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Miha Kralj
2026-02-27 07:48:12 -08:00
parent 8a1ba95173
commit 4ab3a7fb53
389 changed files with 6682 additions and 468 deletions
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lib/statistics/cointegration/Cointegration.Validation.Tests.cs
+16 -13
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@@ -10,6 +10,9 @@ public class CointegrationValidationTests
{
private const double Tolerance = 1e-6;
// GBM-based noise helper: log-return from seeded GBM price stream as centered noise.
private static double GbmNoise(GBM gbm) => Math.Log(gbm.Next().Close / 100.0);
#region Statistical Property Validation
[Fact]
@@ -18,12 +21,12 @@ public class CointegrationValidationTests
// Two series with near-perfect linear relationship should show strong cointegration
// Adding small noise to avoid zero-variance residuals
var indicator = new Cointegration(20);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 42);
for (int i = 0; i < 100; i++)
{
double a = 100.0 + i * 0.5 + (random.NextDouble() - 0.5) * 0.1;
double b = 2.0 * a + 10.0 + (random.NextDouble() - 0.5) * 0.1;
double a = 100.0 + i * 0.5 + GbmNoise(random) * 0.1;
double b = 2.0 * a + 10.0 + GbmNoise(random) * 0.1;
indicator.Update(a, b);
}
@@ -55,12 +58,12 @@ public class CointegrationValidationTests
{
// B = k * A + small noise (near-proportional relationship)
var indicator = new Cointegration(20);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 43);
for (int i = 0; i < 100; i++)
{
double a = 50.0 + i * 0.3 + Math.Sin(i * 0.2) * 5.0;
double noise = (random.NextDouble() - 0.5) * 0.5;
double noise = GbmNoise(random) * 0.5;
double b = 1.5 * a + noise;
indicator.Update(a, b);
}
@@ -73,12 +76,12 @@ public class CointegrationValidationTests
{
// B = α + β*A + small_noise
var indicator = new Cointegration(20);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 44);
for (int i = 0; i < 100; i++)
{
double a = 100.0 + i * 0.2;
double noise = (random.NextDouble() - 0.5) * 0.5; // Small noise
double noise = GbmNoise(random) * 0.5; // Small noise
double b = 25.0 + 0.8 * a + noise;
indicator.Update(a, b);
}
@@ -245,12 +248,12 @@ public class CointegrationValidationTests
public void Cointegration_SmallPeriod_WorksCorrectly()
{
var indicator = new Cointegration(3); // Minimum practical period
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 45);
for (int i = 0; i < 20; i++)
{
double a = 100.0 + i + (random.NextDouble() - 0.5) * 0.1;
double b = 50.0 + 0.5 * a + (random.NextDouble() - 0.5) * 0.1;
double a = 100.0 + i + GbmNoise(random) * 0.1;
double b = 50.0 + 0.5 * a + GbmNoise(random) * 0.1;
indicator.Update(a, b);
}
@@ -263,12 +266,12 @@ public class CointegrationValidationTests
public void Cointegration_LargePeriod_WorksCorrectly()
{
var indicator = new Cointegration(100);
var random = new Random(42);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 46);
for (int i = 0; i < 150; i++)
{
double a = 100.0 + i * 0.1 + (random.NextDouble() - 0.5) * 0.1;
double b = 30.0 + 0.8 * a + (random.NextDouble() - 0.5) * 0.1;
double a = 100.0 + i * 0.1 + GbmNoise(random) * 0.1;
double b = 30.0 + 0.8 * a + GbmNoise(random) * 0.1;
indicator.Update(a, b);
}