Implement ZTEST: One-Sample t-Test Statistic with validation tests

- Added Ztest class to compute the one-sample t-statistic using sample standard deviation with Bessel correction. - Implemented validation tests for Ztest to ensure accuracy against manual calculations and PineScript. - Updated documentation for Ztest, detailing its mathematical foundation, performance profile, and common pitfalls. - Adjusted NDepend badges to reflect changes in code metrics after implementation. - Updated missing indicators report to reflect the completion of statistical indicators, including ZTEST.
2026-08-23 04:58:08 +00:00 · 2026-02-16 16:54:36 -08:00
parent 09ffd31a40
commit b3a64f18fa
73 changed files with 13041 additions and 88 deletions
@@ -0,0 +1,72 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class JbIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 1, 3, 2000, 1, 0)]
+    public int Period { get; set; } = 20;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Jb _jb = null!;
+    private readonly LineSeries _series;
+    private readonly LineSeries _crit10;
+    private readonly LineSeries _crit05;
+    private readonly LineSeries _crit01;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"JB {Period}";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/statistics/jb/Jb.Quantower.cs";
+
+    public JbIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "JB - Jarque-Bera Test";
+        Description = "Normality test using skewness and kurtosis. Large values reject normality.";
+
+        _series = new LineSeries(name: "JB", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        _crit10 = new LineSeries(name: "10%", color: Color.Gray, width: 1, style: LineStyle.Dash);
+        _crit05 = new LineSeries(name: "5%", color: Color.Orange, width: 1, style: LineStyle.Dash);
+        _crit01 = new LineSeries(name: "1%", color: Color.Red, width: 1, style: LineStyle.Solid);
+        AddLineSeries(_series);
+        AddLineSeries(_crit10);
+        AddLineSeries(_crit05);
+        AddLineSeries(_crit01);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _jb = new Jb(Period);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        TValue result = _jb.Update(input, args.IsNewBar());
+
+        _series.SetValue(result.Value, _jb.IsHot, ShowColdValues);
+        _crit10.SetValue(4.605);
+        _crit05.SetValue(5.991);
+        _crit01.SetValue(9.210);
+    }
+}