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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,104 @@ | ||
| using Xunit; | ||
| using System.Security.Cryptography; | ||
|
|
||
| namespace QuanTAlib.Tests; | ||
|
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||
| public class VolatilityUpdateTests | ||
| { | ||
| private readonly RandomNumberGenerator rng = RandomNumberGenerator.Create(); | ||
| private const int RandomUpdates = 100; | ||
| private const double ReferenceValue = 100.0; | ||
| private const int precision = 8; | ||
|
|
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| private double GetRandomDouble() | ||
| { | ||
| byte[] bytes = new byte[8]; | ||
| rng.GetBytes(bytes); | ||
| return (double)BitConverter.ToUInt64(bytes, 0) / ulong.MaxValue * 200 - 100; // Range: -100 to 100 | ||
| } | ||
|
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| private TBar GetRandomBar(bool IsNew) | ||
| { | ||
| double open = GetRandomDouble(); | ||
| double high = open + Math.Abs(GetRandomDouble()); | ||
| double low = open - Math.Abs(GetRandomDouble()); | ||
| double close = low + (high - low) * GetRandomDouble(); | ||
| return new TBar(DateTime.Now, open, high, low, close, 1000, IsNew); | ||
| } | ||
|
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||
| [Fact] | ||
| public void Atr_Update() | ||
| { | ||
| var indicator = new Atr(period: 14); | ||
| TBar r = GetRandomBar(true); | ||
| double initialValue = indicator.Calc(r); | ||
|
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| for (int i = 0; i < RandomUpdates; i++) | ||
| { | ||
| indicator.Calc(GetRandomBar(IsNew: false)); | ||
| } | ||
| double finalValue = indicator.Calc(new TBar(r.Time, r.Open, r.High, r.Low, r.Close, r.Volume, IsNew: false)); | ||
|
|
||
| Assert.Equal(initialValue, finalValue, precision); | ||
| } | ||
|
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||
| [Fact] | ||
| public void Historical_Update() | ||
| { | ||
| var indicator = new Historical(period: 14); | ||
| double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true)); | ||
|
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| for (int i = 0; i < RandomUpdates; i++) | ||
| { | ||
| indicator.Calc(GetRandomBar(false)); | ||
| } | ||
| double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false)); | ||
|
|
||
| Assert.Equal(initialValue, finalValue, precision); | ||
| } | ||
|
|
||
| [Fact] | ||
| public void Jvolty_Update() | ||
| { | ||
| var indicator = new Jvolty(period: 14); | ||
| double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true)); | ||
|
|
||
| for (int i = 0; i < RandomUpdates; i++) | ||
| { | ||
| indicator.Calc(GetRandomBar(false)); | ||
| } | ||
| double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false)); | ||
|
|
||
| Assert.Equal(initialValue, finalValue, precision); | ||
| } | ||
|
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||
| [Fact] | ||
| public void Realized_Update() | ||
| { | ||
| var indicator = new Realized(period: 14); | ||
| double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true)); | ||
|
|
||
| for (int i = 0; i < RandomUpdates; i++) | ||
| { | ||
| indicator.Calc(GetRandomBar(false)); | ||
| } | ||
| double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false)); | ||
|
|
||
| Assert.Equal(initialValue, finalValue, precision); | ||
| } | ||
|
|
||
| [Fact] | ||
| public void Rvi_Update() | ||
| { | ||
| var indicator = new Rvi(period: 14); | ||
| double initialValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: true)); | ||
|
|
||
| for (int i = 0; i < RandomUpdates; i++) | ||
| { | ||
| indicator.Calc(GetRandomBar(false)); | ||
| } | ||
| double finalValue = indicator.Calc(new TBar(DateTime.Now, ReferenceValue, ReferenceValue, ReferenceValue, ReferenceValue, 1000, IsNew: false)); | ||
|
|
||
| Assert.Equal(initialValue, finalValue, precision); | ||
| } | ||
| } |
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