namespace QuanTAlib.Tests; public class MaapeTests { private const double Precision = 1e-10; private const int DefaultPeriod = 10; [Fact] public void Constructor_ValidatesInput() { Assert.Throws(() => new Maape(0)); Assert.Throws(() => new Maape(-1)); } [Fact] public void Constructor_ValidPeriod_Succeeds() { var maape = new Maape(DefaultPeriod); Assert.NotNull(maape); Assert.Equal(DefaultPeriod, maape.WarmupPeriod); } [Fact] public void Properties_Accessible() { var maape = new Maape(DefaultPeriod); Assert.True(maape.Name.Contains("Maape", StringComparison.Ordinal)); Assert.False(maape.IsHot); Assert.Equal(0, maape.Last.Value); } [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var maape = new Maape(5); for (int i = 0; i < 4; i++) { maape.Update(100 + i, 100); Assert.False(maape.IsHot); } maape.Update(104, 100); Assert.True(maape.IsHot); } [Fact] public void Calculate_PerfectPredictions_ReturnsZero() { var maape = new Maape(5); for (int i = 0; i < 5; i++) { maape.Update(100, 100); } Assert.Equal(0.0, maape.Last.Value, Precision); } [Fact] public void Calculate_ReturnsCorrectValue() { // MAAPE = (1/n) * Σ arctan(|error| / |actual|) var maape = new Maape(2); // Two errors with known atan values // Error 1: |100-90|/100 = 0.1 -> atan(0.1) // Error 2: |100-80|/100 = 0.2 -> atan(0.2) maape.Update(100, 90); maape.Update(100, 80); double expected = (Math.Atan(0.1) + Math.Atan(0.2)) / 2.0; Assert.Equal(expected, maape.Last.Value, Precision); } [Fact] public void Calculate_BoundedBetweenZeroAndPiOverTwo() { // MAAPE should always be between 0 and π/2 var maape = new Maape(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.5, seed: 42); for (int i = 0; i < 10; i++) { var bar = gbm.Next(isNew: true); // Use extreme prediction errors maape.Update(bar.Close, bar.Close * (i % 2 == 0 ? 2.0 : 0.5)); } Assert.True(maape.Last.Value >= 0.0); Assert.True(maape.Last.Value <= Math.PI / 2.0); } [Fact] public void Calculate_ZeroActual_ApproachesPiOverTwo() { // When actual is zero, arctan approaches π/2 var maape = new Maape(3); maape.Update(0.0, 10); maape.Update(0.0, 20); maape.Update(0.0, 30); // All three values should be π/2, so mean is π/2 Assert.Equal(Math.PI / 2.0, maape.Last.Value, Precision); } [Fact] public void Calculate_IsNew_False_UpdatesValue() { var maape = new Maape(DefaultPeriod); maape.Update(100, 95); maape.Update(100, 90, isNew: true); double beforeUpdate = maape.Last.Value; maape.Update(100, 80, isNew: false); double afterUpdate = maape.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var maape = new Maape(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); TValue tenthActual = default; TValue tenthPredicted = default; for (int i = 0; i < 10; i++) { var bar = gbm.Next(isNew: true); tenthActual = new TValue(bar.Time, bar.Close); tenthPredicted = new TValue(bar.Time, bar.Close * 0.98); maape.Update(tenthActual, tenthPredicted, isNew: true); } double stateAfterTen = maape.Last.Value; for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); maape.Update(new TValue(bar.Time, bar.Close), new TValue(bar.Time, bar.Close * 0.95), isNew: false); } TValue finalResult = maape.Update(tenthActual, tenthPredicted, isNew: false); Assert.Equal(stateAfterTen, finalResult.Value, Precision); } [Fact] public void Reset_ClearsState() { var maape = new Maape(DefaultPeriod); maape.Update(100, 95); maape.Update(105, 100); maape.Reset(); Assert.Equal(0, maape.Last.Value); Assert.False(maape.IsHot); } [Fact] public void NaN_Input_UsesLastValidValue() { var maape = new Maape(DefaultPeriod); maape.Update(100, 95); maape.Update(110, 105); var result = maape.Update(double.NaN, 108); Assert.True(double.IsFinite(result.Value)); result = maape.Update(115, double.NaN); Assert.True(double.IsFinite(result.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var maape = new Maape(DefaultPeriod); maape.Update(100, 95); maape.Update(110, 105); var result = maape.Update(double.PositiveInfinity, 108); Assert.True(double.IsFinite(result.Value)); result = maape.Update(115, double.NegativeInfinity); Assert.True(double.IsFinite(result.Value)); } [Fact] public void BatchCalc_MatchesIterativeCalc() { const int count = 100; var maapeIterative = new Maape(DefaultPeriod); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var actualSeries = new TSeries(); var predictedSeries = new TSeries(); double[] actualArr = new double[count]; double[] predictedArr = new double[count]; for (int i = 0; i < count; i++) { var bar = gbm.Next(isNew: true); actualSeries.Add(bar.Time, bar.Close); actualArr[i] = bar.Close; double pred = bar.Close * (1 + (i % 2 == 0 ? 0.02 : -0.02)); predictedSeries.Add(bar.Time, pred); predictedArr[i] = pred; } var streamingResults = new double[count]; for (int i = 0; i < count; i++) { streamingResults[i] = maapeIterative.Update(actualArr[i], predictedArr[i]).Value; } var batchResults = Maape.Batch(actualSeries, predictedSeries, DefaultPeriod); Assert.Equal(count, batchResults.Count); for (int i = 0; i < count; i++) { Assert.Equal(streamingResults[i], batchResults[i].Value, Precision); } } [Fact] public void SpanBatch_ValidatesInput() { double[] actual = [1, 2, 3, 4, 5]; double[] predicted = [1.1, 2.1, 3.1, 4.1, 5.1]; double[] output = new double[5]; double[] wrongSizeOutput = new double[3]; Assert.Throws(() => Maape.Batch(actual.AsSpan(), predicted.AsSpan(), wrongSizeOutput.AsSpan(), DefaultPeriod)); Assert.Throws(() => Maape.Batch(actual.AsSpan(), predicted.AsSpan(), output.AsSpan(), 0)); } [Fact] public void SpanBatch_MatchesTSeriesBatch() { var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); var actualSeries = new TSeries(); var predictedSeries = new TSeries(); double[] actualArr = new double[100]; double[] predictedArr = new double[100]; double[] output = new double[100]; for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); actualSeries.Add(bar.Time, bar.Close); actualArr[i] = bar.Close; double pred = bar.Close * 0.98; predictedSeries.Add(bar.Time, pred); predictedArr[i] = pred; } var tseriesResult = Maape.Batch(actualSeries, predictedSeries, DefaultPeriod); Maape.Batch(actualArr.AsSpan(), predictedArr.AsSpan(), output.AsSpan(), DefaultPeriod); for (int i = 0; i < 100; i++) { Assert.Equal(tseriesResult[i].Value, output[i], Precision); } } [Fact] public void SpanBatch_HandlesNaN() { double[] actual = [100, 110, double.NaN, 120, 130]; double[] predicted = [98, 108, 112, 118, double.NaN]; double[] output = new double[5]; Maape.Batch(actual.AsSpan(), predicted.AsSpan(), output.AsSpan(), 3); foreach (var val in output) { Assert.True(double.IsFinite(val), $"Expected finite value but got {val}"); } } [Fact] public void Update_ThrowsOnSingleInput() { var maape = new Maape(DefaultPeriod); Assert.Throws(() => maape.Update(new TValue(DateTime.UtcNow, 100))); } [Fact] public void Prime_ThrowsNotSupported() { var maape = new Maape(DefaultPeriod); Assert.Throws(() => maape.Prime([1, 2, 3])); } [Fact] public void Calculate_MismatchedSeriesLengths_Throws() { var actual = new TSeries(); var predicted = new TSeries(); actual.Add(DateTime.UtcNow.Ticks, 100); actual.Add(DateTime.UtcNow.Ticks + 1, 110); predicted.Add(DateTime.UtcNow.Ticks, 98); Assert.Throws(() => Maape.Batch(actual, predicted, DefaultPeriod)); } [Fact] public void Resync_PreventsFloatingPointDrift() { var maape = new Maape(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); for (int i = 0; i < 1100; i++) { var bar = gbm.Next(isNew: true); maape.Update(bar.Close, bar.Close * 0.98); } Assert.True(double.IsFinite(maape.Last.Value)); Assert.True(maape.Last.Value >= 0); Assert.True(maape.Last.Value <= Math.PI / 2.0); } [Fact] public void Calculate_SymmetricErrors() { // Over and under predictions should be treated similarly var maape1 = new Maape(2); var maape2 = new Maape(2); // Predict 10% above maape1.Update(100, 110); maape1.Update(100, 110); // Predict 10% below maape2.Update(100, 90); maape2.Update(100, 90); Assert.Equal(maape1.Last.Value, maape2.Last.Value, Precision); } [Fact] public void Calculate_ScaleIndependent() { // MAAPE should be scale-independent var maape1 = new Maape(3); var maape2 = new Maape(3); // Scale 1 maape1.Update(100, 110); maape1.Update(100, 90); maape1.Update(100, 105); // Scale 1000 (same relative errors) maape2.Update(100000, 110000); maape2.Update(100000, 90000); maape2.Update(100000, 105000); Assert.Equal(maape1.Last.Value, maape2.Last.Value, Precision); } [Fact] public void Calculate_SlidingWindow_Works() { var maape = new Maape(2); // Error 1: atan(0.1), Error 2: atan(0.2) maape.Update(100, 90); // 10% error maape.Update(100, 80); // 20% error double expected1 = (Math.Atan(0.1) + Math.Atan(0.2)) / 2.0; Assert.Equal(expected1, maape.Last.Value, Precision); // Slide: Error 2: atan(0.2), Error 3: atan(0.3) maape.Update(100, 70); // 30% error double expected2 = (Math.Atan(0.2) + Math.Atan(0.3)) / 2.0; Assert.Equal(expected2, maape.Last.Value, Precision); } [Fact] public void Calculate_RobustToOutliers() { // MAAPE should be robust due to arctan bounding var maape = new Maape(5); // 4 normal errors + 1 extreme error maape.Update(100, 95); // 5% maape.Update(100, 95); // 5% maape.Update(100, 95); // 5% maape.Update(100, 95); // 5% maape.Update(100, -900); // 1000% (extreme, but bounded by atan) // Result should still be reasonable (bounded) Assert.True(maape.Last.Value >= 0.0); Assert.True(maape.Last.Value <= Math.PI / 2.0); } }