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

2026-08-25 22:08:05 +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 +1,132 @@
+using System;
+using Xunit;
+
+namespace QuanTAlib.Tests;
+
+public class SkewTests
+{
+    [Fact]
+    public void Constructor_ValidatesPeriod()
+    {
+        Assert.Throws<ArgumentOutOfRangeException>(() => new Skew(2));
+        var skew = new Skew(3);
+        Assert.NotNull(skew);
+    }
+
+    [Fact]
+    public void Update_CalculatesCorrectly_Sample()
+    {
+        // Test data: 1, 2, 3, 4, 5
+        // Mean = 3
+        // Variance (Sample) = 2.5
+        // StdDev (Sample) = 1.58113883
+        // Skewness (Sample) = 0 (Symmetric)
+        
+        var skew = new Skew(5, isPopulation: false);
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        skew.Update(new TValue(DateTime.UtcNow, 2));
+        skew.Update(new TValue(DateTime.UtcNow, 3));
+        skew.Update(new TValue(DateTime.UtcNow, 4));
+        var result = skew.Update(new TValue(DateTime.UtcNow, 5));
+
+        Assert.Equal(0, result.Value, precision: 10);
+    }
+
+    [Fact]
+    public void Update_CalculatesCorrectly_PositiveSkew()
+    {
+        // Test data: 1, 1, 1, 10
+        // Mean = 3.25
+        // Skewness should be positive (right tail)
+        
+        var skew = new Skew(4, isPopulation: false);
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        var result = skew.Update(new TValue(DateTime.UtcNow, 10));
+
+        Assert.True(result.Value > 0);
+    }
+
+    [Fact]
+    public void Update_CalculatesCorrectly_NegativeSkew()
+    {
+        // Test data: 10, 10, 10, 1
+        // Mean = 7.75
+        // Skewness should be negative (left tail)
+        
+        var skew = new Skew(4, isPopulation: false);
+        skew.Update(new TValue(DateTime.UtcNow, 10));
+        skew.Update(new TValue(DateTime.UtcNow, 10));
+        skew.Update(new TValue(DateTime.UtcNow, 10));
+        var result = skew.Update(new TValue(DateTime.UtcNow, 1));
+
+        Assert.True(result.Value < 0);
+    }
+
+    [Fact]
+    public void Update_HandlesUpdates_IsNewFalse()
+    {
+        var skew = new Skew(5);
+        
+        // 1, 2, 3, 4
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        skew.Update(new TValue(DateTime.UtcNow, 2));
+        skew.Update(new TValue(DateTime.UtcNow, 3));
+        skew.Update(new TValue(DateTime.UtcNow, 4));
+        
+        // Add 5
+        skew.Update(new TValue(DateTime.UtcNow, 5), isNew: true);
+        
+        // Update 5 to 10
+        var res2 = skew.Update(new TValue(DateTime.UtcNow, 10), isNew: false);
+
+        // Expected: Skew of 1, 2, 3, 4, 10
+        var expectedSkew = new Skew(5);
+        expectedSkew.Update(new TValue(DateTime.UtcNow, 1));
+        expectedSkew.Update(new TValue(DateTime.UtcNow, 2));
+        expectedSkew.Update(new TValue(DateTime.UtcNow, 3));
+        expectedSkew.Update(new TValue(DateTime.UtcNow, 4));
+        var expected = expectedSkew.Update(new TValue(DateTime.UtcNow, 10));
+
+        Assert.Equal(expected.Value, res2.Value, precision: 10);
+    }
+
+    [Fact]
+    public void Reset_ClearsState()
+    {
+        var skew = new Skew(5);
+        for (int i = 0; i < 5; i++) skew.Update(new TValue(DateTime.UtcNow, i));
+        
+        skew.Reset();
+        Assert.False(skew.IsHot);
+        
+        // Should behave like new
+        skew.Update(new TValue(DateTime.UtcNow, 1));
+        Assert.Equal(0, skew.Last.Value); // Not enough data
+    }
+
+    [Fact]
+    public void Batch_Matches_Streaming()
+    {
+        var data = new double[] { 1, 2, 3, 4, 5, 10, 1, 2, 3 };
+        int period = 5;
+        
+        // Streaming
+        var skew = new Skew(period);
+        var streamingResults = new System.Collections.Generic.List<double>();
+        foreach (var val in data)
+        {
+            streamingResults.Add(skew.Update(new TValue(DateTime.UtcNow, val)).Value);
+        }
+
+        // Batch
+        var series = new TSeries(new System.Collections.Generic.List<long>(new long[data.Length]), new System.Collections.Generic.List<double>(data));
+        var batchResult = Skew.Calculate(series, period);
+
+        for (int i = 0; i < data.Length; i++)
+        {
+            Assert.Equal(streamingResults[i], batchResult.Values[i], precision: 10);
+        }
+    }
+}