mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 00:28:05 +00:00
300 lines
8.2 KiB
C#
300 lines
8.2 KiB
C#
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namespace QuanTAlib;
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public class CfbTests
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{
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[Fact]
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public void Constructor_EmptyLengths_UsesDefaults()
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{
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// Cfb uses default lengths (2, 4, ..., 192) when given empty or null lengths
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var cfb = new Cfb(Array.Empty<int>());
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Assert.NotNull(cfb);
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Assert.Equal("Jurik Composite Fractal Behavior", cfb.Name);
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}
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[Fact]
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public void Constructor_CustomLengths_Works()
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{
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// Cfb accepts custom lengths
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var cfb = new Cfb(new[] { 5, 10, 20 });
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Assert.NotNull(cfb);
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Assert.Equal("Jurik Composite Fractal Behavior", cfb.Name);
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}
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[Fact]
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public void BasicCalculation_DoesNotCrash()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var data = bars.Close;
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for (int i = 0; i < data.Count; i++)
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{
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cfb.Update(new TValue(data.Times[i], data.Values[i]));
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}
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Assert.True(cfb.Last.Value >= 1.0);
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}
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[Fact]
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public void PerfectTrend_IncreasesCfb()
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{
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// Use small lengths for easier testing
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int[] lengths = { 4, 8, 12 };
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var cfb = new Cfb(lengths);
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// Feed a perfect uptrend
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for (int i = 0; i < 50; i++)
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{
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cfb.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.Equal(8.0, cfb.Last.Value);
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}
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[Fact]
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public void FlatLine_ReturnsOne()
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{
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var cfb = new Cfb();
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for (int i = 0; i < 100; i++)
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{
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cfb.Update(new TValue(DateTime.UtcNow, 100.0));
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}
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// NetMove is 0. TotalMove is 0.
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// Ratio = 0/0 -> NaN?
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// Code handles TotalMove < 1e-12 by skipping.
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// So no lengths qualify.
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// Decay logic kicks in.
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// Should decay to 1.0.
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Assert.Equal(1.0, cfb.Last.Value);
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}
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[Fact]
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public void ZigZag_ReturnsOne()
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{
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var cfb = new Cfb([4, 8]);
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// 100, 101, 100, 101...
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// NetMove(4) = Abs(100 - 100) = 0. Ratio = 0.
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// NetMove(8) = 0. Ratio = 0.
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for (int i = 0; i < 100; i++)
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{
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double price = 100 + (i % 2);
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cfb.Update(new TValue(DateTime.UtcNow, price));
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}
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Assert.Equal(1.0, cfb.Last.Value);
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}
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[Fact]
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public void IsNew_Consistency()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var data = new List<TValue>();
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for (int i = 0; i < bars.Count; i++)
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{
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data.Add(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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// Feed first 99
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for (int i = 0; i < 99; i++)
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{
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cfb.Update(data[i]);
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}
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// Update with 100th point (isNew=true)
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cfb.Update(data[99], true);
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// Update with modified 100th point (isNew=false)
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var modified = new TValue(data[99].Time, data[99].Value + 1.0);
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var val2 = cfb.Update(modified, false);
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// Create new instance and feed up to modified
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var cfb2 = new Cfb();
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for (int i = 0; i < 99; i++)
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{
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cfb2.Update(data[i]);
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}
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var val3 = cfb2.Update(modified, true);
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Assert.Equal(val3.Value, val2.Value);
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}
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[Fact]
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public void IterativeCorrections_RestoreToOriginalState()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 50; i++)
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{
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cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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var originalValue = cfb.Last;
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for (int m = 0; m < 5; m++)
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{
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var modified = new TValue(bars.Close.Times[49], bars.Close.Values[49] + m);
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cfb.Update(modified, isNew: false);
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}
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var restored = cfb.Update(new TValue(bars.Close.Times[49], bars.Close.Values[49]), isNew: false);
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Assert.Equal(originalValue.Value, restored.Value, 9);
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}
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[Fact]
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public void NaN_Input_UsesLastValidValue()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 30; i++)
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{
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cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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var result = cfb.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void Infinity_Input_UsesLastValidValue()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < 30; i++)
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{
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cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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var result = cfb.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(result.Value));
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}
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[Fact]
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public void AllModes_ProduceSameResult()
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{
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var gbm = new GBM(seed: 123);
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// 1. Batch Mode
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var batchResult = Cfb.Batch(bars.Close);
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double expected = batchResult.Last.Value;
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// 2. Span Mode
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var spanOutput = new double[bars.Count];
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Cfb.Batch(bars.Close.Values.ToArray(), spanOutput);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamCfb = new Cfb();
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for (int i = 0; i < bars.Count; i++)
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{
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streamCfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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double streamResult = streamCfb.Last.Value;
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Assert.Equal(expected, spanResult, 9);
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Assert.Equal(expected, streamResult, 9);
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}
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[Fact]
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public void StaticBatch_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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var cfb = new Cfb();
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(cfb.Update(new TValue(series.Times[i], series.Values[i])).Value);
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}
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var staticResults = Cfb.Batch(series);
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Assert.Equal(streamingResults.Count, staticResults.Count);
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for (int i = 0; i < streamingResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], staticResults.Values[i]);
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}
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}
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[Fact]
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public void SpanBatch_Matches_Streaming()
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{
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var gbm = new GBM();
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var bars = gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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double[] values = bars.Close.Values.ToArray();
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var cfb = new Cfb();
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var streamingResults = new List<double>();
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for (int i = 0; i < bars.Count; i++)
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{
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streamingResults.Add(cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i])).Value);
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}
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double[] spanResults = new double[bars.Count];
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Cfb.Batch(values, spanResults);
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for (int i = 0; i < streamingResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], spanResults[i]);
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}
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}
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[Fact]
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public void Reset_Works()
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{
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var cfb = new Cfb();
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var gbm = new GBM();
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var bars = gbm.Fetch(100, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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for (int i = 0; i < bars.Count; i++)
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{
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cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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Assert.True(cfb.Last.Value >= 1.0);
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cfb.Reset();
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Assert.Equal(0, cfb.Last.Value);
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Assert.Equal(0, cfb.Last.Time);
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// Feed again
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for (int i = 0; i < bars.Count; i++)
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{
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cfb.Update(new TValue(bars.Close.Times[i], bars.Close.Values[i]));
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}
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Assert.True(cfb.Last.Value >= 1.0);
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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 cfb = new Cfb();
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var cfb2 = new Cfb(cfb);
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for (int i = 0; i < 100; i++)
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{
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cfb.Update(new TValue(DateTime.UtcNow, i));
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}
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Assert.True(cfb2.Last.Value > 0);
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}
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}
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