mirror of
https://github.com/mihakralj/QuanTAlib.git
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562 lines
17 KiB
C#
562 lines
17 KiB
C#
namespace QuanTAlib.Tests;
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public class QemaTests
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{
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[Fact]
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public void Qema_Constructor_Period_ValidatesInput()
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{
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Assert.Throws<ArgumentOutOfRangeException>(() => new Qema(0));
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Assert.Throws<ArgumentOutOfRangeException>(() => new Qema(-1));
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var qema = new Qema(10);
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Assert.NotNull(qema);
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}
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[Fact]
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public void Qema_Calc_ReturnsValue()
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{
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var qema = new Qema(10);
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Assert.Equal(0, qema.Last.Value);
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TValue result = qema.Update(new TValue(DateTime.UtcNow, 100));
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Assert.True(result.Value > 0);
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Assert.Equal(result.Value, qema.Last.Value);
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}
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[Fact]
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public void Qema_Calc_IsNew_AcceptsParameter()
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{
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var qema = new Qema(10);
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qema.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
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double value1 = qema.Last.Value;
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qema.Update(new TValue(DateTime.UtcNow, 105), isNew: true);
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double value2 = qema.Last.Value;
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// Values should change with new bars
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Assert.NotEqual(value1, value2);
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}
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[Fact]
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public void Qema_Calc_IsNew_False_UpdatesValue()
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{
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var qema = new Qema(10);
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, 110), isNew: true);
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double beforeUpdate = qema.Last.Value;
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qema.Update(new TValue(DateTime.UtcNow, 120), isNew: false);
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double afterUpdate = qema.Last.Value;
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// Update should change the value
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Assert.NotEqual(beforeUpdate, afterUpdate);
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}
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[Fact]
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public void Qema_Reset_ClearsState()
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{
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var qema = new Qema(10);
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, 105));
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double valueBefore = qema.Last.Value;
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qema.Reset();
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Assert.Equal(0, qema.Last.Value);
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// After reset, should accept new values
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qema.Update(new TValue(DateTime.UtcNow, 50));
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Assert.NotEqual(0, qema.Last.Value);
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Assert.NotEqual(valueBefore, qema.Last.Value);
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}
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[Fact]
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public void Qema_Properties_Accessible()
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{
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var qema = new Qema(10);
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Assert.Equal(0, qema.Last.Value);
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Assert.False(qema.IsHot);
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qema.Update(new TValue(DateTime.UtcNow, 100));
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Assert.NotEqual(0, qema.Last.Value);
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}
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[Fact]
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public void Qema_IsHot_BecomesTrueWithSufficientData()
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{
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var qema = new Qema(10);
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// Initially IsHot should be false
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Assert.False(qema.IsHot);
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int steps = 0;
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while (!qema.IsHot && steps < 1000)
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{
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qema.Update(new TValue(DateTime.UtcNow, 100));
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steps++;
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}
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Assert.True(qema.IsHot);
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Assert.True(steps > 0);
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}
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[Fact]
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public void Qema_IsHot_IsPeriodDependent()
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{
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int[] periods = [10, 20, 50];
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int[] warmupSteps = new int[periods.Length];
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for (int i = 0; i < periods.Length; i++)
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{
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int period = periods[i];
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var qema = new Qema(period);
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int steps = 0;
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while (!qema.IsHot && steps < 500)
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{
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qema.Update(new TValue(DateTime.UtcNow, 100));
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steps++;
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}
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warmupSteps[i] = steps;
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}
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// Verify warmup times increase with period
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Assert.True(warmupSteps[0] < warmupSteps[1], $"Period 10 ({warmupSteps[0]}) should be less than Period 20 ({warmupSteps[1]})");
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Assert.True(warmupSteps[1] < warmupSteps[2], $"Period 20 ({warmupSteps[1]}) should be less than Period 50 ({warmupSteps[2]})");
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}
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[Fact]
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public void Qema_IterativeCorrections_RestoreToOriginalState()
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{
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var qema = new Qema(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Feed 10 new values
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TValue tenthInput = default;
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for (int i = 0; i < 10; i++)
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{
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var bar = gbm.Next(isNew: true);
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tenthInput = new TValue(bar.Time, bar.Close);
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qema.Update(tenthInput, isNew: true);
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}
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// Remember QEMA state after 10 values
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double qemaAfterTen = qema.Last.Value;
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// Generate 9 corrections with isNew=false (different values)
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for (int i = 0; i < 9; i++)
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{
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var bar = gbm.Next(isNew: false);
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qema.Update(new TValue(bar.Time, bar.Close), isNew: false);
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}
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// Feed the remembered 10th input again with isNew=false
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TValue finalQema = qema.Update(tenthInput, isNew: false);
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// QEMA should match the original state after 10 values
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Assert.Equal(qemaAfterTen, finalQema.Value, 1e-10);
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}
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[Fact]
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public void Qema_BatchCalc_MatchesIterativeCalc()
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{
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var qemaIterative = new Qema(10);
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var qemaBatch = new Qema(10);
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1);
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// Generate data
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var series = new TSeries();
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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series.Add(bar.Time, bar.Close);
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}
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Assert.True(series.Count > 0);
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// Calculate iteratively
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var iterativeResults = new TSeries();
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foreach (var item in series)
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{
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iterativeResults.Add(qemaIterative.Update(item));
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}
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// Calculate batch
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var batchResults = qemaBatch.Update(series);
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// Compare
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Assert.Equal(iterativeResults.Count, batchResults.Count);
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for (int i = 0; i < iterativeResults.Count; i++)
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{
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Assert.Equal(iterativeResults[i].Value, batchResults[i].Value, 1e-10);
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Assert.Equal(iterativeResults[i].Time, batchResults[i].Time);
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}
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}
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[Fact]
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public void Qema_NaN_Input_UsesLastValidValue()
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{
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var qema = new Qema(10);
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// Feed some valid values
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, 110));
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// Feed NaN - should use last valid value (110)
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var resultAfterNaN = qema.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Result should be finite (not NaN)
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Assert.True(double.IsFinite(resultAfterNaN.Value));
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Assert.NotEqual(0, resultAfterNaN.Value);
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}
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[Fact]
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public void Qema_Infinity_Input_UsesLastValidValue()
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{
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var qema = new Qema(10);
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// Feed some valid values
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, 110));
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// Feed positive infinity - should use last valid value
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var resultAfterPosInf = qema.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
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Assert.True(double.IsFinite(resultAfterPosInf.Value));
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// Feed negative infinity - should use last valid value
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var resultAfterNegInf = qema.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
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Assert.True(double.IsFinite(resultAfterNegInf.Value));
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}
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[Fact]
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public void Qema_MultipleNaN_ContinuesWithLastValid()
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{
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var qema = new Qema(10);
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// Feed valid values
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, 110));
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qema.Update(new TValue(DateTime.UtcNow, 120));
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// Feed multiple NaN values
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var r1 = qema.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r2 = qema.Update(new TValue(DateTime.UtcNow, double.NaN));
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var r3 = qema.Update(new TValue(DateTime.UtcNow, double.NaN));
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// All results should be finite
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Assert.True(double.IsFinite(r1.Value));
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Assert.True(double.IsFinite(r2.Value));
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Assert.True(double.IsFinite(r3.Value));
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}
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[Fact]
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public void Qema_BatchCalc_HandlesNaN()
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{
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var qema = new Qema(10);
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// Create series with NaN values interspersed
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var series = new TSeries();
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series.Add(DateTime.UtcNow.Ticks, 100);
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series.Add(DateTime.UtcNow.Ticks + 1, 110);
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series.Add(DateTime.UtcNow.Ticks + 2, double.NaN);
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series.Add(DateTime.UtcNow.Ticks + 3, 120);
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series.Add(DateTime.UtcNow.Ticks + 4, double.PositiveInfinity);
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series.Add(DateTime.UtcNow.Ticks + 5, 130);
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var results = qema.Update(series);
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// All results should be finite
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foreach (var result in results)
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{
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Assert.True(double.IsFinite(result.Value), $"Expected finite value but got {result.Value}");
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}
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}
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[Fact]
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public void Qema_Reset_ClearsLastValidValue()
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{
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var qema = new Qema(10);
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// Feed values including NaN
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qema.Update(new TValue(DateTime.UtcNow, 100));
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qema.Update(new TValue(DateTime.UtcNow, double.NaN));
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// Reset
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qema.Reset();
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// After reset, first valid value should establish new baseline
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var result = qema.Update(new TValue(DateTime.UtcNow, 50));
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Assert.Equal(50.0, result.Value, 1e-10);
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}
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// ============== Span API Tests ==============
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[Fact]
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public void Qema_SpanBatch_Period_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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// Period must be > 0
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Assert.Throws<ArgumentOutOfRangeException>(() => Qema.Batch(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentOutOfRangeException>(() => Qema.Batch(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Qema.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Qema_SpanBatch_MatchesTSeriesBatch()
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{
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var series = new TSeries();
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double[] source = new double[100];
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double[] output = new double[100];
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source[i] = bar.Close;
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series.Add(bar.Time, bar.Close);
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}
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// Calculate with TSeries API
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var tseriesResult = Qema.Batch(series, 10);
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// Calculate with Span API
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Qema.Batch(source.AsSpan(), output.AsSpan(), 10);
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// Compare results
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(tseriesResult[i].Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Qema_SpanBatch_ZeroAllocation()
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{
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double[] source = new double[10000];
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double[] output = new double[10000];
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
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for (int i = 0; i < source.Length; i++)
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{
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source[i] = gbm.Next().Close;
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}
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// Warm up
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Qema.Batch(source.AsSpan(), output.AsSpan(), 100);
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// This test verifies the method runs without throwing
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void Qema_SpanBatch_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Qema.Batch(source.AsSpan(), output.AsSpan(), 3);
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// All outputs should be finite
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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[Fact]
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public void Qema_SpanBatch_BiasCorrection_Works()
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{
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double[] source = [100, 100, 100, 100, 100];
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double[] output = new double[5];
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Qema.Batch(source.AsSpan(), output.AsSpan(), 3);
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// With bias correction, first value should equal input (zero lag for constant)
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Assert.Equal(100.0, output[0], 1e-10);
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// All values should converge to 100 since input is constant
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foreach (var val in output)
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{
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Assert.Equal(100.0, val, 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 source = new TSeries();
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var qema = new Qema(source, 10);
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source.Add(new TValue(DateTime.UtcNow, 100));
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Assert.Equal(100, qema.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_SetsStateCorrectly()
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{
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var qema = new Qema(5);
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double[] history = [10, 20, 30, 40, 50];
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qema.Prime(history);
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// Verify against a fresh QEMA fed with same data
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var verifyQema = new Qema(5);
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foreach (var val in history)
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{
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verifyQema.Update(new TValue(DateTime.UtcNow, val));
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}
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Assert.Equal(verifyQema.Last.Value, qema.Last.Value, 1e-10);
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Assert.Equal(verifyQema.IsHot, qema.IsHot);
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// Verify it continues correctly
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qema.Update(new TValue(DateTime.UtcNow, 60));
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verifyQema.Update(new TValue(DateTime.UtcNow, 60));
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Assert.Equal(verifyQema.Last.Value, qema.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_HandlesNaN_InHistory()
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{
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var qema = new Qema(5);
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double[] history = [10, 20, double.NaN, 40, 50];
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qema.Prime(history);
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var verifyQema = new Qema(5);
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foreach (var val in history)
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{
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verifyQema.Update(new TValue(DateTime.UtcNow, val));
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}
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Assert.Equal(verifyQema.Last.Value, qema.Last.Value, 1e-10);
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}
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[Fact]
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public void Prime_ThenUpdate_StateWorksCorrectly()
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{
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var qema = new Qema(5);
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double[] history = [10, 20, 30, 40, 50];
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qema.Prime(history);
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double afterPrime = qema.Last.Value;
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// After Prime, an isNew=true should advance the state
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qema.Update(new TValue(DateTime.UtcNow, 60), isNew: true);
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double afterNewBar = qema.Last.Value;
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// Values should be different
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Assert.NotEqual(afterPrime, afterNewBar);
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// isNew=false with a different value should recalculate from previous state
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qema.Update(new TValue(DateTime.UtcNow, 70), isNew: false);
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double afterCorrection = qema.Last.Value;
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// Correction with 70 should give different result than 60
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Assert.NotEqual(afterNewBar, afterCorrection);
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// isNew=false with original value (60) should restore to afterNewBar
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qema.Update(new TValue(DateTime.UtcNow, 60), isNew: false);
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Assert.Equal(afterNewBar, qema.Last.Value, 1e-10);
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}
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[Fact]
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public void Qema_AllModes_ProduceSameResult()
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{
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// Arrange
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int period = 10;
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var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
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var bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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var series = bars.Close;
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// 1. Batch Mode
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var batchSeries = Qema.Batch(series, period);
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double expected = batchSeries.Last.Value;
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// 2. Span Mode
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var tValues = series.Values.ToArray();
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var spanInput = new ReadOnlySpan<double>(tValues);
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var spanOutput = new double[tValues.Length];
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Qema.Batch(spanInput, spanOutput, period);
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double spanResult = spanOutput[^1];
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// 3. Streaming Mode
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var streamingInd = new Qema(period);
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for (int i = 0; i < series.Count; i++)
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{
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streamingInd.Update(series[i]);
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}
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double streamingResult = streamingInd.Last.Value;
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// 4. Eventing Mode
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var pubSource = new TSeries();
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var eventingInd = new Qema(pubSource, period);
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for (int i = 0; i < series.Count; i++)
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{
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pubSource.Add(series[i]);
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}
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double eventingResult = eventingInd.Last.Value;
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// Assert
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Assert.Equal(expected, spanResult, precision: 9);
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Assert.Equal(expected, streamingResult, precision: 9);
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Assert.Equal(expected, eventingResult, precision: 9);
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}
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[Fact]
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public void Qema_ZeroLag_WithConstantInput()
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{
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// QEMA should produce zero DC lag for constant input
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var qema = new Qema(20);
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// Feed constant values
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for (int i = 0; i < 100; i++)
|
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{
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qema.Update(new TValue(DateTime.UtcNow, 100));
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|
}
|
|
|
|
// With zero DC lag, output should equal input for constant signal
|
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Assert.Equal(100.0, qema.Last.Value, 1e-9);
|
|
}
|
|
|
|
[Fact]
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|
public void Qema_ProgressiveAlphas_ProduceDifferentFromTema()
|
|
{
|
|
// QEMA uses progressive alphas, not fixed alpha like TEMA
|
|
// Results should differ from simple quad EMA with same alpha
|
|
var qema = new Qema(20);
|
|
var gbm = new GBM(startPrice: 100, mu: 0.02, sigma: 0.15, seed: 999);
|
|
|
|
var values = new List<double>();
|
|
for (int i = 0; i < 50; i++)
|
|
{
|
|
var bar = gbm.Next();
|
|
var result = qema.Update(new TValue(bar.Time, bar.Close));
|
|
values.Add(result.Value);
|
|
}
|
|
|
|
// All values should be finite
|
|
Assert.All(values, v => Assert.True(double.IsFinite(v)));
|
|
|
|
// QEMA output should be smooth (no wild jumps)
|
|
for (int i = 1; i < values.Count; i++)
|
|
{
|
|
double change = Math.Abs(values[i] - values[i - 1]);
|
|
Assert.True(change < 20, $"Change at index {i} is {change}, expected < 20");
|
|
}
|
|
}
|
|
}
|