tests and cleanup

2026-08-22 20:48:04 +00:00 · 2024-10-11 18:02:09 -07:00
parent 839313c9f2
commit cc45cebeb4
96 changed files with 3640 additions and 327 deletions
@@ -0,0 +1,132 @@
+namespace QuanTAlib;
+
+/// <summary>
+/// Represents a Mean Percentage Error calculator that measures the average percentage difference
+/// between actual values and predicted values.
+/// </summary>
+/// <remarks>
+/// The Mpe class calculates the Mean Percentage Error using a circular buffer
+/// to efficiently manage the data points within the specified period.
+/// </remarks>
+public class Mpe : AbstractBase
+{
+    private readonly CircularBuffer _actualBuffer;
+    private readonly CircularBuffer _predictedBuffer;
+
+    /// <summary>
+    /// Initializes a new instance of the Mpe class with the specified period.
+    /// </summary>
+    /// <param name="period">The period over which to calculate the Mean Percentage Error.</param>
+    /// <exception cref="ArgumentOutOfRangeException">
+    /// Thrown when period is less than 1.
+    /// </exception>
+    public Mpe(int period)
+    {
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
+        }
+        WarmupPeriod = period;
+        _actualBuffer = new CircularBuffer(period);
+        _predictedBuffer = new CircularBuffer(period);
+        Name = $"Mpe(period={period})";
+        Init();
+    }
+
+    /// <summary>
+    /// Initializes a new instance of the Mape class with the specified source and period.
+    /// </summary>
+    /// <param name="source">The source object to subscribe to for value updates.</param>
+    /// <param name="period">The period over which to calculate the Mean Absolute Percentage Error.</param>
+    public Mpe(object source, int period) : this(period)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+    }
+
+    /// <summary>
+    /// Initializes the Mpe instance by clearing the buffers.
+    /// </summary>
+    public override void Init()
+    {
+        base.Init();
+        _actualBuffer.Clear();
+        _predictedBuffer.Clear();
+    }
+
+    /// <summary>
+    /// Manages the state of the Mpe instance based on whether new values are being processed.
+    /// </summary>
+    /// <param name="isNew">Indicates whether the current inputs are new values.</param>
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _lastValidValue = Input.Value;
+            _index++;
+        }
+    }
+
+    /// <summary>
+    /// Performs the Mean Percentage Error calculation for the current period.
+    /// </summary>
+    /// <returns>
+    /// The calculated Mean Percentage Error value for the current period.
+    /// </returns>
+    /// <remarks>
+    /// This method calculates the Mean Percentage Error using the formula:
+    /// MPE = (sum((actual - predicted) / actual) / n) * 100
+    /// where actual is each actual value, predicted is each predicted value, and n is the number of values.
+    /// If any actual value is zero, it is excluded from the calculation to avoid division by zero.
+    /// </remarks>
+    protected override double Calculation()
+    {
+        ManageState(Input.IsNew);
+
+        double actual = Input.Value;
+        _actualBuffer.Add(actual, Input.IsNew);
+
+        double predicted = double.IsNaN(Input2.Value) ? _actualBuffer.Average() : Input2.Value;
+        _predictedBuffer.Add(predicted, Input.IsNew);
+
+        double mpe = 0;
+        if (_actualBuffer.Count > 0)
+        {
+            var actualValues = _actualBuffer.GetSpan().ToArray();
+            var predictedValues = _predictedBuffer.GetSpan().ToArray();
+
+            double sumPercentageError = 0;
+            int validCount = 0;
+
+            for (int i = 0; i < _actualBuffer.Count; i++)
+            {
+                if (actualValues[i] != 0)
+                {
+                    sumPercentageError += (actualValues[i] - predictedValues[i]) / actualValues[i];
+                    validCount++;
+                }
+            }
+
+            if (validCount > 0)
+            {
+                mpe = (sumPercentageError / validCount) * 100;
+            }
+        }
+
+        IsHot = _index >= WarmupPeriod;
+        return mpe;
+    }
+
+    /// <summary>
+    /// Calculates the Mean Percentage Error for the given actual and predicted values.
+    /// </summary>
+    /// <param name="actual">The actual value.</param>
+    /// <param name="predicted">The predicted value.</param>
+    /// <returns>The calculated Mean Percentage Error.</returns>
+    public double Calc(double actual, double predicted)
+    {
+        Input = new TValue(DateTime.Now, actual);
+        Input2 = new TValue(DateTime.Now, predicted);
+        return Calculation();
+    }
+}