Encelado/Encelado/tests/Encelado.Tests/AdvancedIndicatorTests.cs

using Encelado.Core.Indicators;
using Encelado.Core.Market;

namespace Encelado.Tests;

public class EfficiencyRatioTests
{
    [Fact]
    public void AStraightLineIsPerfectlyEfficient()
    {
        EfficiencyRatio er = new(10);
        for (int i = 1; i <= 20; i++)
        {
            er.Update(i);
        }

        Assert.True(er.IsReady);
        Assert.Equal(1.0, er.Value, 10);
    }

    [Fact]
    public void PureOscillationIsCompletelyInefficient()
    {
        EfficiencyRatio er = new(10);
        for (int i = 0; i < 30; i++)
        {
            er.Update(i % 2 == 0 ? 100 : 101);
        }

        Assert.True(er.IsReady);
        Assert.Equal(0.0, er.Value, 10);
    }

    [Fact]
    public void ANoisyTrendSitsBetweenTheExtremes()
    {
        EfficiencyRatio er = new(10);
        double price = 100;
        for (int i = 0; i < 40; i++)
        {
            price += i % 3 == 0 ? -0.5 : 1.0;
            er.Update(price);
        }

        Assert.InRange(er.Value, 0.05, 0.95);
    }

    [Fact]
    public void NeedsAFullWindowBeforeReporting()
    {
        EfficiencyRatio er = new(5);
        for (int i = 0; i < 5; i++)
        {
            er.Update(100 + i);
            Assert.False(er.IsReady);
        }

        er.Update(105);
        Assert.True(er.IsReady);
    }
}

public class RealizedVolatilityTests
{
    [Fact]
    public void AFlatSeriesHasZeroVolatility()
    {
        RealizedVolatility vol = new(20, 525_600);
        for (int i = 0; i < 40; i++)
        {
            vol.Update(100);
        }

        Assert.True(vol.IsReady);
        Assert.Equal(0, vol.Value, 10);
    }

    [Fact]
    public void AnnualisationScalesByTheSquareRootOfBarsPerYear()
    {
        RealizedVolatility perBar = new(20, 1);
        RealizedVolatility annual = new(20, 4);

        double price = 100;
        for (int i = 0; i < 40; i++)
        {
            price *= i % 2 == 0 ? 1.01 : 0.995;
            perBar.Update(price);
            annual.Update(price);
        }

        Assert.True(perBar.Value > 0);
        Assert.Equal(perBar.Value * 2, annual.Value, 10);
        Assert.Equal(perBar.PerBar, annual.PerBar, 12);
    }

    [Fact]
    public void IgnoresNonPositivePrices()
    {
        RealizedVolatility vol = new(5, 1);
        for (int i = 0; i < 10; i++)
        {
            vol.Update(100);
        }

        double before = vol.Value;
        vol.Update(0);
        vol.Update(-5);

        Assert.Equal(before, vol.Value, 12);
    }
}

public class KeltnerTests
{
    [Fact]
    public void ChannelSitsAtTheAtrMultipleAroundTheEma()
    {
        Keltner keltner = new(period: 10, atrMultiplier: 2.0, atrPeriod: 10);

        for (int i = 0; i < 40; i++)
        {
            keltner.Update(new Bar(DateTime.UtcNow, 100, 100.5, 99.5, 100, 1000, 100, 10));
        }

        Assert.True(keltner.IsReady);
        Assert.Equal(100, keltner.Value, 6);

        // Constant 1.0 range means ATR = 1, so the channel is +/- 2.
        Assert.Equal(102, keltner.Upper, 6);
        Assert.Equal(98, keltner.Lower, 6);
        Assert.Equal(4, keltner.Width, 6);
    }
}

public class RollingZScoreTests
{
    [Fact]
    public void ScoresTheLatestSampleAgainstItsOwnWindow()
    {
        RollingZScore z = new(4);
        foreach (double v in new double[] { 2, 4, 4, 6 })
        {
            z.Update(v);
        }

        // mean 4, sample stddev sqrt(8/3); the last sample sits 2 above the mean.
        Assert.True(z.IsReady);
        Assert.Equal(2.0 / Math.Sqrt(8.0 / 3.0), z.Value, 10);
        Assert.Equal(4, z.Mean, 10);
    }

    [Fact]
    public void AConstantSeriesScoresZeroInsteadOfDividingByZero()
    {
        RollingZScore z = new(5);
        for (int i = 0; i < 10; i++)
        {
            z.Update(42);
        }

        Assert.Equal(0, z.Value, 10);
    }
}

public class BollingerDispersionTests
{
    [Fact]
    public void ExposesTheStandardDeviationTheBandsAreBuiltFrom()
    {
        BollingerBands bands = new(4, 2.0);
        foreach (double v in new double[] { 2, 4, 4, 6 })
        {
            bands.Update(v);
        }

        double sd = Math.Sqrt(8.0 / 3.0);
        Assert.Equal(sd, bands.StandardDeviation, 10);
        Assert.Equal(4 + (2 * sd), bands.Upper, 10);
        Assert.Equal(4 - (2 * sd), bands.Lower, 10);
    }
}