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

2026-08-18 10:38:05 +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 System.Collections.Generic;
+using System.Linq;
+using Xunit;
+using Skender.Stock.Indicators;
+
+namespace QuanTAlib.Tests;
+
+public class BetaValidationTests : IDisposable
+{
+    private readonly ValidationTestData _data;
+
+    public BetaValidationTests()
+    {
+        _data = new ValidationTestData();
+    }
+
+    public void Dispose()
+    {
+        Dispose(true);
+        GC.SuppressFinalize(this);
+    }
+
+    protected virtual void Dispose(bool disposing)
+    {
+        if (disposing)
+        {
+            _data.Dispose();
+        }
+    }
+
+    [Fact]
+    public void Validate_Against_Skender()
+    {
+        // Generate Market Data (use existing Data)
+        var marketQuotes = _data.Data;
+        
+        // Generate Asset Data correlated to Market
+        // Asset Returns = 1.5 * Market Returns + Noise
+        var assetQuotes = new List<TBar>();
+        double assetPrice = 100;
+        double targetBeta = 1.5;
+        var rnd = new Random(123);
+
+        assetQuotes.Add(new TBar(marketQuotes[0].Time, assetPrice, assetPrice, assetPrice, assetPrice, 1000));
+
+        for (int i = 1; i < marketQuotes.Count; i++)
+        {
+            double marketReturn = (marketQuotes[i].Value - marketQuotes[i-1].Value) / marketQuotes[i-1].Value;
+            double noise = (rnd.NextDouble() - 0.5) * 0.002; // Small noise
+            double assetReturn = targetBeta * marketReturn + noise;
+            
+            assetPrice *= (1 + assetReturn);
+            assetQuotes.Add(new TBar(marketQuotes[i].Time, assetPrice, assetPrice, assetPrice, assetPrice, 1000));
+        }
+
+        // Skender
+        // Skender expects IEnumerable<Quote>
+        var skenderMarket = marketQuotes.Select(x => new Quote { Date = x.AsDateTime, Close = (decimal)x.Value }).ToList();
+        var skenderAsset = assetQuotes.Select(x => new Quote { Date = x.AsDateTime, Close = (decimal)x.Close }).ToList();
+
+        int period = 20;
+        var skenderBeta = skenderAsset.GetBeta(skenderMarket, period).ToList();
+
+        // QuanTAlib
+        var beta = new Beta(period);
+        var qlBeta = new List<double>();
+
+        for (int i = 0; i < marketQuotes.Count; i++)
+        {
+            var result = beta.Update(assetQuotes[i].Close, marketQuotes[i].Value);
+            qlBeta.Add(result.Value);
+        }
+
+        // Compare
+        // Skip warmup period. Skender Beta needs period returns, so period+1 prices?
+        // Skender results align with input quotes.
+        // First valid value should be at index 'period'.
+        
+        // We verify the last 100 values
+        int count = qlBeta.Count;
+        int skip = period + 5; // Safety margin
+
+        for (int i = skip; i < count; i++)
+        {
+            double sk = (skenderBeta[i].Beta ?? 0);
+            double ql = qlBeta[i];
+            
+            // Skender might return null/0 for warmup.
+            if (sk != 0)
+            {
+                Assert.Equal(sk, ql, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+}