mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-15 00:58:04 +00:00
Miha Kralj
84ff67fb50
- Introduced Usf.Validation.Tests.cs to validate the USF (Ehlers Ultimate Smoother Filter) for consistency across batch, streaming, and span modes, as well as mathematical properties and coefficient calculations. - Added comprehensive tests for the ATR indicator in Atr.Quantower.Tests.cs, including constructor validation, historical data processing, and handling of NaN/Infinity inputs. - Enhanced Atr.Tests.cs with additional tests for iterative corrections, warmup behavior, and true range calculations. - Updated Atr.cs to ensure warmup period is derived from RMA. - Added new tests for Adosc in Adosc.Tests.cs to validate handling of NaN and Infinity inputs, and to ensure batch calculations match iterative results. - Created a new Volatility.csproj to organize volatility-related implementations.
544 lines
16 KiB
C#
544 lines
16 KiB
C#
namespace QuanTAlib.Tests;
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public class UsfTests
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{
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// ============== Constructor & Parameter Validation ==============
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[Fact]
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public void Usf_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Usf(0));
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Assert.Throws<ArgumentException>(() => new Usf(-1));
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var usf = new Usf(10);
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Assert.NotNull(usf);
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}
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// ============== Basic Functionality ==============
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[Fact]
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public void Usf_Calc_ReturnsValue()
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{
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var usf = new Usf(10);
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Assert.Equal(0, usf.Last.Value);
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TValue result = usf.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, usf.Last.Value);
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}
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[Fact]
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public void Usf_FirstValue_ReturnsItself()
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{
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var usf = new Usf(10);
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TValue result = usf.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 Usf_Properties_Accessible()
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{
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var usf = new Usf(10);
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Assert.Equal(0, usf.Last.Value);
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Assert.False(usf.IsHot);
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Assert.Contains("Usf", usf.Name, StringComparison.Ordinal);
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usf.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, usf.Last.Value);
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}
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// ============== State Management & Bar Correction ==============
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[Fact]
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public void Usf_Calc_IsNew_AcceptsParameter()
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{
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var usf = new Usf(10);
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usf.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = usf.Last.Value;
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usf.Update(new TValue(DateTime.UtcNow, 200), isNew: true);
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double value2 = usf.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 Usf_Calc_IsNew_False_UpdatesValue()
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{
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var usf = new Usf(10);
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = usf.Last.Value;
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usf.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = usf.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 Usf_IterativeCorrections_RestoreToOriginalState()
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{
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var usf = new Usf(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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usf.Update(tenthInput, isNew: true);
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}
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// Remember state after 10 values
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double stateAfterTen = usf.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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usf.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 finalResult = usf.Update(tenthInput, isNew: false);
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// State should match the original state after 10 values
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Assert.Equal(stateAfterTen, finalResult.Value, 1e-10);
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}
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[Fact]
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public void Usf_Reset_ClearsState()
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{
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var usf = new Usf(10);
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = usf.Last.Value;
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usf.Reset();
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Assert.Equal(0, usf.Last.Value);
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Assert.False(usf.IsHot);
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// After reset, should accept new values
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usf.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, usf.Last.Value);
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Assert.NotEqual(valueBefore, usf.Last.Value);
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}
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[Fact]
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public void Usf_Reset_ClearsLastValidValue()
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{
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var usf = new Usf(5);
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// Feed values including NaN
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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usf.Reset();
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// After reset, first valid value should establish new baseline
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var result = usf.Update(new TValue(DateTime.UtcNow, 50));
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Assert.Equal(50.0, result.Value, 1e-10);
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}
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// ============== Warmup & Convergence ==============
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[Fact]
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public void Usf_IsHot_BecomesTrueWhenBufferFull()
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{
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var usf = new Usf(5);
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Assert.False(usf.IsHot);
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for (int i = 1; i <= 4; i++)
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{
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usf.Update(new TValue(DateTime.UtcNow, i * 10));
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Assert.False(usf.IsHot);
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}
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usf.Update(new TValue(DateTime.UtcNow, 50));
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Assert.True(usf.IsHot);
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}
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[Fact]
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public void Usf_WarmupPeriod_IsSetCorrectly()
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{
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var usf = new Usf(10);
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Assert.Equal(10, usf.WarmupPeriod);
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}
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// ============== NaN/Infinity Handling ==============
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[Fact]
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public void Usf_NaN_Input_UsesLastValidValue()
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{
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var usf = new Usf(5);
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// Feed some valid values
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = usf.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 Usf_Infinity_Input_UsesLastValidValue()
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{
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var usf = new Usf(5);
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// Feed some valid values
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = usf.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 = usf.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 Usf_MultipleNaN_ContinuesWithLastValid()
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{
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var usf = new Usf(5);
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// Feed valid values
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usf.Update(new TValue(DateTime.UtcNow, 100));
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usf.Update(new TValue(DateTime.UtcNow, 110));
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usf.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = usf.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = usf.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = usf.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 Usf_BatchCalc_HandlesNaN()
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{
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var usf = new Usf(5);
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// Create series with NaN values interspersed
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 100);
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series.Add(DateTime.UtcNow.Ticks + 1, 110);
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series.Add(DateTime.UtcNow.Ticks + 2, double.NaN);
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series.Add(DateTime.UtcNow.Ticks + 3, 120);
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series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
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series.Add(DateTime.UtcNow.Ticks + 5, 130);
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var results = usf.Update(series);
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// All results should be finite
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foreach (var result in results)
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{
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Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}");
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}
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}
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// ============== Consistency Tests ==============
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[Fact]
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public void Usf_BatchCalc_MatchesIterativeCalc()
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{
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var usfIterative = new Usf(10);
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var usfBatch = new Usf(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(usfIterative.Update(item));
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}
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// Calculate batch
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var batchResults = usfBatch.Update(series);
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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 Usf_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 (static Calculate)
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var (batchSeries, _) = Usf.Calculate(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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Usf.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 Usf(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 Usf(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: 9);
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Assert.Equal(expected, eventingResult, precision: 9);
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}
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[Fact]
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public void Usf_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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series.Add(DateTime.UtcNow.Ticks + 3, 40);
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series.Add(DateTime.UtcNow.Ticks + 4, 50);
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var (results, indicator) = Usf.Calculate(series, 3);
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Assert.Equal(5, results.Count);
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Assert.True(indicator.IsHot);
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Assert.True(double.IsFinite(results.Last.Value));
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}
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// ============== Span API Tests ==============
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[Fact]
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public void Usf_SpanCalculate_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>(() => Usf.Calculate(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Usf.Calculate(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Usf.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Usf_SpanCalculate_MatchesTSeriesCalculate()
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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, _) = Usf.Calculate(series, 10);
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// Calculate with Span API
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Usf.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 Usf_SpanCalculate_ZeroAllocation()
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{
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double[] source = new double[10000];
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double[] output = new double[10000];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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for (int i = 0; i < source.Length; i++)
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source[i] = gbm.Next().Close;
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// Warm up
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Usf.Calculate(source.AsSpan(), output.AsSpan(), 100);
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// This test verifies the method runs without throwing
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void Usf_SpanCalculate_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Usf.Calculate(source.AsSpan(), output.AsSpan(), 3);
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// All outputs should be finite
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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// ============== Chainability Tests ==============
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[Fact]
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public void Usf_Chainability_Works()
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{
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var source = new TSeries();
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var usf = new Usf(source, 10);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, usf.Last.Value);
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}
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[Fact]
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public void Usf_Pub_EventFires()
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{
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var usf = new Usf(10);
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bool eventFired = false;
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usf.Pub += (object? sender, in TValueEventArgs args) => eventFired = true;
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usf.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(eventFired);
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}
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// ============== Priming Tests ==============
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[Fact]
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public void Usf_Prime_SetsStateCorrectly()
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{
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var usf = new Usf(5);
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double[] history = [10, 20, 30, 40, 50];
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usf.Prime(history);
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Assert.True(usf.IsHot);
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Assert.True(double.IsFinite(usf.Last.Value));
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// Verify it continues correctly
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usf.Update(new TValue(DateTime.UtcNow, 60));
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Assert.True(double.IsFinite(usf.Last.Value));
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}
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[Fact]
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public void Usf_Prime_WithInsufficientHistory_IsNotHot()
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{
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var usf = new Usf(10);
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double[] history = [10, 20, 30, 40, 50];
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usf.Prime(history);
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Assert.False(usf.IsHot);
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Assert.True(double.IsFinite(usf.Last.Value)); // It still calculates what it can
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}
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[Fact]
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public void Usf_Prime_HandlesNaN_InHistory()
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{
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var usf = new Usf(3);
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double[] history = [10, 20, double.NaN, 40];
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usf.Prime(history);
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Assert.True(usf.IsHot);
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Assert.True(double.IsFinite(usf.Last.Value));
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}
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// ============== Calculate Method Tests ==============
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[Fact]
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public void Usf_Calculate_ReturnsCorrectResultsAndHotIndicator()
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{
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var series = new TSeries();
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for (int i = 1; i <= 10; i++)
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series.Add(DateTime.UtcNow, i * 10);
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var (results, indicator) = Usf.Calculate(series, 5);
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// Check results
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Assert.Equal(10, results.Count);
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Assert.True(double.IsFinite(results.Last.Value));
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// Check indicator state
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Assert.True(indicator.IsHot);
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Assert.True(double.IsFinite(indicator.Last.Value));
|
|
Assert.Equal(5, indicator.WarmupPeriod);
|
|
|
|
// Verify indicator continues correctly
|
|
indicator.Update(new TValue(DateTime.UtcNow, 110));
|
|
Assert.True(double.IsFinite(indicator.Last.Value));
|
|
}
|
|
|
|
// ============== Flat Line Test ==============
|
|
|
|
[Fact]
|
|
public void Usf_FlatLine_ReturnsSameValue()
|
|
{
|
|
var usf = new Usf(10);
|
|
for (int i = 0; i < 20; i++)
|
|
{
|
|
usf.Update(new TValue(DateTime.UtcNow, 100));
|
|
}
|
|
// For a flat line, USF should converge to the input value
|
|
Assert.Equal(100.0, usf.Last.Value, 1e-6);
|
|
}
|
|
}
|