feat: init the repo

This commit is contained in:
Pratik Bhadane
2026-03-23 23:34:28 +05:30
commit 7a5a220dfe
344 changed files with 75728 additions and 0 deletions
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"""
Unit test conftest — inherits shared fixtures from tests/conftest.py.
pytest automatically loads parent conftest.py files, so all fixtures
defined in tests/conftest.py (ohlcv_500, ohlcv_100, ohlcv_real) are
available here without any explicit import.
"""
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"""Unit tests for ferro_ta.indicators.cycle"""
import numpy as np
import pytest
from ferro_ta.indicators.cycle import (
HT_DCPERIOD, HT_DCPHASE, HT_PHASOR, HT_SINE, HT_TRENDLINE, HT_TRENDMODE,
)
# ---------------------------------------------------------------------------
# Shared fixtures — cycle indicators need at least ~64 bars for valid output
# ---------------------------------------------------------------------------
N = 200
t = np.linspace(0, 10 * np.pi, N)
SINE_CLOSE = 100 + 10 * np.sin(t) # clean sine wave
def _warmup_end(arr):
"""Return index of first non-NaN value (or N if all NaN)."""
valid = np.where(~np.isnan(arr.astype(float)))[0]
return valid[0] if len(valid) else N
# ---------------------------------------------------------------------------
# HT_DCPERIOD
# ---------------------------------------------------------------------------
class TestHT_DCPERIOD:
def test_length(self):
result = HT_DCPERIOD(SINE_CLOSE)
assert len(result) == N
def test_nan_warmup(self):
result = HT_DCPERIOD(SINE_CLOSE)
w = _warmup_end(result)
assert w > 0
assert np.all(np.isnan(result[:w]))
def test_valid_finite(self):
result = HT_DCPERIOD(SINE_CLOSE)
w = _warmup_end(result)
assert np.all(np.isfinite(result[w:]))
def test_sine_period_reasonable(self):
# Our sine has period = 2*pi in t; with N=200 and t in [0,10*pi]
# the true period in samples = 200 / (10*pi / (2*pi)) = 200/5 = 40
result = HT_DCPERIOD(SINE_CLOSE)
valid = result[~np.isnan(result)]
# HT_DCPERIOD should detect a period in a reasonable range [6, 100]
assert np.any((valid > 6) & (valid < 100))
# ---------------------------------------------------------------------------
# HT_DCPHASE
# ---------------------------------------------------------------------------
class TestHT_DCPHASE:
def test_length(self):
assert len(HT_DCPHASE(SINE_CLOSE)) == N
def test_nan_warmup(self):
result = HT_DCPHASE(SINE_CLOSE)
w = _warmup_end(result)
assert w > 0
def test_valid_finite(self):
result = HT_DCPHASE(SINE_CLOSE)
w = _warmup_end(result)
assert np.all(np.isfinite(result[w:]))
# ---------------------------------------------------------------------------
# HT_PHASOR
# ---------------------------------------------------------------------------
class TestHT_PHASOR:
def test_returns_two_arrays(self):
result = HT_PHASOR(SINE_CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_length(self):
inphase, quadrature = HT_PHASOR(SINE_CLOSE)
assert len(inphase) == len(quadrature) == N
def test_nan_warmup(self):
inphase, quadrature = HT_PHASOR(SINE_CLOSE)
w = _warmup_end(inphase)
assert w > 0
def test_valid_finite(self):
inphase, quadrature = HT_PHASOR(SINE_CLOSE)
wi = _warmup_end(inphase)
wq = _warmup_end(quadrature)
assert np.all(np.isfinite(inphase[wi:]))
assert np.all(np.isfinite(quadrature[wq:]))
# ---------------------------------------------------------------------------
# HT_SINE
# ---------------------------------------------------------------------------
class TestHT_SINE:
def test_returns_two_arrays(self):
result = HT_SINE(SINE_CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_length(self):
sine, leadsine = HT_SINE(SINE_CLOSE)
assert len(sine) == len(leadsine) == N
def test_nan_warmup(self):
sine, leadsine = HT_SINE(SINE_CLOSE)
w = _warmup_end(sine)
assert w > 0
def test_valid_finite(self):
sine, leadsine = HT_SINE(SINE_CLOSE)
ws = _warmup_end(sine)
wl = _warmup_end(leadsine)
assert np.all(np.isfinite(sine[ws:]))
assert np.all(np.isfinite(leadsine[wl:]))
def test_values_in_sine_range(self):
# Sine values should be in [-1, 1] roughly
sine, leadsine = HT_SINE(SINE_CLOSE)
valid = sine[~np.isnan(sine)]
assert np.all(valid >= -1.5) and np.all(valid <= 1.5)
# ---------------------------------------------------------------------------
# HT_TRENDLINE
# ---------------------------------------------------------------------------
class TestHT_TRENDLINE:
def test_length(self):
assert len(HT_TRENDLINE(SINE_CLOSE)) == N
def test_nan_warmup(self):
result = HT_TRENDLINE(SINE_CLOSE)
w = _warmup_end(result)
assert w > 0
def test_valid_finite(self):
result = HT_TRENDLINE(SINE_CLOSE)
w = _warmup_end(result)
assert np.all(np.isfinite(result[w:]))
def test_smooth_trendline(self):
# Trendline should be smoother than raw close
result = HT_TRENDLINE(SINE_CLOSE)
w = _warmup_end(result)
raw_std = np.std(np.diff(SINE_CLOSE[w:]))
trend_std = np.std(np.diff(result[w:]))
assert trend_std < raw_std
# ---------------------------------------------------------------------------
# HT_TRENDMODE
# ---------------------------------------------------------------------------
class TestHT_TRENDMODE:
def test_length(self):
assert len(HT_TRENDMODE(SINE_CLOSE)) == N
def test_values_binary(self):
result = HT_TRENDMODE(SINE_CLOSE)
assert np.all(np.isin(result, [0, 1]))
def test_nan_warmup_as_zero(self):
# HT_TRENDMODE returns integers (no NaN); warmup bars should be 0
result = HT_TRENDMODE(SINE_CLOSE)
assert np.all(np.isfinite(result.astype(float)))
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"""Unit tests for ferro_ta.indicators.extended"""
import numpy as np
import pytest
from ferro_ta.indicators.extended import (
VWAP, SUPERTREND, ICHIMOKU, DONCHIAN, PIVOT_POINTS,
KELTNER_CHANNELS, HULL_MA, CHANDELIER_EXIT, VWMA, CHOPPINESS_INDEX,
)
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(99)
N = 200
_C = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_H = _C + np.abs(RNG.normal(0, 0.3, N))
_L = _C - np.abs(RNG.normal(0, 0.3, N))
_O = _C + RNG.normal(0, 0.1, N)
_VOL = RNG.uniform(1000, 5000, N)
# ---------------------------------------------------------------------------
# VWAP
# ---------------------------------------------------------------------------
class TestVWAP:
def test_length(self):
result = VWAP(_H, _L, _C, _VOL)
assert len(result) == N
def test_no_nan(self):
result = VWAP(_H, _L, _C, _VOL)
assert np.all(np.isfinite(result))
def test_positive(self):
result = VWAP(_H, _L, _C, _VOL)
assert np.all(result > 0)
def test_windowed(self):
result = VWAP(_H, _L, _C, _VOL, timeperiod=20)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# SUPERTREND
# ---------------------------------------------------------------------------
class TestSUPERTREND:
def test_returns_two_arrays(self):
result = SUPERTREND(_H, _L, _C)
assert isinstance(result, tuple) and len(result) == 2
def test_length(self):
trend, direction = SUPERTREND(_H, _L, _C)
assert len(trend) == len(direction) == N
def test_direction_binary(self):
trend, direction = SUPERTREND(_H, _L, _C)
valid = direction[~np.isnan(direction.astype(float))]
assert np.all(np.isin(valid, [-1, 0, 1]))
def test_nan_warmup(self):
trend, direction = SUPERTREND(_H, _L, _C, timeperiod=7)
assert np.any(np.isnan(trend))
# ---------------------------------------------------------------------------
# ICHIMOKU
# ---------------------------------------------------------------------------
class TestICHIMOKU:
def test_returns_five_arrays(self):
result = ICHIMOKU(_H, _L, _C)
assert isinstance(result, tuple) and len(result) == 5
def test_length(self):
result = ICHIMOKU(_H, _L, _C)
for arr in result:
assert len(arr) == N
def test_tenkan_warmup(self):
tenkan, kijun, senkou_a, senkou_b, chikou = ICHIMOKU(_H, _L, _C, tenkan_period=9)
assert np.all(np.isnan(tenkan[:8]))
def test_finite_after_warmup(self):
tenkan, kijun, senkou_a, senkou_b, chikou = ICHIMOKU(_H, _L, _C)
for arr in [tenkan, kijun]:
valid = arr[~np.isnan(arr)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# DONCHIAN
# ---------------------------------------------------------------------------
class TestDONCHIAN:
def test_returns_three_arrays(self):
result = DONCHIAN(_H, _L)
assert isinstance(result, tuple) and len(result) == 3
def test_length(self):
upper, middle, lower = DONCHIAN(_H, _L)
assert len(upper) == len(middle) == len(lower) == N
def test_upper_ge_lower(self):
upper, middle, lower = DONCHIAN(_H, _L)
valid = ~np.isnan(upper) & ~np.isnan(lower)
assert np.all(upper[valid] >= lower[valid])
def test_middle_is_average(self):
upper, middle, lower = DONCHIAN(_H, _L)
valid = ~np.isnan(upper) & ~np.isnan(lower) & ~np.isnan(middle)
np.testing.assert_allclose(
middle[valid],
(upper[valid] + lower[valid]) / 2.0,
rtol=1e-10,
)
def test_nan_warmup(self):
upper, middle, lower = DONCHIAN(_H, _L, timeperiod=20)
assert np.all(np.isnan(upper[:19]))
# ---------------------------------------------------------------------------
# PIVOT_POINTS
# ---------------------------------------------------------------------------
class TestPIVOT_POINTS:
def test_returns_five_arrays(self):
result = PIVOT_POINTS(_H, _L, _C)
assert isinstance(result, tuple) and len(result) == 5
def test_length(self):
result = PIVOT_POINTS(_H, _L, _C)
for arr in result:
assert len(arr) == N
def test_classic_pivot_formula(self):
# PP = (H + L + C) / 3
pp, r1, s1, r2, s2 = PIVOT_POINTS(_H, _L, _C, method='classic')
valid = ~np.isnan(pp)
expected_pp = (_H[:-1] + _L[:-1] + _C[:-1]) / 3.0
np.testing.assert_allclose(pp[valid], expected_pp[valid[1:]], rtol=1e-6)
def test_first_is_nan(self):
pp, r1, s1, r2, s2 = PIVOT_POINTS(_H, _L, _C)
assert np.isnan(pp[0])
# ---------------------------------------------------------------------------
# KELTNER_CHANNELS
# ---------------------------------------------------------------------------
class TestKELTNER_CHANNELS:
def test_returns_three_arrays(self):
result = KELTNER_CHANNELS(_H, _L, _C)
assert isinstance(result, tuple) and len(result) == 3
def test_length(self):
upper, middle, lower = KELTNER_CHANNELS(_H, _L, _C)
assert len(upper) == len(middle) == len(lower) == N
def test_upper_gt_lower(self):
upper, middle, lower = KELTNER_CHANNELS(_H, _L, _C)
valid = ~np.isnan(upper) & ~np.isnan(lower)
assert np.all(upper[valid] > lower[valid])
def test_nan_warmup(self):
upper, middle, lower = KELTNER_CHANNELS(_H, _L, _C, timeperiod=20)
assert np.all(np.isnan(upper[:19]))
# ---------------------------------------------------------------------------
# HULL_MA
# ---------------------------------------------------------------------------
class TestHULL_MA:
def test_length(self):
assert len(HULL_MA(_C, timeperiod=16)) == N
def test_nan_warmup(self):
result = HULL_MA(_C, timeperiod=16)
assert np.all(np.isnan(result[:18]))
def test_finite_after_warmup(self):
result = HULL_MA(_C, timeperiod=16)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
def test_tracks_trend(self):
rising = np.linspace(10.0, 200.0, 200)
result = HULL_MA(rising, timeperiod=16)
valid = result[~np.isnan(result)]
assert np.all(np.diff(valid) > 0)
# ---------------------------------------------------------------------------
# CHANDELIER_EXIT
# ---------------------------------------------------------------------------
class TestCHANDELIER_EXIT:
def test_returns_two_arrays(self):
result = CHANDELIER_EXIT(_H, _L, _C)
assert isinstance(result, tuple) and len(result) == 2
def test_length(self):
long_stop, short_stop = CHANDELIER_EXIT(_H, _L, _C)
assert len(long_stop) == len(short_stop) == N
def test_nan_warmup(self):
long_stop, short_stop = CHANDELIER_EXIT(_H, _L, _C, timeperiod=22)
assert np.all(np.isnan(long_stop[:21]))
def test_finite_after_warmup(self):
long_stop, short_stop = CHANDELIER_EXIT(_H, _L, _C, timeperiod=22)
for arr in [long_stop, short_stop]:
valid = arr[~np.isnan(arr)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# VWMA
# ---------------------------------------------------------------------------
class TestVWMA:
def test_length(self):
assert len(VWMA(_C, _VOL, timeperiod=20)) == N
def test_nan_warmup(self):
result = VWMA(_C, _VOL, timeperiod=20)
assert np.all(np.isnan(result[:19]))
def test_finite_after_warmup(self):
result = VWMA(_C, _VOL, timeperiod=20)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
def test_constant_volume_equals_sma(self):
# When all volumes are equal, VWMA = SMA
vol = np.ones(N) * 1000.0
vwma = VWMA(_C, vol, timeperiod=20)
from ferro_ta.indicators.overlap import SMA
sma = SMA(_C, timeperiod=20)
valid = ~np.isnan(vwma) & ~np.isnan(sma)
np.testing.assert_allclose(vwma[valid], sma[valid], rtol=1e-8)
# ---------------------------------------------------------------------------
# CHOPPINESS_INDEX
# ---------------------------------------------------------------------------
class TestCHOPPINESS_INDEX:
def test_length(self):
assert len(CHOPPINESS_INDEX(_H, _L, _C, timeperiod=14)) == N
def test_nan_warmup(self):
result = CHOPPINESS_INDEX(_H, _L, _C, timeperiod=14)
assert np.all(np.isnan(result[:14]))
def test_range(self):
# Choppiness index is bounded between 0 and 100
result = CHOPPINESS_INDEX(_H, _L, _C, timeperiod=14)
valid = result[~np.isnan(result)]
assert np.all(valid > 0) and np.all(valid < 200)
def test_finite_after_warmup(self):
result = CHOPPINESS_INDEX(_H, _L, _C, timeperiod=14)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
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"""Unit tests for ferro_ta.indicators.math_ops"""
import numpy as np
import pytest
from ferro_ta.indicators.math_ops import (
ADD, SUB, MULT, DIV, SUM, MAX, MIN, MAXINDEX, MININDEX,
ACOS, ASIN, ATAN, CEIL, COS, COSH, EXP, FLOOR,
LN, LOG10, SIN, SINH, SQRT, TAN, TANH,
)
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
A3 = np.array([1.0, 2.0, 3.0])
B3 = np.array([4.0, 5.0, 6.0])
TRIG = np.array([0.0, np.pi / 6, np.pi / 4, np.pi / 3, np.pi / 2])
UNIT = np.array([0.0, 0.25, 0.5, 0.75, 1.0]) # values in [0,1] for ASIN/ACOS
RNG = np.random.default_rng(17)
N = 100
_ARR = 1.0 + RNG.random(N) * 9.0 # positive values in (1, 10]
# ---------------------------------------------------------------------------
# ADD
# ---------------------------------------------------------------------------
class TestADD:
def test_known_values(self):
result = ADD(A3, B3)
np.testing.assert_allclose(result, [5.0, 7.0, 9.0], rtol=1e-10)
def test_commutative(self):
np.testing.assert_allclose(ADD(A3, B3), ADD(B3, A3), rtol=1e-10)
def test_length(self):
assert len(ADD(_ARR, _ARR)) == N
# ---------------------------------------------------------------------------
# SUB
# ---------------------------------------------------------------------------
class TestSUB:
def test_known_values(self):
result = SUB(B3, A3)
np.testing.assert_allclose(result, [3.0, 3.0, 3.0], rtol=1e-10)
def test_length(self):
assert len(SUB(_ARR, _ARR)) == N
# ---------------------------------------------------------------------------
# MULT
# ---------------------------------------------------------------------------
class TestMULT:
def test_known_values(self):
result = MULT(A3, B3)
np.testing.assert_allclose(result, [4.0, 10.0, 18.0], rtol=1e-10)
def test_commutative(self):
np.testing.assert_allclose(MULT(A3, B3), MULT(B3, A3), rtol=1e-10)
def test_length(self):
assert len(MULT(_ARR, _ARR)) == N
# ---------------------------------------------------------------------------
# DIV
# ---------------------------------------------------------------------------
class TestDIV:
def test_known_values(self):
result = DIV(B3, A3)
np.testing.assert_allclose(result, [4.0, 2.5, 2.0], rtol=1e-10)
def test_self_division_is_one(self):
np.testing.assert_allclose(DIV(_ARR, _ARR), np.ones(N), rtol=1e-10)
def test_length(self):
assert len(DIV(_ARR, _ARR)) == N
# ---------------------------------------------------------------------------
# SUM
# ---------------------------------------------------------------------------
class TestSUM:
def test_known_values(self):
arr = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
result = SUM(arr, timeperiod=3)
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], 6.0, rtol=1e-10)
np.testing.assert_allclose(result[4], 12.0, rtol=1e-10)
def test_nan_warmup(self):
result = SUM(_ARR, timeperiod=5)
assert np.all(np.isnan(result[:4]))
def test_length(self):
assert len(SUM(_ARR, 5)) == N
# ---------------------------------------------------------------------------
# MAX
# ---------------------------------------------------------------------------
class TestMAX:
def test_known_values(self):
arr = np.array([1.0, 3.0, 2.0, 5.0, 4.0])
result = MAX(arr, timeperiod=3)
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], 3.0, rtol=1e-10)
np.testing.assert_allclose(result[3], 5.0, rtol=1e-10)
np.testing.assert_allclose(result[4], 5.0, rtol=1e-10)
def test_nan_warmup(self):
result = MAX(_ARR, timeperiod=5)
assert np.all(np.isnan(result[:4]))
def test_length(self):
assert len(MAX(_ARR, 5)) == N
# ---------------------------------------------------------------------------
# MIN
# ---------------------------------------------------------------------------
class TestMIN:
def test_known_values(self):
arr = np.array([5.0, 3.0, 4.0, 1.0, 2.0])
result = MIN(arr, timeperiod=3)
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], 3.0, rtol=1e-10)
np.testing.assert_allclose(result[3], 1.0, rtol=1e-10)
def test_length(self):
assert len(MIN(_ARR, 5)) == N
# ---------------------------------------------------------------------------
# MAXINDEX
# ---------------------------------------------------------------------------
class TestMAXINDEX:
def test_known_values(self):
arr = np.array([1.0, 5.0, 3.0, 2.0, 4.0])
result = MAXINDEX(arr, timeperiod=3)
# warmup entries are -1 (sentinel for "no data")
assert result[0] < 0 and result[1] < 0
# window[0:3] = [1,5,3] → max at local index 1 → absolute index 1
np.testing.assert_allclose(result[2], 1.0, rtol=1e-10)
# window[2:5] = [3,2,4] → max at local index 2 → absolute index 4
np.testing.assert_allclose(result[4], 4.0, rtol=1e-10)
def test_length(self):
assert len(MAXINDEX(_ARR, 5)) == N
# ---------------------------------------------------------------------------
# MININDEX
# ---------------------------------------------------------------------------
class TestMININDEX:
def test_known_values(self):
arr = np.array([5.0, 1.0, 3.0, 2.0, 4.0])
result = MININDEX(arr, timeperiod=3)
# warmup entries are -1 (sentinel for "no data")
assert result[0] < 0 and result[1] < 0
# window[0:3] = [5,1,3] → min at local index 1 → absolute index 1
np.testing.assert_allclose(result[2], 1.0, rtol=1e-10)
# window[2:5] = [3,2,4] → min at local index 1 → absolute index 3
np.testing.assert_allclose(result[4], 3.0, rtol=1e-10)
def test_length(self):
assert len(MININDEX(_ARR, 5)) == N
# ---------------------------------------------------------------------------
# Trig functions
# ---------------------------------------------------------------------------
class TestSIN:
def test_known_values(self):
angles = np.array([0.0, np.pi / 2, np.pi])
result = SIN(angles)
np.testing.assert_allclose(result, np.sin(angles), atol=1e-10)
def test_matches_numpy(self):
np.testing.assert_allclose(SIN(TRIG), np.sin(TRIG), rtol=1e-10)
class TestCOS:
def test_matches_numpy(self):
np.testing.assert_allclose(COS(TRIG), np.cos(TRIG), rtol=1e-10)
class TestTAN:
def test_matches_numpy(self):
safe = np.array([0.0, 0.5, 1.0])
np.testing.assert_allclose(TAN(safe), np.tan(safe), rtol=1e-10)
class TestASIN:
def test_matches_numpy(self):
np.testing.assert_allclose(ASIN(UNIT), np.arcsin(UNIT), rtol=1e-10)
class TestACOS:
def test_matches_numpy(self):
np.testing.assert_allclose(ACOS(UNIT), np.arccos(UNIT), rtol=1e-10)
class TestATAN:
def test_matches_numpy(self):
np.testing.assert_allclose(ATAN(TRIG), np.arctan(TRIG), rtol=1e-10)
class TestSINH:
def test_matches_numpy(self):
np.testing.assert_allclose(SINH(A3), np.sinh(A3), rtol=1e-10)
class TestCOSH:
def test_matches_numpy(self):
np.testing.assert_allclose(COSH(A3), np.cosh(A3), rtol=1e-10)
class TestTANH:
def test_matches_numpy(self):
np.testing.assert_allclose(TANH(UNIT), np.tanh(UNIT), rtol=1e-10)
# ---------------------------------------------------------------------------
# Rounding/exponential
# ---------------------------------------------------------------------------
class TestCEIL:
def test_known_values(self):
arr = np.array([1.1, 2.5, 3.9, -0.5])
np.testing.assert_allclose(CEIL(arr), np.ceil(arr), rtol=1e-10)
class TestFLOOR:
def test_known_values(self):
arr = np.array([1.1, 2.5, 3.9, -0.5])
np.testing.assert_allclose(FLOOR(arr), np.floor(arr), rtol=1e-10)
class TestEXP:
def test_matches_numpy(self):
np.testing.assert_allclose(EXP(A3), np.exp(A3), rtol=1e-10)
def test_exp_zero_is_one(self):
np.testing.assert_allclose(EXP(np.array([0.0])), [1.0], rtol=1e-10)
class TestLN:
def test_matches_numpy(self):
np.testing.assert_allclose(LN(_ARR), np.log(_ARR), rtol=1e-10)
def test_ln_exp_inverse(self):
np.testing.assert_allclose(LN(EXP(A3)), A3, rtol=1e-10)
class TestLOG10:
def test_matches_numpy(self):
np.testing.assert_allclose(LOG10(_ARR), np.log10(_ARR), rtol=1e-10)
def test_log10_of_100_is_2(self):
np.testing.assert_allclose(LOG10(np.array([100.0])), [2.0], rtol=1e-10)
class TestSQRT:
def test_matches_numpy(self):
np.testing.assert_allclose(SQRT(_ARR), np.sqrt(_ARR), rtol=1e-10)
def test_sqrt_of_4_is_2(self):
np.testing.assert_allclose(SQRT(np.array([4.0])), [2.0], rtol=1e-10)
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"""Unit tests for ferro_ta.indicators.momentum"""
import numpy as np
import pytest
from ferro_ta.indicators.momentum import (
RSI, STOCH, STOCHF, STOCHRSI,
ADX, ADXR, CCI, WILLR, AROON, AROONOSC,
MFI, MOM, ROC, ROCP, ROCR, ROCR100,
CMO, DX, MINUS_DI, MINUS_DM, PLUS_DI, PLUS_DM,
PPO, APO, TRIX, ULTOSC, BOP,
)
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(7)
N = 100
_CLOSE = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_HIGH = _CLOSE + np.abs(RNG.normal(0, 0.3, N))
_LOW = _CLOSE - np.abs(RNG.normal(0, 0.3, N))
_OPEN = _CLOSE + RNG.normal(0, 0.1, N)
_VOL = RNG.uniform(1000, 5000, N)
SMALL5 = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
SMALL5_H = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
SMALL5_L = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
SMALL5_O = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
SMALL5_V = np.array([1000.0, 2000.0, 3000.0, 4000.0, 5000.0])
# ---------------------------------------------------------------------------
# RSI
# ---------------------------------------------------------------------------
class TestRSI:
def test_nan_warmup(self):
result = RSI(_CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:14]))
def test_range(self):
result = RSI(_CLOSE, timeperiod=14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
assert len(RSI(_CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# STOCH
# ---------------------------------------------------------------------------
class TestSTOCH:
def test_returns_two_arrays(self):
result = STOCH(_HIGH, _LOW, _CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_range(self):
slowk, slowd = STOCH(_HIGH, _LOW, _CLOSE)
for arr in [slowk, slowd]:
valid = arr[~np.isnan(arr)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
slowk, slowd = STOCH(_HIGH, _LOW, _CLOSE)
assert len(slowk) == len(slowd) == N
# ---------------------------------------------------------------------------
# STOCHF
# ---------------------------------------------------------------------------
class TestSTOCHF:
def test_returns_two_arrays(self):
result = STOCHF(_HIGH, _LOW, _CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_fastk_range(self):
fastk, fastd = STOCHF(_HIGH, _LOW, _CLOSE, fastk_period=5, fastd_period=3)
valid = fastk[~np.isnan(fastk)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_known_values(self):
# With identical OHLC, fast %K = 100 * (C - min_low) / (max_high - min_low)
# On our SMALL5 data the range is constant so all = 2/6 * 100 ≈ 66.67
h5 = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
l5 = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
c5 = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
fastk, fastd = STOCHF(h5, l5, c5, fastk_period=3, fastd_period=2)
valid_k = fastk[~np.isnan(fastk)]
assert np.all(valid_k >= 0) and np.all(valid_k <= 100)
def test_length(self):
fastk, fastd = STOCHF(_HIGH, _LOW, _CLOSE)
assert len(fastk) == len(fastd) == N
# ---------------------------------------------------------------------------
# STOCHRSI
# ---------------------------------------------------------------------------
class TestSTOCHRSI:
def test_returns_two_arrays(self):
result = STOCHRSI(_CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_range(self):
fastk, fastd = STOCHRSI(_CLOSE, timeperiod=14)
for arr in [fastk, fastd]:
valid = arr[~np.isnan(arr)]
assert np.all(valid >= -1e-10) and np.all(valid <= 100 + 1e-10)
def test_length(self):
fastk, fastd = STOCHRSI(_CLOSE)
assert len(fastk) == N
# ---------------------------------------------------------------------------
# ADX
# ---------------------------------------------------------------------------
class TestADX:
def test_nan_warmup(self):
result = ADX(_HIGH, _LOW, _CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:27]))
def test_range(self):
result = ADX(_HIGH, _LOW, _CLOSE, timeperiod=14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
assert len(ADX(_HIGH, _LOW, _CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# ADXR
# ---------------------------------------------------------------------------
class TestADXR:
def test_length(self):
assert len(ADXR(_HIGH, _LOW, _CLOSE, 14)) == N
def test_range(self):
result = ADXR(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
# ---------------------------------------------------------------------------
# CCI
# ---------------------------------------------------------------------------
class TestCCI:
def test_known_constant_mean_dev(self):
# Constant typical price → CCI = 0 after warmup
c5 = np.full(10, 12.0)
h5 = np.full(10, 13.0)
l5 = np.full(10, 11.0)
result = CCI(h5, l5, c5, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 0.0, atol=1e-10)
def test_length(self):
assert len(CCI(_HIGH, _LOW, _CLOSE, 14)) == N
def test_nan_warmup(self):
result = CCI(_HIGH, _LOW, _CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:13]))
def test_simple_rising(self):
h = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
l = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
c = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
result = CCI(h, l, c, 3)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 100.0, atol=1e-8)
# ---------------------------------------------------------------------------
# WILLR
# ---------------------------------------------------------------------------
class TestWILLR:
def test_range(self):
result = WILLR(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= -100) and np.all(valid <= 0)
def test_length(self):
assert len(WILLR(_HIGH, _LOW, _CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# AROON
# ---------------------------------------------------------------------------
class TestAROON:
def test_returns_two_arrays(self):
result = AROON(_HIGH, _LOW, 14)
assert isinstance(result, tuple) and len(result) == 2
def test_range(self):
aroon_down, aroon_up = AROON(_HIGH, _LOW, 14)
for arr in [aroon_down, aroon_up]:
valid = arr[~np.isnan(arr)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
aroon_down, aroon_up = AROON(_HIGH, _LOW, 14)
assert len(aroon_down) == N
# ---------------------------------------------------------------------------
# AROONOSC
# ---------------------------------------------------------------------------
class TestAROONOSC:
def test_known_values(self):
h = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
l = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
result = AROONOSC(h, l, timeperiod=2)
valid = result[~np.isnan(result)]
# Monotone rising high/low → aroon_up = 100, aroon_down = 0 → osc = 100
np.testing.assert_allclose(valid, 100.0, atol=1e-10)
def test_equals_aroon_diff(self):
aroon_down, aroon_up = AROON(_HIGH, _LOW, 14)
aroonosc = AROONOSC(_HIGH, _LOW, 14)
valid = ~np.isnan(aroon_up) & ~np.isnan(aroon_down) & ~np.isnan(aroonosc)
np.testing.assert_allclose(
aroonosc[valid],
aroon_up[valid] - aroon_down[valid],
atol=1e-10,
)
def test_length(self):
assert len(AROONOSC(_HIGH, _LOW, 14)) == N
# ---------------------------------------------------------------------------
# MFI
# ---------------------------------------------------------------------------
class TestMFI:
def test_range(self):
result = MFI(_HIGH, _LOW, _CLOSE, _VOL, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
assert len(MFI(_HIGH, _LOW, _CLOSE, _VOL, 14)) == N
def test_nan_warmup(self):
result = MFI(_HIGH, _LOW, _CLOSE, _VOL, 14)
assert np.all(np.isnan(result[:14]))
def test_constant_price_is_50(self):
# When money flow is neither positive nor negative → MFI should be near 50
# Use alternating tiny moves around constant so no clear direction
c = np.full(20, 100.0)
h = np.full(20, 101.0)
l = np.full(20, 99.0)
v = np.full(20, 1000.0)
result = MFI(h, l, c, v, 5)
valid = result[~np.isnan(result)]
assert len(valid) > 0 # just ensure it runs
# ---------------------------------------------------------------------------
# MOM
# ---------------------------------------------------------------------------
class TestMOM:
def test_known_values(self):
result = MOM(SMALL5, timeperiod=2)
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], 2.0, rtol=1e-10)
np.testing.assert_allclose(result[3], 2.0, rtol=1e-10)
def test_length(self):
assert len(MOM(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# ROC
# ---------------------------------------------------------------------------
class TestROC:
def test_known_values(self):
arr = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
result = ROC(arr, 2)
# ROC = ((close - close[n]) / close[n]) * 100
np.testing.assert_allclose(result[2], (12 - 10) / 10 * 100, rtol=1e-10)
def test_length(self):
assert len(ROC(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# ROCP
# ---------------------------------------------------------------------------
class TestROCP:
def test_known_values(self):
arr = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
result = ROCP(arr, 2)
# ROCP = (close - close[n]) / close[n]
np.testing.assert_allclose(result[2], (12 - 10) / 10, rtol=1e-10)
def test_length(self):
assert len(ROCP(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# ROCR
# ---------------------------------------------------------------------------
class TestROCR:
def test_known_values(self):
arr = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
result = ROCR(arr, 2)
# ROCR = close / close[n]
np.testing.assert_allclose(result[2], 12 / 10, rtol=1e-10)
np.testing.assert_allclose(result[4], 14 / 12, rtol=1e-10)
def test_nan_warmup(self):
result = ROCR(_CLOSE, 10)
assert np.all(np.isnan(result[:10]))
def test_length(self):
assert len(ROCR(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# ROCR100
# ---------------------------------------------------------------------------
class TestROCR100:
def test_known_values(self):
arr = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
result = ROCR100(arr, 2)
# ROCR100 = (close / close[n]) * 100
np.testing.assert_allclose(result[2], 12 / 10 * 100, rtol=1e-10)
def test_relation_to_rocr(self):
rocr = ROCR(_CLOSE, 5)
rocr100 = ROCR100(_CLOSE, 5)
valid = ~np.isnan(rocr)
np.testing.assert_allclose(rocr100[valid], rocr[valid] * 100, rtol=1e-10)
def test_length(self):
assert len(ROCR100(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# CMO
# ---------------------------------------------------------------------------
class TestCMO:
def test_range(self):
result = CMO(_CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= -100) and np.all(valid <= 100)
def test_length(self):
assert len(CMO(_CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# DX
# ---------------------------------------------------------------------------
class TestDX:
def test_range(self):
result = DX(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
assert len(DX(_HIGH, _LOW, _CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# MINUS_DI / MINUS_DM
# ---------------------------------------------------------------------------
class TestMINUS:
def test_minus_di_range(self):
result = MINUS_DI(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0)
def test_minus_dm_range(self):
result = MINUS_DM(_HIGH, _LOW, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0)
def test_lengths(self):
assert len(MINUS_DI(_HIGH, _LOW, _CLOSE, 14)) == N
assert len(MINUS_DM(_HIGH, _LOW, 14)) == N
# ---------------------------------------------------------------------------
# PLUS_DI / PLUS_DM
# ---------------------------------------------------------------------------
class TestPLUS:
def test_plus_di_range(self):
result = PLUS_DI(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0)
def test_plus_dm_range(self):
result = PLUS_DM(_HIGH, _LOW, 14)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0)
def test_lengths(self):
assert len(PLUS_DI(_HIGH, _LOW, _CLOSE, 14)) == N
assert len(PLUS_DM(_HIGH, _LOW, 14)) == N
# ---------------------------------------------------------------------------
# PPO
# ---------------------------------------------------------------------------
class TestPPO:
def test_returns_three_arrays(self):
result = PPO(_CLOSE, fastperiod=12, slowperiod=26)
assert isinstance(result, tuple) and len(result) == 3
def test_histogram_is_diff(self):
ppo, signal, hist = PPO(_CLOSE, fastperiod=12, slowperiod=26)
valid = ~np.isnan(ppo) & ~np.isnan(signal)
np.testing.assert_allclose(hist[valid], ppo[valid] - signal[valid], atol=1e-10)
def test_length(self):
ppo, signal, hist = PPO(_CLOSE)
assert len(ppo) == len(signal) == len(hist) == N
def test_nan_warmup(self):
ppo, signal, hist = PPO(_CLOSE, fastperiod=12, slowperiod=26)
assert np.any(np.isnan(ppo))
# ---------------------------------------------------------------------------
# APO
# ---------------------------------------------------------------------------
class TestAPO:
def test_known_direction(self):
# Rising close → fast EMA > slow EMA → APO > 0 after warmup
rising = np.linspace(1.0, 100.0, 60)
result = APO(rising, fastperiod=5, slowperiod=10)
valid = result[~np.isnan(result)]
assert np.all(valid > 0)
def test_length(self):
assert len(APO(_CLOSE, 12, 26)) == N
def test_nan_warmup(self):
result = APO(_CLOSE, 12, 26)
assert np.any(np.isnan(result))
# ---------------------------------------------------------------------------
# TRIX
# ---------------------------------------------------------------------------
class TestTRIX:
def test_length(self):
assert len(TRIX(_CLOSE, 10)) == N
def test_nan_warmup(self):
result = TRIX(_CLOSE, timeperiod=5)
# TRIX warmup = 3*(tp-1) for triple EMA + 1 for diff
assert np.all(np.isnan(result[:12]))
def test_finite_after_warmup(self):
result = TRIX(_CLOSE, timeperiod=5)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
def test_rising_series_positive(self):
rising = np.linspace(1.0, 200.0, 100)
result = TRIX(rising, timeperiod=5)
valid = result[~np.isnan(result)]
# On monotone rise, rate of change of triple EMA is positive
assert np.all(valid > 0)
# ---------------------------------------------------------------------------
# BOP
# ---------------------------------------------------------------------------
class TestBOP:
def test_known_values(self):
o = np.array([10.0, 11.0])
h = np.array([14.0, 15.0])
l = np.array([8.0, 9.0])
c = np.array([12.0, 13.0])
# BOP = (close - open) / (high - low)
result = BOP(o, h, l, c)
np.testing.assert_allclose(result[0], (12 - 10) / (14 - 8), rtol=1e-10)
np.testing.assert_allclose(result[1], (13 - 11) / (15 - 9), rtol=1e-10)
def test_bearish_is_negative(self):
o = np.array([14.0, 14.0])
h = np.array([15.0, 15.0])
l = np.array([8.0, 8.0])
c = np.array([10.0, 10.0])
result = BOP(o, h, l, c)
assert np.all(result < 0)
def test_range(self):
# BOP = (close - open) / (high - low); can exceed [-1,1] with noisy data
result = BOP(_OPEN, _HIGH, _LOW, _CLOSE)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(BOP(_OPEN, _HIGH, _LOW, _CLOSE)) == N
# ---------------------------------------------------------------------------
# ULTOSC
# ---------------------------------------------------------------------------
class TestULTOSC:
def test_range(self):
result = ULTOSC(_HIGH, _LOW, _CLOSE, 7, 14, 28)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0) and np.all(valid <= 100)
def test_length(self):
assert len(ULTOSC(_HIGH, _LOW, _CLOSE, 7, 14, 28)) == N
def test_nan_warmup(self):
result = ULTOSC(_HIGH, _LOW, _CLOSE, 7, 14, 28)
assert np.any(np.isnan(result))
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"""Unit tests for ferro_ta.indicators.overlap"""
import numpy as np
import pytest
from ferro_ta.indicators.overlap import (
SMA, EMA, WMA, DEMA, TEMA, TRIMA, KAMA, T3, MA,
MACD, MACDFIX, MACDEXT, BBANDS, SAR, SAREXT,
MAMA, MAVP, MIDPOINT, MIDPRICE,
)
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(42)
N = 200
_CLOSE = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_HIGH = _CLOSE + np.abs(RNG.normal(0, 0.3, N))
_LOW = _CLOSE - np.abs(RNG.normal(0, 0.3, N))
SMALL5 = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
SMALL5_HIGH = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
SMALL5_LOW = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
# ---------------------------------------------------------------------------
# SMA
# ---------------------------------------------------------------------------
class TestSMA:
def test_known_values(self):
result = SMA(SMALL5, timeperiod=3)
expected = np.array([np.nan, np.nan, 11.0, 12.0, 13.0])
np.testing.assert_allclose(result[2:], expected[2:], rtol=1e-10)
def test_nan_warmup(self):
result = SMA(SMALL5, timeperiod=3)
assert np.all(np.isnan(result[:2]))
def test_length(self):
result = SMA(_CLOSE, timeperiod=20)
assert len(result) == N
def test_nan_warmup_long(self):
result = SMA(_CLOSE, timeperiod=20)
assert np.all(np.isnan(result[:19]))
assert np.all(np.isfinite(result[19:]))
# ---------------------------------------------------------------------------
# EMA
# ---------------------------------------------------------------------------
class TestEMA:
def test_known_values(self):
# k = 2/(3+1) = 0.5; seed = SMA(3) = 11.0
# EMA[2] = SMA([10,11,12]) = 11.0
# EMA[3] = close[3]*k + EMA[2]*(1-k) = 13*0.5 + 11.0*0.5 = 12.0
# EMA[4] = close[4]*k + EMA[3]*(1-k) = 14*0.5 + 12.0*0.5 = 13.0
result = EMA(SMALL5, timeperiod=3)
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], 11.0, rtol=1e-10)
np.testing.assert_allclose(result[3], 12.0, rtol=1e-10)
np.testing.assert_allclose(result[4], 13.0, rtol=1e-10)
def test_nan_warmup(self):
result = EMA(SMALL5, timeperiod=3)
assert np.all(np.isnan(result[:2]))
def test_length(self):
assert len(EMA(_CLOSE, 20)) == N
def test_monotone_on_rising(self):
rising = np.arange(1.0, 51.0)
result = EMA(rising, 5)
valid = result[~np.isnan(result)]
assert np.all(np.diff(valid) > 0)
# ---------------------------------------------------------------------------
# WMA
# ---------------------------------------------------------------------------
class TestWMA:
def test_known_values(self):
arr = np.arange(1.0, 6.0)
result = WMA(arr, timeperiod=3)
# weights 1,2,3 / 6
expected_2 = (1*1 + 2*2 + 3*3) / 6.0 # 14/6
expected_3 = (1*2 + 2*3 + 3*4) / 6.0 # 20/6
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], expected_2, rtol=1e-10)
np.testing.assert_allclose(result[3], expected_3, rtol=1e-10)
def test_nan_warmup(self):
result = WMA(_CLOSE, timeperiod=10)
assert np.all(np.isnan(result[:9]))
def test_length(self):
assert len(WMA(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# DEMA
# ---------------------------------------------------------------------------
class TestDEMA:
def test_nan_warmup(self):
result = DEMA(_CLOSE, timeperiod=5)
assert np.all(np.isnan(result[:8])) # DEMA needs 2*(tp-1) bars
def test_length(self):
assert len(DEMA(_CLOSE, 5)) == N
def test_values_finite_after_warmup(self):
result = DEMA(_CLOSE, timeperiod=5)
valid = result[~np.isnan(result)]
assert len(valid) > 0
assert np.all(np.isfinite(valid))
def test_tracks_close(self):
# DEMA is more responsive than EMA; on trending data it should lead EMA
rising = np.linspace(10.0, 100.0, 100)
dema = DEMA(rising, 5)
ema = EMA(rising, 5)
valid = ~np.isnan(dema) & ~np.isnan(ema)
# DEMA > EMA on a rising series (lower lag)
assert np.all(dema[valid] >= ema[valid] - 1e-9)
# ---------------------------------------------------------------------------
# TEMA
# ---------------------------------------------------------------------------
class TestTEMA:
def test_nan_warmup(self):
result = TEMA(_CLOSE, timeperiod=5)
assert np.all(np.isnan(result[:12]))
def test_length(self):
assert len(TEMA(_CLOSE, 5)) == N
def test_values_finite_after_warmup(self):
result = TEMA(_CLOSE, timeperiod=5)
valid = result[~np.isnan(result)]
assert len(valid) > 0
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# TRIMA
# ---------------------------------------------------------------------------
class TestTRIMA:
def test_known_values(self):
arr = np.arange(1.0, 11.0)
result = TRIMA(arr, timeperiod=5)
# TRIMA(5) is SMA of SMA(3) on a 5-window
assert np.all(np.isnan(result[:4]))
np.testing.assert_allclose(result[4], 3.0, rtol=1e-10)
np.testing.assert_allclose(result[5], 4.0, rtol=1e-10)
def test_nan_warmup(self):
result = TRIMA(_CLOSE, timeperiod=10)
assert np.all(np.isnan(result[:9]))
def test_length(self):
assert len(TRIMA(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# KAMA
# ---------------------------------------------------------------------------
class TestKAMA:
def test_nan_warmup(self):
result = KAMA(_CLOSE, timeperiod=10)
assert np.all(np.isnan(result[:9]))
def test_length(self):
assert len(KAMA(_CLOSE, 10)) == N
def test_seed_equals_close(self):
arr = np.arange(1.0, 21.0)
result = KAMA(arr, timeperiod=10)
# First valid KAMA value equals close at warmup index
np.testing.assert_allclose(result[9], arr[9], rtol=1e-10)
def test_finite_after_warmup(self):
result = KAMA(_CLOSE, timeperiod=10)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# T3
# ---------------------------------------------------------------------------
class TestT3:
def test_nan_warmup(self):
arr = np.linspace(10.0, 30.0, 100)
result = T3(arr, timeperiod=5)
# warmup for T3(tp) = 6*(tp-1)
assert np.all(np.isnan(result[:24]))
def test_length(self):
assert len(T3(_CLOSE, timeperiod=5)) == N
def test_finite_after_warmup(self):
arr = np.linspace(10.0, 30.0, 100)
result = T3(arr, timeperiod=5)
valid = result[~np.isnan(result)]
assert len(valid) > 0
assert np.all(np.isfinite(valid))
def test_trending(self):
rising = np.linspace(10.0, 200.0, 150)
result = T3(rising, timeperiod=5)
valid = result[~np.isnan(result)]
assert np.all(np.diff(valid) > 0)
# ---------------------------------------------------------------------------
# MA
# ---------------------------------------------------------------------------
class TestMA:
def test_default_is_sma(self):
result_ma = MA(_CLOSE, timeperiod=10, matype=0)
result_sma = SMA(_CLOSE, timeperiod=10)
np.testing.assert_allclose(result_ma, result_sma, rtol=1e-10, equal_nan=True)
def test_ema_matype(self):
result_ma = MA(_CLOSE, timeperiod=10, matype=1)
result_ema = EMA(_CLOSE, timeperiod=10)
np.testing.assert_allclose(result_ma, result_ema, rtol=1e-10, equal_nan=True)
def test_length(self):
assert len(MA(_CLOSE, 10)) == N
# ---------------------------------------------------------------------------
# MACD
# ---------------------------------------------------------------------------
class TestMACD:
def test_returns_three_arrays(self):
result = MACD(_CLOSE, 12, 26, 9)
assert isinstance(result, tuple) and len(result) == 3
def test_length(self):
macd, signal, hist = MACD(_CLOSE, 12, 26, 9)
assert len(macd) == len(signal) == len(hist) == N
def test_histogram_is_diff(self):
macd, signal, hist = MACD(_CLOSE)
valid = ~np.isnan(macd) & ~np.isnan(signal)
np.testing.assert_allclose(hist[valid], macd[valid] - signal[valid], atol=1e-10)
def test_nan_warmup(self):
macd, signal, hist = MACD(_CLOSE, 12, 26, 9)
# MACD line: warmup = slowperiod - 1 = 25
assert np.all(np.isnan(macd[:25]))
# ---------------------------------------------------------------------------
# MACDFIX
# ---------------------------------------------------------------------------
class TestMACDFIX:
def test_returns_three_arrays(self):
result = MACDFIX(_CLOSE)
assert isinstance(result, tuple) and len(result) == 3
def test_histogram_is_diff(self):
macd, signal, hist = MACDFIX(_CLOSE)
valid = ~np.isnan(macd) & ~np.isnan(signal)
np.testing.assert_allclose(hist[valid], macd[valid] - signal[valid], atol=1e-10)
def test_length(self):
macd, signal, hist = MACDFIX(_CLOSE)
assert len(macd) == N
# ---------------------------------------------------------------------------
# MACDEXT
# ---------------------------------------------------------------------------
class TestMACDEXT:
def test_returns_three_arrays(self):
result = MACDEXT(_CLOSE)
assert isinstance(result, tuple) and len(result) == 3
def test_histogram_is_diff(self):
macd, signal, hist = MACDEXT(_CLOSE)
valid = ~np.isnan(macd) & ~np.isnan(signal)
np.testing.assert_allclose(hist[valid], macd[valid] - signal[valid], atol=1e-10)
def test_length(self):
assert len(MACDEXT(_CLOSE)[0]) == N
# ---------------------------------------------------------------------------
# BBANDS
# ---------------------------------------------------------------------------
class TestBBANDS:
def test_returns_three_arrays(self):
result = BBANDS(_CLOSE, 20)
assert isinstance(result, tuple) and len(result) == 3
def test_middle_is_sma(self):
upper, middle, lower = BBANDS(_CLOSE, timeperiod=20)
sma = SMA(_CLOSE, timeperiod=20)
np.testing.assert_allclose(middle, sma, rtol=1e-10, equal_nan=True)
def test_bands_symmetric(self):
upper, middle, lower = BBANDS(_CLOSE, 20, nbdevup=2.0, nbdevdn=2.0)
valid = ~np.isnan(upper)
np.testing.assert_allclose(
upper[valid] - middle[valid],
middle[valid] - lower[valid],
rtol=1e-10,
)
def test_nan_warmup(self):
upper, middle, lower = BBANDS(_CLOSE, 20)
assert np.all(np.isnan(middle[:19]))
# ---------------------------------------------------------------------------
# SAR
# ---------------------------------------------------------------------------
class TestSAR:
def test_length(self):
result = SAR(_HIGH, _LOW)
assert len(result) == N
def test_first_is_nan(self):
result = SAR(_HIGH, _LOW)
assert np.isnan(result[0])
def test_finite_after_warmup(self):
result = SAR(_HIGH, _LOW)
assert np.all(np.isfinite(result[1:]))
# ---------------------------------------------------------------------------
# SAREXT
# ---------------------------------------------------------------------------
class TestSAREXT:
def test_length(self):
result = SAREXT(_HIGH, _LOW)
assert len(result) == N
def test_first_is_nan(self):
result = SAREXT(_HIGH, _LOW)
assert np.isnan(result[0])
def test_finite_after_warmup(self):
result = SAREXT(_HIGH, _LOW)
assert np.all(np.isfinite(result[1:]))
# ---------------------------------------------------------------------------
# MAMA
# ---------------------------------------------------------------------------
class TestMAMA:
def test_returns_two_arrays(self):
result = MAMA(_CLOSE)
assert isinstance(result, tuple) and len(result) == 2
def test_length(self):
mama, fama = MAMA(_CLOSE)
assert len(mama) == len(fama) == N
def test_nan_warmup(self):
mama, fama = MAMA(_CLOSE)
assert np.all(np.isnan(mama[:32]))
def test_mama_ge_fama(self):
# MAMA is adaptive; on average MAMA >= FAMA on a trending up series
rising = np.linspace(10.0, 200.0, 200)
mama, fama = MAMA(rising)
valid = ~np.isnan(mama) & ~np.isnan(fama)
# not strictly guaranteed, just check output is finite
assert np.all(np.isfinite(mama[valid]))
# ---------------------------------------------------------------------------
# MAVP
# ---------------------------------------------------------------------------
class TestMAVP:
def test_length(self):
arr = np.linspace(10.0, 30.0, 50)
periods = np.full(50, 5.0)
result = MAVP(arr, periods, minperiod=2, maxperiod=10)
assert len(result) == 50
def test_finite_for_large_enough_data(self):
arr = np.linspace(10.0, 30.0, 50)
periods = np.full(50, 3.0)
result = MAVP(arr, periods, minperiod=2, maxperiod=10)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# MIDPOINT
# ---------------------------------------------------------------------------
class TestMIDPOINT:
def test_known_values(self):
arr = np.array([10.0, 12.0, 14.0, 16.0, 18.0])
result = MIDPOINT(arr, timeperiod=3)
# MIDPOINT(n) = (max + min) / 2 over window
assert np.isnan(result[0]) and np.isnan(result[1])
np.testing.assert_allclose(result[2], (10.0 + 14.0) / 2.0, rtol=1e-10)
np.testing.assert_allclose(result[4], (14.0 + 18.0) / 2.0, rtol=1e-10)
def test_nan_warmup(self):
result = MIDPOINT(_CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:13]))
def test_length(self):
assert len(MIDPOINT(_CLOSE, 14)) == N
# ---------------------------------------------------------------------------
# MIDPRICE
# ---------------------------------------------------------------------------
class TestMIDPRICE:
def test_known_values(self):
result = MIDPRICE(SMALL5_HIGH, SMALL5_LOW, timeperiod=3)
assert np.isnan(result[0]) and np.isnan(result[1])
# window [0..2]: max_high=13, min_low=9 → (13+9)/2 = 11
np.testing.assert_allclose(result[2], 11.0, rtol=1e-10)
def test_nan_warmup(self):
result = MIDPRICE(_HIGH, _LOW, timeperiod=14)
assert np.all(np.isnan(result[:13]))
def test_length(self):
assert len(MIDPRICE(_HIGH, _LOW, 14)) == N
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"""Unit tests for ferro_ta.indicators.pattern (CDL* functions)"""
import numpy as np
import pytest
from ferro_ta.indicators.pattern import (
CDL2CROWS, CDL3BLACKCROWS, CDL3INSIDE, CDL3LINESTRIKE, CDL3OUTSIDE,
CDL3STARSINSOUTH, CDL3WHITESOLDIERS, CDLABANDONEDBABY, CDLADVANCEBLOCK,
CDLBELTHOLD, CDLBREAKAWAY, CDLCLOSINGMARUBOZU, CDLCONCEALBABYSWALL,
CDLCOUNTERATTACK, CDLDARKCLOUDCOVER, CDLDOJI, CDLDOJISTAR, CDLDRAGONFLYDOJI,
CDLENGULFING, CDLEVENINGDOJISTAR, CDLEVENINGSTAR, CDLGAPSIDESIDEWHITE,
CDLGRAVESTONEDOJI, CDLHAMMER, CDLHANGINGMAN, CDLHARAMI, CDLHARAMICROSS,
CDLHIGHWAVE, CDLHIKKAKE, CDLHIKKAKEMOD, CDLHOMINGPIGEON, CDLIDENTICAL3CROWS,
CDLINNECK, CDLINVERTEDHAMMER, CDLKICKING, CDLKICKINGBYLENGTH, CDLLADDERBOTTOM,
CDLLONGLEGGEDDOJI, CDLLONGLINE, CDLMARUBOZU, CDLMATCHINGLOW, CDLMATHOLD,
CDLMORNINGDOJISTAR, CDLMORNINGSTAR, CDLONNECK, CDLPIERCING, CDLRICKSHAWMAN,
CDLRISEFALL3METHODS, CDLSEPARATINGLINES, CDLSHOOTINGSTAR, CDLSHORTLINE,
CDLSPINNINGTOP, CDLSTALLEDPATTERN, CDLSTICKSANDWICH, CDLTAKURI, CDLTASUKIGAP,
CDLTHRUSTING, CDLTRISTAR, CDLUNIQUE3RIVER, CDLUPSIDEGAP2CROWS, CDLXSIDEGAP3METHODS,
)
# ---------------------------------------------------------------------------
# Shared random OHLCV data (realistic OHLCV, proper H >= O,C >= L)
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(42)
N = 200
_C = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_O = _C + RNG.normal(0, 0.2, N)
_H = np.maximum(np.maximum(_O, _C) + np.abs(RNG.normal(0, 0.3, N)), np.maximum(_O, _C))
_L = np.minimum(np.minimum(_O, _C) - np.abs(RNG.normal(0, 0.3, N)), np.minimum(_O, _C))
# All CDL* functions to test systematically
ALL_CDL = [
("CDL2CROWS", CDL2CROWS),
("CDL3BLACKCROWS", CDL3BLACKCROWS),
("CDL3INSIDE", CDL3INSIDE),
("CDL3LINESTRIKE", CDL3LINESTRIKE),
("CDL3OUTSIDE", CDL3OUTSIDE),
("CDL3STARSINSOUTH", CDL3STARSINSOUTH),
("CDL3WHITESOLDIERS", CDL3WHITESOLDIERS),
("CDLABANDONEDBABY", CDLABANDONEDBABY),
("CDLADVANCEBLOCK", CDLADVANCEBLOCK),
("CDLBELTHOLD", CDLBELTHOLD),
("CDLBREAKAWAY", CDLBREAKAWAY),
("CDLCLOSINGMARUBOZU", CDLCLOSINGMARUBOZU),
("CDLCONCEALBABYSWALL", CDLCONCEALBABYSWALL),
("CDLCOUNTERATTACK", CDLCOUNTERATTACK),
("CDLDARKCLOUDCOVER", CDLDARKCLOUDCOVER),
("CDLDOJI", CDLDOJI),
("CDLDOJISTAR", CDLDOJISTAR),
("CDLDRAGONFLYDOJI", CDLDRAGONFLYDOJI),
("CDLENGULFING", CDLENGULFING),
("CDLEVENINGDOJISTAR", CDLEVENINGDOJISTAR),
("CDLEVENINGSTAR", CDLEVENINGSTAR),
("CDLGAPSIDESIDEWHITE", CDLGAPSIDESIDEWHITE),
("CDLGRAVESTONEDOJI", CDLGRAVESTONEDOJI),
("CDLHAMMER", CDLHAMMER),
("CDLHANGINGMAN", CDLHANGINGMAN),
("CDLHARAMI", CDLHARAMI),
("CDLHARAMICROSS", CDLHARAMICROSS),
("CDLHIGHWAVE", CDLHIGHWAVE),
("CDLHIKKAKE", CDLHIKKAKE),
("CDLHIKKAKEMOD", CDLHIKKAKEMOD),
("CDLHOMINGPIGEON", CDLHOMINGPIGEON),
("CDLIDENTICAL3CROWS", CDLIDENTICAL3CROWS),
("CDLINNECK", CDLINNECK),
("CDLINVERTEDHAMMER", CDLINVERTEDHAMMER),
("CDLKICKING", CDLKICKING),
("CDLKICKINGBYLENGTH", CDLKICKINGBYLENGTH),
("CDLLADDERBOTTOM", CDLLADDERBOTTOM),
("CDLLONGLEGGEDDOJI", CDLLONGLEGGEDDOJI),
("CDLLONGLINE", CDLLONGLINE),
("CDLMARUBOZU", CDLMARUBOZU),
("CDLMATCHINGLOW", CDLMATCHINGLOW),
("CDLMATHOLD", CDLMATHOLD),
("CDLMORNINGDOJISTAR", CDLMORNINGDOJISTAR),
("CDLMORNINGSTAR", CDLMORNINGSTAR),
("CDLONNECK", CDLONNECK),
("CDLPIERCING", CDLPIERCING),
("CDLRICKSHAWMAN", CDLRICKSHAWMAN),
("CDLRISEFALL3METHODS", CDLRISEFALL3METHODS),
("CDLSEPARATINGLINES", CDLSEPARATINGLINES),
("CDLSHOOTINGSTAR", CDLSHOOTINGSTAR),
("CDLSHORTLINE", CDLSHORTLINE),
("CDLSPINNINGTOP", CDLSPINNINGTOP),
("CDLSTALLEDPATTERN", CDLSTALLEDPATTERN),
("CDLSTICKSANDWICH", CDLSTICKSANDWICH),
("CDLTAKURI", CDLTAKURI),
("CDLTASUKIGAP", CDLTASUKIGAP),
("CDLTHRUSTING", CDLTHRUSTING),
("CDLTRISTAR", CDLTRISTAR),
("CDLUNIQUE3RIVER", CDLUNIQUE3RIVER),
("CDLUPSIDEGAP2CROWS", CDLUPSIDEGAP2CROWS),
("CDLXSIDEGAP3METHODS", CDLXSIDEGAP3METHODS),
]
# ---------------------------------------------------------------------------
# Parametrised tests: all CDL patterns
# ---------------------------------------------------------------------------
@pytest.mark.parametrize("name,fn", ALL_CDL)
def test_cdl_output_length(name, fn):
result = fn(_O, _H, _L, _C)
assert len(result) == N, f"{name}: expected length {N}, got {len(result)}"
@pytest.mark.parametrize("name,fn", ALL_CDL)
def test_cdl_values_in_valid_set(name, fn):
result = fn(_O, _H, _L, _C)
assert np.all(np.isin(result, [-100, 0, 100])), \
f"{name}: unexpected values {np.unique(result)}"
@pytest.mark.parametrize("name,fn", ALL_CDL)
def test_cdl_no_nan(name, fn):
result = fn(_O, _H, _L, _C)
assert np.all(np.isfinite(result.astype(float))), f"{name}: contains NaN/Inf"
# ---------------------------------------------------------------------------
# Specific tests for previously untested patterns
# ---------------------------------------------------------------------------
class TestCDLSPINNINGTOP:
def test_detects_pattern(self):
# Spinning top: small body, long upper and lower shadows
# open ≈ close (small body), high much higher, low much lower
o = np.array([10.0, 10.1, 10.0])
h = np.array([15.0, 15.1, 15.0])
l = np.array([5.0, 5.1, 5.0])
c = np.array([10.0, 10.0, 10.05])
result = CDLSPINNINGTOP(o, h, l, c)
assert np.all(np.isin(result, [-100, 0, 100]))
def test_output_values_random(self):
result = CDLSPINNINGTOP(_O, _H, _L, _C)
assert np.all(np.isin(result, [-100, 0, 100]))
class TestCDLEVENINGSTAR:
def test_basic_run(self):
result = CDLEVENINGSTAR(_O, _H, _L, _C)
assert len(result) == N
assert np.all(np.isin(result, [-100, 0, 100]))
def test_large_dataset_has_valid_output(self):
# On 200 bars of random data, result should be all in {-100,0,100}
result = CDLEVENINGSTAR(_O, _H, _L, _C)
assert np.all(np.isin(result, [-100, 0, 100]))
class TestCDLMORNINGSTAR:
def test_basic_run(self):
result = CDLMORNINGSTAR(_O, _H, _L, _C)
assert len(result) == N
assert np.all(np.isin(result, [-100, 0, 100]))
def test_bullish_signal_is_100(self):
# Any detected signal must be 100 (bullish)
result = CDLMORNINGSTAR(_O, _H, _L, _C)
assert np.all(result[result != 0] == 100)
class TestCDL2CROWS:
def test_basic_run(self):
result = CDL2CROWS(_O, _H, _L, _C)
assert len(result) == N
assert np.all(np.isin(result, [-100, 0, 100]))
def test_bearish_signal_is_minus_100(self):
# Any detected signal must be -100 (bearish)
result = CDL2CROWS(_O, _H, _L, _C)
assert np.all(result[result != 0] == -100)
class TestCDLDOJI:
def test_detects_doji(self):
# Exact doji: open == close
o = np.array([10.0, 10.0, 10.0])
h = np.array([12.0, 12.0, 12.0])
l = np.array([8.0, 8.0, 8.0])
c = np.array([10.0, 10.0, 10.0])
result = CDLDOJI(o, h, l, c)
assert np.all(result == 100)
def test_non_doji_returns_zero(self):
o = np.array([10.0, 11.0, 12.0])
h = np.array([15.0, 16.0, 17.0])
l = np.array([9.0, 10.0, 11.0])
c = np.array([14.0, 15.0, 16.0]) # large body, not doji
result = CDLDOJI(o, h, l, c)
assert np.all(result == 0)
class TestCDLMARUBOZU:
def test_detects_bullish_marubozu(self):
# Bullish marubozu: open == low, close == high, close > open
o = np.array([10.0, 10.0])
h = np.array([15.0, 15.0])
l = np.array([10.0, 10.0])
c = np.array([15.0, 15.0])
result = CDLMARUBOZU(o, h, l, c)
assert np.all(np.isin(result, [-100, 0, 100]))
def test_length(self):
result = CDLMARUBOZU(_O, _H, _L, _C)
assert len(result) == N
@@ -0,0 +1,109 @@
"""Unit tests for ferro_ta.indicators.price_transform"""
import numpy as np
import pytest
from ferro_ta.indicators.price_transform import AVGPRICE, MEDPRICE, TYPPRICE, WCLPRICE
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
O = np.array([10.0, 11.0, 12.0, 13.0])
H = np.array([12.0, 13.0, 14.0, 15.0])
L = np.array([9.0, 10.0, 11.0, 12.0])
C = np.array([11.0, 12.0, 13.0, 14.0])
# ---------------------------------------------------------------------------
# AVGPRICE
# ---------------------------------------------------------------------------
class TestAVGPRICE:
def test_known_formula(self):
result = AVGPRICE(O, H, L, C)
expected = (O + H + L + C) / 4.0
np.testing.assert_allclose(result, expected, rtol=1e-10)
def test_first_bar(self):
result = AVGPRICE(O, H, L, C)
np.testing.assert_allclose(result[0], (10 + 12 + 9 + 11) / 4.0, rtol=1e-10)
def test_no_nan(self):
result = AVGPRICE(O, H, L, C)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(AVGPRICE(O, H, L, C)) == len(O)
# ---------------------------------------------------------------------------
# MEDPRICE
# ---------------------------------------------------------------------------
class TestMEDPRICE:
def test_known_formula(self):
result = MEDPRICE(H, L)
expected = (H + L) / 2.0
np.testing.assert_allclose(result, expected, rtol=1e-10)
def test_first_bar(self):
result = MEDPRICE(H, L)
np.testing.assert_allclose(result[0], (12 + 9) / 2.0, rtol=1e-10)
def test_no_nan(self):
result = MEDPRICE(H, L)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(MEDPRICE(H, L)) == len(H)
# ---------------------------------------------------------------------------
# TYPPRICE
# ---------------------------------------------------------------------------
class TestTYPPRICE:
def test_known_formula(self):
result = TYPPRICE(H, L, C)
expected = (H + L + C) / 3.0
np.testing.assert_allclose(result, expected, rtol=1e-10)
def test_first_bar(self):
result = TYPPRICE(H, L, C)
np.testing.assert_allclose(result[0], (12 + 9 + 11) / 3.0, rtol=1e-10)
def test_no_nan(self):
result = TYPPRICE(H, L, C)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(TYPPRICE(H, L, C)) == len(H)
# ---------------------------------------------------------------------------
# WCLPRICE
# ---------------------------------------------------------------------------
class TestWCLPRICE:
def test_known_formula(self):
result = WCLPRICE(H, L, C)
expected = (H + L + 2.0 * C) / 4.0
np.testing.assert_allclose(result, expected, rtol=1e-10)
def test_first_bar(self):
result = WCLPRICE(H, L, C)
np.testing.assert_allclose(result[0], (12 + 9 + 2 * 11) / 4.0, rtol=1e-10)
def test_no_nan(self):
result = WCLPRICE(H, L, C)
assert np.all(np.isfinite(result))
def test_close_weight_double(self):
# WCLPRICE weights close twice vs TYPPRICE
typ = TYPPRICE(H, L, C)
wcl = WCLPRICE(H, L, C)
# On a rising series (H > L > 0), WCLPRICE > TYPPRICE when C > (H+L)/2
# Just verify formula correctness already done above
assert np.all(np.isfinite(wcl))
def test_length(self):
assert len(WCLPRICE(H, L, C)) == len(H)
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"""Unit tests for ferro_ta.indicators.statistic"""
import numpy as np
import pytest
from ferro_ta.indicators.statistic import (
STDDEV, VAR, BETA, CORREL,
LINEARREG, LINEARREG_ANGLE, LINEARREG_INTERCEPT, LINEARREG_SLOPE,
TSF,
)
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(11)
N = 100
_A = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_B = 100 + np.cumsum(RNG.normal(0, 0.5, N))
LINDATA = np.arange(1.0, 6.0) # [1,2,3,4,5]
CONSTDATA = np.ones(10) # all 1.0
# ---------------------------------------------------------------------------
# STDDEV
# ---------------------------------------------------------------------------
class TestSTDDEV:
def test_constant_is_zero(self):
result = STDDEV(CONSTDATA, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 0.0, atol=1e-10)
def test_known_values(self):
# std([1,2,3,4,5], ddof=0) = sqrt(2)
result = STDDEV(LINDATA, timeperiod=5)
np.testing.assert_allclose(result[4], np.sqrt(2.0), rtol=1e-6)
def test_nan_warmup(self):
result = STDDEV(_A, timeperiod=5)
assert np.all(np.isnan(result[:4]))
def test_length(self):
assert len(STDDEV(_A, 5)) == N
def test_positive(self):
result = STDDEV(_A, 5)
valid = result[~np.isnan(result)]
assert np.all(valid >= 0)
# ---------------------------------------------------------------------------
# VAR
# ---------------------------------------------------------------------------
class TestVAR:
def test_constant_is_zero(self):
result = VAR(CONSTDATA, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 0.0, atol=1e-10)
def test_known_values(self):
# var([1,2,3,4,5], ddof=0) = 2.0
result = VAR(LINDATA, timeperiod=5)
np.testing.assert_allclose(result[4], 2.0, rtol=1e-6)
def test_equals_stddev_squared(self):
std = STDDEV(_A, timeperiod=10)
var = VAR(_A, timeperiod=10)
valid = ~np.isnan(std) & ~np.isnan(var)
np.testing.assert_allclose(var[valid], std[valid] ** 2, rtol=1e-6)
def test_length(self):
assert len(VAR(_A, 5)) == N
# ---------------------------------------------------------------------------
# LINEARREG
# ---------------------------------------------------------------------------
class TestLINEARREG:
def test_perfect_line(self):
# For [1,2,3,4,5] over window 5, forecast = 5.0
result = LINEARREG(LINDATA, timeperiod=5)
np.testing.assert_allclose(result[4], 5.0, rtol=1e-10)
def test_nan_warmup(self):
result = LINEARREG(_A, timeperiod=14)
assert np.all(np.isnan(result[:13]))
def test_length(self):
assert len(LINEARREG(_A, 14)) == N
# ---------------------------------------------------------------------------
# LINEARREG_SLOPE
# ---------------------------------------------------------------------------
class TestLINEARREG_SLOPE:
def test_perfect_line_slope_one(self):
result = LINEARREG_SLOPE(LINDATA, timeperiod=5)
np.testing.assert_allclose(result[4], 1.0, rtol=1e-10)
def test_constant_slope_zero(self):
result = LINEARREG_SLOPE(CONSTDATA, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 0.0, atol=1e-10)
def test_length(self):
assert len(LINEARREG_SLOPE(_A, 14)) == N
# ---------------------------------------------------------------------------
# LINEARREG_INTERCEPT
# ---------------------------------------------------------------------------
class TestLINEARREG_INTERCEPT:
def test_perfect_line_intercept_one(self):
# y = [1,2,3,4,5] with x=[0,1,2,3,4] → y = 1 + 1*x → intercept = 1.0
result = LINEARREG_INTERCEPT(LINDATA, timeperiod=5)
np.testing.assert_allclose(result[4], 1.0, atol=1e-10)
def test_length(self):
assert len(LINEARREG_INTERCEPT(_A, 14)) == N
# ---------------------------------------------------------------------------
# LINEARREG_ANGLE
# ---------------------------------------------------------------------------
class TestLINEARREG_ANGLE:
def test_slope_one_gives_45_degrees(self):
result = LINEARREG_ANGLE(LINDATA, timeperiod=5)
# arctan(1) * 180/pi = 45
np.testing.assert_allclose(result[4], 45.0, rtol=1e-6)
def test_constant_gives_zero_degrees(self):
result = LINEARREG_ANGLE(CONSTDATA, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 0.0, atol=1e-8)
def test_length(self):
assert len(LINEARREG_ANGLE(_A, 14)) == N
# ---------------------------------------------------------------------------
# BETA
# ---------------------------------------------------------------------------
class TestBETA:
def test_nan_warmup(self):
result = BETA(_A, _B, timeperiod=5)
assert np.all(np.isnan(result[:4]))
def test_length(self):
assert len(BETA(_A, _B, 5)) == N
def test_same_series(self):
# Beta of x vs x = 1.0 (regression of itself)
result = BETA(_A, _A, timeperiod=5)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
def test_finite_after_warmup(self):
result = BETA(_A, _B, timeperiod=5)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
# ---------------------------------------------------------------------------
# CORREL
# ---------------------------------------------------------------------------
class TestCOREL:
def test_self_correlation_is_one(self):
result = CORREL(_A, _A, timeperiod=10)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, 1.0, atol=1e-10)
def test_opposite_correlation_is_minus_one(self):
arr = np.arange(1.0, 11.0)
result = CORREL(arr, arr[::-1], timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid, -1.0, atol=1e-10)
def test_range(self):
result = CORREL(_A, _B, timeperiod=10)
valid = result[~np.isnan(result)]
assert np.all(valid >= -1 - 1e-10) and np.all(valid <= 1 + 1e-10)
def test_length(self):
assert len(CORREL(_A, _B, 10)) == N
# ---------------------------------------------------------------------------
# TSF
# ---------------------------------------------------------------------------
class TestTSF:
def test_perfect_line(self):
arr = np.arange(1.0, 10.0)
result = TSF(arr, timeperiod=3)
# TSF(3) on [1,2,...] = linear forecast one period ahead
# Over window [1,2,3]: slope=1, intercept=0 → forecast at bar 2+1=3 → TSF[2]=4
np.testing.assert_allclose(result[2], 4.0, rtol=1e-10)
np.testing.assert_allclose(result[3], 5.0, rtol=1e-10)
def test_nan_warmup(self):
result = TSF(_A, timeperiod=14)
assert np.all(np.isnan(result[:13]))
def test_length(self):
assert len(TSF(_A, 14)) == N
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"""Unit tests for ferro_ta.indicators.volatility"""
import numpy as np
import pytest
from ferro_ta.indicators.volatility import ATR, NATR, TRANGE
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(3)
N = 100
_CLOSE = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_HIGH = _CLOSE + np.abs(RNG.normal(0, 0.3, N))
_LOW = _CLOSE - np.abs(RNG.normal(0, 0.3, N))
# Simple 5-bar data with constant range
SMALL_H = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
SMALL_L = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
SMALL_C = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
# ---------------------------------------------------------------------------
# TRANGE
# ---------------------------------------------------------------------------
class TestTRANGE:
def test_known_values_constant_range(self):
result = TRANGE(SMALL_H, SMALL_L, SMALL_C)
# First bar: only high-low = 3 (no prior close)
np.testing.assert_allclose(result[0], 3.0, rtol=1e-10)
np.testing.assert_allclose(result[1], 3.0, rtol=1e-10)
def test_no_nan(self):
result = TRANGE(SMALL_H, SMALL_L, SMALL_C)
assert np.all(np.isfinite(result))
def test_always_positive(self):
result = TRANGE(_HIGH, _LOW, _CLOSE)
assert np.all(result > 0)
def test_length(self):
assert len(TRANGE(_HIGH, _LOW, _CLOSE)) == N
def test_formula_first_bar(self):
h = np.array([15.0, 16.0, 17.0])
l = np.array([10.0, 11.0, 12.0])
c = np.array([13.0, 14.0, 15.0])
result = TRANGE(h, l, c)
# bar 0: TRANGE = h[0] - l[0] = 5
np.testing.assert_allclose(result[0], 5.0, rtol=1e-10)
# bar 1: max(h[1]-l[1], |h[1]-c[0]|, |l[1]-c[0]|)
# = max(5, |16-13|, |11-13|) = max(5, 3, 2) = 5
np.testing.assert_allclose(result[1], 5.0, rtol=1e-10)
def test_with_gap(self):
# Gap up: prev close=10, curr high=20, curr low=15
h = np.array([10.0, 20.0])
l = np.array([8.0, 15.0])
c = np.array([10.0, 18.0])
result = TRANGE(h, l, c)
# bar 1: max(20-15, |20-10|, |15-10|) = max(5, 10, 5) = 10
np.testing.assert_allclose(result[1], 10.0, rtol=1e-10)
# ---------------------------------------------------------------------------
# ATR
# ---------------------------------------------------------------------------
class TestATR:
def test_timeperiod_1_equals_trange(self):
atr = ATR(SMALL_H, SMALL_L, SMALL_C, timeperiod=1)
trange = TRANGE(SMALL_H, SMALL_L, SMALL_C)
# ATR(1) first bar is NaN, subsequent equal TRANGE
np.testing.assert_allclose(atr[1:], trange[1:], rtol=1e-10)
def test_nan_warmup(self):
result = ATR(_HIGH, _LOW, _CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:14]))
def test_length(self):
assert len(ATR(_HIGH, _LOW, _CLOSE, 14)) == N
def test_always_positive(self):
result = ATR(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid > 0)
def test_constant_range_converges(self):
# Constant TRANGE=3 → ATR should converge to 3
h = np.full(100, 12.0) + np.arange(100) * 0.0
l = np.full(100, 9.0) + np.arange(100) * 0.0
c = np.full(100, 11.0) + np.arange(100) * 0.0
result = ATR(h, l, c, timeperiod=5)
valid = result[~np.isnan(result)]
np.testing.assert_allclose(valid[-1], 3.0, atol=0.01)
# ---------------------------------------------------------------------------
# NATR
# ---------------------------------------------------------------------------
class TestNATR:
def test_nan_warmup(self):
result = NATR(_HIGH, _LOW, _CLOSE, timeperiod=14)
assert np.all(np.isnan(result[:14]))
def test_length(self):
assert len(NATR(_HIGH, _LOW, _CLOSE, 14)) == N
def test_positive(self):
result = NATR(_HIGH, _LOW, _CLOSE, 14)
valid = result[~np.isnan(result)]
assert np.all(valid > 0)
def test_relation_to_atr(self):
# NATR = ATR / close * 100
atr = ATR(_HIGH, _LOW, _CLOSE, 14)
natr = NATR(_HIGH, _LOW, _CLOSE, 14)
valid = ~np.isnan(atr) & ~np.isnan(natr)
expected = atr[valid] / _CLOSE[valid] * 100
np.testing.assert_allclose(natr[valid], expected, rtol=1e-5)
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"""Unit tests for ferro_ta.indicators.volume"""
import numpy as np
import pytest
from ferro_ta.indicators.volume import AD, ADOSC, OBV
# ---------------------------------------------------------------------------
# Shared fixtures
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(5)
N = 100
_CLOSE = 100 + np.cumsum(RNG.normal(0, 0.5, N))
_HIGH = _CLOSE + np.abs(RNG.normal(0, 0.3, N))
_LOW = _CLOSE - np.abs(RNG.normal(0, 0.3, N))
_VOL = RNG.uniform(1000, 5000, N)
SMALL_H = np.array([12.0, 13.0, 14.0, 15.0, 16.0])
SMALL_L = np.array([9.0, 10.0, 11.0, 12.0, 13.0])
SMALL_C = np.array([11.0, 12.0, 13.0, 14.0, 15.0])
SMALL_V = np.array([1000.0, 2000.0, 3000.0, 4000.0, 5000.0])
# ---------------------------------------------------------------------------
# OBV
# ---------------------------------------------------------------------------
class TestOBV:
def test_known_values_rising(self):
# Rising close: OBV accumulates all volume
c = np.array([10.0, 11.0, 12.0, 13.0, 14.0])
v = np.array([1000.0, 1000.0, 1000.0, 1000.0, 1000.0])
result = OBV(c, v)
np.testing.assert_allclose(result[0], 0.0, atol=1e-10)
np.testing.assert_allclose(result[1], 1000.0, atol=1e-10)
np.testing.assert_allclose(result[4], 4000.0, atol=1e-10)
def test_known_values_falling(self):
c = np.array([14.0, 13.0, 12.0, 11.0, 10.0])
v = np.array([1000.0, 1000.0, 1000.0, 1000.0, 1000.0])
result = OBV(c, v)
np.testing.assert_allclose(result[0], 0.0, atol=1e-10)
np.testing.assert_allclose(result[1], -1000.0, atol=1e-10)
np.testing.assert_allclose(result[4], -4000.0, atol=1e-10)
def test_unchanged_price_no_change(self):
c = np.array([10.0, 10.0, 10.0])
v = np.array([500.0, 500.0, 500.0])
result = OBV(c, v)
np.testing.assert_allclose(result, [0.0, 0.0, 0.0], atol=1e-10)
def test_no_nan(self):
result = OBV(SMALL_C, SMALL_V)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(OBV(_CLOSE, _VOL)) == N
def test_starts_zero(self):
result = OBV(_CLOSE, _VOL)
np.testing.assert_allclose(result[0], 0.0, atol=1e-10)
# ---------------------------------------------------------------------------
# AD
# ---------------------------------------------------------------------------
class TestAD:
def test_known_formula(self):
# AD = cumsum(CLV * volume)
# CLV = ((close - low) - (high - close)) / (high - low)
h = np.array([15.0])
l = np.array([10.0])
c = np.array([12.0])
v = np.array([1000.0])
clv = ((12 - 10) - (15 - 12)) / (15 - 10) # (2 - 3) / 5 = -0.2
expected = clv * 1000.0
result = AD(h, l, c, v)
np.testing.assert_allclose(result[0], expected, rtol=1e-10)
def test_monotone_rising_positive(self):
# High CLV on rising data → AD should be non-negative cumulatively
result = AD(SMALL_H, SMALL_L, SMALL_C, SMALL_V)
assert np.all(np.isfinite(result))
def test_no_nan(self):
result = AD(_HIGH, _LOW, _CLOSE, _VOL)
assert np.all(np.isfinite(result))
def test_length(self):
assert len(AD(_HIGH, _LOW, _CLOSE, _VOL)) == N
# ---------------------------------------------------------------------------
# ADOSC
# ---------------------------------------------------------------------------
class TestADOSC:
def test_nan_warmup(self):
result = ADOSC(_HIGH, _LOW, _CLOSE, _VOL, fastperiod=3, slowperiod=10)
assert np.all(np.isnan(result[:9]))
def test_length(self):
assert len(ADOSC(_HIGH, _LOW, _CLOSE, _VOL, 3, 10)) == N
def test_finite_after_warmup(self):
result = ADOSC(_HIGH, _LOW, _CLOSE, _VOL, fastperiod=3, slowperiod=10)
valid = result[~np.isnan(result)]
assert np.all(np.isfinite(valid))
def test_known_values(self):
result = ADOSC(SMALL_H, SMALL_L, SMALL_C, SMALL_V, fastperiod=2, slowperiod=3)
valid = result[~np.isnan(result)]
assert len(valid) > 0
assert np.all(np.isfinite(valid))
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"""Tests for resampling, tick aggregation, DSL, signals,
portfolio analytics, cross-asset analytics, feature matrix, viz, and adapters.
"""
from __future__ import annotations
import numpy as np
import pytest
# ---------------------------------------------------------------------------
# Synthetic helpers
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(2024)
def _make_ohlcv(n: int = 100):
"""Return (open, high, low, close, volume) as numpy arrays."""
close = np.cumprod(1 + RNG.normal(0, 0.01, n)) * 100.0
open_ = close * RNG.uniform(0.995, 1.005, n)
high = np.maximum(close, open_) + RNG.uniform(0, 0.5, n)
low = np.minimum(close, open_) - RNG.uniform(0, 0.5, n)
volume = RNG.uniform(500, 5000, n)
return open_, high, low, close, volume
def _make_ticks(n: int = 500):
price = 100.0 + np.cumsum(RNG.normal(0, 0.05, n))
size = RNG.uniform(10, 100, n)
return price, size
# ---------------------------------------------------------------------------
# Resampling
# ---------------------------------------------------------------------------
class TestVolumeBarResampling:
"""Rust-backed volume_bars function."""
def test_returns_five_arrays(self):
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(100)
bars = volume_bars((o, h, l, c, v), volume_threshold=2000)
assert len(bars) == 5
assert all(isinstance(b, np.ndarray) for b in bars)
def test_volume_bars_reduce_length(self):
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(200)
bars = volume_bars((o, h, l, c, v), volume_threshold=5000)
# Output should have fewer bars than input
assert len(bars[0]) < 200
def test_each_bar_high_ge_low(self):
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(100)
ro, rh, rl, rc, rv = volume_bars((o, h, l, c, v), volume_threshold=2000)
assert np.all(rh >= rl)
def test_output_volume_ge_threshold(self):
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(100)
threshold = 1500.0
_, _, _, _, rv = volume_bars((o, h, l, c, v), volume_threshold=threshold)
# All but the last bar should satisfy the threshold
if len(rv) > 1:
assert np.all(rv[:-1] >= threshold)
def test_invalid_threshold_raises(self):
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(10)
with pytest.raises(Exception):
volume_bars((o, h, l, c, v), volume_threshold=-1)
def test_ohlcv_agg_rust_function(self):
from ferro_ta._ferro_ta import ohlcv_agg
o, h, l, c, v = _make_ohlcv(10)
labels = np.array([0, 0, 0, 1, 1, 1, 2, 2, 2, 2], dtype=np.int64)
ro, rh, rl, rc, rv = ohlcv_agg(o, h, l, c, v, labels)
assert len(ro) == 3
def test_resample_with_pandas(self):
"""Time-based resampling using pandas DatetimeIndex."""
pytest.importorskip("pandas")
import pandas as pd
from ferro_ta.data.resampling import resample
idx = pd.date_range("2024-01-01", periods=60, freq="1min")
o, h, l, c, v = _make_ohlcv(60)
df = pd.DataFrame(
{"open": o, "high": h, "low": l, "close": c, "volume": v},
index=idx,
)
df5 = resample(df, "5min")
# 60 1-minute bars → 12 or 13 5-minute bars depending on pandas version/label
assert 11 <= len(df5) <= 13
assert set(df5.columns) == {"open", "high", "low", "close", "volume"}
def test_volume_bars_dataframe_return(self):
pytest.importorskip("pandas")
import pandas as pd
from ferro_ta.data.resampling import volume_bars
o, h, l, c, v = _make_ohlcv(60)
df = pd.DataFrame({"open": o, "high": h, "low": l, "close": c, "volume": v})
result = volume_bars(df, volume_threshold=3000)
assert isinstance(result, pd.DataFrame)
assert "close" in result.columns
def test_multi_timeframe_returns_dict(self):
pytest.importorskip("pandas")
import pandas as pd
from ferro_ta import RSI
from ferro_ta.data.resampling import multi_timeframe
idx = pd.date_range("2024-01-01", periods=200, freq="1min")
o, h, l, c, v = _make_ohlcv(200)
df = pd.DataFrame(
{"open": o, "high": h, "low": l, "close": c, "volume": v},
index=idx,
)
result = multi_timeframe(
df, ["5min", "15min"], indicator=RSI, indicator_kwargs={"timeperiod": 14}
)
assert sorted(result.keys()) == ["15min", "5min"]
for key, arr in result.items():
assert isinstance(arr, np.ndarray)
# ---------------------------------------------------------------------------
# Tick aggregation
# ---------------------------------------------------------------------------
class TestTickAggregation:
"""aggregate_ticks and TickAggregator."""
def test_tick_bars_dict_input(self):
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(500)
result = aggregate_ticks({"price": price, "size": size}, rule="tick:50")
assert "open" in result
# 500 / 50 = 10 bars
assert len(result["open"]) == 10
def test_volume_bars_ticks(self):
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(200)
result = aggregate_ticks({"price": price, "size": size}, rule="volume:500")
assert len(result["open"]) > 0
def test_time_bars_ticks(self):
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(300)
ts = np.arange(300, dtype=np.float64) # 1 second intervals
result = aggregate_ticks(
{"timestamp": ts, "price": price, "size": size}, rule="time:60"
)
# 300 seconds / 60 = 5 bars
assert len(result["open"]) == 5
def test_tick_aggregator_class(self):
from ferro_ta.data.aggregation import TickAggregator
agg = TickAggregator(rule="tick:50")
price, size = _make_ticks(200)
result = agg.aggregate({"price": price, "size": size})
assert len(result["open"]) == 4 # 200 / 50 = 4
def test_invalid_rule_raises(self):
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(100)
with pytest.raises(ValueError, match="Invalid rule"):
aggregate_ticks({"price": price, "size": size}, rule="bad_rule")
def test_unknown_bar_type_raises(self):
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(100)
with pytest.raises(ValueError, match="Unknown bar type"):
aggregate_ticks({"price": price, "size": size}, rule="unknown:50")
def test_tick_bars_indicator_pipeline(self):
"""Full pipeline: ticks → bars → RSI."""
from ferro_ta import RSI
from ferro_ta.data.aggregation import aggregate_ticks
price, size = _make_ticks(1000)
bars = aggregate_ticks({"price": price, "size": size}, rule="tick:20")
close = np.asarray(bars["close"], dtype=np.float64)
rsi = RSI(close, timeperiod=14)
assert rsi.shape == close.shape
def test_list_input(self):
from ferro_ta.data.aggregation import aggregate_ticks
ticks = [(float(i), 100.0 + i * 0.01, 10.0) for i in range(100)]
result = aggregate_ticks(ticks, rule="tick:10")
assert len(result["open"]) == 10
# ---------------------------------------------------------------------------
# Strategy DSL
# ---------------------------------------------------------------------------
class TestStrategyDSL:
def test_parse_simple_expression(self):
from ferro_ta.tools.dsl import parse_expression
ast = parse_expression("RSI(14) < 30")
assert ast is not None
def test_evaluate_returns_int_array(self):
from ferro_ta.tools.dsl import evaluate
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
sig = evaluate("RSI(14) < 30", {"close": close})
assert sig.dtype == np.int32
assert sig.shape == (100,)
assert set(sig.tolist()).issubset({0, 1})
def test_evaluate_and_expression(self):
from ferro_ta.tools.dsl import evaluate
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
sig = evaluate("RSI(14) < 70 and RSI(14) > 30", {"close": close})
assert sig.shape == (100,)
def test_evaluate_or_expression(self):
from ferro_ta.tools.dsl import evaluate
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
sig = evaluate("RSI(14) < 30 or RSI(14) > 70", {"close": close})
assert sig.shape == (100,)
def test_evaluate_not_expression(self):
from ferro_ta.tools.dsl import evaluate
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
sig = evaluate("not RSI(14) < 30", {"close": close})
assert set(sig.tolist()).issubset({0, 1})
def test_strategy_class(self):
from ferro_ta.tools.dsl import Strategy
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
strat = Strategy("RSI(14) < 30")
sig = strat.evaluate({"close": close})
assert sig.shape == (100,)
def test_combined_close_sma_expression(self):
from ferro_ta.tools.dsl import evaluate
close = np.cumprod(1 + RNG.normal(0, 0.01, 60)) * 100
sig = evaluate("close > SMA(20)", {"close": close})
assert sig.shape == (60,)
def test_invalid_expression_raises(self):
from ferro_ta.tools.dsl import parse_expression
with pytest.raises(ValueError):
parse_expression("")
def test_parse_expression_with_cross_above_placeholder(self):
"""cross_above tokens parse without error."""
from ferro_ta.tools.dsl import parse_expression
ast = parse_expression("cross_above(close, SMA(20))")
assert ast is not None
def test_backtest_with_dsl_signal(self):
"""Combine DSL signal with the existing backtest module."""
from ferro_ta.analysis.backtest import backtest
from ferro_ta.tools.dsl import Strategy
close = np.cumprod(1 + RNG.normal(0, 0.01, 100)) * 100
strat = Strategy("RSI(14) < 30")
strat.evaluate({"close": close}) # signal not fed to backtest in this test
# Manually feed signal to backtest
result = backtest(close, strategy="rsi_30_70")
assert result is not None
# ---------------------------------------------------------------------------
# Signal composition and screening
# ---------------------------------------------------------------------------
class TestSignalComposition:
def test_compose_weighted(self):
from ferro_ta.analysis.signals import compose
sigs = RNG.standard_normal((50, 3))
score = compose(sigs, weights=[0.5, 0.3, 0.2])
assert score.shape == (50,)
def test_compose_mean(self):
from ferro_ta.analysis.signals import compose
sigs = np.ones((10, 4)) * 2.0
score = compose(sigs, method="mean")
np.testing.assert_allclose(score, 2.0)
def test_compose_rank(self):
from ferro_ta.analysis.signals import compose
sigs = RNG.standard_normal((30, 3))
score = compose(sigs, method="rank")
assert score.shape == (30,)
def test_compose_equal_weights_default(self):
from ferro_ta.analysis.signals import compose
sigs = np.ones((5, 3))
score = compose(sigs) # equal weight by default
np.testing.assert_allclose(score, 1.0)
def test_screen_top_n(self):
from ferro_ta.analysis.signals import screen
scores = {"AAPL": 0.8, "GOOG": 0.5, "MSFT": 0.9, "AMZN": 0.3}
result = screen(scores, top_n=2)
assert list(result.keys()) == ["MSFT", "AAPL"]
def test_screen_bottom_n(self):
from ferro_ta.analysis.signals import screen
scores = {"A": 3, "B": 1, "C": 2}
result = screen(scores, bottom_n=2)
assert list(result.keys()) == ["B", "C"]
def test_screen_above_threshold(self):
from ferro_ta.analysis.signals import screen
scores = {"A": 0.7, "B": 0.3, "C": 0.9}
result = screen(scores, above=0.5)
assert set(result.keys()) == {"A", "C"}
def test_rank_signals(self):
from ferro_ta.analysis.signals import rank_signals
x = np.array([3.0, 1.0, 2.0])
r = rank_signals(x)
np.testing.assert_allclose(r, [3.0, 1.0, 2.0])
def test_rank_signals_ties(self):
from ferro_ta.analysis.signals import rank_signals
x = np.array([1.0, 1.0, 3.0])
r = rank_signals(x)
np.testing.assert_allclose(r[0], 1.5)
np.testing.assert_allclose(r[1], 1.5)
np.testing.assert_allclose(r[2], 3.0)
def test_top_n_indices_rust(self):
from ferro_ta._ferro_ta import top_n_indices
x = np.array([1.0, 5.0, 3.0, 7.0, 2.0])
idx = top_n_indices(x, 2)
vals = sorted(x[i] for i in idx)
assert vals == [5.0, 7.0]
# ---------------------------------------------------------------------------
# Portfolio analytics
# ---------------------------------------------------------------------------
class TestPortfolioAnalytics:
def test_correlation_matrix_shape(self):
from ferro_ta.analysis.portfolio import correlation_matrix
r = RNG.normal(0, 0.01, (100, 4))
corr = correlation_matrix(r)
assert corr.shape == (4, 4)
def test_correlation_matrix_diagonal_ones(self):
from ferro_ta.analysis.portfolio import correlation_matrix
r = RNG.normal(0, 0.01, (100, 3))
corr = correlation_matrix(r)
np.testing.assert_allclose(np.diag(corr), 1.0, atol=1e-10)
def test_correlation_matrix_symmetric(self):
from ferro_ta.analysis.portfolio import correlation_matrix
r = RNG.normal(0, 0.01, (80, 3))
corr = correlation_matrix(r)
np.testing.assert_allclose(corr, corr.T, atol=1e-12)
def test_portfolio_volatility_positive(self):
from ferro_ta.analysis.portfolio import portfolio_volatility
r = RNG.normal(0, 0.01, (100, 3))
vol = portfolio_volatility(r, weights=[1 / 3, 1 / 3, 1 / 3])
assert vol > 0
def test_portfolio_volatility_annualise(self):
from ferro_ta.analysis.portfolio import portfolio_volatility
r = RNG.normal(0, 0.01, (252, 1))
vol_raw = portfolio_volatility(r, weights=[1.0])
vol_ann = portfolio_volatility(r, weights=[1.0], annualise=252)
np.testing.assert_allclose(vol_ann, vol_raw * 252**0.5, rtol=1e-6)
def test_beta_scalar(self):
from ferro_ta.analysis.portfolio import beta
bench = RNG.normal(0, 0.01, 100)
asset = 1.5 * bench + RNG.normal(0, 0.001, 100)
b = beta(asset, bench)
assert abs(b - 1.5) < 0.05
def test_beta_rolling(self):
from ferro_ta.analysis.portfolio import beta
bench = RNG.normal(0, 0.01, 100)
asset = bench + RNG.normal(0, 0.001, 100)
rb = beta(asset, bench, window=20)
assert rb.shape == (100,)
assert np.isnan(rb[0])
assert not np.isnan(rb[-1])
def test_drawdown_series(self):
from ferro_ta.analysis.portfolio import drawdown
eq = np.array([100.0, 110.0, 105.0, 90.0, 95.0])
dd, max_dd = drawdown(eq)
assert dd.shape == (5,)
assert dd[0] == 0.0 # no drawdown at start
assert max_dd < 0
def test_drawdown_max_only(self):
from ferro_ta.analysis.portfolio import drawdown
eq = np.array([100.0, 110.0, 105.0, 90.0, 95.0])
max_dd = drawdown(eq, as_series=False)
assert isinstance(max_dd, float)
assert max_dd < 0
# ---------------------------------------------------------------------------
# Cross-asset analytics
# ---------------------------------------------------------------------------
class TestCrossAsset:
def test_relative_strength_shape(self):
from ferro_ta.analysis.cross_asset import relative_strength
ra = RNG.normal(0, 0.01, 50)
rb = RNG.normal(0, 0.01, 50)
rs = relative_strength(ra, rb)
assert rs.shape == (50,)
def test_spread_values(self):
from ferro_ta.analysis.cross_asset import spread
a = np.array([10.0, 11.0, 12.0])
b = np.array([9.0, 10.0, 11.0])
sp = spread(a, b)
np.testing.assert_allclose(sp, [1.0, 1.0, 1.0])
def test_spread_custom_hedge(self):
from ferro_ta.analysis.cross_asset import spread
a = np.array([10.0, 10.0])
b = np.array([5.0, 5.0])
sp = spread(a, b, hedge=2.0)
np.testing.assert_allclose(sp, [0.0, 0.0])
def test_ratio_basic(self):
from ferro_ta.analysis.cross_asset import ratio
a = np.array([10.0, 12.0, 15.0])
b = np.array([5.0, 4.0, 5.0])
r = ratio(a, b)
np.testing.assert_allclose(r, [2.0, 3.0, 3.0])
def test_ratio_zero_denominator(self):
from ferro_ta.analysis.cross_asset import ratio
a = np.array([1.0, 2.0])
b = np.array([0.0, 1.0])
r = ratio(a, b)
assert np.isnan(r[0])
assert r[1] == 2.0
def test_zscore_nan_warmup(self):
from ferro_ta.analysis.cross_asset import zscore
x = np.array([1.0, 2.0, 3.0, 2.0, 1.0])
z = zscore(x, window=3)
assert np.isnan(z[0]) and np.isnan(z[1])
assert not np.isnan(z[2])
def test_rolling_beta_warmup(self):
from ferro_ta.analysis.cross_asset import rolling_beta
b = RNG.normal(0, 1, 50)
a = 0.8 * b + RNG.normal(0, 0.1, 50)
rb = rolling_beta(a, b, window=20)
assert np.isnan(rb[18])
assert not np.isnan(rb[19])
# ---------------------------------------------------------------------------
# Feature matrix
# ---------------------------------------------------------------------------
class TestFeatureMatrix:
def test_basic_feature_matrix(self):
from ferro_ta.analysis.features import feature_matrix
o, h, l, c, v = _make_ohlcv(50)
ohlcv = {"close": c, "high": h, "low": l, "open": o, "volume": v}
fm = feature_matrix(ohlcv, [("SMA", {"timeperiod": 10})])
assert "SMA" in fm
arr = np.asarray(fm["SMA"] if isinstance(fm, dict) else fm["SMA"].values)
assert arr.shape == (50,)
def test_multiple_indicators_feature_matrix(self):
from ferro_ta.analysis.features import feature_matrix
o, h, l, c, v = _make_ohlcv(50)
ohlcv = {"close": c, "high": h, "low": l, "open": o, "volume": v}
fm = feature_matrix(
ohlcv,
[
("SMA", {"timeperiod": 10}),
("RSI", {"timeperiod": 14}),
],
)
assert "SMA" in fm
assert "RSI" in fm
def test_nan_policy_drop(self):
pytest.importorskip("pandas")
import pandas as pd
from ferro_ta.analysis.features import feature_matrix
o, h, l, c, v = _make_ohlcv(50)
ohlcv = {"close": c, "high": h, "low": l, "open": o, "volume": v}
fm = feature_matrix(
ohlcv,
[("SMA", {"timeperiod": 10}), ("RSI", {"timeperiod": 14})],
nan_policy="drop",
)
assert isinstance(fm, pd.DataFrame)
assert not fm.isnull().any().any()
def test_feature_matrix_string_indicator(self):
from ferro_ta.analysis.features import feature_matrix
o, h, l, c, v = _make_ohlcv(50)
ohlcv = {"close": c, "high": h, "low": l, "open": o, "volume": v}
fm = feature_matrix(ohlcv, ["SMA"])
assert "SMA" in fm
# ---------------------------------------------------------------------------
# Viz (smoke tests)
# ---------------------------------------------------------------------------
class TestViz:
def test_plot_matplotlib_no_show(self):
pytest.importorskip("matplotlib")
from ferro_ta import RSI
from ferro_ta.tools.viz import plot
o, h, l, c, v = _make_ohlcv(60)
ohlcv = {"close": c, "open": o, "high": h, "low": l, "volume": v}
rsi = RSI(c, timeperiod=14)
fig = plot(
ohlcv,
indicators={"RSI(14)": rsi},
backend="matplotlib",
show=False,
)
assert fig is not None
import matplotlib.pyplot as plt
plt.close("all")
def test_plot_unknown_backend_raises(self):
from ferro_ta.tools.viz import plot
o, h, l, c, v = _make_ohlcv(10)
with pytest.raises(ValueError, match="Unknown backend"):
plot({"close": c}, backend="bogus")
def test_plot_savefig(self, tmp_path):
pytest.importorskip("matplotlib")
from ferro_ta.tools.viz import plot
o, h, l, c, v = _make_ohlcv(30)
ohlcv = {"close": c, "open": o, "high": h, "low": l, "volume": v}
out = str(tmp_path / "chart.png")
plot(ohlcv, backend="matplotlib", savefig=out, show=False)
import os
assert os.path.exists(out)
import matplotlib.pyplot as plt
plt.close("all")
# ---------------------------------------------------------------------------
# Data adapters
# ---------------------------------------------------------------------------
class TestDataAdapters:
def test_in_memory_adapter(self):
from ferro_ta.data.adapters import InMemoryAdapter
o, h, l, c, v = _make_ohlcv(20)
adapter = InMemoryAdapter(
{"open": o, "high": h, "low": l, "close": c, "volume": v}
)
ohlcv = adapter.fetch()
assert "close" in ohlcv
def test_register_and_get_adapter(self):
from ferro_ta.data.adapters import DataAdapter, get_adapter, register_adapter
class MyAdapter(DataAdapter):
def fetch(self, **kwargs):
return {}
register_adapter("_test_my", MyAdapter)
cls = get_adapter("_test_my")
assert cls is MyAdapter
def test_get_unknown_adapter_raises(self):
from ferro_ta.data.adapters import get_adapter
with pytest.raises(KeyError):
get_adapter("_nonexistent_adapter_xyz")
def test_csv_adapter_requires_pandas(self, tmp_path):
"""CsvAdapter can be instantiated without pandas; fetch raises ImportError."""
from ferro_ta.data.adapters import CsvAdapter
adapter = CsvAdapter(str(tmp_path / "fake.csv"))
assert adapter is not None
def test_csv_adapter_fetch(self, tmp_path):
pytest.importorskip("pandas")
import pandas as pd
from ferro_ta.data.adapters import CsvAdapter
o, h, l, c, v = _make_ohlcv(10)
csv_path = str(tmp_path / "ohlcv.csv")
df = pd.DataFrame({"open": o, "high": h, "low": l, "close": c, "volume": v})
df.to_csv(csv_path, index=False)
adapter = CsvAdapter(csv_path)
result = adapter.fetch()
assert "close" in result.columns
assert len(result) == 10
def test_builtin_adapters_registered(self):
from ferro_ta.data.adapters import CsvAdapter, InMemoryAdapter, get_adapter
assert get_adapter("csv") is CsvAdapter
assert get_adapter("memory") is InMemoryAdapter
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"""Tests for exceptions, backtest, registry, release playbook, GPU backend, WASM."""
from __future__ import annotations
import numpy as np
import pytest
import ferro_ta
# ---------------------------------------------------------------------------
# Exception model & validation
# ---------------------------------------------------------------------------
from ferro_ta.core.exceptions import (
FerroTAError,
FerroTAInputError,
FerroTAValueError,
check_equal_length,
check_finite,
check_timeperiod,
)
class TestExceptionHierarchy:
"""FerroTAError hierarchy and isinstance relationships."""
def test_ferro_ta_error_is_exception(self):
assert issubclass(FerroTAError, Exception)
def test_value_error_is_base_and_value_error(self):
assert issubclass(FerroTAValueError, FerroTAError)
assert issubclass(FerroTAValueError, ValueError)
def test_input_error_is_base_and_value_error(self):
assert issubclass(FerroTAInputError, FerroTAError)
assert issubclass(FerroTAInputError, ValueError)
def test_exported_from_ferro_ta(self):
assert ferro_ta.FerroTAError is FerroTAError
assert ferro_ta.FerroTAValueError is FerroTAValueError
assert ferro_ta.FerroTAInputError is FerroTAInputError
class TestCheckTimeperiod:
"""check_timeperiod raises FerroTAValueError with clear message."""
def test_valid_timeperiod_does_not_raise(self):
check_timeperiod(1)
check_timeperiod(14)
check_timeperiod(100)
def test_zero_raises_ferro_ta_value_error(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1, got 0"):
check_timeperiod(0)
def test_negative_raises_ferro_ta_value_error(self):
with pytest.raises(FerroTAValueError) as exc_info:
check_timeperiod(-5, name="timeperiod")
assert "timeperiod" in str(exc_info.value)
assert "-5" in str(exc_info.value)
def test_custom_name_in_message(self):
with pytest.raises(FerroTAValueError, match="fastperiod"):
check_timeperiod(0, name="fastperiod")
def test_custom_minimum(self):
with pytest.raises(FerroTAValueError, match=">= 2"):
check_timeperiod(1, minimum=2)
class TestCheckEqualLength:
"""check_equal_length raises FerroTAInputError for mismatched arrays."""
def test_equal_lengths_pass(self):
a = np.array([1.0, 2.0, 3.0])
b = np.array([4.0, 5.0, 6.0])
check_equal_length(open=a, close=b) # no exception
def test_mismatched_lengths_raise(self):
a = np.array([1.0, 2.0, 3.0])
b = np.array([4.0, 5.0])
with pytest.raises(FerroTAInputError) as exc_info:
check_equal_length(open=a, close=b)
# message must mention the lengths
msg = str(exc_info.value)
assert "3" in msg
assert "2" in msg
def test_three_arrays_all_different(self):
with pytest.raises(FerroTAInputError):
check_equal_length(
open=np.array([1.0]),
high=np.array([1.0, 2.0]),
close=np.array([1.0, 2.0, 3.0]),
)
class TestCheckFinite:
"""check_finite raises FerroTAInputError for NaN/Inf."""
def test_all_finite_passes(self):
check_finite(np.array([1.0, 2.0, 3.0]))
def test_nan_raises(self):
with pytest.raises(FerroTAInputError, match="NaN or Inf"):
check_finite(np.array([1.0, float("nan"), 3.0]))
def test_inf_raises(self):
with pytest.raises(FerroTAInputError, match="NaN or Inf"):
check_finite(np.array([1.0, float("inf"), 3.0]))
def test_name_in_message(self):
with pytest.raises(FerroTAInputError, match="myarray"):
check_finite(np.array([float("nan")]), name="myarray")
# ---------------------------------------------------------------------------
# Backtesting utilities
# ---------------------------------------------------------------------------
from ferro_ta.analysis.backtest import (
BacktestResult,
backtest,
macd_crossover_strategy,
rsi_strategy,
sma_crossover_strategy,
)
def _make_close(n: int = 50, seed: int = 42) -> np.ndarray:
rng = np.random.default_rng(seed)
returns = rng.normal(0.001, 0.01, n)
return np.cumprod(1 + returns) * 100.0
class TestRsiStrategy:
"""rsi_strategy returns correct signal arrays."""
def test_output_shape(self):
close = _make_close(50)
signals = rsi_strategy(close, timeperiod=5)
assert signals.shape == close.shape
def test_only_valid_signal_values(self):
close = _make_close(50)
signals = rsi_strategy(close, timeperiod=5)
finite = signals[np.isfinite(signals)]
assert set(finite).issubset({-1.0, 0.0, 1.0})
def test_nan_during_warmup(self):
close = _make_close(20)
signals = rsi_strategy(close, timeperiod=5)
# First 5 values should be NaN (RSI warm-up)
assert np.all(np.isnan(signals[:5]))
def test_invalid_timeperiod(self):
with pytest.raises(FerroTAValueError):
rsi_strategy(_make_close(10), timeperiod=0)
class TestSmaCrossoverStrategy:
"""sma_crossover_strategy returns signals when fast < slow."""
def test_output_shape(self):
close = _make_close(60)
signals = sma_crossover_strategy(close, fast=5, slow=20)
assert signals.shape == close.shape
def test_only_valid_signal_values(self):
close = _make_close(60)
signals = sma_crossover_strategy(close, fast=5, slow=20)
finite = signals[np.isfinite(signals)]
assert set(finite).issubset({-1.0, 1.0})
def test_fast_must_be_less_than_slow(self):
with pytest.raises(FerroTAValueError):
sma_crossover_strategy(_make_close(60), fast=20, slow=10)
class TestMacdCrossoverStrategy:
"""macd_crossover_strategy returns signals from MACD line vs signal line."""
def test_output_shape(self):
close = _make_close(100)
signals = macd_crossover_strategy(
close, fastperiod=12, slowperiod=26, signalperiod=9
)
assert signals.shape == close.shape
def test_only_valid_signal_values(self):
close = _make_close(100)
signals = macd_crossover_strategy(
close, fastperiod=12, slowperiod=26, signalperiod=9
)
finite = signals[np.isfinite(signals)]
assert set(finite).issubset({-1.0, 1.0})
def test_fastperiod_must_be_less_than_slowperiod(self):
with pytest.raises(FerroTAValueError):
macd_crossover_strategy(_make_close(60), fastperiod=26, slowperiod=12)
class TestBacktest:
"""backtest() produces correct BacktestResult."""
def test_rsi_strategy_runs(self):
close = _make_close(100)
result = backtest(close, strategy="rsi_30_70", timeperiod=5)
assert isinstance(result, BacktestResult)
def test_output_lengths_match_input(self):
close = _make_close(80)
result = backtest(close, strategy="rsi_30_70", timeperiod=5)
n = len(close)
assert len(result.signals) == n
assert len(result.positions) == n
assert len(result.equity) == n
def test_equity_starts_near_one(self):
close = _make_close(50)
result = backtest(close, strategy="rsi_30_70", timeperiod=5)
assert abs(result.equity[0] - 1.0) < 0.01
def test_sma_crossover_strategy_runs(self):
close = _make_close(80)
result = backtest(close, strategy="sma_crossover", fast=5, slow=20)
assert isinstance(result, BacktestResult)
assert result.n_trades >= 0
def test_custom_callable_strategy(self):
def my_strategy(close, **_):
signals = np.zeros(len(close))
signals[len(close) // 2 :] = 1.0
return signals
close = _make_close(40)
result = backtest(close, strategy=my_strategy)
assert isinstance(result, BacktestResult)
assert len(result.signals) == len(close)
def test_unknown_strategy_raises(self):
with pytest.raises(FerroTAValueError, match="Unknown strategy"):
backtest(_make_close(30), strategy="nonexistent")
def test_too_short_input_raises(self):
with pytest.raises(FerroTAInputError):
backtest(np.array([1.0]))
def test_non_1d_input_raises(self):
with pytest.raises(FerroTAInputError):
backtest(np.array([[1.0, 2.0], [3.0, 4.0]]))
def test_n_trades_is_integer(self):
close = _make_close(60)
result = backtest(close, strategy="sma_crossover", fast=5, slow=15)
assert isinstance(result.n_trades, int)
assert result.n_trades >= 0
def test_macd_crossover_strategy_runs(self):
close = _make_close(100)
result = backtest(
close,
strategy="macd_crossover",
fastperiod=12,
slowperiod=26,
signalperiod=9,
)
assert isinstance(result, BacktestResult)
assert len(result.equity) == len(close)
def test_commission_reduces_equity(self):
close = _make_close(80)
result_no_comm = backtest(close, strategy="sma_crossover", fast=5, slow=20)
result_with_comm = backtest(
close,
strategy="sma_crossover",
fast=5,
slow=20,
commission_per_trade=0.01,
)
assert result_with_comm.final_equity <= result_no_comm.final_equity
assert result_with_comm.final_equity < result_no_comm.final_equity or (
result_no_comm.n_trades == 0
)
def test_slippage_reduces_equity(self):
close = _make_close(80)
result_no_slip = backtest(close, strategy="sma_crossover", fast=5, slow=20)
result_with_slip = backtest(
close,
strategy="sma_crossover",
fast=5,
slow=20,
slippage_bps=10.0,
)
assert result_with_slip.final_equity <= result_no_slip.final_equity
assert result_with_slip.final_equity < result_no_slip.final_equity or (
result_no_slip.n_trades == 0
)
# ---------------------------------------------------------------------------
# Plugin / Registry
# ---------------------------------------------------------------------------
from ferro_ta.core.registry import (
FerroTARegistryError,
get,
list_indicators,
register,
run,
unregister,
)
class TestRegistry:
"""Registry: register, get, run, unregister, list_indicators."""
def test_builtins_registered(self):
names = list_indicators()
assert "SMA" in names
assert "RSI" in names
assert "EMA" in names
assert "ATR" in names
def test_run_builtin_sma(self):
close = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
result = run("SMA", close, timeperiod=3)
# SMA(3) of [1,2,3,4,5]: valid at indices 2,3,4
assert result.shape == (5,)
assert np.isnan(result[0])
assert abs(float(result[2]) - 2.0) < 1e-8
def test_run_builtin_rsi(self):
close = np.array(
[
44.34,
44.09,
44.15,
43.61,
44.33,
44.83,
45.10,
45.15,
43.61,
44.33,
44.83,
45.10,
45.15,
43.61,
44.33,
]
)
result = run("RSI", close, timeperiod=14)
assert result.shape == (15,)
def test_get_returns_callable(self):
fn = get("EMA")
assert callable(fn)
def test_register_custom_indicator(self):
def DOUBLE_SMA(close, timeperiod=5):
return close * 2.0
register("DOUBLE_SMA", DOUBLE_SMA)
try:
close = np.array([1.0, 2.0, 3.0])
result = run("DOUBLE_SMA", close, timeperiod=2)
np.testing.assert_array_equal(result, np.array([2.0, 4.0, 6.0]))
finally:
unregister("DOUBLE_SMA")
def test_unregister_removes_indicator(self):
def TEMP_IND(close):
return close
register("TEMP_IND", TEMP_IND)
assert "TEMP_IND" in list_indicators()
unregister("TEMP_IND")
assert "TEMP_IND" not in list_indicators()
def test_unknown_indicator_raises(self):
with pytest.raises(FerroTARegistryError):
get("UNKNOWN_INDICATOR_XYZ")
def test_run_unknown_indicator_raises(self):
with pytest.raises(FerroTARegistryError):
run("NO_SUCH_IND", np.array([1.0, 2.0]))
def test_unregister_unknown_raises(self):
with pytest.raises(FerroTARegistryError):
unregister("NEVER_REGISTERED")
def test_register_non_callable_raises(self):
with pytest.raises(TypeError):
register("BAD", 42) # type: ignore[arg-type]
def test_list_indicators_is_sorted(self):
names = list_indicators()
assert names == sorted(names)
def test_all_builtins_are_callable(self):
for name in list_indicators():
fn = get(name)
assert callable(fn), f"{name} is not callable"
# ---------------------------------------------------------------------------
# New Extended Indicators (KELTNER_CHANNELS, HULL_MA,
# CHANDELIER_EXIT, VWMA, CHOPPINESS_INDEX)
# ---------------------------------------------------------------------------
from ferro_ta import (
CHANDELIER_EXIT,
CHOPPINESS_INDEX,
HULL_MA,
KELTNER_CHANNELS,
VWMA,
)
_N = 30
_C = np.cumsum(np.ones(_N)) + 40.0
_H = _C + 0.5
_L = _C - 0.5
_V = np.full(_N, 1_000_000.0)
class TestKeltnerChannels:
def test_output_shapes(self):
u, m, lo = KELTNER_CHANNELS(_H, _L, _C, timeperiod=5, atr_period=3)
assert len(u) == len(m) == len(lo) == _N
def test_upper_gt_middle_gt_lower(self):
u, m, lo = KELTNER_CHANNELS(_H, _L, _C, timeperiod=5, atr_period=3)
valid = ~np.isnan(u)
assert np.all(u[valid] > m[valid])
assert np.all(m[valid] > lo[valid])
class TestHullMA:
def test_output_length(self):
hull = HULL_MA(_C, timeperiod=4)
assert len(hull) == _N
def test_leading_nans(self):
hull = HULL_MA(_C, timeperiod=4)
assert int(np.sum(np.isnan(hull))) >= 1
def test_finite_after_warmup(self):
hull = HULL_MA(_C, timeperiod=4)
assert np.all(np.isfinite(hull[~np.isnan(hull)]))
class TestChandelierExit:
def test_output_shapes(self):
le, se = CHANDELIER_EXIT(_H, _L, _C, timeperiod=5, multiplier=2.0)
assert len(le) == len(se) == _N
def test_long_lt_high_short_gt_low(self):
le, se = CHANDELIER_EXIT(_H, _L, _C, timeperiod=5, multiplier=2.0)
# Both outputs should have valid values after warmup
valid_le = ~np.isnan(le)
valid_se = ~np.isnan(se)
assert valid_le.any()
assert valid_se.any()
# Long exit must be finite and positive
assert np.all(np.isfinite(le[valid_le]))
assert np.all(le[valid_le] > 0.0)
# Short exit must be finite and positive
assert np.all(np.isfinite(se[valid_se]))
assert np.all(se[valid_se] > 0.0)
class TestVWMA:
def test_output_length(self):
v = VWMA(_C, _V, timeperiod=5)
assert len(v) == _N
def test_leading_nans(self):
v = VWMA(_C, _V, timeperiod=5)
assert int(np.sum(np.isnan(v))) == 4
def test_uniform_volume_equals_sma(self):
"""With uniform volume, VWMA equals SMA."""
from ferro_ta import SMA
c = np.arange(1.0, 21.0)
v = np.ones(20)
vwma = VWMA(c, v, timeperiod=5)
sma = SMA(c, timeperiod=5)
valid = ~np.isnan(vwma) & ~np.isnan(sma)
assert np.allclose(vwma[valid], sma[valid], rtol=1e-9)
class TestChoppinessIndex:
def test_output_length(self):
ci = CHOPPINESS_INDEX(_H, _L, _C, timeperiod=5)
assert len(ci) == _N
def test_range_0_to_100(self):
ci = CHOPPINESS_INDEX(_H, _L, _C, timeperiod=5)
valid = ci[~np.isnan(ci)]
if len(valid) > 0:
assert np.all(valid >= 0.0)
assert np.all(valid <= 100.0)
# ---------------------------------------------------------------------------
# Batch execution API
# ---------------------------------------------------------------------------
from ferro_ta import EMA, RSI, SMA
from ferro_ta.data.batch import batch_apply, batch_ema, batch_rsi, batch_sma
class TestBatchSMA:
C2D = np.random.default_rng(7).random((50, 3)) + 50.0
C1D = C2D[:, 0]
def test_output_shape_2d(self):
result = batch_sma(self.C2D, timeperiod=10)
assert result.shape == (50, 3)
def test_output_shape_1d_unchanged(self):
"""1-D input should return 1-D (backward compatible)."""
result = batch_sma(self.C1D, timeperiod=10)
assert result.ndim == 1
assert len(result) == 50
def test_column_matches_single_series(self):
"""Each column of batch_sma must match single-series SMA."""
result = batch_sma(self.C2D, timeperiod=10)
for j in range(3):
expected = SMA(self.C2D[:, j], timeperiod=10)
assert np.allclose(result[:, j], expected, equal_nan=True)
class TestBatchEMA:
C2D = np.random.default_rng(8).random((50, 4)) + 40.0
def test_output_shape(self):
result = batch_ema(self.C2D, timeperiod=5)
assert result.shape == (50, 4)
def test_column_matches_single_series(self):
result = batch_ema(self.C2D, timeperiod=5)
for j in range(4):
expected = EMA(self.C2D[:, j], timeperiod=5)
assert np.allclose(result[:, j], expected, equal_nan=True)
class TestBatchRSI:
C2D = np.random.default_rng(9).random((50, 2)) + 45.0
def test_output_shape(self):
result = batch_rsi(self.C2D, timeperiod=14)
assert result.shape == (50, 2)
def test_values_in_range(self):
result = batch_rsi(self.C2D, timeperiod=14)
valid = result[~np.isnan(result)]
if len(valid) > 0:
assert valid.min() >= 0.0
assert valid.max() <= 100.0
def test_column_matches_single_series(self):
result = batch_rsi(self.C2D, timeperiod=14)
for j in range(2):
expected = RSI(self.C2D[:, j], timeperiod=14)
assert np.allclose(result[:, j], expected, equal_nan=True)
class TestBatchApply:
C2D = np.random.default_rng(11).random((40, 3)) + 50.0
def test_custom_fn(self):
"""batch_apply should delegate to any single-series function."""
from ferro_ta import BBANDS
def mid(c, **kw):
return BBANDS(c, **kw)[1]
result = batch_apply(self.C2D, mid, timeperiod=5)
assert result.shape == (40, 3)
def test_3d_raises(self):
with pytest.raises(ValueError, match="1-D or 2-D"):
batch_apply(np.zeros((5, 5, 5)), SMA, timeperiod=3)
# ---------------------------------------------------------------------------
# Release playbook and version consistency
# ---------------------------------------------------------------------------
import os
try:
import tomllib # Python 3.11+
except ImportError:
try:
import tomli as tomllib # type: ignore[no-redef] # fallback for Python < 3.11
except ImportError:
tomllib = None # type: ignore[assignment]
def _read_cargo_version() -> str:
"""Extract version from root Cargo.toml."""
if tomllib is None:
raise ImportError("tomllib/tomli not available")
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
cargo_toml = os.path.join(root, "Cargo.toml")
with open(cargo_toml, "rb") as f:
data = tomllib.load(f)
return data["package"]["version"]
def _read_pyproject_version() -> str:
"""Extract version from pyproject.toml."""
if tomllib is None:
raise ImportError("tomllib/tomli not available")
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
pyproject_toml = os.path.join(root, "pyproject.toml")
with open(pyproject_toml, "rb") as f:
data = tomllib.load(f)
return data["project"]["version"]
class TestVersionConsistency:
"""Cargo.toml and pyproject.toml must have the same version string."""
def test_versions_match(self):
try:
cargo_ver = _read_cargo_version()
pyproject_ver = _read_pyproject_version()
except Exception:
pytest.skip("tomllib unavailable or files not found")
assert cargo_ver == pyproject_ver, (
f"Version mismatch: Cargo.toml={cargo_ver!r}, "
f"pyproject.toml={pyproject_ver!r}"
)
def test_release_md_exists(self):
"""RELEASE.md must exist in the repository root."""
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
release_md = os.path.join(root, "RELEASE.md")
assert os.path.isfile(release_md), "RELEASE.md not found"
def test_release_md_has_key_sections(self):
"""RELEASE.md must mention tagging and PyPI."""
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
release_md = os.path.join(root, "RELEASE.md")
if not os.path.isfile(release_md):
pytest.skip("RELEASE.md not found")
text = open(release_md).read()
assert "git tag" in text or "tag" in text.lower()
assert "pypi" in text.lower() or "PyPI" in text
# ---------------------------------------------------------------------------
# GPU backend (PyTorch, CPU fallback always available)
# ---------------------------------------------------------------------------
from ferro_ta.tools.gpu import ema as gpu_ema
from ferro_ta.tools.gpu import rsi as gpu_rsi
from ferro_ta.tools.gpu import sma as gpu_sma # noqa: E402
CLOSE_15 = np.array(
[
44.34,
44.09,
44.15,
43.61,
44.33,
44.83,
45.10,
45.15,
43.61,
44.33,
44.83,
45.10,
45.15,
43.61,
44.33,
]
)
class TestGPUCPUFallback:
"""GPU module falls back to CPU when CuPy is not available."""
def test_sma_cpu_fallback_length(self):
result = gpu_sma(CLOSE_15, timeperiod=5)
assert len(result) == len(CLOSE_15)
def test_sma_cpu_fallback_values(self):
from ferro_ta import SMA
result = gpu_sma(CLOSE_15, timeperiod=5)
expected = SMA(CLOSE_15, timeperiod=5)
np.testing.assert_allclose(result, expected, equal_nan=True)
def test_ema_cpu_fallback_values(self):
from ferro_ta import EMA
result = gpu_ema(CLOSE_15, timeperiod=5)
expected = EMA(CLOSE_15, timeperiod=5)
np.testing.assert_allclose(result, expected, equal_nan=True)
def test_rsi_cpu_fallback_values(self):
from ferro_ta import RSI
result = gpu_rsi(CLOSE_15, timeperiod=5)
expected = RSI(CLOSE_15, timeperiod=5)
np.testing.assert_allclose(result, expected, equal_nan=True)
def test_sma_returns_numpy_for_numpy_input(self):
result = gpu_sma(CLOSE_15, timeperiod=5)
assert isinstance(result, np.ndarray)
def test_rsi_finite_values_in_range(self):
result = gpu_rsi(CLOSE_15, timeperiod=5)
finite = result[np.isfinite(result)]
assert len(finite) > 0
assert np.all(finite >= 0.0)
assert np.all(finite <= 100.0)
def test_gpu_module_all_exports(self):
from ferro_ta.tools import gpu as gpu_mod
for name in gpu_mod.__all__:
assert callable(getattr(gpu_mod, name))
# ---------------------------------------------------------------------------
# Indicator pipeline
# ---------------------------------------------------------------------------
from ferro_ta import BBANDS # noqa: E402 (already imported)
from ferro_ta.tools.pipeline import Pipeline, make_pipeline # noqa: E402
CLOSE_20 = np.random.default_rng(99).random(20) * 100 + 50
class TestPipeline:
"""Tests for ferro_ta.pipeline.Pipeline."""
def test_pipeline_run_returns_dict(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5)
result = pipe.run(CLOSE_20)
assert isinstance(result, dict)
assert "sma5" in result
def test_pipeline_result_length_matches_input(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5)
result = pipe.run(CLOSE_20)
assert len(result["sma5"]) == len(CLOSE_20)
def test_pipeline_multiple_steps(self):
pipe = (
Pipeline()
.add("sma5", SMA, timeperiod=5)
.add("ema5", EMA, timeperiod=5)
.add("rsi7", RSI, timeperiod=7)
)
result = pipe.run(CLOSE_20)
assert set(result.keys()) == {"sma5", "ema5", "rsi7"}
def test_pipeline_multi_output_with_output_keys(self):
pipe = Pipeline().add(
"bb",
BBANDS,
timeperiod=5,
nbdevup=2.0,
nbdevdn=2.0,
output_keys=["upper", "mid", "lower"],
)
result = pipe.run(CLOSE_20)
assert "upper" in result
assert "mid" in result
assert "lower" in result
assert "bb" not in result
def test_pipeline_multi_output_without_output_keys(self):
pipe = Pipeline().add("bb", BBANDS, timeperiod=5, nbdevup=2.0, nbdevdn=2.0)
result = pipe.run(CLOSE_20)
# Should auto-name as bb_0, bb_1, bb_2
assert "bb_0" in result
assert "bb_1" in result
assert "bb_2" in result
def test_pipeline_remove_step(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5).add("ema5", EMA, timeperiod=5)
pipe.remove("sma5")
assert pipe.steps() == ["ema5"]
def test_pipeline_len(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5).add("ema5", EMA, timeperiod=5)
assert len(pipe) == 2
def test_pipeline_duplicate_name_raises(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5)
with pytest.raises(ValueError, match="sma5"):
pipe.add("sma5", SMA, timeperiod=10)
def test_make_pipeline_factory(self):
pipe = make_pipeline(
sma5=(SMA, {"timeperiod": 5}),
rsi7=(RSI, {"timeperiod": 7}),
)
result = pipe.run(CLOSE_20)
assert "sma5" in result
assert "rsi7" in result
def test_pipeline_sma_values_match_direct_call(self):
pipe = Pipeline().add("sma5", SMA, timeperiod=5)
result = pipe.run(CLOSE_20)
direct = SMA(CLOSE_20, timeperiod=5)
np.testing.assert_allclose(result["sma5"], direct, equal_nan=True)
# ---------------------------------------------------------------------------
# Polars integration (skipped if polars not installed)
# ---------------------------------------------------------------------------
class TestPolarsIntegration:
"""Transparent polars.Series support via polars_wrap."""
@pytest.fixture(autouse=True)
def skip_if_no_polars(self):
pytest.importorskip("polars")
def test_sma_returns_polars_series(self):
import polars as pl
s = pl.Series("close", CLOSE_20.tolist())
result = SMA(s, timeperiod=5)
assert isinstance(result, pl.Series)
def test_sma_values_match_numpy(self):
import polars as pl
s = pl.Series("close", CLOSE_20.tolist())
result = SMA(s, timeperiod=5)
expected = SMA(CLOSE_20, timeperiod=5)
np.testing.assert_allclose(result.to_numpy(), expected, equal_nan=True)
def test_rsi_returns_polars_series(self):
import polars as pl
s = pl.Series("close", CLOSE_20.tolist())
result = RSI(s, timeperiod=5)
assert isinstance(result, pl.Series)
def test_numpy_input_still_returns_numpy(self):
result = SMA(CLOSE_20, timeperiod=5)
assert isinstance(result, np.ndarray)
# ---------------------------------------------------------------------------
# Configuration defaults
# ---------------------------------------------------------------------------
import ferro_ta.core.config as ftconfig # noqa: E402
class TestConfig:
"""Tests for ferro_ta.config module."""
def setup_method(self):
"""Reset config state before each test."""
ftconfig.reset()
def teardown_method(self):
"""Clean up after each test."""
ftconfig.reset()
def test_set_and_get_default(self):
ftconfig.set_default("timeperiod", 20)
assert ftconfig.get_default("timeperiod") == 20
def test_get_default_fallback(self):
assert ftconfig.get_default("nonexistent") is None
assert ftconfig.get_default("nonexistent", -1) == -1
def test_reset_single_key(self):
ftconfig.set_default("timeperiod", 20)
ftconfig.reset("timeperiod")
assert ftconfig.get_default("timeperiod") is None
def test_reset_all(self):
ftconfig.set_default("timeperiod", 20)
ftconfig.set_default("RSI.timeperiod", 14)
ftconfig.reset()
assert ftconfig.list_defaults() == {}
def test_list_defaults(self):
ftconfig.set_default("timeperiod", 20)
ftconfig.set_default("RSI.timeperiod", 14)
defaults = ftconfig.list_defaults()
assert defaults == {"timeperiod": 20, "RSI.timeperiod": 14}
def test_get_defaults_for_indicator(self):
ftconfig.set_default("timeperiod", 20)
ftconfig.set_default("RSI.timeperiod", 14)
rsi_defaults = ftconfig.get_defaults_for("RSI")
assert rsi_defaults == {"timeperiod": 14}
sma_defaults = ftconfig.get_defaults_for("SMA")
assert sma_defaults == {"timeperiod": 20}
def test_config_context_manager(self):
ftconfig.set_default("timeperiod", 20)
with ftconfig.Config(timeperiod=5):
assert ftconfig.get_default("timeperiod") == 5
assert ftconfig.get_default("timeperiod") == 20
def test_config_context_manager_restores_on_exception(self):
ftconfig.set_default("timeperiod", 20)
try:
with ftconfig.Config(timeperiod=5):
raise RuntimeError("test error")
except RuntimeError:
pass
assert ftconfig.get_default("timeperiod") == 20
def test_config_context_manager_new_key_removed_on_exit(self):
# Key doesn't exist before context
assert ftconfig.get_default("nbdevup") is None
with ftconfig.Config(nbdevup=2.5):
assert ftconfig.get_default("nbdevup") == 2.5
assert ftconfig.get_default("nbdevup") is None
+509
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@@ -0,0 +1,509 @@
"""
Known-value oracle tests: permanent ground truth (Priority 2 - no optional deps).
Hand-computable ground truth that never depends on external libraries.
These tests encode fundamental mathematical properties and serve as a permanent
oracle for correctness.
All tests use NO optional dependencies - they run in every CI environment.
"""
from __future__ import annotations
import numpy as np
import pytest
import ferro_ta
# ---------------------------------------------------------------------------
# SMA Known Values
# ---------------------------------------------------------------------------
class TestSMAKnownValues:
"""SMA is the simple average over a window."""
def test_sma_simple_sequence(self):
"""SMA([1,2,3,4,5], 3) == [nan, nan, 2.0, 3.0, 4.0]."""
data = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
result = ferro_ta.SMA(data, timeperiod=3)
assert np.isnan(result[0])
assert np.isnan(result[1])
assert np.abs(result[2] - 2.0) < 1e-10 # (1+2+3)/3 = 2.0
assert np.abs(result[3] - 3.0) < 1e-10 # (2+3+4)/3 = 3.0
assert np.abs(result[4] - 4.0) < 1e-10 # (3+4+5)/3 = 4.0
def test_sma_period_one_is_identity(self):
"""SMA with period=1 should be the identity function."""
data = np.array([10.0, 12.0, 15.0, 11.0, 13.0])
result = ferro_ta.SMA(data, timeperiod=1)
assert np.allclose(result, data, atol=1e-10)
def test_sma_constant_series(self):
"""SMA of constant series should equal that constant."""
data = np.ones(10) * 42.0
result = ferro_ta.SMA(data, timeperiod=5)
# After warmup, all values should be 42.0
assert np.allclose(result[4:], 42.0, atol=1e-10)
# ---------------------------------------------------------------------------
# EMA Known Values
# ---------------------------------------------------------------------------
class TestEMAKnownValues:
"""EMA is an exponentially weighted moving average."""
def test_ema_period_one_is_identity(self):
"""EMA with period=1 should be the identity function (alpha=1)."""
data = np.array([10.0, 12.0, 15.0, 11.0, 13.0])
result = ferro_ta.EMA(data, timeperiod=1)
assert np.allclose(result, data, atol=1e-10)
def test_ema_constant_series_converges(self):
"""EMA of constant series should converge to that constant."""
data = np.ones(100) * 42.0
result = ferro_ta.EMA(data, timeperiod=10)
# After sufficient warmup, should converge to 42.0
assert np.allclose(result[-10:], 42.0, atol=1e-6)
def test_ema_monotone_rising_is_increasing(self):
"""EMA of monotone rising series should be strictly increasing after warmup."""
data = np.arange(1.0, 51.0) # 1, 2, 3, ..., 50
result = ferro_ta.EMA(data, timeperiod=10)
# After warmup, EMA should be strictly increasing
for i in range(20, len(result) - 1):
assert result[i + 1] > result[i], (
f"EMA not increasing at index {i}: {result[i]} >= {result[i+1]}"
)
# ---------------------------------------------------------------------------
# WMA Known Values
# ---------------------------------------------------------------------------
class TestWMAKnownValues:
"""WMA is a linearly weighted moving average."""
def test_wma_manual_calculation(self):
"""WMA([3,5,7], 2) at index 2 = (1*5 + 2*7)/(1+2) = 6.333..."""
data = np.array([3.0, 5.0, 7.0])
result = ferro_ta.WMA(data, timeperiod=2)
# Index 0: warmup (NaN)
assert np.isnan(result[0])
# Index 1: (1*3 + 2*5)/(1+2) = 13/3 = 4.333...
expected_1 = (1 * 3.0 + 2 * 5.0) / (1 + 2)
assert np.abs(result[1] - expected_1) < 1e-10
# Index 2: (1*5 + 2*7)/(1+2) = 19/3 = 6.333...
expected_2 = (1 * 5.0 + 2 * 7.0) / (1 + 2)
assert np.abs(result[2] - expected_2) < 1e-10
def test_wma_period_one_is_identity(self):
"""WMA with period=1 should be the identity function."""
data = np.array([10.0, 12.0, 15.0, 11.0, 13.0])
result = ferro_ta.WMA(data, timeperiod=1)
assert np.allclose(result, data, atol=1e-10)
# ---------------------------------------------------------------------------
# BBANDS Known Values
# ---------------------------------------------------------------------------
class TestBBANDSKnownValues:
"""Bollinger Bands: middle = SMA, upper/lower = middle ± (nbdevup/nbdevdn * stddev)."""
def test_bbands_constant_series(self):
"""For constant series: upper == middle == lower (stddev=0)."""
data = np.ones(20) * 50.0
upper, middle, lower = ferro_ta.BBANDS(data, timeperiod=5)
# After warmup, all three bands should be 50.0
assert np.allclose(upper[4:], 50.0, atol=1e-10)
assert np.allclose(middle[4:], 50.0, atol=1e-10)
assert np.allclose(lower[4:], 50.0, atol=1e-10)
def test_bbands_middle_is_sma(self):
"""Middle band should equal SMA."""
data = np.array([10.0, 12.0, 15.0, 11.0, 13.0, 14.0, 16.0, 12.0])
upper, middle, lower = ferro_ta.BBANDS(data, timeperiod=5)
sma = ferro_ta.SMA(data, timeperiod=5)
assert np.allclose(middle, sma, atol=1e-10, equal_nan=True)
def test_bbands_symmetric(self):
"""Bands should be symmetric: upper-middle == middle-lower (with same nbdev)."""
data = np.array([10.0, 12.0, 15.0, 11.0, 13.0, 14.0, 16.0, 12.0, 18.0, 10.0])
upper, middle, lower = ferro_ta.BBANDS(
data, timeperiod=5, nbdevup=2.0, nbdevdn=2.0
)
# After warmup, bands should be symmetric
upper_dist = upper[4:] - middle[4:]
lower_dist = middle[4:] - lower[4:]
assert np.allclose(upper_dist, lower_dist, atol=1e-10)
# ---------------------------------------------------------------------------
# RSI Known Values
# ---------------------------------------------------------------------------
class TestRSIKnownValues:
"""RSI measures momentum: monotone rising → RSI > 50, monotone falling → RSI < 50."""
def test_rsi_monotone_rising(self):
"""Monotone rising series should produce RSI > 50 after warmup."""
data = np.arange(1.0, 51.0) # 1, 2, 3, ..., 50
result = ferro_ta.RSI(data, timeperiod=14)
# After warmup, RSI should be > 50 (strong uptrend)
assert np.all(result[20:] > 50.0), "RSI of rising series should be > 50"
def test_rsi_monotone_falling(self):
"""Monotone falling series should produce RSI < 50 after warmup."""
data = np.arange(50.0, 0.0, -1.0) # 50, 49, 48, ..., 1
result = ferro_ta.RSI(data, timeperiod=14)
# After warmup, RSI should be < 50 (strong downtrend)
assert np.all(result[20:] < 50.0), "RSI of falling series should be < 50"
def test_rsi_constant_series(self):
"""Constant series should produce RSI = 100 or NaN (no momentum).
Note: For constant series with no change, ferro_ta returns 100
(no downward movement), which is mathematically correct.
"""
data = np.ones(30) * 42.0
result = ferro_ta.RSI(data, timeperiod=14)
# Constant series has no momentum; RSI should be NaN or 100
# ferro_ta returns 100 (no down movement = 100% bullish)
valid_values = result[~np.isnan(result)]
if len(valid_values) > 0:
# Should be either NaN everywhere or 100 everywhere
assert np.all(np.abs(valid_values - 100.0) < 1e-10) or np.all(np.abs(valid_values - 50.0) < 5.0), (
"RSI of constant series should be 100 (no down movement) or close to 50"
)
# ---------------------------------------------------------------------------
# ATR Known Values
# ---------------------------------------------------------------------------
class TestATRKnownValues:
"""ATR measures volatility: H==L==C → ATR=0."""
def test_atr_zero_range(self):
"""When H==L==C, ATR should be 0 (no volatility)."""
n = 30
high = np.ones(n) * 50.0
low = np.ones(n) * 50.0
close = np.ones(n) * 50.0
result = ferro_ta.ATR(high, low, close, timeperiod=14)
# After warmup, ATR should be 0
assert np.allclose(result[14:], 0.0, atol=1e-10)
def test_atr_manual_tr_calculation(self):
"""Manually verify TR formula for 3-bar sequence.
Note: ATR requires warmup period. For period=14, first 13 bars are NaN.
We test with longer period to see TR values.
"""
# Bar 0: H=11, L=9, C=10
# Bar 1: H=13, L=10, C=12 → TR = max(13-10, |13-10|, |10-10|) = 3
# Bar 2: H=14, L=11, C=13 → TR = max(14-11, |14-12|, |11-12|) = 3
high = np.array([11.0, 13.0, 14.0, 15.0, 16.0, 17.0, 18.0, 19.0, 20.0, 21.0,
22.0, 23.0, 24.0, 25.0, 26.0])
low = np.array([9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0, 16.0, 17.0, 18.0,
19.0, 20.0, 21.0, 22.0, 23.0])
close = np.array([10.0, 12.0, 13.0, 14.0, 15.0, 16.0, 17.0, 18.0, 19.0, 20.0,
21.0, 22.0, 23.0, 24.0, 25.0])
# For period=1, ATR still has warmup. Use TRANGE to check TR values directly
tr = ferro_ta.TRANGE(high, low, close)
# TR[0] = H-L = 11-9 = 2
# TR[1] = max(13-10, |13-10|, |10-10|) = max(3, 3, 0) = 3
# TR[2] = max(14-11, |14-12|, |11-12|) = max(3, 2, 1) = 3
assert np.abs(tr[0] - 2.0) < 1e-10
assert np.abs(tr[1] - 3.0) < 1e-10
assert np.abs(tr[2] - 3.0) < 1e-10
# ---------------------------------------------------------------------------
# MOM Known Values
# ---------------------------------------------------------------------------
class TestMOMKnownValues:
"""MOM is the difference: close[i] - close[i - period]."""
def test_mom_manual_calculation(self):
"""MOM([10,12,15,11], period=2) == [nan,nan,5,-1]."""
data = np.array([10.0, 12.0, 15.0, 11.0])
result = ferro_ta.MOM(data, timeperiod=2)
assert np.isnan(result[0])
assert np.isnan(result[1])
assert np.abs(result[2] - 5.0) < 1e-10 # 15 - 10 = 5
assert np.abs(result[3] - (-1.0)) < 1e-10 # 11 - 12 = -1
# ---------------------------------------------------------------------------
# ROC Known Values
# ---------------------------------------------------------------------------
class TestROCKnownValues:
"""ROC is the percentage change: 100 * (close[i] - close[i-period]) / close[i-period]."""
def test_roc_manual_calculation(self):
"""ROC([10,12], period=1)[1] == 20.0."""
data = np.array([10.0, 12.0])
result = ferro_ta.ROC(data, timeperiod=1)
# ROC[1] = 100 * (12 - 10) / 10 = 100 * 0.2 = 20.0
assert np.abs(result[1] - 20.0) < 1e-10
# ---------------------------------------------------------------------------
# MACD Known Values
# ---------------------------------------------------------------------------
class TestMACDKnownValues:
"""MACD: histogram == macd - signal always."""
def test_macd_histogram_identity(self):
"""histogram should always equal macd - signal."""
data = np.arange(1.0, 51.0)
macd, signal, histogram = ferro_ta.MACD(data, fastperiod=12, slowperiod=26, signalperiod=9)
# histogram = macd - signal (within floating-point tolerance)
expected_histogram = macd - signal
assert np.allclose(histogram, expected_histogram, atol=1e-10, equal_nan=True)
# ---------------------------------------------------------------------------
# VWAP Known Values
# ---------------------------------------------------------------------------
class TestVWAPKnownValues:
"""VWAP: period=1 VWAP == TYPPRICE."""
def test_vwap_period_one_equals_typprice(self):
"""For period=1, VWAP should equal typical price (H+L+C)/3."""
high = np.array([11.0, 13.0, 14.0])
low = np.array([9.0, 10.0, 11.0])
close = np.array([10.0, 12.0, 13.0])
volume = np.array([1000.0, 1000.0, 1000.0])
result = ferro_ta.VWAP(high, low, close, volume, timeperiod=1)
expected = ferro_ta.TYPPRICE(high, low, close)
assert np.allclose(result, expected, atol=1e-10)
def test_vwap_cumulative_manual(self):
"""Manually verify cumulative VWAP for simple 3-bar sequence."""
# Bar 0: TP=10, Vol=100 → VWAP = (10*100)/(100) = 10.0
# Bar 1: TP=12, Vol=200 → VWAP = (10*100 + 12*200)/(100+200) = 3400/300 = 11.333...
# Bar 2: TP=11, Vol=150 → VWAP = (10*100 + 12*200 + 11*150)/(100+200+150) = 5050/450 = 11.222...
high = np.array([11.0, 13.0, 12.0])
low = np.array([9.0, 11.0, 10.0])
close = np.array([10.0, 12.0, 11.0])
volume = np.array([100.0, 200.0, 150.0])
result = ferro_ta.VWAP(high, low, close, volume, timeperiod=0) # cumulative
typ = (high + low + close) / 3.0
expected_0 = typ[0]
expected_1 = (typ[0] * volume[0] + typ[1] * volume[1]) / (volume[0] + volume[1])
expected_2 = (
typ[0] * volume[0] + typ[1] * volume[1] + typ[2] * volume[2]
) / (volume[0] + volume[1] + volume[2])
assert np.abs(result[0] - expected_0) < 1e-10
assert np.abs(result[1] - expected_1) < 1e-10
assert np.abs(result[2] - expected_2) < 1e-10
# ---------------------------------------------------------------------------
# DONCHIAN Known Values
# ---------------------------------------------------------------------------
class TestDONCHIANKnownValues:
"""DONCHIAN: upper = MAX(high), lower = MIN(low), middle = (upper+lower)/2."""
def test_donchian_structure(self):
"""upper == MAX(high), lower == MIN(low), middle == (upper+lower)/2."""
high = np.array([11.0, 13.0, 14.0, 12.0, 15.0])
low = np.array([9.0, 10.0, 11.0, 10.0, 12.0])
close = np.array([10.0, 12.0, 13.0, 11.0, 14.0])
period = 3
upper, middle, lower = ferro_ta.DONCHIAN(high, low, timeperiod=period)
# upper should match rolling max of high
max_high = ferro_ta.MAX(high, timeperiod=period)
assert np.allclose(upper, max_high, atol=1e-10, equal_nan=True)
# lower should match rolling min of low
min_low = ferro_ta.MIN(low, timeperiod=period)
assert np.allclose(lower, min_low, atol=1e-10, equal_nan=True)
# middle should be (upper + lower) / 2
expected_middle = (upper + lower) / 2.0
assert np.allclose(middle, expected_middle, atol=1e-10, equal_nan=True)
# ---------------------------------------------------------------------------
# PIVOT_POINTS Known Values
# ---------------------------------------------------------------------------
class TestPIVOT_POINTSKnownValues:
"""PIVOT_POINTS classic formula: P=(H+L+C)/3, R1=2P-L, S1=2P-H, R2=P+(H-L), S2=P-(H-L)."""
def test_pivot_points_classic_formula(self):
"""Given H=110, L=90, C=100: P=100, R1=110, S1=90, R2=120, S2=80.
Note: PIVOT_POINTS operates on OHLC bars. Single bar produces valid pivots.
"""
high = np.array([110.0, 110.0]) # Need at least 2 bars
low = np.array([90.0, 90.0])
close = np.array([100.0, 100.0])
pivot, r1, s1, r2, s2 = ferro_ta.PIVOT_POINTS(high, low, close, method="classic")
# Check last bar (index 1) which has full history
# P = (110 + 90 + 100) / 3 = 100
assert np.abs(pivot[1] - 100.0) < 1e-10
# R1 = 2*P - L = 2*100 - 90 = 110
assert np.abs(r1[1] - 110.0) < 1e-10
# S1 = 2*P - H = 2*100 - 110 = 90
assert np.abs(s1[1] - 90.0) < 1e-10
# R2 = P + (H - L) = 100 + 20 = 120
assert np.abs(r2[1] - 120.0) < 1e-10
# S2 = P - (H - L) = 100 - 20 = 80
assert np.abs(s2[1] - 80.0) < 1e-10
# ---------------------------------------------------------------------------
# Statistic Known Values
# ---------------------------------------------------------------------------
class TestStatisticKnownValues:
"""Statistical functions: correlation, linear regression."""
def test_linearreg_slope_of_linear_sequence(self):
"""LINEARREG_SLOPE([0,1,2,3,4], 5) == 1.0."""
data = np.array([0.0, 1.0, 2.0, 3.0, 4.0])
result = ferro_ta.LINEARREG_SLOPE(data, timeperiod=5)
# Last value should be slope = 1.0
assert np.abs(result[-1] - 1.0) < 1e-10
def test_correl_x_with_x_is_one(self):
"""CORREL(x, x) should be 1.0."""
x = np.array([1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0])
result = ferro_ta.CORREL(x, x, timeperiod=5)
# After warmup, correlation should be 1.0
assert np.allclose(result[4:], 1.0, atol=1e-10)
def test_correl_x_with_negative_x_is_minus_one(self):
"""CORREL(x, -x) should be -1.0."""
x = np.array([1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0])
neg_x = -x
result = ferro_ta.CORREL(x, neg_x, timeperiod=5)
# After warmup, correlation should be -1.0
assert np.allclose(result[4:], -1.0, atol=1e-10)
# ---------------------------------------------------------------------------
# Pattern Known Values
# ---------------------------------------------------------------------------
class TestPatternKnownValues:
"""Candlestick patterns: construct known-good OHLC sequences."""
def test_doji_known_sequence(self):
"""Construct a perfect doji: open == close, small body."""
# Doji: open == close (or very close), H and L have range
n = 5
high = np.array([11.0, 11.0, 11.0, 11.0, 11.0])
low = np.array([9.0, 9.0, 9.0, 9.0, 9.0])
close = np.array([10.0, 10.0, 10.0, 10.0, 10.0])
open_ = np.array([10.0, 10.0, 10.0, 10.0, 10.0])
result = ferro_ta.CDLDOJI(open_, high, low, close)
# Should detect doji (non-zero pattern)
# At least some values should be non-zero
assert np.any(result != 0), "CDLDOJI should detect perfect doji pattern"
def test_engulfing_known_sequence(self):
"""Construct a bullish engulfing pattern."""
# Bullish engulfing: bar[i-1] is bearish (O > C), bar[i] is bullish (C > O) and engulfs bar[i-1]
# Bar 0: O=12, H=12, L=10, C=10 (bearish)
# Bar 1: O=9, H=13, L=9, C=13 (bullish, engulfs bar 0)
open_ = np.array([12.0, 9.0])
high = np.array([12.0, 13.0])
low = np.array([10.0, 9.0])
close = np.array([10.0, 13.0])
result = ferro_ta.CDLENGULFING(open_, high, low, close)
# Should detect engulfing at index 1
assert result[1] != 0, "CDLENGULFING should detect bullish engulfing pattern"
def test_hammer_known_sequence(self):
"""Construct a hammer pattern: small body at top, long lower shadow."""
# Hammer: small body, long lower shadow (>= 2x body), little/no upper shadow
# O=11, H=11.5, L=9, C=11 → body=0, lower_shadow=2, upper_shadow=0.5
open_ = np.array([11.0])
high = np.array([11.5])
low = np.array([9.0])
close = np.array([11.0])
result = ferro_ta.CDLHAMMER(open_, high, low, close)
# Should detect hammer (non-zero)
# Note: hammer detection depends on lookback, so we test multiple bars
open_ = np.array([10.0, 10.5, 11.0])
high = np.array([10.5, 11.0, 11.5])
low = np.array([9.5, 10.0, 9.0])
close = np.array([10.0, 10.5, 11.0])
result = ferro_ta.CDLHAMMER(open_, high, low, close)
# Last bar has hammer characteristics
# (actual detection may vary based on implementation)
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"""
Comparison tests: ferro_ta.math_ops vs NumPy (Priority 1 - no optional deps).
Math operators should be exact numpy wrappers. Zero tolerance for deviation.
This module validates that all math operators and transforms in ferro_ta.math_ops
produce identical results to their NumPy equivalents within strict tolerances:
- Element-wise transforms: atol=1e-14 (direct numpy calls)
- Binary operators: atol=1e-14 (direct numpy calls)
- Rolling operators: atol=1e-12 (float sum reordering)
- Index operators: exact index matching
All tests use NO optional dependencies - they run in every CI environment.
"""
from __future__ import annotations
import numpy as np
import pandas as pd
import pytest
from ferro_ta.indicators import math_ops
# ---------------------------------------------------------------------------
# Test Data (seeded for reproducibility)
# ---------------------------------------------------------------------------
RNG = np.random.default_rng(42)
N = 100
# Standard test data
CLOSE = 44.0 + np.cumsum(RNG.standard_normal(N) * 0.5)
CLOSE_POSITIVE = np.abs(CLOSE) + 1.0 # For SQRT, LN, LOG10
CLOSE_NORMALIZED = CLOSE / np.max(np.abs(CLOSE)) # For ASIN, ACOS (range [-1, 1])
# ---------------------------------------------------------------------------
# Element-wise Transform Tests
# ---------------------------------------------------------------------------
class TestElementWiseTransforms:
"""Test all 15 unary math transforms against NumPy equivalents.
Expected tolerance: atol=1e-14 (direct numpy calls)
"""
def test_sin_exact_match(self):
"""SIN should match np.sin exactly."""
result = math_ops.SIN(CLOSE)
expected = np.sin(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_cos_exact_match(self):
"""COS should match np.cos exactly."""
result = math_ops.COS(CLOSE)
expected = np.cos(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_tan_exact_match(self):
"""TAN should match np.tan exactly."""
result = math_ops.TAN(CLOSE)
expected = np.tan(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_sinh_exact_match(self):
"""SINH should match np.sinh exactly."""
result = math_ops.SINH(CLOSE)
expected = np.sinh(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_cosh_exact_match(self):
"""COSH should match np.cosh exactly."""
result = math_ops.COSH(CLOSE)
expected = np.cosh(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_tanh_exact_match(self):
"""TANH should match np.tanh exactly."""
result = math_ops.TANH(CLOSE)
expected = np.tanh(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_asin_exact_match(self):
"""ASIN should match np.arcsin exactly."""
result = math_ops.ASIN(CLOSE_NORMALIZED)
expected = np.arcsin(CLOSE_NORMALIZED)
assert np.allclose(result, expected, atol=1e-14)
def test_acos_exact_match(self):
"""ACOS should match np.arccos exactly."""
result = math_ops.ACOS(CLOSE_NORMALIZED)
expected = np.arccos(CLOSE_NORMALIZED)
assert np.allclose(result, expected, atol=1e-14)
def test_atan_exact_match(self):
"""ATAN should match np.arctan exactly."""
result = math_ops.ATAN(CLOSE)
expected = np.arctan(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_exp_exact_match(self):
"""EXP should match np.exp exactly."""
# Use smaller values to avoid overflow
small_values = CLOSE / 10.0
result = math_ops.EXP(small_values)
expected = np.exp(small_values)
assert np.allclose(result, expected, atol=1e-14)
def test_ln_exact_match(self):
"""LN should match np.log exactly."""
result = math_ops.LN(CLOSE_POSITIVE)
expected = np.log(CLOSE_POSITIVE)
assert np.allclose(result, expected, atol=1e-14)
def test_log10_exact_match(self):
"""LOG10 should match np.log10 exactly."""
result = math_ops.LOG10(CLOSE_POSITIVE)
expected = np.log10(CLOSE_POSITIVE)
assert np.allclose(result, expected, atol=1e-14)
def test_sqrt_exact_match(self):
"""SQRT should match np.sqrt exactly."""
result = math_ops.SQRT(CLOSE_POSITIVE)
expected = np.sqrt(CLOSE_POSITIVE)
assert np.allclose(result, expected, atol=1e-14)
def test_ceil_exact_match(self):
"""CEIL should match np.ceil exactly."""
result = math_ops.CEIL(CLOSE)
expected = np.ceil(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
def test_floor_exact_match(self):
"""FLOOR should match np.floor exactly."""
result = math_ops.FLOOR(CLOSE)
expected = np.floor(CLOSE)
assert np.allclose(result, expected, atol=1e-14)
# ---------------------------------------------------------------------------
# Binary Operator Tests
# ---------------------------------------------------------------------------
class TestBinaryOps:
"""Test binary operators against NumPy equivalents.
Expected tolerance: atol=1e-14 (direct numpy calls)
"""
def test_add_exact_match(self):
"""ADD should match np.add exactly."""
other = RNG.standard_normal(N)
result = math_ops.ADD(CLOSE, other)
expected = np.add(CLOSE, other)
assert np.allclose(result, expected, atol=1e-14)
def test_sub_exact_match(self):
"""SUB should match np.subtract exactly."""
other = RNG.standard_normal(N)
result = math_ops.SUB(CLOSE, other)
expected = np.subtract(CLOSE, other)
assert np.allclose(result, expected, atol=1e-14)
def test_mult_exact_match(self):
"""MULT should match np.multiply exactly."""
other = RNG.standard_normal(N)
result = math_ops.MULT(CLOSE, other)
expected = np.multiply(CLOSE, other)
assert np.allclose(result, expected, atol=1e-14)
def test_div_exact_match(self):
"""DIV should match np.divide exactly."""
other = RNG.uniform(0.5, 2.0, N) # Avoid division by zero
result = math_ops.DIV(CLOSE, other)
expected = np.divide(CLOSE, other)
assert np.allclose(result, expected, atol=1e-14)
# ---------------------------------------------------------------------------
# Rolling Operator Tests
# ---------------------------------------------------------------------------
class TestRollingOps:
"""Test rolling operators against pandas equivalents.
Expected tolerance: atol=1e-12 (float sum reordering)
"""
@pytest.mark.parametrize("period", [5, 10, 20, 30])
def test_sum_matches_pandas_rolling(self, period):
"""SUM should match pd.Series.rolling(p).sum()."""
result = math_ops.SUM(CLOSE, timeperiod=period)
expected = pd.Series(CLOSE).rolling(period).sum().to_numpy()
# Check NaN positions match
assert np.sum(np.isnan(result)) == np.sum(np.isnan(expected))
# Check values match where both are finite
mask = ~np.isnan(result) & ~np.isnan(expected)
assert np.allclose(result[mask], expected[mask], atol=1e-12)
@pytest.mark.parametrize("period", [5, 10, 20, 30])
def test_max_matches_pandas_rolling(self, period):
"""MAX should match pd.Series.rolling(p).max()."""
result = math_ops.MAX(CLOSE, timeperiod=period)
expected = pd.Series(CLOSE).rolling(period).max().to_numpy()
# Check NaN positions match
assert np.sum(np.isnan(result)) == np.sum(np.isnan(expected))
# Check values match where both are finite
mask = ~np.isnan(result) & ~np.isnan(expected)
assert np.allclose(result[mask], expected[mask], atol=1e-12)
@pytest.mark.parametrize("period", [5, 10, 20, 30])
def test_min_matches_pandas_rolling(self, period):
"""MIN should match pd.Series.rolling(p).min()."""
result = math_ops.MIN(CLOSE, timeperiod=period)
expected = pd.Series(CLOSE).rolling(period).min().to_numpy()
# Check NaN positions match
assert np.sum(np.isnan(result)) == np.sum(np.isnan(expected))
# Check values match where both are finite
mask = ~np.isnan(result) & ~np.isnan(expected)
assert np.allclose(result[mask], expected[mask], atol=1e-12)
# ---------------------------------------------------------------------------
# Index Operator Tests
# ---------------------------------------------------------------------------
class TestIndexOps:
"""Test MAXINDEX and MININDEX point to correct argmax/argmin in window."""
@pytest.mark.parametrize("period", [5, 10, 20])
def test_maxindex_points_to_max(self, period):
"""MAXINDEX should point to the index of the rolling maximum."""
result_idx = math_ops.MAXINDEX(CLOSE, timeperiod=period)
result_max = math_ops.MAX(CLOSE, timeperiod=period)
# Skip warmup period
for i in range(period - 1, N):
idx = result_idx[i]
max_val = result_max[i]
# During warmup, index is -1
if idx == -1:
assert np.isnan(max_val)
else:
# Index should point to the actual maximum in the window
assert CLOSE[idx] == max_val, (
f"At position {i}, MAXINDEX={idx} but CLOSE[{idx}]={CLOSE[idx]} "
f"!= MAX={max_val}"
)
@pytest.mark.parametrize("period", [5, 10, 20])
def test_minindex_points_to_min(self, period):
"""MININDEX should point to the index of the rolling minimum."""
result_idx = math_ops.MININDEX(CLOSE, timeperiod=period)
result_min = math_ops.MIN(CLOSE, timeperiod=period)
# Skip warmup period
for i in range(period - 1, N):
idx = result_idx[i]
min_val = result_min[i]
# During warmup, index is -1
if idx == -1:
assert np.isnan(min_val)
else:
# Index should point to the actual minimum in the window
assert CLOSE[idx] == min_val, (
f"At position {i}, MININDEX={idx} but CLOSE[{idx}]={CLOSE[idx]} "
f"!= MIN={min_val}"
)
def test_maxindex_warmup_returns_minus_one(self):
"""MAXINDEX should return -1 during warmup period."""
period = 10
result = math_ops.MAXINDEX(CLOSE, timeperiod=period)
# First period-1 values should be -1
for i in range(period - 1):
assert result[i] == -1, f"Expected -1 at index {i}, got {result[i]}"
def test_minindex_warmup_returns_minus_one(self):
"""MININDEX should return -1 during warmup period."""
period = 10
result = math_ops.MININDEX(CLOSE, timeperiod=period)
# First period-1 values should be -1
for i in range(period - 1):
assert result[i] == -1, f"Expected -1 at index {i}, got {result[i]}"
# ---------------------------------------------------------------------------
# Edge Case Tests
# ---------------------------------------------------------------------------
class TestEdgeCases:
"""Test edge cases and document behavior.
Documents behavior for:
- LN(negative) NaN
- SQRT(negative) NaN
- DIV(by zero) inf
- ACOS(>1) NaN
"""
def test_ln_negative_returns_nan(self):
"""LN of negative values should return NaN."""
negative = np.array([-1.0, -2.0, -3.0])
result = math_ops.LN(negative)
assert np.all(np.isnan(result)), "LN(negative) should return NaN"
def test_sqrt_negative_returns_nan(self):
"""SQRT of negative values should return NaN."""
negative = np.array([-1.0, -4.0, -9.0])
result = math_ops.SQRT(negative)
assert np.all(np.isnan(result)), "SQRT(negative) should return NaN"
def test_div_by_zero_returns_inf(self):
"""DIV by zero should return inf (NumPy behavior)."""
numerator = np.array([1.0, 2.0, 3.0])
denominator = np.array([0.0, 0.0, 0.0])
result = math_ops.DIV(numerator, denominator)
assert np.all(np.isinf(result)), "DIV(by zero) should return inf"
def test_acos_out_of_range_returns_nan(self):
"""ACOS of values outside [-1, 1] should return NaN."""
out_of_range = np.array([1.5, 2.0, -1.5])
result = math_ops.ACOS(out_of_range)
assert np.all(np.isnan(result)), "ACOS(>1 or <-1) should return NaN"
def test_asin_out_of_range_returns_nan(self):
"""ASIN of values outside [-1, 1] should return NaN."""
out_of_range = np.array([1.5, 2.0, -1.5])
result = math_ops.ASIN(out_of_range)
assert np.all(np.isnan(result)), "ASIN(>1 or <-1) should return NaN"
def test_log10_zero_returns_negative_inf(self):
"""LOG10(0) should return -inf."""
zero = np.array([0.0])
result = math_ops.LOG10(zero)
assert np.isinf(result[0]) and result[0] < 0, "LOG10(0) should return -inf"
def test_ln_zero_returns_negative_inf(self):
"""LN(0) should return -inf."""
zero = np.array([0.0])
result = math_ops.LN(zero)
assert np.isinf(result[0]) and result[0] < 0, "LN(0) should return -inf"
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"""Property-based tests (Hypothesis) for ferro-ta."""
import numpy as np
import pytest
from ferro_ta import BBANDS, CDLDOJI, EMA, RSI, SMA
try:
from hypothesis import given, settings
from hypothesis.strategies import floats, integers, lists
HAS_HYPOTHESIS = True
except ImportError:
HAS_HYPOTHESIS = False
if HAS_HYPOTHESIS:
# Strategy: finite floats, reasonable length
finite_floats = floats(
min_value=1e-6, max_value=1e6, allow_nan=False, allow_infinity=False
)
price_arrays = lists(finite_floats, min_size=2, max_size=500).map(np.array)
periods = integers(min_value=1, max_value=100)
@given(price_arrays, periods)
@settings(max_examples=50, deadline=5000)
def test_sma_output_length_matches_input(close, timeperiod):
if len(close) < timeperiod:
timeperiod = min(timeperiod, len(close))
if timeperiod < 1:
timeperiod = 1
result = SMA(close, timeperiod=timeperiod)
assert len(result) == len(close)
@given(price_arrays, periods)
@settings(max_examples=50, deadline=5000)
def test_ema_output_length_matches_input(close, timeperiod):
if len(close) < timeperiod:
timeperiod = min(timeperiod, len(close))
if timeperiod < 1:
timeperiod = 1
result = EMA(close, timeperiod=timeperiod)
assert len(result) == len(close)
@given(price_arrays, periods)
@settings(max_examples=50, deadline=5000)
def test_rsi_output_length_matches_input(close, timeperiod):
if len(close) < timeperiod:
timeperiod = min(timeperiod, len(close))
if timeperiod < 1:
timeperiod = 1
result = RSI(close, timeperiod=timeperiod)
assert len(result) == len(close)
@given(price_arrays, periods)
@settings(max_examples=30, deadline=5000)
def test_bbands_three_outputs_same_length(close, timeperiod):
if len(close) < timeperiod:
timeperiod = min(timeperiod, len(close))
if timeperiod < 1:
timeperiod = 1
upper, middle, lower = BBANDS(close, timeperiod=timeperiod)
assert len(upper) == len(close)
assert len(middle) == len(close)
assert len(lower) == len(close)
@given(
lists(finite_floats, min_size=3, max_size=100).map(np.array),
lists(finite_floats, min_size=3, max_size=100).map(np.array),
lists(finite_floats, min_size=3, max_size=100).map(np.array),
lists(finite_floats, min_size=3, max_size=100).map(np.array),
)
@settings(max_examples=20, deadline=5000)
def test_cdl_pattern_output_values_in_set(open_, high, low, close):
n = min(len(open_), len(high), len(low), len(close))
open_ = open_[:n]
high = high[:n]
low = low[:n]
close = close[:n]
result = CDLDOJI(open_, high, low, close)
assert len(result) == n
assert all(v in (-100, 0, 100) for v in result)
@pytest.mark.skipif(not HAS_HYPOTHESIS, reason="hypothesis not installed")
class TestPropertyBased:
"""Placeholder for running property-based tests as a class."""
def test_import(self):
assert HAS_HYPOTHESIS
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"""Tests for validation and error handling."""
import numpy as np
import pytest
from ferro_ta import (
ATR,
BBANDS,
CDLDOJI,
MACD,
RSI,
SMA,
FerroTAInputError,
FerroTAValueError,
)
from ferro_ta.core.exceptions import check_min_length, check_timeperiod
# ---------------------------------------------------------------------------
# Invalid timeperiod / period parameters → FerroTAValueError
# ---------------------------------------------------------------------------
class TestInvalidTimeperiod:
"""Invalid period parameters must raise FerroTAValueError."""
def test_sma_timeperiod_zero(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
SMA(np.array([1.0, 2.0, 3.0]), timeperiod=0)
def test_sma_timeperiod_negative(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
SMA(np.array([1.0, 2.0, 3.0]), timeperiod=-1)
def test_rsi_timeperiod_zero(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
RSI(np.array([1.0, 2.0, 3.0]), timeperiod=0)
def test_macd_fast_slow_periods(self):
close = np.array([1.0, 2.0, 3.0, 4.0, 5.0] * 10)
with pytest.raises(FerroTAValueError):
MACD(close, fastperiod=26, slowperiod=12)
def test_bbands_timeperiod_zero(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
BBANDS(np.array([1.0, 2.0, 3.0]), timeperiod=0)
def test_atr_timeperiod_zero(self):
h = np.array([1.0, 2.0, 3.0])
low = np.array([0.5, 1.5, 2.5])
c = np.array([0.8, 1.8, 2.8])
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
ATR(h, low, c, timeperiod=0)
# ---------------------------------------------------------------------------
# Mismatched array lengths → FerroTAInputError
# ---------------------------------------------------------------------------
class TestMismatchedLengths:
"""Mismatched OHLCV lengths must raise FerroTAInputError."""
def test_atr_mismatched_lengths(self):
h = np.array([1.0, 2.0, 3.0])
low = np.array([0.5, 1.5])
c = np.array([0.8, 1.8, 2.8])
with pytest.raises(FerroTAInputError, match="same length"):
ATR(h, low, c, timeperiod=2)
def test_cdl_pattern_mismatched_lengths(self):
open_ = np.array([1.0, 2.0, 3.0])
high = np.array([1.1, 2.1])
low = np.array([0.9, 1.9, 2.9])
close = np.array([1.05, 2.05, 3.05])
with pytest.raises(FerroTAInputError, match="same length"):
CDLDOJI(open_, high, low, close)
# ---------------------------------------------------------------------------
# Empty and short arrays (defined behaviour or clear exception)
# ---------------------------------------------------------------------------
class TestEmptyAndShortArrays:
"""Empty or too-short arrays have defined behaviour or raise."""
def test_sma_empty_array(self):
# Empty array: _to_f64 returns shape (0,); Rust may return empty or raise.
arr = np.array([], dtype=np.float64)
result = SMA(arr, timeperiod=1)
assert result.shape == (0,)
def test_sma_single_element_timeperiod_one(self):
arr = np.array([1.0])
result = SMA(arr, timeperiod=1)
assert len(result) == 1
assert result[0] == 1.0
def test_sma_short_array_timeperiod_larger_than_length(self):
# len=3, timeperiod=5 → output is all NaN for warmup
arr = np.array([1.0, 2.0, 3.0])
result = SMA(arr, timeperiod=5)
assert len(result) == 3
assert np.all(np.isnan(result))
def test_rsi_all_nan_input(self):
# All-NaN input: output is all NaN (propagation)
arr = np.array([np.nan, np.nan, np.nan, np.nan, np.nan])
result = RSI(arr, timeperiod=2)
assert len(result) == 5
assert np.all(np.isnan(result))
# ---------------------------------------------------------------------------
# Validation helpers (check_timeperiod, check_min_length)
# ---------------------------------------------------------------------------
class TestValidationHelpers:
"""Exported validation helpers behave as documented."""
def test_check_timeperiod_ok(self):
check_timeperiod(5)
check_timeperiod(1)
def test_check_timeperiod_raises(self):
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
check_timeperiod(0)
with pytest.raises(FerroTAValueError, match="timeperiod must be >= 1"):
check_timeperiod(-1)
def test_check_min_length_ok(self):
check_min_length(np.array([1.0, 2.0, 3.0]), 2)
check_min_length([1, 2, 3], 3)
def test_check_min_length_raises(self):
with pytest.raises(FerroTAInputError, match="at least 3 elements"):
check_min_length(np.array([1.0, 2.0]), 3, name="input")
# ---------------------------------------------------------------------------
# Exception inheritance (ValueError still works)
# ---------------------------------------------------------------------------
class TestExceptionInheritance:
"""FerroTAValueError/FerroTAInputError are ValueErrors for backward compatibility."""
def test_catch_value_error(self):
with pytest.raises(ValueError, match="timeperiod must be >= 1"):
SMA(np.array([1.0, 2.0, 3.0]), timeperiod=0)
def test_catch_ferro_ta_value_error(self):
with pytest.raises(FerroTAValueError):
SMA(np.array([1.0, 2.0, 3.0]), timeperiod=0)
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