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

2026-08-24 13:38:05 +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 +1,55 @@
+using System;
+using System.Linq;
+using Xunit;
+using QuanTAlib;
+using QuanTAlib.Tests;
+using MathNet.Numerics.Statistics;
+
+namespace QuanTAlib.Validation;
+
+public class SkewValidationTests : IDisposable
+{
+    private readonly ValidationTestData _data = new();
+
+    public void Dispose()
+    {
+        Dispose(true);
+        GC.SuppressFinalize(this);
+    }
+
+    protected virtual void Dispose(bool disposing)
+    {
+        if (disposing)
+        {
+            _data.Dispose();
+        }
+    }
+
+    [Fact]
+    public void Skew_Matches_MathNet()
+    {
+        int period = 20;
+        var skew = new Skew(period, isPopulation: false);
+        var popSkew = new Skew(period, isPopulation: true);
+        
+        var quotes = _data.SkenderQuotes.ToList();
+        double[] input = quotes.Select(q => (double)q.Close).ToArray();
+
+        for (int i = 0; i < input.Length; i++)
+        {
+            var val = skew.Update(new TValue(quotes[i].Date, input[i]));
+            var popVal = popSkew.Update(new TValue(quotes[i].Date, input[i]));
+
+            // Validate last 100 bars
+            if (i >= input.Length - 100)
+            {
+                var window = input[(i - period + 1)..(i + 1)];
+                double expected = Statistics.Skewness(window);
+                double expectedPop = Statistics.PopulationSkewness(window);
+                
+                Assert.Equal(expected, val.Value, ValidationHelper.DefaultTolerance);
+                Assert.Equal(expectedPop, popVal.Value, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+}