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test tolerances updated

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This commit is contained in:
Miha Kralj
2025-12-22 12:50:41 -08:00
parent a7b7207801
commit d2a622bff9
46 changed files with 448694 additions and 82 deletions
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lib/feeds/gbm/ValidationHelper.cs
+16 -9
View File
@@ -6,7 +6,14 @@ namespace QuanTAlib.Tests;
public static class ValidationHelper
{
public static void VerifyData<TResult>(TSeries qSeries, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
public const double DefaultTolerance = 1e-7;
public const double OoplesTolerance = 1e-7;
public const double SkenderTolerance = 1e-7;
public const double TalibTolerance = 1e-7;
public const double TulipTolerance = 1e-7;
public const double RelativeTolerance = 0.005;
public static void VerifyData<TResult>(TSeries qSeries, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
{
Assert.Equal(qSeries.Count, sSeries.Count);
@@ -24,7 +31,7 @@ public static class ValidationHelper
}
}
public static void VerifyData<TResult>(List<double> qResults, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
public static void VerifyData<TResult>(List<double> qResults, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
{
Assert.Equal(qResults.Count, sSeries.Count);
@@ -42,7 +49,7 @@ public static class ValidationHelper
}
}
public static void VerifyData<TResult>(double[] qOutput, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = 1e-6)
public static void VerifyData<TResult>(double[] qOutput, List<TResult> sSeries, Func<TResult, double?> selector, int skip = 100, double tolerance = DefaultTolerance)
{
Assert.Equal(qOutput.Length, sSeries.Count);
@@ -60,7 +67,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(TSeries qSeries, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(TSeries qSeries, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qSeries.Count;
int start = Math.Max(0, count - skip);
@@ -80,7 +87,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(List<double> qResults, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(List<double> qResults, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qResults.Count;
int start = Math.Max(0, count - skip);
@@ -100,7 +107,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(double[] qOutput, double[] tOutput, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(double[] qOutput, double[] tOutput, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qOutput.Length;
int start = Math.Max(0, count - skip);
@@ -120,7 +127,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(TSeries qSeries, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qSeries.Count;
int start = Math.Max(0, count - skip);
@@ -141,7 +148,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(List<double> qResults, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(List<double> qResults, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qResults.Count;
int start = Math.Max(0, count - skip);
@@ -162,7 +169,7 @@ public static class ValidationHelper
}
}
public static void VerifyData(double[] qOutput, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = 1e-6)
public static void VerifyData(double[] qOutput, double[] tOutput, Range outRange, int lookback, int skip = 100, double tolerance = DefaultTolerance)
{
int count = qOutput.Length;
int start = Math.Max(0, count - skip);
lib/feeds/gbm/ValidationTestData.cs
+1 -1
View File
@@ -12,7 +12,7 @@ public class ValidationTestData : IDisposable
public IReadOnlyList<Quote> SkenderQuotes { get; }
public ReadOnlyMemory<double> RawData { get; }
public ValidationTestData(int count = 5000, double startPrice = 1000000.0, double mu = 0.05, double sigma = 2.0, int seed = 123)
public ValidationTestData(int count = 5000, double startPrice = 1000.0, double mu = 0.05, double sigma = 2.0, int seed = 123)
{
var gbm = new GBM(startPrice, mu, sigma, seed: seed);
Bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));