mirror of
https://github.com/mihakralj/QuanTAlib.git
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86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
305 lines
9.2 KiB
C#
305 lines
9.2 KiB
C#
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namespace QuanTAlib;
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public class WmaTests
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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 wma = new Wma(10);
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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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for (int i = 0; i < bars.Count; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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Assert.True(double.IsFinite(wma.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 wma = new Wma(10);
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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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// Feed first 99
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for (int i = 0; i < 99; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Update with 100th point (isNew=true)
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wma.Update(new TValue(bars[99].Time, bars[99].Close), true);
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// Update with modified 100th point (isNew=false)
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var val2 = wma.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), false);
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// Create new instance and feed up to modified
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var wma2 = new Wma(10);
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for (int i = 0; i < 99; i++)
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{
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wma2.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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var val3 = wma2.Update(new TValue(bars[99].Time, bars[99].Close + 1.0), true);
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Assert.Equal(val3.Value, val2.Value, 1e-9);
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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 wma = new Wma(10);
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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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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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wma.Reset();
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Assert.Equal(0, wma.Last.Value);
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Assert.False(wma.IsHot);
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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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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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Assert.True(double.IsFinite(wma.Last.Value));
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}
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[Fact]
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public void TSeries_Update_Matches_Streaming()
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{
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var wma = new Wma(10);
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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 streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var wma2 = new Wma(10);
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var seriesResults = wma2.Update(series);
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Assert.Equal(streamingResults.Count, seriesResults.Count);
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for (int i = 0; i < seriesResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], seriesResults.Values[i], 1e-9);
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}
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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 wma = new Wma(10);
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var streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var staticResults = Wma.Batch(series, 10);
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Assert.Equal(streamingResults.Count, staticResults.Count);
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for (int i = 0; i < staticResults.Count; i++)
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{
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Assert.Equal(streamingResults[i], staticResults.Values[i], 1e-9);
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}
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}
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[Fact]
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public void StaticBatchSpan_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 wma = new Wma(10);
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var streamingResults = new List<double>();
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for (int i = 0; i < series.Count; i++)
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{
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streamingResults.Add(wma.Update(series[i]).Value);
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}
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var spanResults = new double[series.Count];
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Wma.Batch(series.Values, spanResults, 10);
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for (int i = 0; i < spanResults.Length; i++)
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{
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Assert.Equal(streamingResults[i], spanResults[i], 1e-9);
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}
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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 wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(10, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// Test TSeries chain
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var result = wma.Update(series);
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Assert.NotNull(result);
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Assert.IsType<TSeries>(result);
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// Test TValue chain
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var result2 = wma.Update(series[0]);
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Assert.IsType<TValue>(result2);
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}
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[Fact]
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public void Constructor_InvalidParameters_ThrowsArgumentException()
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{
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Assert.Throws<ArgumentException>(() => new Wma(0));
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Assert.Throws<ArgumentException>(() => new Wma(-1));
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}
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[Fact]
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public void Dispose_UnsubscribesFromSource()
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{
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var source = new TSeries();
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var wma = new Wma(source, 10);
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// Verify subscription works
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, wma.Last.Value);
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// Dispose
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wma.Dispose();
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// Verify unsubscription
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source.Add(new TValue(DateTime.UtcNow, 200));
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// Last value should remain unchanged if unsubscribed
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Assert.Equal(100, wma.Last.Value);
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}
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[Fact]
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public void DefaultLastValidValue_IsNaN()
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{
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var wma = new Wma(10);
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Assert.True(double.IsNaN(wma.DefaultLastValidValue));
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}
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[Fact]
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public void InitialNaNs_ResultInNaN()
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{
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var wma = new Wma(5);
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wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, double.NaN));
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Assert.True(double.IsNaN(wma.Last.Value));
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}
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[Fact]
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public void RecoveryFromNaN_Works()
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{
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var wma = new Wma(3);
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// Feed NaNs
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // [NaN]
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // [NaN, NaN]
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Assert.True(double.IsNaN(wma.Last.Value));
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// Feed valid values
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wma.Update(new TValue(DateTime.UtcNow, 1.0)); // [NaN, NaN, 1] -> Sum is NaN
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, 2.0)); // [NaN, 1, 2] -> Sum is NaN
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Assert.True(double.IsNaN(wma.Last.Value));
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wma.Update(new TValue(DateTime.UtcNow, 3.0)); // [1, 2, 3] -> Sum should recover!
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// WMA(3) of [1, 2, 3] = (1*1 + 2*2 + 3*3) / 6 = (1+4+9)/6 = 14/6 = 2.333...
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Assert.Equal(2.333333333, wma.Last.Value, 1e-6);
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}
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[Fact]
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public void ConfigurableDefault_Works()
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{
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var wma = new Wma(3) { DefaultLastValidValue = 0 };
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// Feed NaN
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wma.Update(new TValue(DateTime.UtcNow, double.NaN)); // Treated as 0 -> [0]
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// WMA(3) of [0] -> (1*0)/1 = 0
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Assert.Equal(0, wma.Last.Value);
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wma.Update(new TValue(DateTime.UtcNow, 3.0)); // [0, 3]
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// WMA(3) of [0, 3] -> (1*0 + 2*3) / 3 = 6/3 = 2
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Assert.Equal(2, wma.Last.Value);
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}
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[Fact]
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public void Update_IsNewFalse_OnEmptyBuffer_ThrowsInvalidOperationException()
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{
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var wma = new Wma(10);
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// Calling Update with isNew=false on an empty buffer should throw
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var exception = Assert.Throws<InvalidOperationException>(() =>
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wma.Update(new TValue(DateTime.UtcNow, 100.0), isNew: false));
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Assert.Contains("isNew=false", exception.Message, StringComparison.Ordinal);
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Assert.Contains("buffer is empty", exception.Message, StringComparison.Ordinal);
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Assert.Contains("isNew=true", exception.Message, StringComparison.Ordinal);
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}
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[Fact]
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public void Update_IsNewFalse_AfterReset_ThrowsInvalidOperationException()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some data
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for (int i = 0; i < 10; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close));
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}
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// Reset clears the buffer
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wma.Reset();
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// Calling Update with isNew=false after reset should throw
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var exception = Assert.Throws<InvalidOperationException>(() =>
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wma.Update(new TValue(bars[10].Time, bars[10].Close), isNew: false));
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Assert.Contains("isNew=false", exception.Message, StringComparison.Ordinal);
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Assert.Contains("buffer is empty", exception.Message, StringComparison.Ordinal);
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}
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[Fact]
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public void Update_IsNewFalse_WithData_WorksCorrectly()
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{
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var wma = new Wma(10);
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var gbm = new GBM();
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var bars = gbm.Fetch(20, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// Feed some data first
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for (int i = 0; i < 5; i++)
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{
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wma.Update(new TValue(bars[i].Time, bars[i].Close), isNew: true);
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}
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// Now isNew=false should work (buffer has data)
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var result = wma.Update(new TValue(bars[4].Time, bars[4].Close + 10), isNew: false);
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// Should not throw and should return a finite value
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Assert.True(double.IsFinite(result.Value));
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}
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}
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