mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-16 17:48:05 +00:00
Miha Kralj
15f4bb90f3
New indicators: - HWC (Holt-Winters Channel) — channels, 27 tests - VWMACD (Volume-Weighted MACD) — momentum, 38 tests - Squeeze Pro — oscillators, 69 tests - BW_MFI (Bill Williams MFI) — oscillators - DSTOCH (Double Stochastic) — oscillators - ATRSTOP (ATR Trailing Stop) — reversals - VSTOP (Volatility Stop) — reversals - Convexity (Beta Convexity) — statistics, 23 tests Integration: - Python bridge: Exports.cs, _bridge.py, wrapper modules - Documentation: _sidebar.md, _index.md pages, SPEC.md - All analyzer warnings fixed (MA0074, xUnit2013, S2699) Build: 0 warnings, 0 errors | Tests: 15,933 passed, 0 failed
447 lines
14 KiB
C#
447 lines
14 KiB
C#
using System.Runtime.CompilerServices;
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using Xunit;
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namespace QuanTAlib.Tests;
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public sealed class BwMfiTests
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{
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private readonly GBM _gbm = new(100.0, 0.05, 0.2, seed: 42);
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private const double Tolerance = 1e-10;
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// ── A) Constructor validation ─────────────────────────────────────────────
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[Fact]
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public void Constructor_Default_SetsName()
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{
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var m = new BwMfi();
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Assert.Equal("BwMfi", m.Name);
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}
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[Fact]
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public void Constructor_Default_WarmupPeriodIsTwo()
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{
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Assert.Equal(2, BwMfi.WarmupPeriod);
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}
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[Fact]
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public void Constructor_Default_NotHotBeforeFirstBar()
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{
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var m = new BwMfi();
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Assert.False(m.IsHot);
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}
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[Fact]
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public void Constructor_Default_ZoneIsZero()
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{
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var m = new BwMfi();
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Assert.Equal(0, m.Zone);
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}
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// ── B) Basic MFI calculation ──────────────────────────────────────────────
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[Fact]
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public void Update_BasicBar_CorrectMfi()
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{
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var m = new BwMfi();
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var bar = new TBar(DateTime.UtcNow, 100.0, 105.0, 95.0, 102.0, 1000.0);
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var result = m.Update(bar);
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// MFI = (105 - 95) / 1000 = 0.01
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Assert.Equal(0.01, result.Value, Tolerance);
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}
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[Fact]
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public void Update_ZeroVolume_ReturnsZero()
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{
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var m = new BwMfi();
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var bar = new TBar(DateTime.UtcNow, 100.0, 110.0, 90.0, 100.0, 0.0);
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var result = m.Update(bar);
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Assert.Equal(0.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_ZeroRange_ReturnsZero()
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{
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var m = new BwMfi();
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var bar = new TBar(DateTime.UtcNow, 100.0, 100.0, 100.0, 100.0, 1000.0);
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var result = m.Update(bar);
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Assert.Equal(0.0, result.Value, Tolerance);
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}
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[Fact]
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public void Update_LastMatchesReturnValue()
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{
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var m = new BwMfi();
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var bar = new TBar(DateTime.UtcNow, 100.0, 120.0, 80.0, 100.0, 200.0);
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var result = m.Update(bar);
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Assert.Equal(result.Value, m.Last.Value, Tolerance);
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}
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// ── C) Zone classification ────────────────────────────────────────────────
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[Fact]
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public void Zone_FirstBar_IsZero()
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{
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var m = new BwMfi();
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m.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, 1000));
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Assert.Equal(0, m.Zone);
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}
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[Fact]
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public void Zone_Green_MfiUpVolumeUp()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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// Bar 1: MFI = (110-90)/1000 = 0.02, Vol = 1000
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m.Update(new TBar(t, 100, 110, 90, 100, 1000));
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// Bar 2: MFI = (120-80)/2000 = 0.02... need MFI up too
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// Bar 2: MFI = (130-70)/1500 = 0.04, Vol = 1500 (both up)
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m.Update(new TBar(t.AddMinutes(1), 100, 130, 70, 100, 1500));
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Assert.Equal(1, m.Zone); // Green
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}
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[Fact]
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public void Zone_Fade_MfiDownVolumeDown()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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// Bar 1: MFI = (120-80)/1000 = 0.04, Vol = 1000
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m.Update(new TBar(t, 100, 120, 80, 100, 1000));
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// Bar 2: MFI = (105-95)/500 = 0.02, Vol = 500 (both down)
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m.Update(new TBar(t.AddMinutes(1), 100, 105, 95, 100, 500));
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Assert.Equal(2, m.Zone); // Fade
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}
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[Fact]
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public void Zone_Fake_MfiUpVolumeDown()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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// Bar 1: MFI = (110-90)/1000 = 0.02, Vol = 1000
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m.Update(new TBar(t, 100, 110, 90, 100, 1000));
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// Bar 2: MFI = (130-70)/500 = 0.12, Vol = 500 (MFI up, Vol down)
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m.Update(new TBar(t.AddMinutes(1), 100, 130, 70, 100, 500));
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Assert.Equal(3, m.Zone); // Fake
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}
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[Fact]
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public void Zone_Squat_MfiDownVolumeUp()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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// Bar 1: MFI = (120-80)/500 = 0.08, Vol = 500
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m.Update(new TBar(t, 100, 120, 80, 100, 500));
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// Bar 2: MFI = (105-95)/2000 = 0.005, Vol = 2000 (MFI down, Vol up)
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m.Update(new TBar(t.AddMinutes(1), 100, 105, 95, 100, 2000));
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Assert.Equal(4, m.Zone); // Squat
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}
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[Fact]
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public void Zone_Range_IsValid()
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{
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var m = new BwMfi();
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 77);
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for (int i = 0; i < 200; i++)
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{
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m.Update(gbm.Next(isNew: true));
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Assert.InRange(m.Zone, 0, 4);
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}
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}
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// ── D) State + bar correction ─────────────────────────────────────────────
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[Fact]
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public void Update_IsNewFalse_RewritesLastBar()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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m.Update(new TBar(t, 100, 110, 90, 100, 1000), isNew: true);
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m.Update(new TBar(t.AddMinutes(1), 100, 112, 88, 100, 800), isNew: true);
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m.Update(new TBar(t.AddMinutes(1), 100, 120, 80, 100, 400), isNew: false);
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Assert.Equal(0.1, m.Last.Value, Tolerance); // (120-80)/400
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}
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[Fact]
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public void Update_BarCorrection_ZoneUpdates()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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// Bar 1: MFI = 0.02, Vol = 1000
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m.Update(new TBar(t, 100, 110, 90, 100, 1000), isNew: true);
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// Bar 2: MFI = 0.04, Vol = 1500 → Green (both up)
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m.Update(new TBar(t.AddMinutes(1), 100, 130, 70, 100, 1500), isNew: true);
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Assert.Equal(1, m.Zone);
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// Correct Bar 2: MFI = 0.005, Vol = 2000 → Squat (MFI down, Vol up)
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m.Update(new TBar(t.AddMinutes(1), 100, 105, 95, 100, 2000), isNew: false);
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Assert.Equal(4, m.Zone);
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}
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// ── E) Warmup / convergence ───────────────────────────────────────────────
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[Fact]
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public void IsHot_FalseForFirstBar_TrueForSecond()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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m.Update(new TBar(t, 100, 110, 90, 100, 500));
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Assert.False(m.IsHot);
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m.Update(new TBar(t.AddMinutes(1), 100, 115, 85, 100, 600));
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Assert.True(m.IsHot);
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}
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[Fact]
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public void Reset_ClearsState()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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m.Update(new TBar(t, 100, 110, 90, 100, 1000));
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m.Update(new TBar(t.AddMinutes(1), 100, 115, 85, 100, 1200));
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Assert.True(m.IsHot);
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Assert.NotEqual(0, m.Zone);
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m.Reset();
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Assert.False(m.IsHot);
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Assert.Equal(0, m.Zone);
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Assert.Equal(default, m.Last);
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}
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// ── F) Robustness — NaN / Infinity ────────────────────────────────────────
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[Fact]
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public void Update_NaNVolume_ReturnsZero()
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{
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var m = new BwMfi();
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var r = m.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, double.NaN));
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Assert.Equal(0.0, r.Value, Tolerance);
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}
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[Fact]
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public void Update_InfinityVolume_ReturnsZero()
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{
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var m = new BwMfi();
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var r = m.Update(new TBar(DateTime.UtcNow, 100, 110, 90, 100, double.PositiveInfinity));
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Assert.Equal(0.0, r.Value, Tolerance);
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}
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[Fact]
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public void Update_NaNHigh_ResultIsFinite()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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m.Update(new TBar(t, 100, 110, 90, 100, 1000));
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var r = m.Update(new TBar(t.AddMinutes(1), 100, double.NaN, 90, 100, 500), isNew: true);
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Assert.True(double.IsFinite(r.Value));
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}
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[Fact]
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public void Update_BatchNaN_NoPropagation()
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{
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var m = new BwMfi();
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var t = DateTime.UtcNow;
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for (int i = 0; i < 5; i++)
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{
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m.Update(new TBar(t.AddMinutes(i), 100, 110, 90, 100, 1000));
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}
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m.Update(new TBar(t.AddMinutes(5), 100, double.NaN, double.NaN, 100, 500));
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Assert.True(double.IsFinite(m.Last.Value));
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}
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// ── G) Consistency — streaming matches batch ──────────────────────────────
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[Fact]
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public void Consistency_StreamingMatchesBatch_MfiValues()
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{
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const int N = 100;
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 42);
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double[] hi = new double[N], lo = new double[N], vol = new double[N];
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double streamResult;
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var mStream = new BwMfi();
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for (int i = 0; i < N; i++)
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{
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var bar = gbm.Next(isNew: true);
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hi[i] = bar.High;
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lo[i] = bar.Low;
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vol[i] = bar.Volume;
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mStream.Update(bar, isNew: true);
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}
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streamResult = mStream.Last.Value;
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var output = new double[N];
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BwMfi.Batch(hi, lo, vol, output);
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double batchResult = output[N - 1];
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Assert.Equal(streamResult, batchResult, Tolerance);
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}
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[Fact]
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public void Consistency_StreamingMatchesBatch_Zones()
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{
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const int N = 100;
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 42);
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double[] hi = new double[N], lo = new double[N], vol = new double[N];
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int[] streamZones = new int[N];
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var mStream = new BwMfi();
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for (int i = 0; i < N; i++)
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{
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var bar = gbm.Next(isNew: true);
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hi[i] = bar.High;
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lo[i] = bar.Low;
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vol[i] = bar.Volume;
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mStream.Update(bar, isNew: true);
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streamZones[i] = mStream.Zone;
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}
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var mfiOutput = new double[N];
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var zoneOutput = new int[N];
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BwMfi.Batch(hi, lo, vol, mfiOutput, zoneOutput);
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for (int i = 0; i < N; i++)
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{
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Assert.Equal(streamZones[i], zoneOutput[i]);
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}
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}
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[Fact]
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public void Consistency_EventBasedMatchesStreaming()
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{
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const int N = 50;
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 7);
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var sourceStream = new TBarSeries();
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var mStream = new BwMfi();
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for (int i = 0; i < N; i++)
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{
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var bar = gbm.Next(isNew: true);
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sourceStream.Add(bar);
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mStream.Update(bar, isNew: true);
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}
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var mEvent = new BwMfi(sourceStream);
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Assert.Equal(mStream.Last.Value, mEvent.Last.Value, Tolerance);
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Assert.Equal(mStream.Zone, mEvent.Zone);
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}
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// ── H) Span / Batch API ───────────────────────────────────────────────────
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[Fact]
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public void Batch_MismatchedLowLength_Throws()
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{
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double[] hi = [100, 110], lo = [90], vol = [1000, 800];
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var mfiOut = new double[2];
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var zoneOut = new int[2];
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var ex = Assert.Throws<ArgumentException>(() => BwMfi.Batch(hi, lo, vol, mfiOut, zoneOut));
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Assert.Equal("low", ex.ParamName);
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}
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[Fact]
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public void Batch_MismatchedVolumeLength_Throws()
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{
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double[] hi = [100, 110], lo = [90, 85], vol = [1000];
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var mfiOut = new double[2];
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var zoneOut = new int[2];
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var ex = Assert.Throws<ArgumentException>(() => BwMfi.Batch(hi, lo, vol, mfiOut, zoneOut));
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Assert.Equal("volume", ex.ParamName);
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}
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[Fact]
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public void Batch_MismatchedMfiOutputLength_Throws()
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{
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double[] hi = [100, 110], lo = [90, 85], vol = [1000, 800];
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var mfiOut = new double[3];
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var zoneOut = new int[2];
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var ex = Assert.Throws<ArgumentException>(() => BwMfi.Batch(hi, lo, vol, mfiOut, zoneOut));
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Assert.Equal("mfiOutput", ex.ParamName);
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}
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[Fact]
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public void Batch_MismatchedZoneOutputLength_Throws()
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{
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double[] hi = [100, 110], lo = [90, 85], vol = [1000, 800];
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var mfiOut = new double[2];
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var zoneOut = new int[3];
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var ex = Assert.Throws<ArgumentException>(() => BwMfi.Batch(hi, lo, vol, mfiOut, zoneOut));
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Assert.Equal("zoneOutput", ex.ParamName);
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}
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[Fact]
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public void Batch_EmptySpans_NoThrow()
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{
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double[] hi = [], lo = [], vol = [];
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var mfiOut = Array.Empty<double>();
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var zoneOut = Array.Empty<int>();
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BwMfi.Batch(hi, lo, vol, mfiOut, zoneOut);
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Assert.Empty(mfiOut);
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}
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[Fact]
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public void Batch_KnownValues_Correct()
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{
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double[] hi = [110, 120, 115];
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double[] lo = [90, 80, 95];
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double[] vol = [1000, 500, 200];
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var mfiOutput = new double[3];
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var zoneOutput = new int[3];
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BwMfi.Batch(hi, lo, vol, mfiOutput, zoneOutput);
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Assert.Equal(0.02, mfiOutput[0], Tolerance); // 20/1000
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Assert.Equal(0.08, mfiOutput[1], Tolerance); // 40/500
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Assert.Equal(0.10, mfiOutput[2], Tolerance); // 20/200
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Assert.Equal(0, zoneOutput[0]); // first bar
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Assert.Equal(3, zoneOutput[1]); // MFI up (0.02→0.08), Vol down (1000→500) = Fake
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Assert.Equal(3, zoneOutput[2]); // MFI up (0.08→0.10), Vol down (500→200) = Fake
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}
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[Fact]
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public void Batch_LargeDataset_NoStackOverflow()
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{
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const int N = 100_000;
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var hi = new double[N];
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var lo = new double[N];
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var vol = new double[N];
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var mfiOutput = new double[N];
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var zoneOutput = new int[N];
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for (int i = 0; i < N; i++) { hi[i] = 110; lo[i] = 90; vol[i] = 1000; }
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BwMfi.Batch(hi, lo, vol, mfiOutput, zoneOutput);
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Assert.Equal(0.02, mfiOutput[N - 1], Tolerance);
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}
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// ── I) Chainability ──────────────────────────────────────────────────────
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[Fact]
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public void PubEvent_Fires_OnUpdate()
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{
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var m = new BwMfi();
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int count = 0;
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m.Pub += (object? _, in TValueEventArgs e) => count++;
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for (int i = 0; i < 10; i++)
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{
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m.Update(_gbm.Next(isNew: true), isNew: true);
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}
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Assert.Equal(10, count);
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}
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[Fact]
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public void TBarSeries_Chaining_Works()
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{
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var source = new TBarSeries();
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var m = new BwMfi(source);
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var gbm = new GBM(100.0, 0.05, 0.2, seed: 55);
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for (int i = 0; i < 20; i++)
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{
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source.Add(gbm.Next(isNew: true));
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}
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Assert.True(double.IsFinite(m.Last.Value));
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Assert.True(m.IsHot);
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}
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}
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