mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-13 08:08:05 +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
490 lines
15 KiB
C#
490 lines
15 KiB
C#
namespace QuanTAlib.Tests;
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public class VamaTests
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{
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[Fact]
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public void Vama_Constructor_ValidatesInput()
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{
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Assert.Throws<ArgumentException>(() => new Vama(baseLength: 0));
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Assert.Throws<ArgumentException>(() => new Vama(baseLength: -1));
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Assert.Throws<ArgumentException>(() => new Vama(shortAtrPeriod: 0));
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Assert.Throws<ArgumentException>(() => new Vama(longAtrPeriod: 0));
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Assert.Throws<ArgumentException>(() => new Vama(minLength: 0));
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Assert.Throws<ArgumentException>(() => new Vama(maxLength: 0));
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Assert.Throws<ArgumentException>(() => new Vama(minLength: 50, maxLength: 10));
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var vama = new Vama(20, 10, 50, 5, 100);
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Assert.NotNull(vama);
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}
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[Fact]
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public void Vama_Calc_ReturnsValue()
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{
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var vama = new Vama();
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Assert.Equal(0, vama.Last.Value);
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TValue result = vama.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, vama.Last.Value);
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}
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[Fact]
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public void Vama_Calc_IsNew_AcceptsParameter()
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{
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var vama = new Vama();
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vama.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = vama.Last.Value;
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vama.Update(new TValue(DateTime.UtcNow, 105), isNew: true);
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double value2 = vama.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 Vama_Calc_IsNew_False_UpdatesValue()
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{
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var vama = new Vama();
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = vama.Last.Value;
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vama.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = vama.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 Vama_Reset_ClearsState()
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{
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var vama = new Vama();
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = vama.Last.Value;
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vama.Reset();
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Assert.Equal(0, vama.Last.Value);
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// After reset, should accept new values
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vama.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, vama.Last.Value);
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Assert.NotEqual(valueBefore, vama.Last.Value);
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}
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[Fact]
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public void Vama_Properties_Accessible()
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{
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var vama = new Vama();
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Assert.Equal(0, vama.Last.Value);
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Assert.False(vama.IsHot);
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vama.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, vama.Last.Value);
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}
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[Fact]
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public void Vama_IsHot_BecomesTrueWithSufficientData()
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{
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var vama = new Vama();
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// Initially IsHot should be false
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Assert.False(vama.IsHot);
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int steps = 0;
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while (!vama.IsHot && steps < 1000)
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{
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vama.Update(new TValue(DateTime.UtcNow, 100));
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steps++;
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}
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Assert.True(vama.IsHot);
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Assert.True(steps > 0);
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}
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[Fact]
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public void Vama_IterativeCorrections_RestoreToOriginalState()
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{
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var vama = new Vama();
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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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vama.Update(tenthInput, isNew: true);
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}
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// Remember VAMA state after 10 values
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double vamaAfterTen = vama.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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vama.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 finalVama = vama.Update(tenthInput, isNew: false);
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// VAMA should match the original state after 10 values
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Assert.Equal(vamaAfterTen, finalVama.Value, 1e-10);
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}
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[Fact]
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public void Vama_BatchCalc_MatchesIterativeCalc()
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{
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var vamaIterative = new Vama();
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var vamaBatch = new Vama();
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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(vamaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = vamaBatch.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 Vama_NaN_Input_UsesLastValidValue()
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{
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var vama = new Vama();
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// Feed some valid values
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = vama.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 Vama_Infinity_Input_UsesLastValidValue()
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{
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var vama = new Vama();
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// Feed some valid values
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = vama.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 = vama.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 Vama_MultipleNaN_ContinuesWithLastValid()
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{
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var vama = new Vama();
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// Feed valid values
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, 110));
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vama.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = vama.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = vama.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = vama.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 Vama_BatchCalc_HandlesNaN()
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{
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var vama = new Vama();
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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 = vama.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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[Fact]
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public void Vama_Reset_ClearsLastValidValue()
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{
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var vama = new Vama();
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// Feed values including NaN
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vama.Update(new TValue(DateTime.UtcNow, 100));
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vama.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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vama.Reset();
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// After reset, first valid value should establish new baseline
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var result = vama.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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[Fact]
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public void Chainability_Works()
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{
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var source = new TSeries();
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var vama = new Vama(source);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, vama.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_SetsStateCorrectly()
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{
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var vama = new Vama();
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double[] history = [10, 20, 30, 40, 50];
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vama.Prime(history);
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// Verify against a fresh VAMA fed with same data
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var verifyVama = new Vama();
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foreach (var val in history)
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{
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verifyVama.Update(new TValue(DateTime.UtcNow, val));
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}
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Assert.Equal(verifyVama.Last.Value, vama.Last.Value, 1e-10);
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// Verify it continues correctly
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vama.Update(new TValue(DateTime.UtcNow, 60));
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verifyVama.Update(new TValue(DateTime.UtcNow, 60));
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Assert.Equal(verifyVama.Last.Value, vama.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_HandlesNaN_InHistory()
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{
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var vama = new Vama();
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double[] history = [10, 20, double.NaN, 40, 50];
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vama.Prime(history);
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var verifyVama = new Vama();
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foreach (var val in history)
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{
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verifyVama.Update(new TValue(DateTime.UtcNow, val));
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}
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Assert.Equal(verifyVama.Last.Value, vama.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_ThenUpdate_StateWorksCorrectly()
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{
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var vama = new Vama();
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double[] history = [10, 20, 30, 40, 50];
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vama.Prime(history);
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double afterPrime = vama.Last.Value;
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// After Prime, an isNew=true should advance the state
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vama.Update(new TValue(DateTime.UtcNow, 60), isNew: true);
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double afterNewBar = vama.Last.Value;
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// Values should be different
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Assert.NotEqual(afterPrime, afterNewBar);
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// isNew=false with a different value should recalculate from previous state
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vama.Update(new TValue(DateTime.UtcNow, 70), isNew: false);
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double afterCorrection = vama.Last.Value;
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// Correction with 70 should give different result than 60
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Assert.NotEqual(afterNewBar, afterCorrection);
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// isNew=false with original value (60) should restore to afterNewBar
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vama.Update(new TValue(DateTime.UtcNow, 60), isNew: false);
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Assert.Equal(afterNewBar, vama.Last.Value, 1e-10);
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}
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[Fact]
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public void Vama_AllModes_ProduceSameResult()
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{
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// Arrange
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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 = Vama.Batch(series);
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double expected = batchSeries.Last.Value;
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// 2. Streaming Mode
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var streamingInd = new Vama();
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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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// 3. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Vama(pubSource);
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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, streamingResult, precision: 9);
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Assert.Equal(expected, eventingResult, precision: 9);
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}
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// ============== TBar-specific Tests ==============
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[Fact]
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public void Vama_TBar_UsesOHLC_ForTrueRange()
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{
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var vama = new Vama();
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var time = DateTime.UtcNow;
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// Feed bars with varying volatility - enough for warmup (minLength=5)
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for (int i = 0; i < 100; i++)
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{
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var bar = new TBar(time.AddMinutes(i), 100, 105, 95, 100, 1000);
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vama.Update(bar, isNew: true);
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}
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Assert.True(double.IsFinite(vama.Last.Value));
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// IsHot requires ValidCount >= minLength (5) and IsInitialized
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Assert.True(vama.IsHot, "Expected IsHot=true after 100 bars");
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}
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[Fact]
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public void Vama_TBarSeries_BatchWorks()
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{
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var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.15, seed: 42);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var result = Vama.Batch(bars);
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Assert.Equal(200, result.Count);
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Assert.All(result, tv => Assert.True(double.IsFinite(tv.Value)));
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}
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[Fact]
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public void Vama_VolatilityRatio_AdjustsLength()
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{
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var vamaLowVol = new Vama();
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var vamaHighVol = new Vama();
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var time = DateTime.UtcNow;
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// Feed low volatility bars (H-L is small)
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for (int i = 0; i < 100; i++)
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{
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var bar = new TBar(time.AddMinutes(i), 100, 100.1, 99.9, 100, 1000);
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vamaLowVol.Update(bar, isNew: true);
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}
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// Feed high volatility bars (H-L is large)
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for (int i = 0; i < 100; i++)
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{
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var bar = new TBar(time.AddMinutes(i), 100, 110, 90, 100, 1000);
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vamaHighVol.Update(bar, isNew: true);
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}
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// Both should produce valid results
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Assert.True(double.IsFinite(vamaLowVol.Last.Value));
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Assert.True(double.IsFinite(vamaHighVol.Last.Value));
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}
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[Fact]
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public void Vama_ConstantInput_ConvergesToInput()
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{
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var vama = new Vama();
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// Feed constant values
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for (int i = 0; i < 200; i++)
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{
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vama.Update(new TValue(DateTime.UtcNow, 100));
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}
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// With constant input, SMA output should converge to input value
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Assert.Equal(100.0, vama.Last.Value, 1e-9);
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}
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[Fact]
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public void Vama_ParameterVariations_Produce_ValidResults()
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{
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var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.15, seed: 42);
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// Test various parameter combinations
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var vama1 = new Vama(10, 5, 20, 3, 50);
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var vama2 = new Vama(30, 15, 60, 10, 150);
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var vama3 = new Vama(50, 20, 100, 20, 200);
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for (int i = 0; i < 200; i++)
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{
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var bar = gbm.Next(isNew: true);
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var tv = new TValue(bar.Time, bar.Close);
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vama1.Update(tv, isNew: true);
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vama2.Update(tv, isNew: true);
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vama3.Update(tv, isNew: true);
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}
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Assert.True(double.IsFinite(vama1.Last.Value));
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Assert.True(double.IsFinite(vama2.Last.Value));
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Assert.True(double.IsFinite(vama3.Last.Value));
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}
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}
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