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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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perf/Benchmark.cs
+26
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@@ -48,6 +48,7 @@ public class IndicatorBenchmarks
private const int Period = 220;
private double[] _closeValues = null!;
private double[] _openValues = null!;
private TSeries _closeTseries = null!;
private List<Quote> _quotes = null!;
private List<TickerData> _ooplesData = null!;
@@ -90,6 +91,7 @@ public class IndicatorBenchmarks
_bars = bars;
_closeValues = bars.Close.Values.ToArray();
_openValues = bars.Open.Values.ToArray();
_highValues = bars.High.Values.ToArray();
_lowValues = bars.Low.Values.ToArray();
_volumeValues = bars.Volume.Values.ToArray();
@@ -384,6 +386,30 @@ public class IndicatorBenchmarks
[Benchmark(Description = "Ooples HMA")]
public object Ooples_Hma() => new StockData(_ooplesData).CalculateHullMovingAverage(MovingAvgType.WeightedMovingAverage, Period);
// ==================== CORRELATION ====================
[BenchmarkCategory("CORRELATION")]
[Benchmark(Description = "QuanTAlib Correlation (Span)")]
public void QuanTAlib_Correlation_Span() => Correlation.Batch(_closeValues.AsSpan(), _openValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("CORRELATION")]
[Benchmark(Description = "QuanTAlib Correlation (Streaming)")]
public void QuanTAlib_Correlation_Streaming()
{
var corr = new Correlation(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = corr.Update(_closeValues[i], _openValues[i]).Value;
}
}
[BenchmarkCategory("CORRELATION")]
[Benchmark(Description = "TALib Correlation")]
public Core.RetCode TALib_Correlation() => TALib.Functions.Correl<double>(_closeValues, _openValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("CORRELATION")]
[Benchmark(Description = "Skender Correlation")]
public object Skender_Correlation() => _quotes.GetCorrelation(_quotes, Period);
// ==================== SKEW ====================
[BenchmarkCategory("SKEW")]
[Benchmark(Description = "QuanTAlib Skew (Span)")]