QuantEngineByItz/src/dotnet/QuantEngine.Core.Tests/FactorCalculatorTests.cs

using System;
using System.Collections.Generic;
using Xunit;
using QuantEngine.Core.Domain;
using QuantEngine.Core.Interfaces;

namespace QuantEngine.Core.Tests
{
    public class FactorCalculatorTests
    {
        private List<PriceHistoryDailyRecord> CreateMockBars(string ticker, double startPrice, double trend, int count)
        {
            var list = new List<PriceHistoryDailyRecord>();
            var startDate = new DateOnly(2026, 1, 1);
            for (int i = 0; i < count; i++)
            {
                double price = startPrice + (i * trend);
                list.Add(new PriceHistoryDailyRecord(
                    ticker,
                    startDate.AddDays(i),
                    (decimal)price,
                    (decimal)(price + 2.0),
                    (decimal)(price - 2.0),
                    (decimal)price,
                    100000,
                    "TEST_SOURCE"
                ));
            }
            return list;
        }

        [Fact]
        public void CalculateFactors_EmptyStockBars_ReturnsAllZeros()
        {
            var stock = new List<PriceHistoryDailyRecord>();
            var index = new List<PriceHistoryDailyRecord>();

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            Assert.Equal(0, outputs.Momentum20D);
            Assert.Equal(0, outputs.Momentum60D);
            Assert.Equal(0, outputs.Momentum120D);
            Assert.Equal(0, outputs.Atr20Pct);
            Assert.Equal(0, outputs.StDev20D);
            Assert.Equal(1.0, outputs.Beta60D); // Beta defaults to 1.0 on short data
            Assert.Equal(0, outputs.Rs20D);
        }

        [Fact]
        public void CalculateFactors_ConstantTrend_CalculatesCorrectMomentum()
        {
            // Stock starting at 100.0, rising 1.0 every day for 130 days.
            // On day 130 (index 129), price = 100 + 129 = 229.
            // Close[129] = 229.
            // Close[129-20] = Close[109] = 100 + 109 = 209.
            // Momentum 20D = ((229 - 209) / 209) * 100 = (20 / 209) * 100 = 9.5693%
            var stock = CreateMockBars("005930", 100.0, 1.0, 130);
            var index = CreateMockBars("KOSPI", 2000.0, 0.0, 130); // Constant index

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            double expectedMom20 = (20.0 / 209.0) * 100.0;
            Assert.Equal(expectedMom20, outputs.Momentum20D, 5); // 5 decimals precision
            
            double expectedMom60 = (60.0 / 169.0) * 100.0;
            Assert.Equal(expectedMom60, outputs.Momentum60D, 5);

            double expectedMom120 = (120.0 / 109.0) * 100.0;
            Assert.Equal(expectedMom120, outputs.Momentum120D, 5);
        }

        [Fact]
        public void CalculateAtr20Pct_ConstantHighLowDifference_CalculatesCorrectAtrPct()
        {
            // Create stock where High - Low = 4.0 consistently, and close doesn't gap.
            // TR = High - Low = 4.0.
            // ATR 20D = Average TR over last 20 days = 4.0.
            // Final close price = 100 + 129 = 229.
            // ATR% = (4.0 / 229.0) * 100 = 1.7467%
            var stock = CreateMockBars("005930", 100.0, 1.0, 130);
            var index = CreateMockBars("KOSPI", 2000.0, 0.0, 130);

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            double expectedAtrPct = (4.0 / 229.0) * 100.0;
            Assert.Equal(expectedAtrPct, outputs.Atr20Pct, 5);
        }

        [Fact]
        public void CalculatePriceStDev20D_CalculatesCorrectStDev()
        {
            // Close values over last 20 days: 210, 211, ..., 229.
            // Average = 219.5
            // Variance = Sum(x_i - Avg)^2 / 19
            var stock = CreateMockBars("005930", 100.0, 1.0, 130);
            var index = CreateMockBars("KOSPI", 2000.0, 0.0, 130);

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            // Manual stdev calculation for sequential 20 numbers: stdev = sqrt( (20^2 - 1) * d^2 / 12 * N / (N-1) )?
            // stdev of 20 numbers with step 1: sqrt(35) * sqrt(20/19) ≈ 5.91608 * 1.02598 ≈ 6.0697
            // Actual check using double math
            double sum = 0;
            for (int i = 110; i < 130; i++) sum += (100.0 + i);
            double avg = sum / 20.0;
            double sumSquares = 0;
            for (int i = 110; i < 130; i++) sumSquares += Math.Pow((100.0 + i) - avg, 2);
            double expectedStDev = Math.Sqrt(sumSquares / 19.0);

            Assert.Equal(expectedStDev, outputs.StDev20D, 5);
        }

        [Fact]
        public void CalculateFactors_UnsortedInput_ProducesSameOutputs()
        {
            var stock = CreateMockBars("005930", 100.0, 1.0, 130);
            var index = CreateMockBars("KOSPI", 2000.0, 0.0, 130);

            stock.Reverse();
            index.Reverse();

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            double expectedMom20 = (20.0 / 209.0) * 100.0;
            Assert.Equal(expectedMom20, outputs.Momentum20D, 5);
            Assert.Equal(1.0, outputs.Beta60D);
        }

        [Fact]
        public void CalculateFactors_DuplicateDates_UsesLastOccurrencePerDate()
        {
            var stock = CreateMockBars("005930", 100.0, 1.0, 130);
            var index = CreateMockBars("KOSPI", 2000.0, 0.0, 130);

            var duplicateDate = stock[129].TradeDate;
            stock.Add(new PriceHistoryDailyRecord(
                "005930",
                duplicateDate,
                1000m,
                1002m,
                998m,
                1001m,
                100000,
                "TEST_SOURCE"));

            var outputs = FactorCalculator.CalculateFactors(stock, index);

            Assert.True(outputs.Momentum20D > 0);
            Assert.True(outputs.Atr20Pct > 0);
        }
    }
}