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Miha Kralj
92709ef2ed
- Implemented Stochastic Oscillator (%K and %D) in Stoch.cs with streaming and batch processing capabilities. - Added validation tests for the Stochastic Oscillator in Stoch.Validation.Tests.cs, ensuring consistency with Skender.Stock.Indicators. - Created documentation for the Stochastic Oscillator in Stoch.md, detailing its mathematical formula, architecture, parameters, and common pitfalls. - Updated project file to include necessary numeric libraries for highest and lowest calculations.
28 KiB
28 KiB
Validation Across TA Libraries
"Trust, but verify." — Russian proverb (applicable to both Cold War diplomacy and technical indicator libraries)
Every indicator implementation makes implicit claims about correctness. QuanTAlib validates these claims by comparing outputs against established libraries: TA-Lib, Tulip, Skender.Stock.Indicators, and OoplesFinance. Where implementations diverge, the differences get documented.
Reading the Matrix
| Symbol | Meaning |
|---|---|
| ✔️ | Validated: outputs match within floating-point tolerance (1e-9) |
| ⚠️ | Partial match: minor discrepancies documented in indicator notes |
| ❔ | Implementation exists but not validated |
| - | No implementation in that library |
Tolerance rationale: Financial data uses double precision. Differences below 1e-9 stem from floating-point arithmetic order, not algorithmic divergence.
Validation Philosophy
Three levels of confidence:
Level 1: Cross-Library Agreement Multiple independent implementations produce identical results. Highest confidence. Most mainstream indicators (SMA, EMA, RSI, MACD) fall here.
Level 2: Original Source Agreement No cross-library validation available, but implementation matches original research paper or patent description. JMA, various proprietary indicators fall here.
Level 3: Mathematical Correctness Only No external reference exists. Implementation verified through unit tests, edge case handling, and mathematical properties (e.g., filter stability, energy preservation). Novel or obscure indicators fall here.
Technical Indicators
| Indicator | QuanTAlib | TA-Lib | Tulip | Skender | Ooples |
|---|---|---|---|---|---|
| Aberration Bands | Abber | - | - | - | - |
| Absolute Price Oscillator | Apo | ✔️ | ✔️ | - | ✔️ |
| Acceleration Bands | AccBands | - | - | - | - |
| Acceleration Oscillator | Ac | - | - | - | ❔ |
| Accumulation/Distribution Line | Adl | ✔️ | ✔️ | ✔️ | ✔️ |
| Accumulation/Distribution Oscillator | Adosc | ✔️ | ✔️ | ✔️ | ✔️ |
| Adaptive Price Zone | Apz | - | - | - | ❔ |
| Andrews' Pitchfork | Apchannel | - | - | - | - |
| Archer Moving Averages Trends | Amat | - | - | ✔️ | ✔️ |
| Archer On-Balance Volume | Aobv | - | - | - | - |
| Arnaud Legoux Moving Average | Alma | - | - | ✔️ | ✔️ |
| Aroon | Aroon | ✔️ | ✔️ | ✔️ | - |
| Aroon Oscillator | AroonOsc | ✔️ | ✔️ | ✔️ | - |
| ATR Bands | Atrbands | - | - | - | ❔ |
| Adaptive FIR Moving Average | Afirma | - | - | - | - |
| Average Daily Range | Adr | - | - | - | - |
| Average Directional Index | Adx | ✔️ | ✔️ | ✔️ | ✔️ |
| Average Directional Movement Rating | Adxr | ✔️ | ✔️ | - | - |
| Average True Range | Atr | ✔️ | ✔️ | ✔️ | ✔️ |
| Average True Range Normalized [0,1] | Atrn | - | - | - | - |
| Average True Range Percent | Atrp | ✔️ | ✔️ | ✔️ | ✔️ |
| Awesome Oscillator | Ao | - | ✔️ | ✔️ | ✔️ |
| Balance of Power | Bop | ✔️ | ✔️ | ✔️ | ✔️ |
| Bollinger Bands | Bbands | - | ✔️ | ✔️ | ✔️ |
| Bessel Filter | Bessel | - | - | - | - |
| Bessel-Weighted MA | Bwma | - | - | - | - |
| Beta Coefficient | Beta | ✔️ | - | ✔️ | - |
| Bias | Bias | - | - | - | - |
| Bilateral Filter | Bilateral | - | - | - | - |
| Blackman Window MA | Blma | - | - | - | - |
| Bollinger %B | Bbb | - | - | - | ❔ |
| Bollinger Band Squeeze | Bbs | - | - | - | ❔ |
| Bollinger Band Width | Bbw | - | - | - | ❔ |
| Bollinger Band Width Normalized | Bbwn | - | - | - | - |
| Bollinger Band Width Percentile | Bbwp | - | - | - | - |
| Bollinger Bands | Bbands | ✔️ | ✔️ | ✔️ | ❔ |
| Butterworth Filter | Butter | - | - | - | ✔️ |
| Camarilla Pivot Points | Pivotcam | - | - | - | ❔ |
| Chaikin Money Flow | Cmf | - | - | ✔️ | ❔ |
| Chaikin Volatility | Cvi | - | ✔️ | - | ❔ |
| Chande Forecast Oscillator | Cfo | - | ✔️ | - | ❔ |
| Chande Momentum Oscillator | Cmo | ✔️ | ✔️ | ✔️ | ❔ |
| Chebyshev Type I Filter | Cheby1 | - | - | - | - |
| Chebyshev Type II Filter | Cheby2 | - | - | - | - |
| Choppiness Index | Chop | - | - | ✔️ | ❔ |
| Close-to-Close Volatility | Ccv | - | - | - | - |
| Cointegration | Cointegration | - | - | - | - |
| Commodity Channel Index | Cci | ✔️ | ✔️ | ✔️ | ❔ |
| Composite Fractal Behavior | Cfb | - | - | - | - |
| Conditional Volatility | Cv | - | - | - | - |
| Convolution Moving Average | Conv | ✔️ | ✔️ | ✔️ | ✔️ |
| Correlation | Correlation | ✔️ | - | ✔️ | - |
| Cumulative Moving Average | Cma | - | - | - | - |
| Decay Min-Max Channel | Decaychannel | - | - | - | - |
| DeMark Pivot Points | Pivotdem | - | - | - | ❔ |
| Detrended Price Oscillator | Dpo | - | ⚠️ | - | ❔ |
| Detrended Synthetic Price | Dsp | - | - | - | ❔ |
| Deviation-Scaled MA | Dsma | - | - | - | ❔ |
| Directional Movement Index | Dx | ✔️ | ✔️ | - | - |
| Directional Movement Index (Jurik) | Dmx | - | - | - | - |
| Dirty Data Detection | Dirty | - | - | - | - |
| Donchian Channels | Dchannel | - | - | ✔️ | ❔ |
| Double Exponential Moving Average | Dema | ✔️ | ✔️ | ✔️ | ✔️ |
| Double Weighted Moving Average | Dwma | - | - | - | - |
| Ease of Movement | Eom | - | - | - | - |
| Ehlers Autocorrelation Periodogram | Eacp | - | - | - | - |
| BandPass Filter | Bpf | ✔️ | - | - | - |
| Ehlers Center of Gravity | Cg | - | - | - | ❔ |
| Ehlers Even Better Sinewave | Ebsw | - | - | - | ❔ |
| Ehlers Fractal Adaptive MA | Frama | - | - | - | ❔ |
| Ehlers Highpass Filter | Hpf | - | - | - | ❔ |
| Ehlers Phasor Analysis | Phasor | - | - | - | - |
| Ehlers Sine Wave | Sine | - | - | - | ❔ |
| Ehlers SSF-Based Detrended Synthetic Price | Ssfdsp | - | - | - | - |
| Ehlers Super Smooth Filter | Ssf | - | - | - | ✔️ |
| Ehlers Ultrasmooth Filter | Usf | - | - | - | - |
| Elliptic (Cauer) Filter | Elliptic | - | - | - | ❔ |
| Exponential Moving Average | Ema | ✔️ | ✔️ | ✔️ | ✔️ |
| Exponential Transformation | Exptrans | - | - | - | - |
| Exponential Weighted MA Volatility | Ewma | - | - | - | - |
| Extended Traditional Pivots | Pivotext | - | - | - | - |
| Fibonacci Pivot Points | Pivotfib | - | - | - | ❔ |
| Fisher Transform | Fisher | - | ✔️ | ✔️ | ❔ |
| Force Index | Efi | - | - | - | - |
| Fractal Chaos Bands | Fcb | - | - | ✔️ | ❔ |
| Garman-Klass Volatility | Gkv | - | - | - | - |
| Gaussian Filter | Gauss | - | - | - | ❔ |
| Gaussian-Weighted MA | Gwma | - | - | - | - |
| Geometric Mean | Geomean | - | - | - | - |
| Granger Causality Test | Granger | - | - | - | - |
| Hamming Window MA | Hamma | - | - | - | ❔ |
| Hann FIR Filter | Hann | - | - | - | - |
| Hanning Window MA | Hanma | - | - | - | ❔ |
| Harmonic Mean | Harmean | - | - | - | - |
| High-Low Volatility (Parkinson) | Hlv | - | - | - | - |
| Highest value | Highest | ✔️ | ✔️ | - | - |
| Hilbert Transform Dominant Cycle Period | HtDcPeriod | ✔️ | - | - | - |
| Hilbert Transform Dominant Cycle Phase | HtDcPhase | ✔️ | - | - | - |
| Hilbert Transform Instantaneous Trend | Htit | ✔️ | - | ✔️ | ✔️ |
| Hilbert Transform Phasor | HtPhasor | ✔️ | - | - | - |
| Hilbert Transform Sine Wave | HtSine | ✔️ | - | - | - |
| Hilbert Transform Trend Mode | Ht_trendmode | ✔️ | - | - | - |
| Historical Volatility (Close-to-Close) | Hv | - | - | - | - |
| Hodrick-Prescott Filter | Hp | - | - | - | - |
| Holt Weighted MA | Hwma | - | - | - | ❔ |
| Homodyne Discriminator Dominant Cycle | Homod | - | - | - | ❔ |
| Huber Loss | Huber | - | - | - | - |
| Hull Exponential MA | Hema | - | - | - | - |
| Hull Moving Average | Hma | - | ✔️ | ✔️ | ⚠️ |
| Hurst Exponent | Hurst | - | - | ✔️ | ❔ |
| Ichimoku Cloud | Ichimoku | - | - | ✔️ | ❔ |
| Inertia | Inertia | - | - | - | ❔ |
| Interquartile Range | Iqr | - | - | - | - |
| Intraday Intensity Index | Iii | - | - | - | - |
| Intraday Momentum Index | Imi | - | - | - | ❔ |
| Jarque-Bera Test | Jb | - | - | - | - |
| Jurik Moving Average | Jma | - | - | - | ❔ |
| Jurik Volatility | Jvolty | - | - | - | - |
| Jurik Adaptive Envelope Bands | Jbands | - | - | - | - |
| Jurik Volatility Normalized [0,100] | Jvoltyn | - | - | - | - |
| Kalman Filter | Kalman | - | - | - | - |
| Kaufman Adaptive Moving Average | Kama | ✔️ | ✔️ | ✔️ | ✔️ |
| KDJ Indicator | Kdj | - | - | - | - |
| Keltner Channel | Kchannel | - | - | ✔️ | ❔ |
| Kendall Rank Correlation | Kendall | - | - | - | ❔ |
| Klinger Volume Oscillator | Kvo | - | ✔️ | ✔️ | ❔ |
| Kurtosis | Kurtosis | - | - | - | ❔ |
| Least Squares Moving Average | Lsma | ✔️ | - | ✔️ | ❔ |
| Linear Regression | LinReg | ✔️ | ✔️ | ✔️ | ⚠️ |
| Linear Transformation | Lineartrans | - | - | - | - |
| Linear Trend MA | Ltma | - | - | - | - |
| LOESS/LOWESS Smoothing | Loess | - | - | - | - |
| Logarithmic Transformation | Logtrans | - | - | - | - |
| Logistic Function | Sigmoid | - | - | - | - |
| Lowest value | Lowest | ✔️ | ✔️ | - | - |
| Lunar Phase | Lunar | - | - | - | - |
| Lowest value | Lowest | ✔️ | ✔️ | - | - |
| Lunar Phase | Lunar | - | - | - | - |
| Mass Index | Massi | - | ✔️ | - | ❔ |
| McGinley Dynamic | Mgdi | - | - | ✔️ | ✔️ |
| Mean Absolute Error | Mae | - | - | - | - |
| Mean Absolute Percentage Difference | Mapd | - | - | - | - |
| Mean Absolute Percentage Error | Mape | - | - | - | - |
| Mean Absolute Scaled Error | Mase | - | - | - | - |
| Mean Error | Me | - | - | - | - |
| Mean Percentage Error | Mpe | - | - | - | - |
| Mean Squared Error | Mse | - | - | - | - |
| Mean Squared Logarithmic Error | Msle | - | - | - | - |
| MESA Adaptive Moving Average | Mama | ✔️ | - | ✔️ | ✔️ |
| Midpoint | Midpoint | ✔️ | - | - | - |
| Min-Max Channel | Mmchannel | ✔️ | ✔️ | ✔️ | - |
| Min-Max Scaling (Normalization) | Normalize | - | - | - | - |
| Mode (Most Frequent) | Mode | - | - | - | - |
| Modified MA | Mma | - | - | - | - |
| Momentum | Mom | ✔️ | ✔️ | - | ❔ |
| Momentum change; 2nd derivative | Accel | - | - | - | - |
| Money Flow Index | Mfi | ✔️ | ✔️ | ✔️ | ❔ |
| Moon Phase | Moon | - | - | - | - |
| Moving Average Convergence/Divergence | Macd | ✔️ | ✔️ | ✔️ | ❔ |
| Moving Average Envelopes | Maenv | - | - | ✔️ | ❔ |
| Negative Volume Index | Nvi | - | ✔️ | - | - |
| Normalized Average True Range | Natr | ✔️ | ✔️ | - | - |
| Normalized Shannon Entropy | Entropy | - | - | - | - |
| Notch Filter | Notch | - | - | - | - |
| On Balance Volume | Obv | ⚠️ | ✔️ | ✔️ | ⚠️ |
| Parabolic SAR | Psar | ✔️ | ✔️ | ✔️ | ❔ |
| Pascal Weighted Moving Average | Pwma | - | - | - | - |
| Percentage Change | Change | ✔️ | - | - | - |
| Percentage Price Oscillator | Ppo | ✔️ | ✔️ | - | ❔ |
| Percentage Volume Oscillator | Pvo | - | - | ✔️ | ❔ |
| Percentile | Percentile | - | - | - | - |
| Pivot Points | Pivot | - | - | ✔️ | ❔ |
| Positive Volume Index | Pvi | - | ✔️ | - | - |
| Pretty Good Oscillator | Pgo | - | - | - | ❔ |
| Price Channel | Pchannel | - | - | - | ✔️ |
| Price Momentum Oscillator | Pmo | - | - | ✔️ | ❔ |
| Price Relative Strength | Prs | - | - | ✔️ | - |
| Price Volume Divergence | Pvd | - | - | - | - |
| Price Volume Rank | Pvr | - | - | - | ✔️ |
| Price Volume Trend | Pvt | - | - | ✔️ | ✔️ |
| Qstick Indicator | Qstick | - | - | - | ❔ |
| Quad Exponential MA | Qema | - | - | - | - |
| Quantile | Quantile | - | - | - | - |
| Rate of acceleration; 3rd derivative | Jerk | - | - | - | - |
| Rate of Change | Roc | ✔️ | ✔️ | ✔️ | ❔ |
| Rate of change; 1st derivative | Slope | ✔️ | ✔️ | ✔️ | ❔ |
| Rate of Change Percentage | Rocp | ✔️ | - | - | - |
| Rate of Change Ratio | Rocr | ✔️ | ✔️ | - | - |
| Realized Volatility | Rv | - | - | - | - |
| Rectified Linear Unit | Relu | - | - | - | - |
| Recursive Gaussian MA | Rgma | - | - | - | - |
| Regression Channels | Regchannel | - | - | - | - |
| Regularized Exponential MA | Rema | - | - | - | ❔ |
| Relative Absolute Error | Rae | - | - | - | - |
| Relative Squared Error | Rse | - | - | - | - |
| Relative Strength Index | Rsi | ✔️ | ✔️ | ✔️ | ✔️ |
| Relative Strength Quality Index | Rsx | - | - | - | ❔ |
| Relative Volatility Index | Rvi | - | - | - | ❔ |
| Renko | - | - | - | ✔️ | - |
| Rogers-Satchell Volatility | Rsv | - | - | - | - |
| Root Mean Squared Error | Rmse | - | - | - | - |
| Root Mean Squared Logarithmic Error | Rmsle | - | - | - | - |
| R-Squared | RSquared | - | - | ✔️ | ❔ |
| Savitzky-Golay Filter | Sgf | - | - | - | - |
| Savitzky-Golay MA | Sgma | - | - | - | - |
| Schaff Trend Cycle | Stc | - | - | ✔️ | ❔ |
| Simple Moving Average | Sma | ✔️ | ✔️ | ✔️ | ✔️ |
| Sine-weighted MA | Sinema | - | - | - | - |
| Smoothed Moving Average | Rma | - | ✔️ | ✔️ | ✔️ |
| Solar Activity Cycle | Solar | - | - | - | - |
| Spearman Rank Correlation | Spearman | - | - | - | ❔ |
| Square Root Transformation | Sqrttrans | - | - | - | - |
| Standard Deviation Channel | Sdchannel | - | - | - | ❔ |
| Standardization (Z-score) | Standardize | - | - | - | ❔ |
| Starc Bands | Starc | - | - | - | - |
| Stochastic Fast | Stochf | ✔️ | - | - | ❔ |
| Stochastic Momentum Index | Smi | - | - | ✔️ | ❔ |
| Stochastic Oscillator | Stoch | - | - | ✔️ | - |
| Stochastic RSI | Stochrsi | ✔️ | ✔️ | ✔️ | ❔ |
| Stoller Average Range Channel | Starchannel | - | - | - | ❔ |
| Super Trend Bands | Stbands | - | - | - | - |
| SuperTrend | Super | - | - | ✔️ | ❔ |
| Swing High/Low Detection | Swings | - | - | - | - |
| Symmetric Mean Absolute Percentage Error | Smape | - | - | - | - |
| T3 Moving Average | T3 | ✔️ | - | ✔️ | ✔️ |
| Theil Index | Theil | - | - | - | - |
| Time Series Forecast | Tsf | ✔️ | ✔️ | - | ❔ |
| Time Weighted Average Price | Twap | - | - | - | - |
| Trade Volume Index | Tvi | - | - | - | ❔ |
| Triangular Moving Average | Trima | ✔️ | ✔️ | ✔️ | ❔ |
| Triple Exponential Average | Trix | ✔️ | ✔️ | ✔️ | ❔ |
| Triple Exponential Moving Average | Tema | ✔️ | ✔️ | ✔️ | ❔ |
| True Range | Tr | ✔️ | ✔️ | ✔️ | - |
| True Strength Index | Tsi | - | - | ✔️ | ❔ |
| TTM Trend | Ttm | - | - | - | - |
| Two-Argument Arctangent | Atan2 | - | - | - | - |
| Ulcer Index | Ui | - | - | ✔️ | ❔ |
| Ultimate Bands (Ehlers) | Ubands | - | - | - | - |
| Ultimate Channel | Uchannel | - | - | - | - |
| Ultimate Oscillator | Ultosc | ✔️ | ✔️ | ✔️ | ✔️ |
| Variable Index Dynamic Average | Vidya | - | ✔️ | - | ❔ |
| Velocity (Jurik) | Vel | - | - | - | - |
| Volatility Adjusted Moving Average | Vama | - | - | - | ❔ |
| Volatility of Volatility | Vov | - | - | - | - |
| Volatility Ratio | Vr | - | - | - | - |
| Volume Accumulation | Va | - | - | - | ❔ |
| Volume Force | Vf | - | - | - | - |
| Volume Oscillator | Vo | - | ✔️ | - | - |
| Volume Rate of Change | Vroc | - | - | - | - |
| Volume Weighted Accumulation/Distribution | Vwad | - | - | - | - |
| Volume Weighted Average Price | Vwap | - | - | ✔️ | ✔️ |
| Volume Weighted Moving Average | Vwma | - | - | ✔️ | - |
| Vortex Indicator | Vortex | - | - | ✔️ | ❔ |
| VWAP Bands | Vwapbands | - | - | - | - |
| VWAP with Standard Deviation Bands | Vwapsd | - | - | - | - |
| Weighted Moving Average | Wma | ✔️ | ✔️ | ✔️ | ✔️ |
| Wiener Filter | Wiener | - | - | - | - |
| Williams %R | Willr | ✔️ | ✔️ | ✔️ | ❔ |
| Williams Accumulation/Distribution | Wad | - | - | - | ⚠️ |
| Williams Alligator | Alligator | - | - | ✔️ | ❔ |
| Williams Fractal | Fractals | - | - | ✔️ | ❔ |
| Woodie's Pivot Points | Pivotwood | - | - | - | ❔ |
| Yang-Zhang Volatility | Yzv | - | - | - | - |
| Yang-Zhang Volatility Adjusted MA | Yzvama | - | - | - | - |
| Zero-Lag Double Exponential MA | Zldema | - | - | - | - |
| Zero-Lag Exponential Moving Average | Zlema | - | ✔️ | - | ❔ |
| Zero-Lag Triple Exponential MA | Zltema | - | - | - | ❔ |
| ZigZag | - | - | - | ✔️ | - |
| Z-score standardization | Zscore | - | - | - | ❔ |
| Z-Test | Ztest | - | - | - | - |
Statistical Indicators
| Indicator | QuanTAlib | MathNet | TA-Lib | Tulip | Skender |
|---|---|---|---|---|---|
| Autocorrelation Function | Acf | - | - | - | - |
| Covariance | Covariance | - | - | - | - |
| Median (Statistical) | Median | ✔️ | - | - | - |
| Skewness | Skew | ✔️ | - | - | - |
| Standard Deviation | StdDev | ✔️ | ✔️ | ✔️ | ✔️ |
| Sum (Rolling) | Sum | - | ✔️ | ✔️ | - |
| Partial Autocorrelation Function | Pacf | - | - | - | - |
| Variance | Variance | ✔️ | ✔️ | ✔️ | ✔️ |
Error Metrics
| Indicator | QuanTAlib | MathNet | Notes |
|---|---|---|---|
| Mean Absolute Error | Mae | ✔️ | Validated via Distance.MAE() |
| Mean Squared Error | Mse | ✔️ | Validated via Distance.MSE() |
| Root Mean Squared Error | Rmse | ✔️ | Validated via sqrt(Distance.MSE()) |
| R-Squared | Rsquared | - | Uses streaming-optimized TSS calculation |
| Huber Loss | Huber | - | No external validation available |
| Pseudo-Huber Loss | PseudoHuber | - | No external validation available |
| Log-Cosh Loss | LogCosh | - | No external validation available |
| Tukey Loss | Tukey | - | No external validation available |
| Quantile Loss | Quantile | - | No external validation available |
| MAPE | Mape | - | No external validation available |
| SMAPE | Smape | - | No external validation available |
| MAAPE | Maape | - | No external validation available |
| MASE | Mase | - | No external validation available |
| MSLE | Msle | - | No external validation available |
| RMSLE | Rmsle | - | No external validation available |
| Theil U | TheilU | - | No external validation available |
| Mean Error | Me | - | No external validation available |
| MPE | Mpe | - | No external validation available |
| RSE | Rse | - | No external validation available |
| RAE | Rae | - | No external validation available |
| MRAE | Mrae | - | No external validation available |
| MdAE | MdAE | - | No external validation available |
| MdAPE | MdAPE | - | No external validation available |
| MAPD | Mapd | - | No external validation available |
| WMAPE | Wmape | - | No external validation available |
| WRMSE | Wrmse | - | Validated via internal RMSE equivalence (uniform weights) |
Validation Libraries
| Library | Language | License | Notes |
|---|---|---|---|
| TA-Lib | C (via .NET wrapper) | BSD | Industry standard. C implementation, battle-tested. |
| Tulip | C (via .NET wrapper) | LGPL | Lightweight, well-documented. |
| Skender.Stock.Indicators | C# | MIT | Pure .NET. Active development. |
| OoplesFinance | C# | Apache 2.0 | Large indicator collection. Validation coverage varies. |
| MathNet.Numerics | C# | MIT | Statistical functions, not TA-specific. |
Running Validation Tests
# All validation tests
dotnet test lib/QuanTAlib.Tests.csproj --filter "Category=Validation"
# Specific library comparison
dotnet test lib/QuanTAlib.Tests.csproj --filter "FullyQualifiedName~TalibValidation"
dotnet test lib/QuanTAlib.Tests.csproj --filter "FullyQualifiedName~SkenderValidation"
# Single indicator validation
dotnet test lib/QuanTAlib.Tests.csproj --filter "FullyQualifiedName~EmaValidation"
Discrepancy Investigation
When validation fails:
- Check parameter mapping. TA-Lib uses 0-based indexing for some parameters. Skender uses 1-based.
- Check warmup handling. Different libraries handle the first N values differently.
- Check smoothing assumptions. Some libraries use SMA for initial EMA seed. Others use the first value.
- Check edge cases. NaN handling, zero division, and boundary conditions vary.
Discrepancies get documented in the indicator's markdown file under a "Validation Notes" section. The goal is not to match every library exactly. The goal is to understand why differences exist and document them.