mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-09 22:40:57 +00:00
Miha Kralj
399 lines
12 KiB
C#
399 lines
12 KiB
C#
namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class PwmaTests
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{
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[Fact]
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public void Pwma_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Pwma(0));
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Assert.Throws<ArgumentException>(() => new Pwma(-1));
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Assert.Throws<NullReferenceException>(() => new Pwma(null!, 10));
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var pwma = new Pwma(10);
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Assert.NotNull(pwma);
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}
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[Fact]
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public void Pwma_Calc_ReturnsValue()
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{
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var pwma = new Pwma(10);
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Assert.Equal(0, pwma.Last.Value);
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TValue result = pwma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, pwma.Last.Value);
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}
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[Fact]
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public void Pwma_FirstValue_ReturnsItself()
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{
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var pwma = new Pwma(10);
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TValue result = pwma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100.0, result.Value, 1e-10);
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}
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[Fact]
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public void Pwma_Calc_IsNew_AcceptsParameter()
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{
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var pwma = new Pwma(10);
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pwma.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = pwma.Last.Value;
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pwma.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
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double value2 = pwma.Last.Value;
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// Values should change with new bars
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Assert.NotEqual(value1, value2);
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}
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[Fact]
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public void Pwma_Calc_IsNew_False_UpdatesValue()
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{
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var pwma = new Pwma(10);
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pwma.Update(new TValue(DateTime.UtcNow, 100));
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pwma.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = pwma.Last.Value;
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pwma.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = pwma.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 Pwma_Reset_ClearsState()
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{
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var pwma = new Pwma(10);
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pwma.Update(new TValue(DateTime.UtcNow, 100));
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pwma.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = pwma.Last.Value;
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pwma.Reset();
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Assert.Equal(0, pwma.Last.Value);
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// After reset, should accept new values
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pwma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, pwma.Last.Value);
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Assert.NotEqual(valueBefore, pwma.Last.Value);
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}
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[Fact]
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public void Pwma_Properties_Accessible()
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{
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var pwma = new Pwma(10);
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Assert.Equal(0, pwma.Last.Value);
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Assert.False(pwma.IsHot);
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pwma.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, pwma.Last.Value);
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}
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[Fact]
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public void Pwma_IsHot_BecomesTrueWhenBufferFull()
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{
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var pwma = new Pwma(5);
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Assert.False(pwma.IsHot);
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for (int i = 1; i <= 4; i++)
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{
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pwma.Update(new TValue(DateTime.UtcNow, i * 10));
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Assert.False(pwma.IsHot);
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}
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pwma.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(pwma.IsHot);
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}
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[Fact]
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public void Pwma_CalculatesCorrectWeightedAverage()
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{
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var pwma = new Pwma(3);
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pwma.Update(new TValue(DateTime.UtcNow, 10));
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pwma.Update(new TValue(DateTime.UtcNow, 20));
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pwma.Update(new TValue(DateTime.UtcNow, 30));
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// PWMA(3) of 10,20,30 = (1^2*10 + 2^2*20 + 3^2*30) / (1^2 + 2^2 + 3^2)
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// = (1*10 + 4*20 + 9*30) / (1 + 4 + 9)
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// = (10 + 80 + 270) / 14
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// = 360 / 14 = 25.7142857...
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Assert.Equal(360.0 / 14.0, pwma.Last.Value, 1e-10);
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}
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[Fact]
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public void Pwma_SlidingWindow_Works()
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{
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var pwma = new Pwma(3);
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pwma.Update(new TValue(DateTime.UtcNow, 10));
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pwma.Update(new TValue(DateTime.UtcNow, 20));
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pwma.Update(new TValue(DateTime.UtcNow, 30));
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// PWMA(3) of 10,20,30 = 360/14
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Assert.Equal(360.0 / 14.0, pwma.Last.Value, 1e-10);
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pwma.Update(new TValue(DateTime.UtcNow, 40));
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// PWMA(3) of 20,30,40 = (1^2*20 + 2^2*30 + 3^2*40) / 14
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// = (20 + 120 + 360) / 14 = 500 / 14 = 35.7142857...
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Assert.Equal(500.0 / 14.0, pwma.Last.Value, 1e-10);
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}
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[Fact]
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public void Pwma_IterativeCorrections_RestoreToOriginalState()
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{
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var pwma = new Pwma(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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pwma.Update(tenthInput, isNew: true);
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}
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// Remember PWMA state after 10 values
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double pwmaAfterTen = pwma.Last.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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pwma.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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TValue finalPwma = pwma.Update(tenthInput, isNew: false);
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// PWMA should match the original state after 10 values
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Assert.Equal(pwmaAfterTen, finalPwma.Value, 1e-10);
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}
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[Fact]
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public void Pwma_BatchCalc_MatchesIterativeCalc()
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{
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var pwmaIterative = new Pwma(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 iterativeResults = new TSeries();
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foreach (var item in series)
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{
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iterativeResults.Add(pwmaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = Pwma.Batch(series, 10);
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// Compare
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Assert.Equal(iterativeResults.Count, batchResults.Count);
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for (int i = 0; i < iterativeResults.Count; i++)
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{
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Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10);
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Assert.Equal(iterativeResults[i].Time, batchResults[i].Time);
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}
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}
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[Fact]
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public void Pwma_NaN_Input_UsesLastValidValue()
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{
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var pwma = new Pwma(5);
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// Feed some valid values
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pwma.Update(new TValue(DateTime.UtcNow, 100));
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pwma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = pwma.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.NotEqual(0, resultAfterNaN.Value);
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}
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[Fact]
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public void Pwma_Infinity_Input_UsesLastValidValue()
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{
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var pwma = new Pwma(5);
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// Feed some valid values
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pwma.Update(new TValue(DateTime.UtcNow, 100));
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pwma.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = pwma.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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// Feed negative infinity - should use last valid value
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var resultAfterNegInf = pwma.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(resultAfterNegInf.Value));
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}
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[Fact]
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public void Pwma_StaticCalculate_Works()
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{
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 10);
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series.Add(DateTime.UtcNow.Ticks + 1, 20);
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series.Add(DateTime.UtcNow.Ticks + 2, 30);
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var results = Pwma.Batch(series, 3);
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Assert.Equal(3, results.Count);
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// PWMA(3) for last 3 values [10,20,30]: 360/14
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Assert.Equal(360.0 / 14.0, results.Last.Value, 1e-10);
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}
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[Fact]
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public void Pwma_MoreWeightOnRecentValues_ThanWma()
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{
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var pwma = new Pwma(3);
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var wma = new Wma(3);
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// Feed same values to both
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pwma.Update(new TValue(DateTime.UtcNow, 10));
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wma.Update(new TValue(DateTime.UtcNow, 10));
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pwma.Update(new TValue(DateTime.UtcNow, 20));
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wma.Update(new TValue(DateTime.UtcNow, 20));
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pwma.Update(new TValue(DateTime.UtcNow, 100)); // High recent value
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wma.Update(new TValue(DateTime.UtcNow, 100));
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// PWMA should be higher than WMA because it weights the high recent value even more (parabolically)
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// WMA = (1*10 + 2*20 + 3*100) / 6 = 350/6 = 58.333...
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// PWMA = (1*10 + 4*20 + 9*100) / 14 = 990/14 = 70.714...
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Assert.True(pwma.Last.Value > wma.Last.Value);
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Assert.Equal(990.0 / 14.0, pwma.Last.Value, 1e-10);
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Assert.Equal(350.0 / 6.0, wma.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 Pwma_SpanCalc_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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// Period must be > 0
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Assert.Throws<ArgumentException>(() => Pwma.Calculate(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Pwma.Calculate(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Pwma.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Pwma_SpanCalc_MatchesTSeriesCalc()
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{
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var series = new TSeries();
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double[] source = new double[100];
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double[] output = new double[100];
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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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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source[i] = bar.Close;
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series.Add(bar.Time, bar.Close);
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}
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// Calculate with TSeries API
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var tseriesResult = Pwma.Batch(series, 10);
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// Calculate with Span API
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Pwma.Calculate(source.AsSpan(), output.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(tseriesResult[i].Value, output[i], 1e-10);
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}
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}
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[Fact]
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public void Pwma_SpanCalc_CalculatesCorrectly()
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{
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double[] source = [10, 20, 30];
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double[] output = new double[3];
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Pwma.Calculate(source.AsSpan(), output.AsSpan(), 3);
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// PWMA(3) warmup:
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// i=0: 10 (1^2*10 / 1^2) = 10
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// i=1: (1^2*10 + 2^2*20) / (1^2 + 2^2) = (10 + 80) / 5 = 90/5 = 18
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// i=2: (1^2*10 + 2^2*20 + 3^2*30) / (1^2 + 2^2 + 3^2) = (10 + 80 + 270) / 14 = 360/14 = 25.714...
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Assert.Equal(10.0, output[0], 1e-10);
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Assert.Equal(18.0, output[1], 1e-10);
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Assert.Equal(360.0 / 14.0, output[2], 1e-10);
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}
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[Fact]
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public void Pwma_AllModes_ProduceSameResult()
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{
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// Arrange
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int period = 10;
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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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// 1. Batch Mode
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var batchSeries = Pwma.Batch(series, period);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Pwma.Calculate(spanInput, spanOutput, period);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Pwma(period);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Pwma(pubSource, period);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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// Assert
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Assert.Equal(expected, spanResult, precision: 9);
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Assert.Equal(expected, streamingResult, precision: 8);
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Assert.Equal(expected, eventingResult, precision: 8);
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}
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}
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