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feat(tests): enhance tests with GBM for noise generation and improve tolerance for MAMA validation

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feat(trends): implement IDisposable in Bessel and Conv classes to manage event subscriptions
fix(trends): add validation for period and parameters in Kama and MGDI calculations
fix(trends): clamp logarithmic calculations in JMA to avoid -Infinity
This commit is contained in:
Miha Kralj
2025-12-25 20:18:14 -08:00
parent df598c810d
commit ac8b2dbb3f
20 changed files with 281 additions and 187 deletions
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lib/statistics/beta/Beta.Validation.Tests.cs
+8 -2
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@@ -40,14 +40,20 @@ public class BetaValidationTests : IDisposable
var assetQuotes = new List<TBar>();
double assetPrice = 100;
double targetBeta = 1.5;
var rnd = new Random(123);
// Use GBM for noise generation (sigma=0.2 gives ~0.0006 per step noise which matches original random noise level)
var noiseGbm = new GBM(startPrice: 100, mu: 0, sigma: 0.2, seed: 777);
assetQuotes.Add(new TBar(marketQuotes[0].Time, assetPrice, assetPrice, assetPrice, assetPrice, 1000));
for (int i = 1; i < marketQuotes.Count; i++)
{
double marketReturn = (marketQuotes[i].Value - marketQuotes[i-1].Value) / marketQuotes[i-1].Value;
double noise = (rnd.NextDouble() - 0.5) * 0.002; // Small noise
// Get noise from GBM return
var noiseBar = noiseGbm.Next();
double noise = (noiseBar.Close - noiseBar.Open) / noiseBar.Open;
double assetReturn = targetBeta * marketReturn + noise;
assetPrice *= (1 + assetReturn);