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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.cs
+39 -38
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@@ -39,12 +39,13 @@ public sealed class Correlation : AbstractBase
// Last valid values for NaN handling
private double _lastValidX, _lastValidY;
private double _p_lastValidX, _p_lastValidY;
private int _updateCount;
private const int ResyncInterval = 1000;
private const double Epsilon = 1e-10;
public override bool IsHot => _bufferX.Count >= 2;
public override bool IsHot => _bufferX.Count >= WarmupPeriod;
/// <summary>
/// Creates a new Correlation indicator.
@@ -74,6 +75,17 @@ public sealed class Correlation : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(TValue seriesX, TValue seriesY, bool isNew = true)
{
if (isNew)
{
_p_lastValidX = _lastValidX;
_p_lastValidY = _lastValidY;
}
else
{
_lastValidX = _p_lastValidX;
_lastValidY = _p_lastValidY;
}
double x = SanitizeX(seriesX.Value);
double y = SanitizeY(seriesY.Value);
@@ -99,7 +111,7 @@ public sealed class Correlation : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TValue Update(double seriesX, double seriesY, bool isNew = true)
{
return Update(new TValue(DateTime.UtcNow, seriesX), new TValue(DateTime.UtcNow, seriesY), isNew);
return Update(new TValue(DateTime.MinValue, seriesX), new TValue(DateTime.MinValue, seriesY), isNew);
}
/// <inheritdoc/>
@@ -175,14 +187,7 @@ public sealed class Correlation : AbstractBase
{
if (_bufferX.Count == 0)
{
// No data yet, just add
_bufferX.Add(x);
_bufferY.Add(y);
_sumX = x;
_sumY = y;
_sumX2 = x * x;
_sumY2 = y * y;
_sumXY = x * y;
// Nothing to correct yet; no current bar exists
return;
}
@@ -190,12 +195,12 @@ public sealed class Correlation : AbstractBase
double oldX = _bufferX.Newest;
double oldY = _bufferY.Newest;
// Update the running sums: remove old, add new
// Update the running sums: remove old, add new (using FMA for consistency with ProcessNewBar)
_sumX = _sumX - oldX + x;
_sumY = _sumY - oldY + y;
_sumX2 = _sumX2 - (oldX * oldX) + (x * x);
_sumY2 = _sumY2 - (oldY * oldY) + (y * y);
_sumXY = _sumXY - (oldX * oldY) + (x * y);
_sumX2 = FusedMultiplyAdd(x, x, FusedMultiplyAdd(-oldX, oldX, _sumX2));
_sumY2 = FusedMultiplyAdd(y, y, FusedMultiplyAdd(-oldY, oldY, _sumY2));
_sumXY = FusedMultiplyAdd(x, y, FusedMultiplyAdd(-oldX, oldY, _sumXY));
// Update the buffer values
_bufferX.UpdateNewest(x);
@@ -278,6 +283,8 @@ public sealed class Correlation : AbstractBase
_lastValidX = 0;
_lastValidY = 0;
_p_lastValidX = 0;
_p_lastValidY = 0;
_updateCount = 0;
Last = default;
@@ -287,28 +294,7 @@ public sealed class Correlation : AbstractBase
/// Calculates correlation for two time series.
/// </summary>
public static TSeries Batch(TSeries seriesX, TSeries seriesY, int period = 20)
{
if (seriesX.Count != seriesY.Count)
{
throw new ArgumentException("Series must have the same length", nameof(seriesY));
}
var indicator = new Correlation(period);
var result = new TSeries(seriesX.Count);
var timesX = seriesX.Times;
var valuesX = seriesX.Values;
var valuesY = seriesY.Values;
for (int i = 0; i < seriesX.Count; i++)
{
var tvalX = new TValue(timesX[i], valuesX[i]);
var tvalY = new TValue(timesX[i], valuesY[i]);
result.Add(indicator.Update(tvalX, tvalY, isNew: true));
}
return result;
}
=> Calculate(seriesX, seriesY, period).Results;
/// <summary>
/// Static batch calculation for span-based processing.
@@ -345,9 +331,24 @@ public sealed class Correlation : AbstractBase
public static (TSeries Results, Correlation Indicator) Calculate(TSeries seriesX, TSeries seriesY, int period = 20)
{
if (seriesX.Count != seriesY.Count)
{
throw new ArgumentException("Series must have the same length", nameof(seriesY));
}
var indicator = new Correlation(period);
TSeries results = Batch(seriesX, seriesY, period);
return (results, indicator);
var result = new TSeries(seriesX.Count);
var timesX = seriesX.Times;
var valuesX = seriesX.Values;
var valuesY = seriesY.Values;
for (int i = 0; i < seriesX.Count; i++)
{
result.Add(indicator.Update(new TValue(timesX[i], valuesX[i]), new TValue(timesX[i], valuesY[i]), isNew: true));
}
return (result, indicator);
}
}