feat(statistics): add Variance indicator with O(1) calculation and usage example

2026-08-19 02:58:05 +00:00 · 2025-12-25 17:18:41 -08:00
parent 9ba89812cd
commit 4ff6dc0ad9
61 changed files with 6069 additions and 99 deletions
@@ -0,0 +1,96 @@
+using System;
+using Xunit;
+
+namespace QuanTAlib.Tests;
+
+public class BetaTests
+{
+    [Fact]
+    public void Constructor_ValidatesPeriod()
+    {
+        Assert.Throws<ArgumentOutOfRangeException>(() => new Beta(0));
+    }
+
+    [Fact]
+    public void Update_ThrowsOnSingleInput()
+    {
+        var beta = new Beta(10);
+        Assert.Throws<NotSupportedException>(() => beta.Update(new TValue(DateTime.UtcNow, 100)));
+    }
+
+    [Fact]
+    public void IsHot_BecomesTrueAfterPeriod()
+    {
+        int period = 5;
+        var beta = new Beta(period);
+        
+        // We need period returns.
+        // 1st update: initializes prev prices. No return.
+        // 2nd update: 1st return.
+        // ...
+        // (period+1)th update: period-th return. Buffer full. IsHot true.
+
+        for (int i = 0; i <= period; i++)
+        {
+            Assert.False(beta.IsHot, $"IsHot should be false at index {i}");
+            beta.Update(100 + i, 100 + i);
+        }
+
+        // Now we have fed period+1 prices -> period returns.
+        Assert.True(beta.IsHot, "IsHot should be true after period+1 updates");
+    }
+
+    [Fact]
+    public void Calculation_KnownBeta()
+    {
+        // Scenario: Asset returns are exactly 2x Market returns.
+        // We need variable market returns to have non-zero variance.
+        
+        int period = 10;
+        var beta = new Beta(period);
+
+        double marketPrice = 100;
+        double assetPrice = 100;
+
+        // Initialize
+        beta.Update(assetPrice, marketPrice);
+
+        // Pattern of returns: +1%, -1%, +1%, -1%...
+        // Asset returns: +2%, -2%, +2%, -2%...
+        // This gives Beta = 2.
+
+        for (int i = 0; i < 20; i++)
+        {
+            double marketReturn = (i % 2 == 0) ? 0.01 : -0.01;
+            double assetReturn = marketReturn * 2.0;
+
+            marketPrice *= (1 + marketReturn);
+            assetPrice *= (1 + assetReturn);
+            
+            TValue result = beta.Update(assetPrice, marketPrice);
+            
+            if (beta.IsHot)
+            {
+                Assert.Equal(2.0, result.Value, precision: 6);
+            }
+        }
+    }
+
+    [Fact]
+    public void Reset_ClearsState()
+    {
+        var beta = new Beta(5);
+        for (int i = 0; i < 10; i++)
+        {
+            beta.Update(100 + i, 100 + i);
+        }
+        Assert.True(beta.IsHot);
+
+        beta.Reset();
+        Assert.False(beta.IsHot);
+        
+        // Re-initialize
+        beta.Update(100, 100);
+        Assert.False(beta.IsHot);
+    }
+}