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.
2026-08-25 22:08:05 +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 +1,79 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// Quantower adapter for Kendall Tau-a Rank Correlation indicator.
+/// Measures ordinal association between two price sources from the same symbol.
+/// </summary>
+/// <remarks>
+/// This adapter compares two different price sources from the same symbol (e.g., Close vs Open,
+/// Close vs Volume, High vs Low). For cross-symbol correlation, use the core
+/// Kendall class directly.
+///
+/// Output is the Kendall Tau-a coefficient, ranging from -1 to +1.
+/// Values near +1 indicate strong concordance, near -1 strong discordance.
+/// </remarks>
+[SkipLocalsInit]
+public sealed class KendallIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Period", sortIndex: 0, minimum: 2, maximum: 10000)]
+    public int Period { get; set; } = 20;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Source 2 Type", sortIndex: 2)]
+    public SourceType Source2 { get; set; } = SourceType.Open;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Kendall _kendall = null!;
+    private readonly LineSeries _series;
+    private string _sourceName = null!;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+    private Func<IHistoryItem, double> _priceSelector2 = null!;
+
+    public static int MinHistoryDepths => 2;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"KENDALL({Period}):{_sourceName}/{Source2}";
+
+    public KendallIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "KENDALL - Kendall Tau-a Rank Correlation";
+        Description = "Measures ordinal association between two price sources. Range: -1 (discordant) to +1 (concordant).";
+        _series = new LineSeries(name: "Kendall", color: IndicatorExtensions.Statistics, width: 2, style: LineStyle.Solid);
+        AddLineSeries(_series);
+    }
+
+    protected override void OnInit()
+    {
+        _priceSelector = Source.GetPriceSelector();
+        _priceSelector2 = Source2.GetPriceSelector();
+        _sourceName = Source.ToString();
+        _kendall = new Kendall(Period);
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        bool isNew = args.IsNewBar();
+
+        var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
+        double valueA = _priceSelector(item);
+        double valueB = _priceSelector2(item);
+
+        var tvalA = new TValue(item.TimeLeft.Ticks, valueA);
+        var tvalB = new TValue(item.TimeLeft.Ticks, valueB);
+
+        double value = _kendall.Update(tvalA, tvalB, isNew).Value;
+        _series.SetValue(value, _kendall.IsHot, ShowColdValues);
+    }
+}