validation and profiles

2026-08-23 13:08:04 +00:00 · 2026-02-26 22:02:52 -08:00
parent 9ab37c1200
commit 8a1ba95173
317 changed files with 18704 additions and 622 deletions
@@ -1,4 +1,5 @@
 using Skender.Stock.Indicators;
+using TALib;

 namespace QuanTAlib.Tests;

@@ -86,4 +87,85 @@ public sealed class BetaValidationTests : IDisposable
            }
        }
    }
+
+    [Fact]
+    public void Validate_Against_Talib()
+    {
+        // TALib Beta takes two price series (e.g. stock vs market returns via price series).
+        // TALib.Functions.Beta(stockPrices, marketPrices, range, output, outRange, period)
+        // Internally computes beta from price returns within each rolling window.
+        //
+        // Note: TALib Beta uses a different return calculation (price[i]/price[i-1] - 1)
+        // and a different beta formula (covariance/variance from returns) than Skender.
+        // QuanTAlib Beta matches Skender (covariance of returns / variance of market returns).
+        // Direct numeric equality with TALib is not expected; we verify structural properties.
+
+        var marketQuotes = _data.Data;
+
+        // Build correlated asset prices
+        var noiseGbm = new GBM(startPrice: 100, mu: 0, sigma: 0.2, seed: 999);
+        double assetPrice = 100;
+        const double targetBeta = 1.2;
+
+        var assetPrices = new double[marketQuotes.Count];
+        var marketPrices = new double[marketQuotes.Count];
+        assetPrices[0] = assetPrice;
+        marketPrices[0] = marketQuotes[0].Value;
+
+        for (int i = 1; i < marketQuotes.Count; i++)
+        {
+            double mktReturn = (marketQuotes[i].Value - marketQuotes[i - 1].Value) / marketQuotes[i - 1].Value;
+            var noiseBar = noiseGbm.Next();
+            double noise = (noiseBar.Close - noiseBar.Open) / noiseBar.Open;
+            double astReturn = targetBeta * mktReturn + noise * 0.1;
+            assetPrice *= (1 + astReturn);
+            assetPrices[i] = assetPrice;
+            marketPrices[i] = marketQuotes[i].Value;
+        }
+
+        const int period = 20;
+
+        // TALib Beta
+        double[] taOut = new double[marketPrices.Length];
+        var retCode = Functions.Beta<double>(
+            assetPrices.AsSpan(), marketPrices.AsSpan(),
+            0..^0, taOut, out var outRange, period);
+        Assert.Equal(Core.RetCode.Success, retCode);
+
+        (int offset, int length) = outRange.GetOffsetAndLength(taOut.Length);
+
+        // Verify TALib produces finite values
+        Assert.True(length > 0, "TALib Beta produced no output");
+        for (int j = 0; j < length; j++)
+        {
+            Assert.True(double.IsFinite(taOut[j]),
+                $"TALib Beta[{j}] = {taOut[j]} is not finite");
+        }
+
+        // QuanTAlib Beta
+        var beta = new Beta(period);
+        var qlBetaArr = new double[marketQuotes.Count];
+        for (int i = 0; i < marketQuotes.Count; i++)
+        {
+            qlBetaArr[i] = beta.Update(assetPrices[i], marketPrices[i]).Value;
+        }
+
+        // Both should produce finite values after warmup
+        for (int i = period + 5; i < marketQuotes.Count; i++)
+        {
+            Assert.True(double.IsFinite(qlBetaArr[i]), $"QuanTAlib Beta[{i}] is not finite");
+        }
+
+        // Sign agreement: positively correlated asset → >60% positive betas from both
+        int taPositive = 0;
+        int qlPositive = 0;
+        for (int j = 0; j < length; j++)
+        {
+            int qi = j + offset;
+            if (taOut[j] > 0) { taPositive++; }
+            if (qlBetaArr[qi] > 0) { qlPositive++; }
+        }
+        Assert.True(taPositive > length * 0.6, $"TALib Beta positive rate {taPositive}/{length} < 60%");
+        Assert.True(qlPositive > length * 0.6, $"QuanTAlib Beta positive rate {qlPositive}/{length} < 60%");
+    }
 }