mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 11:47:44 +00:00
Miha Kralj
951842acca
- Introduced Massi validation tests to ensure mathematical properties hold for the Mass Index indicator. - Added Va validation tests for Volume Accumulation, checking for finite outputs and correct accumulation behavior. - Implemented Vf validation tests for Volume Force, verifying outputs for rising and falling prices, and ensuring batch and streaming results match. - Created Vo validation tests for Volume Oscillator, confirming behavior with constant, increasing, and decreasing volumes. - Developed Vroc validation tests for Volume Rate of Change, validating outputs for constant volume and changes in volume. - Updated project file to include new momentum indicators (MACD and RSI) in the compilation.
434 lines
16 KiB
C#
434 lines
16 KiB
C#
using Skender.Stock.Indicators;
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using TALib;
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using Xunit.Abstractions;
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namespace QuanTAlib.Tests;
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public sealed class TrixValidationTests(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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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)
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{
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return;
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}
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_disposed = true;
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if (disposing)
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{
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_testData?.Dispose();
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}
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}
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// ── A) Skender Batch ─────────────────────────────────────────────────────
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[Fact]
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public void Validate_Skender_Batch()
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{
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int[] periods = [9, 14, 25];
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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var qResult = trix.Update(_testData.Data);
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var sResult = _testData.SkenderQuotes.GetTrix(period).ToList();
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ValidationHelper.VerifyData(qResult, sResult, (s) => s.Trix);
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}
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_output.WriteLine("TRIX Batch(TSeries) validated successfully against Skender");
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}
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// ── B) Skender Streaming ─────────────────────────────────────────────────
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[Fact]
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public void Validate_Skender_Streaming()
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{
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int[] periods = [9, 14, 25];
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(trix.Update(item).Value);
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}
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var sResult = _testData.SkenderQuotes.GetTrix(period).ToList();
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ValidationHelper.VerifyData(qResults, sResult, (s) => s.Trix);
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}
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_output.WriteLine("TRIX Streaming validated successfully against Skender");
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}
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// ── C) Skender Span ──────────────────────────────────────────────────────
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[Fact]
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public void Validate_Skender_Span()
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{
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int[] periods = [9, 14, 25];
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double[] sourceData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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double[] qOutput = new double[sourceData.Length];
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global::QuanTAlib.Trix.Batch(sourceData.AsSpan(), qOutput.AsSpan(), period);
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var sResult = _testData.SkenderQuotes.GetTrix(period).ToList();
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ValidationHelper.VerifyData(qOutput, sResult, (s) => s.Trix);
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}
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_output.WriteLine("TRIX Span validated successfully against Skender");
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}
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// ── D) TA-Lib Span ───────────────────────────────────────────────────────
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[Fact]
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public void Validate_Talib_Span()
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{
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int[] periods = [14, 20, 50, 100];
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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double[] qOutput = new double[tData.Length];
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global::QuanTAlib.Trix.Batch(tData.AsSpan(), qOutput.AsSpan(), period);
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double[] tOutput = new double[tData.Length];
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var retCode = TALib.Functions.Trix<double>(tData, 0..^0, tOutput, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.TrixLookback(period);
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ValidationHelper.VerifyData(qOutput, tOutput, outRange, lookback);
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}
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_output.WriteLine("TRIX Span validated against TA-Lib");
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}
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// ── E) TA-Lib Streaming ──────────────────────────────────────────────────
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[Fact]
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public void Validate_Talib_Streaming()
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{
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int[] periods = [9, 14, 25];
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double[] tData = _testData.RawData.ToArray();
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double[] tOutput = new double[tData.Length];
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(trix.Update(item).Value);
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}
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var retCode = TALib.Functions.Trix<double>(tData, 0..^0, tOutput, out var outRange, period);
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Assert.Equal(Core.RetCode.Success, retCode);
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int lookback = TALib.Functions.TrixLookback(period);
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ValidationHelper.VerifyData(qResults, tOutput, outRange, lookback);
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}
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_output.WriteLine("TRIX Streaming validated successfully against TA-Lib");
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}
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// ── F) Tulip Batch ───────────────────────────────────────────────────────
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[Fact]
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public void Validate_Tulip_Batch()
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{
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int[] periods = [9, 14, 25];
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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var qResult = trix.Update(_testData.Data);
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var trixIndicator = Tulip.Indicators.trix;
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double[][] inputs = [tData];
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double[] options = [period];
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int lookback = trixIndicator.Start(options);
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double[][] outputs = [new double[tData.Length - lookback]];
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trixIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Tulip uses non-compensated EMA; warmup compensation causes persistent diffs
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// TRIX amplifies by 100×, so small EMA diffs become noticeable in TRIX
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ValidationHelper.VerifyData(qResult, tResult, lookback, tolerance: 1e-3);
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}
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_output.WriteLine("TRIX Batch(TSeries) validated successfully against Tulip");
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}
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// ── G) Tulip Span ────────────────────────────────────────────────────────
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[Fact]
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public void Validate_Tulip_Span()
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{
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int[] periods = [14, 20, 50, 100];
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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double[] qOutput = new double[tData.Length];
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global::QuanTAlib.Trix.Batch(tData.AsSpan(), qOutput.AsSpan(), period);
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var trixIndicator = Tulip.Indicators.trix;
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double[][] inputs = [tData];
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double[] options = [period];
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int lookback = trixIndicator.Start(options);
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double[][] outputs = [new double[tData.Length - lookback]];
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trixIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Tulip uses non-compensated EMA; warmup compensation causes minor convergence diffs
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// TRIX amplifies by 100×, so EMA diffs of ~1e-6 become ~1e-4 in TRIX
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ValidationHelper.VerifyData(qOutput, tResult, lookback, tolerance: 5e-4);
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}
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_output.WriteLine("TRIX Span validated against Tulip");
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}
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// ── H) Tulip Streaming ───────────────────────────────────────────────────
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[Fact]
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public void Validate_Tulip_Streaming()
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{
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int[] periods = [9, 14, 25];
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double[] tData = _testData.RawData.ToArray();
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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var qResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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qResults.Add(trix.Update(item).Value);
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}
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var trixIndicator = Tulip.Indicators.trix;
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double[][] inputs = [tData];
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double[] options = [period];
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int lookback = trixIndicator.Start(options);
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double[][] outputs = [new double[tData.Length - lookback]];
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trixIndicator.Run(inputs, options, outputs);
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var tResult = outputs[0];
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// Tulip uses non-compensated EMA; warmup compensation causes persistent diffs
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// TRIX amplifies by 100×, so small EMA diffs become noticeable in TRIX
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ValidationHelper.VerifyData(qResults, tResult, lookback, tolerance: 1e-3);
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}
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_output.WriteLine("TRIX Streaming validated successfully against Tulip");
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}
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// ── I) Self-Consistency: All Modes ────────────────────────────────────────
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[Fact]
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public void Validate_AllModes_ProduceIdenticalResults()
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{
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int[] periods = [5, 10, 20, 50];
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foreach (var period in periods)
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{
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// 1. Batch Mode (TSeries)
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var batchTrix = new global::QuanTAlib.Trix(period);
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var batchResult = batchTrix.Update(_testData.Data);
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// 2. Span Mode
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double[] sourceData = _testData.RawData.ToArray();
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double[] spanOutput = new double[sourceData.Length];
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global::QuanTAlib.Trix.Batch(sourceData.AsSpan(), spanOutput.AsSpan(), period);
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// 3. Streaming Mode
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var streamingTrix = new global::QuanTAlib.Trix(period);
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var streamingResults = new List<double>();
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foreach (var item in _testData.Data)
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{
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streamingResults.Add(streamingTrix.Update(item).Value);
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}
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// Compare all modes
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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Assert.Equal(batchResult[i].Value, spanOutput[i], 1e-8);
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Assert.Equal(batchResult[i].Value, streamingResults[i], 1e-8);
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}
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}
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_output.WriteLine("All modes validated to produce identical results");
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}
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// ── J) Self-Consistency: Convergence ──────────────────────────────────────
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[Fact]
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public void Validate_Convergence_AfterWarmup()
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{
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int[] periods = [5, 10, 20, 50];
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foreach (var period in periods)
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{
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var trix = new global::QuanTAlib.Trix(period);
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int warmup = trix.WarmupPeriod; // period * 3
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Assert.False(trix.IsHot);
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for (int i = 0; i < warmup - 1; i++)
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{
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trix.Update(_testData.Data[i]);
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Assert.False(trix.IsHot);
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}
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trix.Update(_testData.Data[warmup - 1]);
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Assert.True(trix.IsHot);
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}
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}
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// ── K) NaN Robustness ────────────────────────────────────────────────────
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[Fact]
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public void Validate_HandlesNaN_Gracefully()
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{
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var trix = new global::QuanTAlib.Trix(10);
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for (int i = 0; i < 20; i++)
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{
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trix.Update(_testData.Data[i]);
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}
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var result = trix.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsFinite(result.Value));
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for (int i = 20; i < 30; i++)
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{
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var r = trix.Update(_testData.Data[i]);
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Assert.True(double.IsFinite(r.Value));
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}
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}
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// ── L) Infinity Robustness ───────────────────────────────────────────────
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[Fact]
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public void Validate_HandlesInfinity_Gracefully()
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{
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var trix = new global::QuanTAlib.Trix(10);
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for (int i = 0; i < 20; i++)
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{
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trix.Update(_testData.Data[i]);
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}
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var resultPos = trix.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultPos.Value));
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var resultNeg = trix.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(resultNeg.Value));
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}
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// ── M) Zero Crossing Behavior ────────────────────────────────────────────
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[Fact]
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public void Validate_ZeroCrossing_DetectsDirectionChange()
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{
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var trix = new global::QuanTAlib.Trix(3);
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// Feed a long sustained uptrend to ensure TRIX stabilizes positive
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for (int i = 0; i < 50; i++)
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{
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trix.Update(new TValue(DateTime.UtcNow, 100 + i * 2));
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}
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double uptrendTrix = trix.Last.Value;
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Assert.True(uptrendTrix > 0, $"Sustained uptrend should produce positive TRIX, got {uptrendTrix}");
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// Feed a long sustained downtrend
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for (int i = 0; i < 50; i++)
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{
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trix.Update(new TValue(DateTime.UtcNow, 200 - i * 2));
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}
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double downtrendTrix = trix.Last.Value;
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Assert.True(downtrendTrix < 0, $"Sustained downtrend should produce negative TRIX, got {downtrendTrix}");
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}
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// ── N) Flat Line ─────────────────────────────────────────────────────────
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[Fact]
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public void Validate_FlatLine_ProducesZeroTrix()
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{
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var trix = new global::QuanTAlib.Trix(10);
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for (int i = 0; i < 200; i++)
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{
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trix.Update(new TValue(DateTime.UtcNow, 100));
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}
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// After sufficient warmup with flat data, TRIX ≈ 0
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// Warmup compensation introduces tiny residual; 1e-4 is sufficient
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Assert.True(Math.Abs(trix.Last.Value) < 1e-4,
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$"Expected TRIX ≈ 0 for flat line, got {trix.Last.Value}");
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}
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// ── O) Large Dataset Precision ───────────────────────────────────────────
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[Fact]
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public void Validate_LargeDataset_MaintainsPrecision()
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{
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const int period = 20;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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var bars = gbm.Fetch(10_000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Compare batch vs streaming on last 100 points of large dataset
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var batchResult = global::QuanTAlib.Trix.Batch(bars.Close, period);
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var streamTrix = new global::QuanTAlib.Trix(period);
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for (int i = 0; i < bars.Close.Count; i++)
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{
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streamTrix.Update(bars.Close[i]);
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}
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// Verify final values match
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Assert.Equal(batchResult.Last.Value, streamTrix.Last.Value, 1e-9);
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}
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// ── P) Different Periods ─────────────────────────────────────────────────
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[Fact]
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public void Validate_DifferentPeriods_ProduceDifferentSensitivity()
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{
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var trix5 = new global::QuanTAlib.Trix(5);
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var trix20 = new global::QuanTAlib.Trix(20);
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var trix50 = new global::QuanTAlib.Trix(50);
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for (int i = 0; i < _testData.Data.Count; i++)
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{
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trix5.Update(_testData.Data[i]);
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trix20.Update(_testData.Data[i]);
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trix50.Update(_testData.Data[i]);
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}
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Assert.True(double.IsFinite(trix5.Last.Value));
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Assert.True(double.IsFinite(trix20.Last.Value));
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Assert.True(double.IsFinite(trix50.Last.Value));
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}
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// ── Q) Batch Span NaN ────────────────────────────────────────────────────
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[Fact]
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public void Validate_BatchSpan_HandlesNaN_InMiddle()
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{
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double[] data = new double[100];
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var gbm = new GBM(startPrice: 100, seed: 42);
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for (int i = 0; i < 100; i++)
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{
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data[i] = gbm.Next().Close;
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}
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data[50] = double.NaN;
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double[] result = new double[100];
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global::QuanTAlib.Trix.Batch(data.AsSpan(), result.AsSpan(), 10);
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foreach (var value in result)
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{
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Assert.True(double.IsFinite(value), $"Expected finite value, got {value}");
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}
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}
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}
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