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

2026-08-26 06:18:05 +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 +1,68 @@
+using Xunit;
+using TradingPlatform.BusinessLayer;
+using QuanTAlib;
+
+namespace QuanTAlib.Tests;
+
+public class MedianIndicatorTests
+{
+    [Fact]
+    public void MedianIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new MedianIndicator();
+
+        Assert.Equal(10, indicator.Period);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Equal("Median - Rolling Median", indicator.Name);
+        Assert.False(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(SourceType.Close, indicator.Source);
+    }
+
+    [Fact]
+    public void MedianIndicator_MinHistoryDepths_EqualsZero()
+    {
+        var indicator = new MedianIndicator { Period = 20 };
+
+        Assert.Equal(0, MedianIndicator.MinHistoryDepths);
+        IWatchlistIndicator watchlistIndicator = indicator;
+        Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void MedianIndicator_Initialize_CreatesInternalMedian()
+    {
+        var indicator = new MedianIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+        Assert.Equal("Median", indicator.LinesSeries[0].Name);
+    }
+
+    [Fact]
+    public void MedianIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new MedianIndicator { Period = 5 };
+        indicator.Initialize();
+
+        // Add historical data
+        var now = DateTime.UtcNow;
+        // Need enough bars for Period
+        for (int i = 0; i < 20; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+
+            // Process update for each bar to simulate history loading
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        // Line series should have a value
+        double median = indicator.LinesSeries[0].GetValue(0);
+
+        Assert.True(double.IsFinite(median));
+    }
+}