namespace QuanTAlib.Tests; public class MdapeTests { private const double Precision = 1e-10; private const int DefaultPeriod = 10; [Fact] public void Constructor_ValidatesInput() { Assert.Throws(() => new Mdape(0)); Assert.Throws(() => new Mdape(-1)); } [Fact] public void Constructor_ValidPeriod_Succeeds() { var mdape = new Mdape(DefaultPeriod); Assert.NotNull(mdape); Assert.Equal(DefaultPeriod, mdape.WarmupPeriod); } [Fact] public void Properties_Accessible() { var mdape = new Mdape(DefaultPeriod); Assert.Contains("Mdape", mdape.Name, StringComparison.Ordinal); Assert.False(mdape.IsHot); Assert.Equal(0, mdape.Last.Value); } [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var mdape = new Mdape(5); for (int i = 0; i < 4; i++) { mdape.Update(100 + i, 100); Assert.False(mdape.IsHot); } mdape.Update(104, 100); Assert.True(mdape.IsHot); } [Fact] public void Calculate_ReturnsCorrectMedian() { // MdAPE = Median of (|actual - predicted| / |actual|) * 100 var mdape = new Mdape(5); // Errors: |100-90|/100=10%, |100-95|/100=5%, |100-80|/100=20%, |100-85|/100=15%, |100-92|/100=8% // Sorted: 5, 8, 10, 15, 20 // Median = 10% mdape.Update(100, 90); // 10% mdape.Update(100, 95); // 5% mdape.Update(100, 80); // 20% mdape.Update(100, 85); // 15% mdape.Update(100, 92); // 8% Assert.Equal(10.0, mdape.Last.Value, Precision); } [Fact] public void Calculate_EvenCount_AveragesTwoMiddle() { // Test median with even count var mdape = new Mdape(4); // Errors: 5%, 10%, 15%, 20% // Sorted: 5, 10, 15, 20 // Median = (10 + 15) / 2 = 12.5% mdape.Update(100, 95); // 5% mdape.Update(100, 90); // 10% mdape.Update(100, 85); // 15% mdape.Update(100, 80); // 20% Assert.Equal(12.5, mdape.Last.Value, Precision); } [Fact] public void Calculate_PerfectPredictions_ReturnsZero() { var mdape = new Mdape(5); for (int i = 0; i < 5; i++) { mdape.Update(100, 100); } Assert.Equal(0.0, mdape.Last.Value, Precision); } [Fact] public void Calculate_IsNew_False_UpdatesValue() { var mdape = new Mdape(DefaultPeriod); mdape.Update(100, 95); mdape.Update(100, 90, isNew: true); double beforeUpdate = mdape.Last.Value; mdape.Update(100, 85, isNew: false); double afterUpdate = mdape.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var mdape = new Mdape(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); mdape.Update(tenthActual, tenthPredicted, isNew: true); } double stateAfterTen = mdape.Last.Value; for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); mdape.Update(new TValue(bar.Time, bar.Close), new TValue(bar.Time, bar.Close * 0.95), isNew: false); } TValue finalResult = mdape.Update(tenthActual, tenthPredicted, isNew: false); Assert.Equal(stateAfterTen, finalResult.Value, Precision); } [Fact] public void Reset_ClearsState() { var mdape = new Mdape(DefaultPeriod); mdape.Update(100, 95); mdape.Update(105, 100); mdape.Reset(); Assert.Equal(0, mdape.Last.Value); Assert.False(mdape.IsHot); } [Fact] public void NaN_Input_UsesLastValidValue() { var mdape = new Mdape(DefaultPeriod); mdape.Update(100, 95); mdape.Update(110, 105); var result = mdape.Update(double.NaN, 108); Assert.True(double.IsFinite(result.Value)); result = mdape.Update(115, double.NaN); Assert.True(double.IsFinite(result.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var mdape = new Mdape(DefaultPeriod); mdape.Update(100, 95); mdape.Update(110, 105); var result = mdape.Update(double.PositiveInfinity, 108); Assert.True(double.IsFinite(result.Value)); result = mdape.Update(115, double.NegativeInfinity); Assert.True(double.IsFinite(result.Value)); } [Fact] public void BatchCalc_MatchesIterativeCalc() { var mdapeIterative = new Mdape(DefaultPeriod); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1); const int count = 100; var actualSeries = new TSeries(); var predictedSeries = new TSeries(); for (int i = 0; i < count; 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 TSeries(); for (int i = 0; i < count; i++) { iterativeResults.Add(mdapeIterative.Update(actualSeries[i], predictedSeries[i])); } var batchResults = Mdape.Batch(actualSeries, predictedSeries, DefaultPeriod); Assert.Equal(iterativeResults.Count, batchResults.Count); for (int i = 0; i < batchResults.Count; i++) { Assert.Equal(iterativeResults[i].Value, 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(() => Mdape.Batch(actual.AsSpan(), predicted.AsSpan(), wrongSizeOutput.AsSpan(), DefaultPeriod)); Assert.Throws(() => Mdape.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 = Mdape.Batch(actualSeries, predictedSeries, DefaultPeriod); Mdape.Batch(actualArr.AsSpan(), predictedArr.AsSpan(), output.AsSpan(), DefaultPeriod); for (int i = 0; i < tseriesResult.Count; 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]; Mdape.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 mdape = new Mdape(DefaultPeriod); Assert.Throws(() => mdape.Update(new TValue(DateTime.UtcNow, 100))); } [Fact] public void Prime_ThrowsNotSupported() { var mdape = new Mdape(DefaultPeriod); Assert.Throws(() => mdape.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(() => Mdape.Batch(actual, predicted, DefaultPeriod)); } [Fact] public void Calculate_RobustToOutliers() { // Median should be robust to extreme outliers var mdape = new Mdape(5); // Errors: 5%, 5%, 5%, 5%, 500% // Sorted: 5, 5, 5, 5, 500 // Median = 5% (not affected by the outlier 500%) mdape.Update(100, 95); // 5% mdape.Update(100, 95); // 5% mdape.Update(100, 95); // 5% mdape.Update(100, 95); // 5% mdape.Update(100, -400); // 500% Assert.Equal(5.0, mdape.Last.Value, Precision); } [Fact] public void Calculate_ZeroActual_UsesSubstituteValue() { // When actual is zero or near-zero, implementation substitutes 1.0 fallback // to avoid division by zero (epsilon protection means substitute, not return 0) var mdape = new Mdape(3); mdape.Update(0.0, 10); // actual=1.0 (substituted), pred=10 → |1-10|/1 * 100 = 900% mdape.Update(0.0, 20); // actual=1.0 (substituted), pred=20 → |1-20|/1 * 100 = 1900% mdape.Update(0.0, 30); // actual=1.0 (substituted), pred=30 → |1-30|/1 * 100 = 2900% // Median of [900, 1900, 2900] = 1900 Assert.Equal(1900.0, mdape.Last.Value, Precision); } [Fact] public void Calculate_SlidingWindow_Works() { var mdape = new Mdape(3); // Fill window: errors 5%, 10%, 15% -> sorted 5,10,15 -> median = 10% mdape.Update(100, 95); // 5% mdape.Update(100, 90); // 10% mdape.Update(100, 85); // 15% Assert.Equal(10.0, mdape.Last.Value, Precision); // Slide: errors 10%, 15%, 20% -> sorted 10,15,20 -> median = 15% mdape.Update(100, 80); // 20% Assert.Equal(15.0, mdape.Last.Value, Precision); // Slide: errors 15%, 20%, 25% -> sorted 15,20,25 -> median = 20% mdape.Update(100, 75); // 25% Assert.Equal(20.0, mdape.Last.Value, Precision); } [Fact] public void Calculate_ScaleIndependent() { // MdAPE should give same result regardless of scale var mdape1 = new Mdape(3); var mdape2 = new Mdape(3); // Scale 1: 100 -> 90 (10% error) mdape1.Update(100, 90); mdape1.Update(100, 95); mdape1.Update(100, 85); // Scale 1000: 1000 -> 900 (10% error) mdape2.Update(1000, 900); mdape2.Update(1000, 950); mdape2.Update(1000, 850); Assert.Equal(mdape1.Last.Value, mdape2.Last.Value, Precision); } }