mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 23:58:04 +00:00
485 lines
16 KiB
C#
485 lines
16 KiB
C#
using System;
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using QuanTAlib;
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using Skender.Stock.Indicators;
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using Xunit;
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namespace Validations;
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public class Skender
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{
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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 IEnumerable<Quote> quotes;
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public Skender()
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{
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bars = new(Bars: 10000, Volatility: 0.5, Drift: 0.0, Precision: 2);
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period = rnd.Next(30) + 5;
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digits = 6; //minimizing rounding errors in type conversions
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skip = period+2;
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quotes = bars.Select(q => new Quote
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{
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Date = q.t,
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Open = (decimal)q.o,
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High = (decimal)q.h,
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Low = (decimal)q.l,
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Close = (decimal)q.c,
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Volume = (decimal)q.v
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});
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}
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[Fact]
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public void ADL()
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{
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ADL_Series QL = new(bars, false);
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var SK = quotes.GetAdl().Select(i => i.Adl);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1)!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void ALMA()
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{
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ALMA_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetAlma(period).Select(i => i.Alma.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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ATR_Series QL = new(bars, period, false);
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var SK = quotes.GetAtr(period).Select(i => i.Atr.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void ATRP()
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{
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ATRP_Series QL = new(bars, period, false);
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var SK = quotes.GetAtr(period).Select(i => i.Atrp.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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BBANDS_Series QL = new(bars.Close, period, 2.0, useNaN: false);
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var SK = quotes.GetBollingerBands(period, 2.0);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL.Mid[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Sma!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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QL_item = QL.Upper[i - 1].v;
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SK_item = SK.ElementAt(i - 1).UpperBand!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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QL_item = QL.Lower[i - 1].v;
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SK_item = SK.ElementAt(i - 1).LowerBand!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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QL_item = QL.Bandwidth[i - 1].v;
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SK_item = SK.ElementAt(i - 1).Width!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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QL_item = QL.PercentB[i - 1].v;
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SK_item = SK.ElementAt(i - 1).PercentB!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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QL_item = QL.Zscore[i - 1].v;
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SK_item = SK.ElementAt(i - 1).ZScore!.Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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CCI_Series QL = new(bars, period, false);
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var SK = quotes.GetCci(period).Select(i => i.Cci.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void CMO()
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{
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CMO_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetCmo(period).Select(i => i.Cmo.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void CORR()
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{
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CORR_Series QL = new(bars.High, bars.Low, period, false);
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var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Correlation.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void COVAR()
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{
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COVAR_Series QL = new(bars.High, bars.Low, period, false);
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var SK = quotes.Use(CandlePart.High).GetCorrelation(quotes.Use(CandlePart.Low), period).Select(i => i.Covariance.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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DEMA_Series QL = new(bars.Close, period, false, useSMA: true);
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var SK = quotes.GetDema(period).Select(i => i.Dema.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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EMA_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetEma(lookbackPeriods: period).Select(i => i.Ema.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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TSeries QL = bars.HL2;
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var SK = quotes.GetBaseQuote(CandlePart.HL2).ToList();
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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TSeries QL = bars.HLC3;
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var SK = quotes.GetBaseQuote(CandlePart.HLC3).ToList();
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void HMA()
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{
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HMA_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetHma(period).Select(i => i.Hma.Null2NaN()!);
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for (int i = QL.Length; i > skip*2; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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// TODO: check precision of KAMA()
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KAMA_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetKama(period).Select(i => i.Kama.Null2NaN()!);
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for (int i = QL.Length; i > skip+2; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void LINREG()
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{
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LINREG_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetSlope(period);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = (double)SK.ElementAt(i - 1).Slope!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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QL_item = QL.Intercept[i - 1].v;
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SK_item = (double)SK.ElementAt(i - 1).Intercept!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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QL_item = QL.RSquared[i - 1].v;
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SK_item = (double)SK.ElementAt(i - 1).RSquared!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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QL_item = QL.StdDev[i - 1].v;
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SK_item = (double)SK.ElementAt(i - 1).StdDev!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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MACD_Series QL = new(bars.Close, 26, 12, 9, useNaN: false);
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var SK = quotes.GetMacd(12, 26, 9);
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for (int i = QL.Length; i > 27; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Macd.Null2NaN()!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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//QL_item = QL.Signal[i - 1].v;
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//SK_item = SK.ElementAt(i - 1).Signal.Null2NaN()!;
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//Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void MAD()
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{
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MAD_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mad.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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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.HL2, fastlimit: 0.5, slowlimit: 0.05);
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var SK = quotes.GetMama(fastLimit: 0.5, slowLimit: 0.05);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Mama.Null2NaN()!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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QL_item = QL.Fama[i - 1].v;
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SK_item = SK.ElementAt(i - 1).Fama.Null2NaN()!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void MAPE()
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{
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MAPE_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mape.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void MSE()
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{
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MSE_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetSmaAnalysis(period).Select(i => i.Mse.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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OBV_Series QL = new(bars, period, false);
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var SK = quotes.GetObv(period).Select(i => i.Obv!);
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for (int i = QL.Length; i > skip; i--) {
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double QL_item = QL.Last().v;
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// adding volume[0] to OBV to pass the test and keep compatibility with TA-LIB
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double SK_item = SK.Last()! + (double)quotes.First().Volume!;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void OC2()
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{
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TSeries QL = bars.OC2;
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var SK = quotes.GetBaseQuote(CandlePart.OC2).ToList();
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
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}
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}
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[Fact]
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public void OHL3()
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{
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TSeries QL = bars.OHL3;
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var SK = quotes.GetBaseQuote(CandlePart.OHL3).ToList();
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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TSeries QL = bars.OHLC4;
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var SK = quotes.GetBaseQuote(CandlePart.OHLC4).ToList();
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1).Value;
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -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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{
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RSI_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetRsi(period).Select(i => i.Rsi.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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SDEV_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetStdDev(period).Select(i => i.StdDev.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-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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{
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SMA_Series QL = new(bars.Close, period, false);
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var SK = quotes.GetSma(period).Select(i => i.Sma.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
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Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
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}
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}
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[Fact]
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public void SMMA()
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{
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SMMA_Series QL = new(bars.Close, period, useNaN: false);
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var SK = quotes.GetSmma(period).Select(i => i.Smma.Null2NaN()!);
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for (int i = QL.Length; i > skip; i--)
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{
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double QL_item = QL[i - 1].v;
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double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void T3()
|
|
{
|
|
T3_Series QL = new(source: bars.Close, period: period, vfactor: 0.7, false);
|
|
var SK = quotes.GetT3(lookbackPeriods: period, volumeFactor: 0.7).Select(i => i.T3.Null2NaN()!);
|
|
for (int i = QL.Length; i > period*15; i--)
|
|
{
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void TRIX() {
|
|
TRIX_Series QL = new(bars.Close, period, false);
|
|
var SK = quotes.GetTrix(period).Select(i => i.Trix.Null2NaN()!);
|
|
for (int i = QL.Length; i > period*12; i--) {
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10, -digits), Math.Pow(10, -digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void TEMA()
|
|
{
|
|
TEMA_Series QL = new(bars.Close, period, false);
|
|
var SK = quotes.GetTema(period).Select(i => i.Tema.Null2NaN()!);
|
|
for (int i = QL.Length; i > skip; i--)
|
|
{
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void TR()
|
|
{
|
|
TR_Series QL = new(bars, useNaN: false);
|
|
var SK = quotes.GetTr().Select(i => i.Tr.Null2NaN()!);
|
|
for (int i = QL.Length; i > skip; i--)
|
|
{
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void WMA()
|
|
{
|
|
WMA_Series QL = new(bars.Close, period, false);
|
|
var SK = quotes.GetWma(period).Select(i => i.Wma.Null2NaN()!);
|
|
for (int i = QL.Length; i > skip*2; i--)
|
|
{
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
[Fact]
|
|
public void ZSCORE()
|
|
{
|
|
ZSCORE_Series QL = new(bars.Close, period, useNaN: false);
|
|
var SK = quotes.GetStdDev(period).Select(i => i.ZScore.Null2NaN()!);
|
|
for (int i = QL.Length; i > skip; i--)
|
|
{
|
|
double QL_item = QL[i - 1].v;
|
|
double SK_item = SK.ElementAt(i - 1);
|
|
Assert.InRange(SK_item! - QL_item, -Math.Pow(10,-digits), Math.Pow(10,-digits));
|
|
}
|
|
}
|
|
|
|
}
|