SIMD Refactor: Merge simd-dev into dev (#55)

Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
2026-08-19 19:18:05 +00:00 · 2026-01-18 19:02:03 -08:00
parent 5bcdf8d614
commit 86fe32a682
1750 changed files with 198235 additions and 80539 deletions
@@ -0,0 +1,125 @@
+using QuanTAlib.Tests;
+using Skender.Stock.Indicators;
+using MathNet.Numerics.Statistics;
+
+namespace QuanTAlib.Validation;
+
+public class VarianceValidationTests
+{
+    private readonly ValidationTestData _data = new();
+
+    [Fact]
+    public void Variance_Matches_Skender_StdDev_Squared()
+    {
+        // Skender StdDev uses Population Standard Deviation (N) for calculation,
+        // despite documentation often implying Sample (N-1).
+        // Variance(isPopulation: true) should match StdDev^2.
+
+        const int period = 20;
+        var variance = new Variance(period, isPopulation: true);
+        var skenderStdDev = _data.SkenderQuotes.GetStdDev(period);
+
+        var skenderList = skenderStdDev.ToList();
+        var quotes = _data.SkenderQuotes.ToList();
+
+        for (int i = 0; i < quotes.Count; i++)
+        {
+            var tValue = variance.Update(new TValue(quotes[i].Date, (double)quotes[i].Close));
+            var skenderVal = skenderList[i].StdDev;
+
+            if (i >= period && skenderVal.HasValue)
+            {
+                double expectedVariance = skenderVal.Value * skenderVal.Value;
+                Assert.Equal(expectedVariance, tValue.Value, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+
+    [Fact]
+    public void Variance_Matches_Talib_Var()
+    {
+        // TA-Lib VAR uses Population Variance (N)
+        int period = 20;
+        var variance = new Variance(period, isPopulation: true);
+
+        var quotes = _data.SkenderQuotes.ToList();
+        double[] input = quotes.Select(q => (double)q.Close).ToArray();
+        double[] output = new double[input.Length];
+
+        // TA-Lib calculation
+        // VAR(real, timeperiod=5, nbdev=1)
+        var retCode = TALib.Functions.Var(input, 0..^0, output, out var outRange, period);
+        Assert.Equal(TALib.Core.RetCode.Success, retCode);
+
+        for (int i = 0; i < quotes.Count; i++)
+        {
+            var tValue = variance.Update(new TValue(quotes[i].Date, (double)quotes[i].Close));
+
+            if (i >= outRange.Start.Value)
+            {
+                double talibVal = output[i - outRange.Start.Value];
+                Assert.Equal(talibVal, tValue.Value, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+
+    [Fact]
+    public void Variance_Matches_Tulip_Var()
+    {
+        // Tulip VAR uses Population Variance (N)
+        int period = 20;
+        var variance = new Variance(period, isPopulation: true);
+
+        var quotes = _data.SkenderQuotes.ToList();
+        double[] input = quotes.Select(q => (double)q.Close).ToArray();
+
+        // Tulip calculation
+        var varInd = Tulip.Indicators.var;
+        double[][] inputs = { input };
+        double[] options = { period };
+        double[][] outputs = { new double[input.Length - varInd.Start(options)] };
+
+        varInd.Run(inputs, options, outputs);
+
+        double[] output = outputs[0];
+        int lookback = varInd.Start(options);
+
+        for (int i = 0; i < quotes.Count; i++)
+        {
+            var tValue = variance.Update(new TValue(quotes[i].Date, (double)quotes[i].Close));
+
+            if (i >= lookback)
+            {
+                double tulipVal = output[i - lookback];
+                Assert.Equal(tulipVal, tValue.Value, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+
+    [Fact]
+    public void Variance_Matches_MathNet()
+    {
+        int period = 20;
+        var variance = new Variance(period, isPopulation: false);
+        var popVariance = new Variance(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 = variance.Update(new TValue(DateTime.UtcNow, input[i]));
+            var popVal = popVariance.Update(new TValue(DateTime.UtcNow, input[i]));
+
+            if (i >= input.Length - 100)
+            {
+                var window = input[(i - period + 1)..(i + 1)];
+                double expected = window.Variance();
+                double expectedPop = window.PopulationVariance();
+
+                Assert.Equal(expected, val.Value, ValidationHelper.DefaultTolerance);
+                Assert.Equal(expectedPop, popVal.Value, ValidationHelper.DefaultTolerance);
+            }
+        }
+    }
+}