namespace QuanTAlib.Tests; public class MdaeTests { private const double Precision = 1e-10; private const int DefaultPeriod = 10; [Fact] public void Constructor_ValidatesInput() { Assert.Throws(() => new Mdae(0)); Assert.Throws(() => new Mdae(-1)); } [Fact] public void Constructor_ValidPeriod_Succeeds() { var mdae = new Mdae(DefaultPeriod); Assert.NotNull(mdae); Assert.Equal(DefaultPeriod, mdae.WarmupPeriod); } [Fact] public void Properties_Accessible() { var mdae = new Mdae(DefaultPeriod); Assert.True(mdae.Name.Contains("Mdae", StringComparison.Ordinal)); Assert.False(mdae.IsHot); Assert.Equal(0, mdae.Last.Value); } [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var mdae = new Mdae(5); for (int i = 0; i < 4; i++) { mdae.Update(100 + i, 100); Assert.False(mdae.IsHot); } mdae.Update(104, 100); Assert.True(mdae.IsHot); } [Fact] public void Calculate_ReturnsCorrectMedian() { // MdAE = Median of |actual - predicted| var mdae = new Mdae(5); // Errors: |10-8|=2, |12-10|=2, |15-14|=1, |20-18|=2, |25-20|=5 // Sorted errors: 1, 2, 2, 2, 5 // Median = 2 (middle value) mdae.Update(10, 8); mdae.Update(12, 10); mdae.Update(15, 14); mdae.Update(20, 18); mdae.Update(25, 20); Assert.Equal(2.0, mdae.Last.Value, Precision); } [Fact] public void Calculate_EvenCount_AveragesTwoMiddle() { // Test median with even count var mdae = new Mdae(4); // Errors: 1, 2, 3, 4 -> sorted: 1, 2, 3, 4 // Median = (2 + 3) / 2 = 2.5 mdae.Update(10, 9); // error = 1 mdae.Update(20, 18); // error = 2 mdae.Update(30, 27); // error = 3 mdae.Update(40, 36); // error = 4 Assert.Equal(2.5, mdae.Last.Value, Precision); } [Fact] public void Calculate_PerfectPredictions_ReturnsZero() { var mdae = new Mdae(5); for (int i = 0; i < 5; i++) { mdae.Update(100, 100); } Assert.Equal(0.0, mdae.Last.Value, Precision); } [Fact] public void Calculate_IsNew_False_UpdatesValue() { var mdae = new Mdae(DefaultPeriod); mdae.Update(100, 95); mdae.Update(110, 108, isNew: true); double beforeUpdate = mdae.Last.Value; mdae.Update(110, 105, isNew: false); double afterUpdate = mdae.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var mdae = new Mdae(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); mdae.Update(tenthActual, tenthPredicted, isNew: true); } double stateAfterTen = mdae.Last.Value; for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); mdae.Update(new TValue(bar.Time, bar.Close), new TValue(bar.Time, bar.Close * 0.95), isNew: false); } TValue finalResult = mdae.Update(tenthActual, tenthPredicted, isNew: false); Assert.Equal(stateAfterTen, finalResult.Value, Precision); } [Fact] public void Reset_ClearsState() { var mdae = new Mdae(DefaultPeriod); mdae.Update(100, 95); mdae.Update(105, 100); mdae.Reset(); Assert.Equal(0, mdae.Last.Value); Assert.False(mdae.IsHot); } [Fact] public void NaN_Input_UsesLastValidValue() { var mdae = new Mdae(DefaultPeriod); mdae.Update(100, 95); mdae.Update(110, 105); var result = mdae.Update(double.NaN, 108); Assert.True(double.IsFinite(result.Value)); result = mdae.Update(115, double.NaN); Assert.True(double.IsFinite(result.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var mdae = new Mdae(DefaultPeriod); mdae.Update(100, 95); mdae.Update(110, 105); var result = mdae.Update(double.PositiveInfinity, 108); Assert.True(double.IsFinite(result.Value)); result = mdae.Update(115, double.NegativeInfinity); Assert.True(double.IsFinite(result.Value)); } [Fact] public void BatchCalc_MatchesIterativeCalc() { var mdaeIterative = new Mdae(DefaultPeriod); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); var actualSeries = new TSeries(); var predictedSeries = new TSeries(); for (int i = 0; i < 100; i++) { var bar = gbm.Next(isNew: true); actualSeries.Add(bar.Time, bar.Close); predictedSeries.Add(bar.Time, bar.Close * (1 + (i % 2 == 0 ? 0.02 : -0.02))); } var iterativeResults = new List(actualSeries.Count); foreach (var (actual, predicted) in actualSeries.Zip(predictedSeries)) { iterativeResults.Add(mdaeIterative.Update(actual, predicted).Value); } var batchResults = Mdae.Batch(actualSeries, predictedSeries, DefaultPeriod); Assert.Equal(100, iterativeResults.Count); Assert.Equal(iterativeResults.Count, batchResults.Count); for (int i = 0; i < iterativeResults.Count; i++) { Assert.Equal(iterativeResults[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(() => Mdae.Batch(actual.AsSpan(), predicted.AsSpan(), wrongSizeOutput.AsSpan(), DefaultPeriod)); Assert.Throws(() => Mdae.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 = Mdae.Batch(actualSeries, predictedSeries, DefaultPeriod); Mdae.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]; Mdae.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 mdae = new Mdae(DefaultPeriod); Assert.Throws(() => mdae.Update(new TValue(DateTime.UtcNow, 100))); } [Fact] public void Prime_ThrowsNotSupported() { var mdae = new Mdae(DefaultPeriod); Assert.Throws(() => mdae.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(() => Mdae.Batch(actual, predicted, DefaultPeriod)); } [Fact] public void Calculate_RobustToOutliers() { // Median should be robust to extreme outliers var mdae = new Mdae(5); // Errors: 1, 1, 1, 1, 1000 // Sorted: 1, 1, 1, 1, 1000 // Median = 1 (not affected by the outlier 1000) mdae.Update(10, 9); // error = 1 mdae.Update(20, 19); // error = 1 mdae.Update(30, 29); // error = 1 mdae.Update(40, 39); // error = 1 mdae.Update(50, -950); // error = 1000 Assert.Equal(1.0, mdae.Last.Value, Precision); } [Fact] public void Calculate_SlidingWindow_Works() { var mdae = new Mdae(3); // Fill window: errors 1, 2, 3 -> sorted 1,2,3 -> median = 2 mdae.Update(10, 9); // 1 mdae.Update(20, 18); // 2 mdae.Update(30, 27); // 3 Assert.Equal(2.0, mdae.Last.Value, Precision); // Slide: errors 2, 3, 4 -> sorted 2,3,4 -> median = 3 mdae.Update(40, 36); // 4 Assert.Equal(3.0, mdae.Last.Value, Precision); // Slide: errors 3, 4, 5 -> sorted 3,4,5 -> median = 4 mdae.Update(50, 45); // 5 Assert.Equal(4.0, mdae.Last.Value, Precision); } }