A3: close core test-coverage gaps

Adds the reset tests the audit named as missing (aroon, awesome
oscillator, donchian, keltner, williams_r, and both VWAP variants),
non-finite-input tests for every scalar indicator that guards is_finite
(WMA, RSI, MACD, Bollinger, KAMA), and naive-reference proptests for EMA,
RSI and ATR. 189 core tests pass.
This commit is contained in:
kingchenc
2026-05-22 03:34:19 +02:00
parent f3dcee1cb5
commit 5627612d44
13 changed files with 327 additions and 0 deletions
@@ -153,4 +153,17 @@ mod tests {
assert!((0.0..=100.0).contains(&o.down));
}
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (1..=20)
.map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
.collect();
let mut a = Aroon::new(14).unwrap();
a.batch(&candles);
assert!(a.is_ready());
a.reset();
assert!(!a.is_ready());
assert_eq!(a.update(candles[0]), None);
}
}
+63
View File
@@ -100,6 +100,36 @@ mod tests {
Candle::new(cl, h, l, cl, 1.0, 0).unwrap()
}
/// Independent reference: Wilder ATR computed straight from the definition.
fn atr_naive(hlc: &[(f64, f64, f64)], period: usize) -> Vec<Option<f64>> {
let n = period as f64;
let mut out = Vec::with_capacity(hlc.len());
let mut trs: Vec<f64> = Vec::new();
let mut avg: Option<f64> = None;
let mut prev_close: Option<f64> = None;
for &(h, l, cl) in hlc {
let tr = match prev_close {
None => h - l,
Some(pc) => (h - l).max((h - pc).abs()).max((l - pc).abs()),
};
prev_close = Some(cl);
if let Some(a) = avg {
let na = (a * (n - 1.0) + tr) / n;
avg = Some(na);
out.push(Some(na));
} else {
trs.push(tr);
if trs.len() == period {
avg = Some(trs.iter().sum::<f64>() / n);
out.push(avg);
} else {
out.push(None);
}
}
}
out
}
#[test]
fn rejects_zero_period() {
assert!(matches!(Atr::new(0), Err(Error::PeriodZero)));
@@ -187,4 +217,37 @@ mod tests {
assert!(v >= 0.0, "ATR must be non-negative: {v}");
}
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]
fn atr_matches_naive(
period in 1usize..15,
bars in proptest::collection::vec(
(10.0_f64..1000.0, 0.0_f64..50.0, 0.0_f64..1.0),
0..120,
),
) {
// bars: (low, range, close_fraction) -> a valid OHLC candle.
let hlc: Vec<(f64, f64, f64)> = bars
.iter()
.map(|&(low, range, frac)| (low + range, low, low + range * frac))
.collect();
let candles: Vec<Candle> = hlc.iter().map(|&(h, l, cl)| c(h, l, cl)).collect();
let mut atr = Atr::new(period).unwrap();
let got = atr.batch(&candles);
let want = atr_naive(&hlc, period);
proptest::prop_assert_eq!(got.len(), want.len());
for (g, w) in got.iter().zip(want.iter()) {
match (g, w) {
(None, None) => {}
(Some(a), Some(b)) => proptest::prop_assert!(
(a - b).abs() <= 1e-9 * a.abs().max(1.0),
"got={a} want={b}"
),
_ => proptest::prop_assert!(false, "warmup mismatch"),
}
}
}
}
}
@@ -114,4 +114,17 @@ mod tests {
candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
);
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (0..50)
.map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
.collect();
let mut ao = AwesomeOscillator::classic();
ao.batch(&candles);
assert!(ao.is_ready());
ao.reset();
assert!(!ao.is_ready());
assert_eq!(ao.update(candles[0]), None);
}
}
@@ -240,4 +240,17 @@ mod tests {
bb.reset();
assert!(!bb.is_ready());
}
#[test]
fn ignores_non_finite_input() {
let mut bb = BollingerBands::new(5, 2.0).unwrap();
let ready = bb.batch(&[1.0, 2.0, 3.0, 4.0, 5.0]);
let last = ready.last().unwrap().unwrap();
// Non-finite inputs return the current bands without mutating the window.
assert_eq!(bb.update(f64::NAN).unwrap(), last);
assert_eq!(bb.update(f64::INFINITY).unwrap(), last);
// The window still holds 1..=5, so a real input slides it to 2..=6.
let after = bb.update(6.0).unwrap();
assert_relative_eq!(after.middle, (2.0 + 3.0 + 4.0 + 5.0 + 6.0) / 5.0, epsilon = 1e-12);
}
}
@@ -138,4 +138,17 @@ mod tests {
fn rejects_zero_period() {
assert!(Donchian::new(0).is_err());
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (0..20)
.map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
.collect();
let mut d = Donchian::new(5).unwrap();
d.batch(&candles);
assert!(d.is_ready());
d.reset();
assert!(!d.is_ready());
assert_eq!(d.update(candles[0]), None);
}
}
+45
View File
@@ -126,6 +126,27 @@ mod tests {
use crate::traits::BatchExt;
use approx::assert_relative_eq;
/// Independent reference: SMA-seeded EMA computed straight from the definition.
fn ema_naive(prices: &[f64], period: usize) -> Vec<Option<f64>> {
let alpha = 2.0 / (period as f64 + 1.0);
let mut out = Vec::with_capacity(prices.len());
let mut state: Option<f64> = None;
for (i, &p) in prices.iter().enumerate() {
if let Some(prev) = state {
let v = alpha * p + (1.0 - alpha) * prev;
state = Some(v);
out.push(Some(v));
} else if i + 1 == period {
let seed = prices[..period].iter().sum::<f64>() / period as f64;
state = Some(seed);
out.push(Some(seed));
} else {
out.push(None);
}
}
out
}
#[test]
fn new_rejects_zero_period() {
assert!(matches!(Ema::new(0), Err(Error::PeriodZero)));
@@ -221,4 +242,28 @@ mod tests {
assert_eq!(ema.update(f64::NAN), before);
assert_eq!(ema.update(f64::INFINITY), before);
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]
fn ema_matches_naive(
period in 1usize..20,
prices in proptest::collection::vec(-1000.0_f64..1000.0, 0..150),
) {
let mut ema = Ema::new(period).unwrap();
let got = ema.batch(&prices);
let want = ema_naive(&prices, period);
proptest::prop_assert_eq!(got.len(), want.len());
for (g, w) in got.iter().zip(want.iter()) {
match (g, w) {
(None, None) => {}
(Some(a), Some(b)) => proptest::prop_assert!(
(a - b).abs() <= 1e-9 * a.abs().max(1.0),
"got={a} want={b}"
),
_ => proptest::prop_assert!(false, "warmup mismatch"),
}
}
}
}
}
+11
View File
@@ -154,4 +154,15 @@ mod tests {
k.reset();
assert!(!k.is_ready());
}
#[test]
fn ignores_non_finite_input() {
let mut k = Kama::classic();
k.batch(&(1..=40).map(f64::from).collect::<Vec<_>>());
let before = k.update(41.0);
assert!(before.is_some());
// Non-finite inputs return the last state without sliding the window.
assert_eq!(k.update(f64::NAN), before);
assert_eq!(k.update(f64::INFINITY), before);
}
}
@@ -139,4 +139,17 @@ mod tests {
assert!(Keltner::new(20, 10, 0.0).is_err());
assert!(Keltner::new(20, 10, -1.0).is_err());
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (0..50)
.map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
.collect();
let mut k = Keltner::classic();
k.batch(&candles);
assert!(k.is_ready());
k.reset();
assert!(!k.is_ready());
assert_eq!(k.update(candles[0]), None);
}
}
+12
View File
@@ -227,4 +227,16 @@ mod tests {
assert!(!macd.is_ready());
assert_eq!(macd.update(1.0), None);
}
#[test]
fn ignores_non_finite_input() {
let mut macd = MacdIndicator::classic();
macd.batch(&(1..=80).map(f64::from).collect::<Vec<_>>());
let before = macd.value();
assert!(before.is_some());
// Non-finite inputs return the last value without advancing any EMA.
assert_eq!(macd.update(f64::NAN), before);
assert_eq!(macd.update(f64::INFINITY), before);
assert_eq!(macd.value(), before);
}
}
+79
View File
@@ -140,6 +140,50 @@ mod tests {
use crate::traits::BatchExt;
use approx::assert_relative_eq;
/// Independent reference: Wilder RSI computed straight from the definition.
fn rsi_naive(prices: &[f64], period: usize) -> Vec<Option<f64>> {
let n = period as f64;
let mut out = vec![None; prices.len()];
let mut gains: Vec<f64> = Vec::new();
let mut losses: Vec<f64> = Vec::new();
let mut avg_gain: Option<f64> = None;
let mut avg_loss: Option<f64> = None;
let rsi_val = |ag: f64, al: f64| -> f64 {
if al == 0.0 {
if ag == 0.0 {
50.0
} else {
100.0
}
} else {
100.0 - 100.0 / (1.0 + ag / al)
}
};
for i in 1..prices.len() {
let diff = prices[i] - prices[i - 1];
let gain = if diff > 0.0 { diff } else { 0.0 };
let loss = if diff < 0.0 { -diff } else { 0.0 };
if let (Some(ag), Some(al)) = (avg_gain, avg_loss) {
let nag = (ag * (n - 1.0) + gain) / n;
let nal = (al * (n - 1.0) + loss) / n;
avg_gain = Some(nag);
avg_loss = Some(nal);
out[i] = Some(rsi_val(nag, nal));
} else {
gains.push(gain);
losses.push(loss);
if gains.len() == period {
let ag = gains.iter().sum::<f64>() / n;
let al = losses.iter().sum::<f64>() / n;
avg_gain = Some(ag);
avg_loss = Some(al);
out[i] = Some(rsi_val(ag, al));
}
}
}
out
}
#[test]
fn new_rejects_zero_period() {
assert!(matches!(Rsi::new(0), Err(Error::PeriodZero)));
@@ -244,4 +288,39 @@ mod tests {
prices.iter().map(|p| b.update(*p)).collect::<Vec<_>>()
);
}
#[test]
fn ignores_non_finite_input() {
let mut rsi = Rsi::new(3).unwrap();
rsi.batch(&[1.0, 2.0, 3.0, 4.0]);
let before = rsi.value();
assert!(before.is_some());
assert_eq!(rsi.update(f64::NAN), before);
assert_eq!(rsi.update(f64::INFINITY), before);
assert_eq!(rsi.value(), before);
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]
fn rsi_matches_naive(
period in 1usize..20,
prices in proptest::collection::vec(1.0_f64..1000.0, 0..150),
) {
let mut rsi = Rsi::new(period).unwrap();
let got = rsi.batch(&prices);
let want = rsi_naive(&prices, period);
proptest::prop_assert_eq!(got.len(), want.len());
for (g, w) in got.iter().zip(want.iter()) {
match (g, w) {
(None, None) => {}
(Some(a), Some(b)) => proptest::prop_assert!(
(a - b).abs() < 1e-7,
"got={a} want={b}"
),
_ => proptest::prop_assert!(false, "warmup mismatch"),
}
}
}
}
}
+22
View File
@@ -210,4 +210,26 @@ mod tests {
fn rolling_rejects_zero_period() {
assert!(RollingVwap::new(0).is_err());
}
#[test]
fn cumulative_reset_clears_state() {
let candles = vec![c(10.0, 1.0), c(20.0, 1.0), c(30.0, 1.0)];
let mut v = Vwap::new();
v.batch(&candles);
assert!(v.is_ready());
v.reset();
assert!(!v.is_ready());
assert_eq!(v.value(), None);
}
#[test]
fn rolling_reset_clears_state() {
let candles: Vec<Candle> = (1..=10).map(|i| c(f64::from(i), 1.0)).collect();
let mut v = RollingVwap::new(5).unwrap();
v.batch(&candles);
assert!(v.is_ready());
v.reset();
assert!(!v.is_ready());
assert_eq!(v.update(candles[0]), None);
}
}
@@ -138,4 +138,17 @@ mod tests {
fn rejects_zero_period() {
assert!(WilliamsR::new(0).is_err());
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (0..20)
.map(|i| c(f64::from(i) + 2.0, f64::from(i), f64::from(i) + 1.0))
.collect();
let mut w = WilliamsR::new(5).unwrap();
w.batch(&candles);
assert!(w.is_ready());
w.reset();
assert!(!w.is_ready());
assert_eq!(w.update(candles[0]), None);
}
}
+17
View File
@@ -203,6 +203,23 @@ mod tests {
);
}
#[test]
fn ignores_non_finite_input_but_keeps_state() {
let mut wma = Wma::new(3).unwrap();
wma.update(1.0);
wma.update(2.0);
let ready = wma.update(3.0).expect("WMA(3) ready after three inputs");
// Non-finite inputs return the last value without mutating the window.
assert_eq!(wma.update(f64::NAN), Some(ready));
assert_eq!(wma.update(f64::INFINITY), Some(ready));
// The window still holds 1, 2, 3 -> next real input slides it to 2, 3, 4.
assert_relative_eq!(
wma.update(4.0).unwrap(),
(2.0 * 1.0 + 3.0 * 2.0 + 4.0 * 3.0) / 6.0,
epsilon = 1e-12
);
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]