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.
2026-08-22 12:38:06 +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 +1,117 @@
+using TradingPlatform.BusinessLayer;
+using QuanTAlib;
+
+namespace QuanTAlib.Tests;
+
+public sealed class ZtestIndicatorTests
+{
+    [Fact]
+    public void ZtestIndicator_Constructor_SetsDefaults()
+    {
+        var indicator = new ZtestIndicator();
+
+        Assert.Equal(30, indicator.Period);
+        Assert.Equal(0.0, indicator.Mu0);
+        Assert.True(indicator.ShowColdValues);
+        Assert.Contains("ZTEST", indicator.Name, StringComparison.Ordinal);
+        Assert.True(indicator.SeparateWindow);
+        Assert.True(indicator.OnBackGround);
+        Assert.Equal(SourceType.Close, indicator.Source);
+    }
+
+    [Fact]
+    public void ZtestIndicator_MinHistoryDepths_EqualsZero()
+    {
+        var indicator = new ZtestIndicator { Period = 30 };
+
+        Assert.Equal(0, ZtestIndicator.MinHistoryDepths);
+        IWatchlistIndicator watchlistIndicator = indicator;
+        Assert.Equal(0, watchlistIndicator.MinHistoryDepths);
+    }
+
+    [Fact]
+    public void ZtestIndicator_Initialize_CreatesInternalZtest()
+    {
+        var indicator = new ZtestIndicator { Period = 10 };
+
+        // Initialize should not throw
+        indicator.Initialize();
+
+        // After init, line series should exist
+        Assert.Single(indicator.LinesSeries);
+        Assert.Equal("t-stat", indicator.LinesSeries[0].Name);
+    }
+
+    [Fact]
+    public void ZtestIndicator_ProcessUpdate_HistoricalBar_ComputesValue()
+    {
+        var indicator = new ZtestIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 20; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        double tStat = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(tStat));
+    }
+
+    [Fact]
+    public void ZtestIndicator_DifferentSourceTypes()
+    {
+        var indicator = new ZtestIndicator { Period = 5, Source = SourceType.Open };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        double tStat = indicator.LinesSeries[0].GetValue(0);
+        Assert.True(double.IsFinite(tStat));
+    }
+
+    [Fact]
+    public void ZtestIndicator_ShortName_IncludesPeriod()
+    {
+        var indicator = new ZtestIndicator { Period = 20 };
+        Assert.Equal("ZTEST(20)", indicator.ShortName);
+    }
+
+    [Fact]
+    public void ZtestIndicator_NewBar_UpdatesValue()
+    {
+        var indicator = new ZtestIndicator { Period = 5 };
+        indicator.Initialize();
+
+        var now = DateTime.UtcNow;
+
+        // Add enough bars to warm up
+        for (int i = 0; i < 10; i++)
+        {
+            indicator.HistoricalData.AddBar(now.AddMinutes(i), 100 + i, 110 + i, 90 + i, 105 + i);
+            var args = new UpdateArgs(UpdateReason.HistoricalBar);
+            indicator.ProcessUpdate(args);
+        }
+
+        _ = indicator.LinesSeries[0].GetValue(0);
+
+        // Add a new bar with a very different value
+        indicator.HistoricalData.AddBar(now.AddMinutes(10), 200, 210, 190, 205);
+        var newArgs = new UpdateArgs(UpdateReason.NewBar);
+        indicator.ProcessUpdate(newArgs);
+
+        double valueAfter = indicator.LinesSeries[0].GetValue(0);
+
+        // Value should change after adding a significantly different bar
+        Assert.True(double.IsFinite(valueAfter));
+    }
+}