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my-python-backteat/tests/test_indicators.rs
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2026-07-09 05:08:16 +08:00
//! Integration tests for RaptorBT indicators.
use raptorbt::indicators::ferro_bridge::{
chandelier_exit, choppiness_index, detect_breaks_cusum, donchian, drawdown_series,
ht_dcperiod, ht_dcphase, ht_trendline, hull_ma, ichimoku, pivot_points, regime_adx,
relative_strength, rolling_beta, rolling_variance_break, ratio, spread, vwma, zscore_series,
};
use raptorbt::indicators::momentum::{macd, rsi, stochastic};
use raptorbt::indicators::strength::adx;
use raptorbt::indicators::trend::{ema, sma, supertrend};
use raptorbt::indicators::volatility::{atr, bollinger_bands};
use raptorbt::indicators::volume::vwap;
fn sample_ohlcv() -> (Vec<f64>, Vec<f64>, Vec<f64>, Vec<f64>, Vec<f64>) {
// Create sample OHLCV data with 50 bars
let n = 50;
let mut close: Vec<f64> = vec![100.0];
let mut high: Vec<f64> = vec![101.0];
let mut low: Vec<f64> = vec![99.0];
let mut open: Vec<f64> = vec![100.0];
let volume: Vec<f64> = vec![1000.0; n];
// Generate trending data
for i in 1..n {
let prev_close = close[i - 1];
let change = ((i as f64 * 0.2).sin() * 2.0) + 0.5; // Slight uptrend with oscillation
let new_close = prev_close + change;
close.push(new_close);
open.push(prev_close);
high.push(new_close.max(prev_close) + 0.5);
low.push(new_close.min(prev_close) - 0.5);
}
(open, high, low, close, volume)
}
#[test]
fn test_sma_correctness() {
let data = vec![1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0];
let result = sma(&data, 3).unwrap();
// First 2 values should be NaN
assert!(result[0].is_nan());
assert!(result[1].is_nan());
// SMA(3) for [1,2,3] = 2.0
assert!((result[2] - 2.0).abs() < 1e-10);
// SMA(3) for [2,3,4] = 3.0
assert!((result[3] - 3.0).abs() < 1e-10);
// SMA(3) for [8,9,10] = 9.0
assert!((result[9] - 9.0).abs() < 1e-10);
}
#[test]
fn test_ema_correctness() {
let data = vec![1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0];
let result = ema(&data, 3).unwrap();
// First 2 values should be NaN
assert!(result[0].is_nan());
assert!(result[1].is_nan());
// EMA should be valid from index 2
assert!(!result[2].is_nan());
assert!(!result[9].is_nan());
// EMA should be between min and max
assert!(result[9] >= 1.0 && result[9] <= 10.0);
}
#[test]
fn test_rsi_range() {
let (_, _, _, close, _) = sample_ohlcv();
let result = rsi(&close, 14).unwrap();
// Check RSI is in valid range [0, 100]
for (i, &value) in result.iter().enumerate() {
if !value.is_nan() {
assert!(
value >= 0.0 && value <= 100.0,
"RSI at index {} is out of range: {}",
i,
value
);
}
}
}
#[test]
fn test_macd_structure() {
let (_, _, _, close, _) = sample_ohlcv();
let result = macd(&close, 12, 26, 9).unwrap();
assert_eq!(result.macd_line.len(), close.len());
assert_eq!(result.signal_line.len(), close.len());
assert_eq!(result.histogram.len(), close.len());
// MACD line should be valid from index 25 (slow_period - 1)
assert!(result.macd_line[24].is_nan());
assert!(!result.macd_line[25].is_nan());
}
#[test]
fn test_stochastic_range() {
let (_, high, low, close, _) = sample_ohlcv();
let result = stochastic(&high, &low, &close, 14, 3).unwrap();
// %K and %D should be in [0, 100]
for (i, &k) in result.k.iter().enumerate() {
if !k.is_nan() {
assert!(k >= 0.0 && k <= 100.0, "%K at index {} is out of range: {}", i, k);
}
}
for (i, &d) in result.d.iter().enumerate() {
if !d.is_nan() {
assert!(d >= 0.0 && d <= 100.0, "%D at index {} is out of range: {}", i, d);
}
}
}
#[test]
fn test_atr_positive() {
let (_, high, low, close, _) = sample_ohlcv();
let result = atr(&high, &low, &close, 14).unwrap();
// ATR should always be non-negative
for (i, &value) in result.iter().enumerate() {
if !value.is_nan() {
assert!(value >= 0.0, "ATR at index {} is negative: {}", i, value);
}
}
}
#[test]
fn test_bollinger_bands_ordering() {
let (_, _, _, close, _) = sample_ohlcv();
let result = bollinger_bands(&close, 20, 2.0).unwrap();
// Upper > Middle > Lower
for i in 19..close.len() {
if !result.upper[i].is_nan() {
assert!(
result.upper[i] >= result.middle[i],
"Upper band should be >= middle at index {}",
i
);
assert!(
result.middle[i] >= result.lower[i],
"Middle band should be >= lower at index {}",
i
);
}
}
}
#[test]
fn test_adx_range() {
let (_, high, low, close, _) = sample_ohlcv();
let result = adx(&high, &low, &close, 14).unwrap();
// ADX should be in [0, 100]
for (i, &value) in result.iter().enumerate() {
if !value.is_nan() {
assert!(
value >= 0.0 && value <= 100.0,
"ADX at index {} is out of range: {}",
i,
value
);
}
}
}
#[test]
fn test_vwap_bounds() {
let (_, high, low, close, volume) = sample_ohlcv();
let result = vwap(&high, &low, &close, &volume).unwrap();
// VWAP should be between the overall min low and max high
let min_low = low.iter().cloned().fold(f64::INFINITY, f64::min);
let max_high = high.iter().cloned().fold(f64::NEG_INFINITY, f64::max);
for (i, &value) in result.iter().enumerate() {
if !value.is_nan() {
assert!(
value >= min_low && value <= max_high,
"VWAP at index {} is out of bounds: {} (should be between {} and {})",
i,
value,
min_low,
max_high
);
}
}
}
#[test]
fn test_supertrend_direction() {
let (_, high, low, close, _) = sample_ohlcv();
let result = supertrend(&high, &low, &close, 10, 3.0).unwrap();
// Direction should be either 1 or -1
for (i, &dir) in result.direction.iter().enumerate() {
if dir != 0 {
assert!(
dir == 1 || dir == -1,
"Supertrend direction at index {} is invalid: {}",
i,
dir
);
}
}
}
#[test]
fn test_invalid_period() {
let data = vec![1.0, 2.0, 3.0];
// Period of 0 should error
assert!(sma(&data, 0).is_err());
assert!(ema(&data, 0).is_err());
assert!(rsi(&data, 0).is_err());
}
#[test]
fn test_empty_data() {
let empty: Vec<f64> = vec![];
let result = sma(&empty, 10).unwrap();
assert!(result.is_empty());
let result = ema(&empty, 10).unwrap();
assert!(result.is_empty());
}
// =========================================================================
// P0 batch — Extended / Cycle / Regime / Portfolio
// =========================================================================
#[test]
fn test_vwma_basic() {
let (open, high, low, close, volume) = sample_ohlcv();
let _ = open;
let _ = high;
let _ = low;
let r = vwma(&close, &volume, 5).unwrap();
assert_eq!(r.len(), close.len());
assert!(r[0].is_nan());
assert!(r[3].is_nan());
assert!(!r[4].is_nan());
}
#[test]
fn test_vwma_invalid_period() {
let (_, _, _, close, volume) = sample_ohlcv();
assert!(vwma(&close, &volume, 0).is_err());
}
#[test]
fn test_donchian_basic() {
let (_, high, low, _, _) = sample_ohlcv();
let r = donchian(&high, &low, 10).unwrap();
assert_eq!(r.upper.len(), high.len());
assert_eq!(r.middle.len(), high.len());
assert_eq!(r.lower.len(), high.len());
for i in 9..high.len() {
assert!(r.upper[i] >= r.middle[i]);
assert!(r.middle[i] >= r.lower[i]);
}
}
#[test]
fn test_donchian_invalid_period() {
let (_, high, low, _, _) = sample_ohlcv();
assert!(donchian(&high, &low, 0).is_err());
}
#[test]
fn test_choppiness_range() {
let (_, high, low, close, _) = sample_ohlcv();
let r = choppiness_index(&high, &low, &close, 14).unwrap();
for (i, &v) in r.iter().enumerate() {
if !v.is_nan() {
assert!(v >= 0.0 && v <= 100.0, "CI at {} out of range: {}", i, v);
}
}
}
#[test]
fn test_hull_ma_basic() {
let (_, _, _, close, _) = sample_ohlcv();
let r = hull_ma(&close, 20).unwrap();
assert_eq!(r.len(), close.len());
let valid = r.iter().filter(|v| !v.is_nan()).count();
assert!(valid > 0);
}
#[test]
fn test_chandelier_exit_ordering() {
let (_, high, low, close, _) = sample_ohlcv();
let r = chandelier_exit(&high, &low, &close, 10, 2.0).unwrap();
assert_eq!(r.long_exit.len(), high.len());
assert_eq!(r.short_exit.len(), high.len());
}
#[test]
fn test_chandelier_invalid() {
let (_, high, low, close, _) = sample_ohlcv();
assert!(chandelier_exit(&high, &low, &close, 0, 2.0).is_err());
assert!(chandelier_exit(&high, &low, &close, 10, -1.0).is_err());
}
#[test]
fn test_ichimoku_structure() {
let (_, high, low, close, _) = sample_ohlcv();
let r = ichimoku(&high, &low, &close, 9, 26, 52, 26).unwrap();
assert_eq!(r.tenkan.len(), close.len());
assert_eq!(r.kijun.len(), close.len());
assert_eq!(r.senkou_a.len(), close.len());
assert_eq!(r.senkou_b.len(), close.len());
assert_eq!(r.chikou.len(), close.len());
// tenkan period 9 -> first valid at index 8
assert!(r.tenkan[7].is_nan());
assert!(!r.tenkan[8].is_nan());
}
#[test]
fn test_pivot_points_classic() {
let (_, high, low, close, _) = sample_ohlcv();
let r = pivot_points(&high, &low, &close, "classic").unwrap();
assert_eq!(r.pivot.len(), close.len());
assert!(r.pivot[0].is_nan());
assert!(!r.pivot[1].is_nan());
}
#[test]
fn test_pivot_points_unknown_method() {
let (_, high, low, close, _) = sample_ohlcv();
assert!(pivot_points(&high, &low, &close, "bogus").is_err());
}
#[test]
fn test_ht_trendline_min_length() {
let (_, _, _, close, _) = sample_ohlcv();
assert!(ht_trendline(&close).is_ok());
let short = vec![1.0; 10];
assert!(ht_trendline(&short).is_err());
}
#[test]
fn test_ht_dcperiod_dcphase_basic() {
let (_, _, _, close, _) = sample_ohlcv();
let p = ht_dcperiod(&close).unwrap();
let ph = ht_dcphase(&close).unwrap();
assert_eq!(p.len(), close.len());
assert_eq!(ph.len(), close.len());
}
#[test]
fn test_regime_adx_labels() {
// Synthesize ADX series
let adx_input: Vec<f64> = (0..50).map(|i| if i < 25 { 10.0 } else { 30.0 }).collect();
let r = regime_adx(&adx_input, 20.0).unwrap();
// First 25 bars -> range (0), last 25 -> trend (1)
for i in 0..25 {
assert_eq!(r[i], 0, "idx {} expected 0 got {}", i, r[i]);
}
for i in 25..50 {
assert_eq!(r[i], 1, "idx {} expected 1 got {}", i, r[i]);
}
}
#[test]
fn test_detect_breaks_cusum_basic() {
let series: Vec<f64> = (0..100)
.map(|i| if i < 50 { 0.0 } else { 5.0 })
.collect();
let r = detect_breaks_cusum(&series, 10, 5.0, 0.5).unwrap();
assert_eq!(r.len(), series.len());
assert_eq!(r[0], 0);
}
#[test]
fn test_detect_breaks_cusum_invalid_window() {
let v = vec![1.0; 10];
assert!(detect_breaks_cusum(&v, 1, 1.0, 0.5).is_err());
}
#[test]
fn test_rolling_variance_break_basic() {
let series: Vec<f64> = (0..60)
.map(|i| if i < 40 { 0.01 } else { 1.0 })
.collect();
let r = rolling_variance_break(&series, 5, 20, 2.0).unwrap();
assert_eq!(r.len(), series.len());
}
#[test]
fn test_rolling_variance_break_invalid() {
let v = vec![1.0; 30];
assert!(rolling_variance_break(&v, 1, 10, 1.0).is_err());
assert!(rolling_variance_break(&v, 5, 5, 1.0).is_err());
}
#[test]
fn test_rolling_beta_basic() {
let (_, _, _, close, _) = sample_ohlcv();
let bench: Vec<f64> = close.iter().map(|x| x * 0.5 + 1.0).collect();
let r = rolling_beta(&close, &bench, 14).unwrap();
assert_eq!(r.len(), close.len());
}
#[test]
fn test_rolling_beta_invalid_window() {
let v = vec![1.0; 10];
assert!(rolling_beta(&v, &v, 1).is_err());
}
#[test]
fn test_drawdown_series_basic() {
let equity = vec![100.0, 110.0, 105.0, 120.0, 90.0, 95.0, 130.0];
let r = drawdown_series(&equity).unwrap();
assert_eq!(r.series.len(), equity.len());
assert!(r.max_drawdown <= 0.0);
// Max drawdown: 90 / 120 - 1 = -0.25
assert!((r.max_drawdown - (-0.25)).abs() < 1e-9);
// Per-bar dd is non-positive at all valid points
for &v in &r.series {
assert!(v <= 0.0);
}
}
#[test]
fn test_zscore_series_basic() {
let x: Vec<f64> = (0..30).map(|i| i as f64).collect();
let r = zscore_series(&x, 10).unwrap();
assert_eq!(r.len(), x.len());
}
#[test]
fn test_zscore_invalid_window() {
let v = vec![1.0; 10];
assert!(zscore_series(&v, 1).is_err());
}
#[test]
fn test_relative_strength_basic() {
let a: Vec<f64> = (0..50).map(|i| (i as f64) * 0.01).collect();
let b: Vec<f64> = (0..50).map(|i| (i as f64) * 0.005).collect();
let r = relative_strength(&a, &b).unwrap();
assert_eq!(r.len(), a.len());
// RS should be positive: a - beta*b > 0 since a > b
for i in 10..r.len() {
assert!(r[i] > 0.0);
}
}
#[test]
fn test_relative_strength_length_mismatch() {
let a = vec![1.0; 10];
let b = vec![2.0; 5];
assert!(relative_strength(&a, &b).is_err());
}
#[test]
fn test_spread_and_ratio() {
let a = vec![10.0, 20.0, 30.0];
let b = vec![1.0, 2.0, 3.0];
let s = spread(&a, &b, 2.0).unwrap();
let r = ratio(&a, &b).unwrap();
assert_eq!(s.len(), a.len());
assert_eq!(r.len(), a.len());
assert!((s[0] - 8.0).abs() < 1e-9); // 10 - 2*1
assert!((r[0] - 10.0).abs() < 1e-9); // 10/1
}
#[test]
fn test_spread_length_mismatch() {
let a = vec![1.0; 5];
let b = vec![2.0; 3];
assert!(spread(&a, &b, 1.0).is_err());
assert!(ratio(&a, &b).is_err());
}