gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-24 05:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

test: setup common stability and robustness properties tracking

Browse Source
This commit is contained in:
Miha Kralj
2026-02-27 12:50:05 -08:00
parent 4ab3a7fb53
commit 769a923a24
287 changed files with 1314 additions and 867 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/statistics/cointegration/Cointegration.Tests.cs
+20 -13
View File
@@ -154,27 +154,34 @@ public class CointegrationTests
[Fact]
public void Update_WithIsNewFalse_DoesNotAdvanceState()
{
var indicator = new Cointegration(5);
var corrected = new Cointegration(5);
var direct = new Cointegration(5);
var gbmA = new GBM(startPrice: 100.0, mu: 0.0, sigma: 0.1, seed: 12345);
var gbmB = new GBM(startPrice: 100.0, mu: 0.0, sigma: 0.1, seed: 54321);
// Build up some state
// Build identical state
for (int i = 0; i < 10; i++)
{
indicator.Update(gbmA.Next().Close, gbmB.Next().Close, isNew: true);
double a = gbmA.Next().Close;
double b = gbmB.Next().Close;
corrected.Update(a, b, isNew: true);
direct.Update(a, b, isNew: true);
}
// Update with same values and isNew=false
indicator.Update(gbmA.Next().Close, gbmB.Next().Close, isNew: false);
var valueAfterFirst = indicator.Last.Value;
const double finalA = 105.0;
const double finalB = 55.0;
// Another correction
indicator.Update(gbmA.Next().Close, gbmB.Next().Close, isNew: false);
var valueAfterSecond = indicator.Last.Value;
// Correction path: add + multiple rewrites + final rewrite to target value
corrected.Update(finalA, finalB, isNew: true);
corrected.Update(finalA + 10.0, finalB + 10.0, isNew: false);
corrected.Update(finalA - 3.0, finalB - 3.0, isNew: false);
corrected.Update(finalA, finalB, isNew: false);
// All corrections replace the same bar, state should be consistent
Assert.True(double.IsFinite(valueAfterFirst) || double.IsNaN(valueAfterFirst));
Assert.True(double.IsFinite(valueAfterSecond) || double.IsNaN(valueAfterSecond));
// Direct path: only final new bar
direct.Update(finalA, finalB, isNew: true);
Assert.Equal(direct.Last.Value, corrected.Last.Value, Tolerance);
}
[Fact]
@@ -648,4 +655,4 @@ public class CointegrationTests
}
#endregion
}
}