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test: setup common stability and robustness properties tracking

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Miha Kralj
2026-02-27 12:50:05 -08:00
parent 4ab3a7fb53
commit 769a923a24
287 changed files with 1314 additions and 867 deletions
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lib/statistics/correlation/Correlation.Validation.Tests.cs
+13 -7
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@@ -609,14 +609,20 @@ public sealed class CorrelationValidationTests : IDisposable
[Fact]
public void Correlation_WeakCorrelation_DetectedCorrectly()
{
// Create two series with weak correlation (lots of noise)
// Create two series with weak correlation: pure independent noise, no shared trend.
// Use two independent GBMs (different seeds) and feed their incremental log-returns directly.
// With period=20 and fully independent noise sequences, correlation should be near zero.
var indicator = new Correlation(20);
var random = new GBM(startPrice: 100.0, sigma: 1.0, seed: 43);
var gbmX = new GBM(startPrice: 100.0, sigma: 0.2, seed: 43);
var gbmY = new GBM(startPrice: 100.0, sigma: 0.2, seed: 9871);
var barsX = gbmX.Fetch(101, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var barsY = gbmY.Fetch(101, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
for (int i = 0; i < 100; i++)
for (int i = 1; i <= 100; i++)
{
double x = 100.0 + i + Math.Log(random.Next().Close / 100.0) * 50;
double y = 100.0 + 0.1 * i + Math.Log(random.Next().Close / 100.0) * 50; // Weak relationship
// Pure independent white noise — no shared linear component
double x = Math.Log(barsX[i].Close / barsX[i - 1].Close);
double y = Math.Log(barsY[i].Close / barsY[i - 1].Close);
indicator.Update(x, y);
}
@@ -720,7 +726,7 @@ public sealed class CorrelationValidationTests : IDisposable
double[] taOut = new double[_data.Count];
var retCode = Functions.Correl<double>(closeArr, openArr, 0..^0, taOut, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
Assert.Equal(TALib.Core.RetCode.Success, retCode);
(int offset, int length) = outRange.GetOffsetAndLength(taOut.Length);
Assert.True(length > 100, $"TALib Correl produced only {length} values");
@@ -760,7 +766,7 @@ public sealed class CorrelationValidationTests : IDisposable
{
double[] taOut = new double[_data.Count];
var retCode = Functions.Correl<double>(highArr, lowArr, 0..^0, taOut, out var outRange, period);
Assert.Equal(Core.RetCode.Success, retCode);
Assert.Equal(TALib.Core.RetCode.Success, retCode);
(int offset, int length) = outRange.GetOffsetAndLength(taOut.Length);