifferentMultipliers_Work()
|
|
{
|
|
var series = new TSeries();
|
|
for (int i = 0; i < 10; i++)
|
|
{
|
|
series.Add(DateTime.UtcNow, 100 + i * 10); // 100, 110, 120, ...
|
|
}
|
|
|
|
// Multiplier 1.0
|
|
var (middle1, upper1, _) = Abber.Batch(series, 5, 1.0);
|
|
|
|
// Multiplier 3.0
|
|
var (middle3, upper3, _) = Abber.Batch(series, 5, 3.0);
|
|
|
|
// Middle should be the same for all multipliers
|
|
Assert.Equal(middle1.Last.Value, middle3.Last.Value, 1e-10);
|
|
|
|
// Band width should scale with multiplier
|
|
double bandWidth1 = upper1.Last.Value - middle1.Last.Value;
|
|
double bandWidth3 = upper3.Last.Value - middle3.Last.Value;
|
|
Assert.Equal(bandWidth1 * 3.0, bandWidth3, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_FlatLine_ReturnsSameValues()
|
|
{
|
|
var abber = new Abber(10);
|
|
|
|
for (int i = 0; i < 20; i++)
|
|
{
|
|
abber.Update(new TValue(DateTime.UtcNow, 100));
|
|
}
|
|
|
|
// When all values are the same, SMA = 100, all deviations = 0
|
|
Assert.Equal(100.0, abber.Last.Value, 1e-10);
|
|
Assert.Equal(100.0, abber.Upper.Value, 1e-10);
|
|
Assert.Equal(100.0, abber.Lower.Value, 1e-10);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_Pub_EventFires()
|
|
{
|
|
var abber = new Abber(10);
|
|
bool eventFired = false;
|
|
abber.Pub += (object? _, in TValueEventArgs _) => eventFired = true;
|
|
|
|
abber.Update(new TValue(DateTime.UtcNow, 100));
|
|
Assert.True(eventFired);
|
|
}
|
|
|
|
[Fact]
|
|
public void Abber_BandsAreSymmetric()
|
|
{
|
|
var abber = new Abber(10, 2.0);
|
|
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
|
|
|
|
for (int i = 0; i < 50; i++)
|
|
{
|
|
var bar = gbm.Next(isNew: true);
|
|
abber.Update(new TValue(bar.Time, bar.Close));
|
|
}
|
|
|
|
// Upper - Middle should equal Middle - Lower
|
|
double upperDiff = abber.Upper.Value - abber.Last.Value;
|
|
double lowerDiff = abber.Last.Value - abber.Lower.Value;
|
|
|
|
Assert.Equal(upperDiff, lowerDiff, 1e-10);
|
|
}
|
|
}
|