mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-12 15:48:05 +00:00
Miha Kralj
060649192f
- Remove 'C# Implementation Considerations' sections from 34 indicator .md files - Delete 29 temp PowerShell scripts (_fix_mojibake.ps1, _hex_scan.ps1, etc.) - Move test files into tests/ subdirectories for consistent project structure - Add trader-focused bullet points to indicator documentation
437 lines
16 KiB
C#
437 lines
16 KiB
C#
using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Models;
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using Skender.Stock.Indicators;
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using System.Runtime.CompilerServices;
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using Tulip;
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using Xunit;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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/// <summary>
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/// Validates Fisher Transform against Skender, Tulip, Ooples, and manual computation.
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/// Primary reference: Skender (Ehlers 2002 IIR algorithm with HL2 input).
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/// </summary>
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public sealed class FisherValidationTests(ITestOutputHelper output) : IDisposable
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{
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private readonly ValidationTestData _testData = new();
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private readonly ITestOutputHelper _output = output;
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private bool _disposed;
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private const int TestPeriod = 10;
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public void Dispose()
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{
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Dispose(disposing: true);
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}
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private void Dispose(bool disposing)
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{
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if (_disposed) { return; }
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_disposed = true;
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if (disposing) { _testData?.Dispose(); }
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}
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#region Manual arctanh Cross-Validation
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[Fact]
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[SkipLocalsInit]
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public void Validate_Against_Manual_Arctanh()
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{
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// Validate that our Fisher Transform correctly computes arctanh
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// by testing with known normalized inputs
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double[] testValues = [-0.9, -0.5, 0.0, 0.5, 0.9];
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foreach (double v in testValues)
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{
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double expected = 0.5 * Math.Log((1.0 + v) / (1.0 - v));
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double actual = Math.Atanh(v);
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Assert.True(Math.Abs(expected - actual) < 1e-12,
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$"arctanh({v}): expected={expected}, actual={actual}");
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}
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_output.WriteLine("arctanh mathematical identity verified.");
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}
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[Fact]
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[SkipLocalsInit]
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public void Validate_Against_Manual_Computation()
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{
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double[] values = _testData.RawData.ToArray();
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int[] periods = [5, 10, 20];
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foreach (int period in periods)
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{
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double[] batchOutput = new double[values.Length];
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Fisher.Batch(values.AsSpan(), batchOutput.AsSpan(), period);
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// Manual computation — Ehlers 2002 TASC algorithm
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double[] manualOutput = new double[values.Length];
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double emaValue = 0.0;
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double fisherValue = 0.0;
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var buffer = new double[period];
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int bufCount = 0;
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int bufIdx = 0;
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for (int i = 0; i < values.Length; i++)
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{
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double val = values[i];
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// Add to circular buffer
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if (bufCount < period)
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{
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buffer[bufCount] = val;
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bufCount++;
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}
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else
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{
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buffer[bufIdx] = val;
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bufIdx = (bufIdx + 1) % period;
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}
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// Find min/max
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double highest = double.MinValue;
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double lowest = double.MaxValue;
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for (int j = 0; j < bufCount; j++)
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{
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if (buffer[j] > highest)
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{
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highest = buffer[j];
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}
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if (buffer[j] < lowest)
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{
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lowest = buffer[j];
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}
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}
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double range = highest - lowest;
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if (range != 0.0)
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{
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emaValue = (0.66 * (((val - lowest) / range) - 0.5))
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+ (0.67 * emaValue);
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}
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else
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{
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emaValue = 0.0; // Skender: xv[i] = 0 when range=0
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}
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// Ehlers/Skender: snap to ±0.999 when |Value1| > 0.99
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// Clamped value stored back — Skender stores array2[i] clamped
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if (emaValue > 0.99)
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{
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emaValue = 0.999;
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}
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else if (emaValue < -0.99)
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{
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emaValue = -0.999;
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}
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// Ehlers 2002: Fish = arctanh(Value1) + 0.5 * Fish[1] (IIR feedback)
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fisherValue = 0.5 * Math.Log((1.0 + emaValue) / (1.0 - emaValue)) + 0.5 * fisherValue;
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manualOutput[i] = fisherValue;
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}
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int validCount = 0;
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for (int i = period; i < values.Length; i++)
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{
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Assert.True(Math.Abs(manualOutput[i] - batchOutput[i]) < 1e-9,
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$"Fisher mismatch at i={i}, period={period}: manual={manualOutput[i]}, batch={batchOutput[i]}");
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validCount++;
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}
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Assert.True(validCount > 0, $"No valid comparison points for period {period}");
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_output.WriteLine($"Fisher period={period}: validated {validCount} points against manual computation.");
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}
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}
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[Theory]
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[InlineData(5)]
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[InlineData(10)]
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[InlineData(20)]
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[InlineData(50)]
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public void Validate_Manual_DifferentPeriods(int period)
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{
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double[] values = _testData.RawData.ToArray();
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double[] batchOutput = new double[values.Length];
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Fisher.Batch(values.AsSpan(), batchOutput.AsSpan(), period);
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// Verify all outputs are finite
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for (int i = 0; i < values.Length; i++)
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{
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Assert.True(double.IsFinite(batchOutput[i]),
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$"Fisher output not finite at i={i}, period={period}: {batchOutput[i]}");
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}
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_output.WriteLine($"Fisher period={period}: all {values.Length} outputs finite.");
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}
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#endregion
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#region Consistency Validation
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[Fact]
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[SkipLocalsInit]
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public void Validate_Streaming_Batch_Span_Agree()
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{
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double[] tData = _testData.RawData.ToArray();
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// Batch TSeries
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TSeries batchSeries = Fisher.Batch(_testData.Data, TestPeriod);
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// Batch Span
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var spanOutput = new double[tData.Length];
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Fisher.Batch(tData.AsSpan(), spanOutput.AsSpan(), TestPeriod);
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// Batch and Span should be identical (same code path)
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for (int i = 0; i < tData.Length; i++)
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{
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Assert.Equal(batchSeries.Values[i], spanOutput[i], 12);
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}
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// Streaming
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var fisher = new Fisher(TestPeriod);
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var streamResults = new double[tData.Length];
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for (int i = 0; i < tData.Length; i++)
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{
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streamResults[i] = fisher.Update(_testData.Data[i]).Value;
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}
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// Streaming vs Batch should match exactly (same algorithm, same state)
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for (int i = 0; i < tData.Length; i++)
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{
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Assert.Equal(streamResults[i], batchSeries.Values[i], 9);
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}
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_output.WriteLine("Fisher streaming/batch/span agreement verified.");
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}
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#endregion
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#region Tulip Cross-Validation
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/// <summary>
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/// Structural validation against Tulip <c>fisher</c> indicator.
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/// Algorithm variant: Tulip fisher uses two inputs (high[], low[]) and computes the
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/// Fisher Transform from the high-low price range midpoint normalized over a rolling window.
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/// QuanTAlib Fisher uses a single price series with EMA-based normalization via alpha parameter.
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/// Direct numeric equality is not asserted; both must produce finite output on the same data.
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/// </summary>
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[Fact]
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public void Fisher_Tulip_StructuralVariant_BothFinite()
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{
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const int period = 10;
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double[] highData = _testData.HighPrices.ToArray();
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double[] lowData = _testData.LowPrices.ToArray();
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// Tulip fisher — uses high/low range normalization
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var tulipIndicator = Tulip.Indicators.fisher;
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double[][] inputs = { highData, lowData };
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double[] options = { period };
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int lookback = tulipIndicator.Start(options);
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double[][] outputs = { new double[highData.Length - lookback], new double[highData.Length - lookback] };
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tulipIndicator.Run(inputs, options, outputs);
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double[] tResult = outputs[0];
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// QuanTAlib Fisher — single price series (close)
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var fisher = new Fisher(TestPeriod);
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foreach (var item in _testData.Data) { fisher.Update(item); }
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// Structural: Tulip must produce finite output
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Assert.True(tResult.Length > 0, "Tulip fisher must produce output");
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foreach (double v in tResult)
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{
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Assert.True(double.IsFinite(v), $"Tulip fisher produced non-finite value: {v}");
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}
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// QuanTAlib must also be hot and finite
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Assert.True(fisher.IsHot, "QuanTAlib Fisher must be hot after sufficient bars");
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Assert.True(double.IsFinite(fisher.Last.Value), "QuanTAlib Fisher last value must be finite");
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}
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[Fact]
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[SkipLocalsInit]
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public void Validate_Event_Matches_Streaming()
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{
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// Streaming
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var streamFisher = new Fisher(TestPeriod);
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var streamResults = new double[_testData.Data.Count];
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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streamResults[i] = streamFisher.Update(_testData.Data[i]).Value;
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}
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// Event-based
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var eventSource = new TSeries();
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var eventFisher = new Fisher(eventSource, TestPeriod);
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var eventResults = new double[_testData.Data.Count];
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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eventSource.Add(_testData.Data[i]);
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eventResults[i] = eventFisher.Last.Value;
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}
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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Assert.Equal(streamResults[i], eventResults[i], 12);
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}
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_output.WriteLine("Fisher event-based matches streaming.");
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}
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#endregion
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#region Ooples Validation
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/// <summary>
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/// Structural validation against Ooples <c>CalculateEhlersFisherTransform</c>.
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/// Ooples uses the Ehlers variant: HL2 (high-low midpoint) normalized over rolling period,
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/// then arctanh transformed. QuanTAlib Fisher uses a single price series with EMA-based
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/// normalization via alpha parameter. Input types differ (OHLCV vs close-only); numeric
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/// equality not asserted. Both must produce finite output on the same underlying data.
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/// </summary>
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[Fact]
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public void Fisher_Ooples_StructuralVariant_BothFinite()
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{
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var ooplesData = _testData.SkenderQuotes.Select(q => new TickerData
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{
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Date = q.Date,
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Open = (double)q.Open,
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High = (double)q.High,
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Low = (double)q.Low,
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Close = (double)q.Close,
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Volume = (double)q.Volume
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}).ToList();
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var stockData = new StockData(ooplesData);
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var oResult = stockData.CalculateEhlersFisherTransform(length: TestPeriod);
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var oValues = oResult.OutputValues.Values.First();
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// QuanTAlib Fisher — single price series (close)
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var fisher = new Fisher(TestPeriod);
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foreach (var item in _testData.Data) { fisher.Update(item); }
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// Structural: Ooples must produce finite output
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Assert.True(oValues.Count > 0, "Ooples Fisher must produce output");
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int finiteCount = 0;
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for (int i = TestPeriod; i < oValues.Count; i++)
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{
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if (double.IsFinite(oValues[i])) { finiteCount++; }
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}
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Assert.True(finiteCount > 100, $"Expected >100 finite Ooples values, got {finiteCount}");
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Assert.True(fisher.IsHot, "QuanTAlib Fisher must be hot after sufficient bars");
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Assert.True(double.IsFinite(fisher.Last.Value), "QuanTAlib Fisher last value must be finite");
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_output.WriteLine($"Fisher Ooples structural: {finiteCount} finite Ooples values, QuanTAlib last={fisher.Last.Value:F6}");
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}
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#endregion
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#region Skender Cross-Validation
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/// <summary>
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/// Numeric validation against Skender <c>GetFisherTransform</c>.
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/// Both use Ehlers 2002 IIR algorithm: <c>Fish = arctanh(Value1) + 0.5 * Fish[1]</c>.
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/// Skender uses HL2 input with expanding window during warmup.
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/// QuanTAlib uses same HL2 input via RingBuffer (expanding window when not full).
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/// Both should converge; tolerance allows warmup-phase divergence.
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/// </summary>
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[Fact]
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public void Validate_Skender_FisherTransform_Numeric()
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{
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const int period = 10;
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var sResult = _testData.SkenderQuotes.GetFisherTransform(period).ToList();
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// Feed HL2 to QuanTAlib (same input as Skender)
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var quotes = _testData.SkenderQuotes.ToList();
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var fisher = new Fisher(period);
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var qtFisher = new double[quotes.Count];
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var qtSignal = new double[quotes.Count];
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for (int i = 0; i < quotes.Count; i++)
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{
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// Match Skender's HL2 computation: decimal arithmetic then convert
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double hl2 = (double)((quotes[i].High + quotes[i].Low) / 2m);
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fisher.Update(new TValue(quotes[i].Date, hl2));
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qtFisher[i] = fisher.FisherValue;
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qtSignal[i] = fisher.Signal;
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}
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// Numeric comparison — skip warmup (first 2*period bars)
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int startIdx = period * 2;
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int validCount = 0;
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for (int i = startIdx; i < sResult.Count; i++)
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{
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if (sResult[i].Fisher is null) { continue; }
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double sFisher = sResult[i].Fisher!.Value;
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Assert.True(Math.Abs(sFisher - qtFisher[i]) < 1e-9,
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$"Fisher mismatch at i={i}: Skender={sFisher:F9}, QuanTAlib={qtFisher[i]:F9}");
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validCount++;
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}
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Assert.True(validCount > 100, $"Expected >100 valid comparisons, got {validCount}");
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_output.WriteLine($"Fisher Skender numeric: validated {validCount} points at 1e-9 tolerance.");
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}
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/// <summary>
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/// Validates signal line (Trigger = Fish[1]) matches Skender's Trigger output.
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/// </summary>
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[Fact]
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public void Validate_Skender_Signal_Numeric()
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{
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const int period = 10;
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var sResult = _testData.SkenderQuotes.GetFisherTransform(period).ToList();
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// Feed HL2 to QuanTAlib
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var quotes = _testData.SkenderQuotes.ToList();
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var fisher = new Fisher(period);
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var qtSignal = new double[quotes.Count];
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for (int i = 0; i < quotes.Count; i++)
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{
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double hl2 = (double)((quotes[i].High + quotes[i].Low) / 2m);
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fisher.Update(new TValue(quotes[i].Date, hl2));
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qtSignal[i] = fisher.Signal;
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}
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// Signal comparison — skip warmup
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int startIdx = period * 2;
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int validCount = 0;
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for (int i = startIdx; i < sResult.Count; i++)
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{
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if (sResult[i].Trigger is null) { continue; }
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double sTrigger = sResult[i].Trigger!.Value;
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Assert.True(Math.Abs(sTrigger - qtSignal[i]) < 1e-9,
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$"Signal mismatch at i={i}: Skender={sTrigger:F9}, QuanTAlib={qtSignal[i]:F9}");
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validCount++;
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}
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Assert.True(validCount > 100, $"Expected >100 valid signal comparisons, got {validCount}");
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_output.WriteLine($"Fisher Signal Skender numeric: validated {validCount} points at 1e-9 tolerance.");
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}
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/// <summary>
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/// Structural validation: both Skender and QuanTAlib produce finite output.
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/// </summary>
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[Fact]
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public void Validate_Skender_FisherTransform_Structural()
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{
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var sResult = _testData.SkenderQuotes.GetFisherTransform(TestPeriod).ToList();
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var fisher = new Fisher(TestPeriod);
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foreach (var item in _testData.Data) { fisher.Update(item); }
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int finiteCount = sResult.Count(r => r.Fisher is not null && double.IsFinite(r.Fisher.Value));
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Assert.True(finiteCount > 100, $"Skender should produce >100 finite Fisher values, got {finiteCount}");
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Assert.True(fisher.IsHot, "QuanTAlib Fisher must be hot");
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Assert.True(double.IsFinite(fisher.Last.Value), "QuanTAlib Fisher last must be finite");
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_output.WriteLine($"Fisher Skender structural: {finiteCount} finite Skender values, " +
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$"QuanTAlib last={fisher.Last.Value:F6}, Skender last={sResult[^1].Fisher:F6}");
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}
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#endregion
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}
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