namespace QuanTAlib.Tests; public class WmapeTests { private const double Precision = 1e-10; private const int DefaultPeriod = 10; [Fact] public void Constructor_ValidatesInput() { Assert.Throws(() => new Wmape(0)); Assert.Throws(() => new Wmape(-1)); } [Fact] public void Constructor_ValidPeriod_Succeeds() { var wmape = new Wmape(DefaultPeriod); Assert.NotNull(wmape); Assert.Equal(DefaultPeriod, wmape.WarmupPeriod); } [Fact] public void Properties_Accessible() { var wmape = new Wmape(DefaultPeriod); Assert.Contains("Wmape", wmape.Name, StringComparison.Ordinal); Assert.False(wmape.IsHot); Assert.Equal(0, wmape.Last.Value); } [Fact] public void IsHot_BecomesTrueWhenBufferFull() { var wmape = new Wmape(5); for (int i = 0; i < 4; i++) { wmape.Update(100 + i, 100); Assert.False(wmape.IsHot); } wmape.Update(104, 100); Assert.True(wmape.IsHot); } [Fact] public void Calculate_ReturnsCorrectValue() { // WMAPE = (Σ|actual - predicted| / Σ|actual|) * 100 var wmape = new Wmape(3); // Actuals: 100, 200, 300 -> Sum = 600 // Errors: |100-90|=10, |200-180|=20, |300-270|=30 -> Sum = 60 // WMAPE = (60 / 600) * 100 = 10% wmape.Update(100, 90); wmape.Update(200, 180); wmape.Update(300, 270); Assert.Equal(10.0, wmape.Last.Value, Precision); } [Fact] public void Calculate_WeightsLargerValuesMore() { // WMAPE should weight larger actual values more heavily var wmape = new Wmape(2); // First scenario: small actual, large error % // Actual: 10, Error: 5 (50% individual error) // Actual: 100, Error: 5 (5% individual error) // Sum actuals = 110, Sum errors = 10 // WMAPE = (10/110) * 100 = 9.09% wmape.Update(10, 5); // |10-5| = 5 wmape.Update(100, 95); // |100-95| = 5 const double expected = (10.0 / 110.0) * 100.0; Assert.Equal(expected, wmape.Last.Value, Precision); } [Fact] public void Calculate_PerfectPredictions_ReturnsZero() { var wmape = new Wmape(5); for (int i = 0; i < 5; i++) { wmape.Update(100 * (i + 1), 100 * (i + 1)); } Assert.Equal(0.0, wmape.Last.Value, Precision); } [Fact] public void Calculate_IsNew_False_UpdatesValue() { var wmape = new Wmape(DefaultPeriod); wmape.Update(100, 95); wmape.Update(200, 190, isNew: true); double beforeUpdate = wmape.Last.Value; wmape.Update(200, 180, isNew: false); double afterUpdate = wmape.Last.Value; Assert.NotEqual(beforeUpdate, afterUpdate); } [Fact] public void IterativeCorrections_RestoreToOriginalState() { var wmape = new Wmape(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); wmape.Update(tenthActual, tenthPredicted, isNew: true); } double stateAfterTen = wmape.Last.Value; for (int i = 0; i < 9; i++) { var bar = gbm.Next(isNew: false); wmape.Update(new TValue(bar.Time, bar.Close), new TValue(bar.Time, bar.Close * 0.95), isNew: false); } TValue finalResult = wmape.Update(tenthActual, tenthPredicted, isNew: false); Assert.Equal(stateAfterTen, finalResult.Value, Precision); } [Fact] public void Reset_ClearsState() { var wmape = new Wmape(DefaultPeriod); wmape.Update(100, 95); wmape.Update(105, 100); wmape.Reset(); Assert.Equal(0, wmape.Last.Value); Assert.False(wmape.IsHot); } [Fact] public void NaN_Input_UsesLastValidValue() { var wmape = new Wmape(DefaultPeriod); wmape.Update(100, 95); wmape.Update(110, 105); var result = wmape.Update(double.NaN, 108); Assert.True(double.IsFinite(result.Value)); result = wmape.Update(115, double.NaN); Assert.True(double.IsFinite(result.Value)); } [Fact] public void Infinity_Input_UsesLastValidValue() { var wmape = new Wmape(DefaultPeriod); wmape.Update(100, 95); wmape.Update(110, 105); var result = wmape.Update(double.PositiveInfinity, 108); Assert.True(double.IsFinite(result.Value)); result = wmape.Update(115, double.NegativeInfinity); Assert.True(double.IsFinite(result.Value)); } [Fact] public void BatchCalc_MatchesIterativeCalc() { var wmapeIterative = new Wmape(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 batchResults = Wmape.Batch(actualSeries, predictedSeries, DefaultPeriod); var iterativeResults = new List(); for (int i = 0; i < actualSeries.Count; i++) { iterativeResults.Add(wmapeIterative.Update(actualSeries[i], predictedSeries[i]).Value); } Assert.Equal(iterativeResults.Count, batchResults.Count); for (int i = 0; i < batchResults.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(() => Wmape.Batch(actual.AsSpan(), predicted.AsSpan(), wrongSizeOutput.AsSpan(), DefaultPeriod)); Assert.Throws(() => Wmape.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 = Wmape.Batch(actualSeries, predictedSeries, DefaultPeriod); Wmape.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]; Wmape.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 wmape = new Wmape(DefaultPeriod); Assert.Throws(() => wmape.Update(new TValue(DateTime.UtcNow, 100))); } [Fact] public void Prime_ThrowsNotSupported() { var wmape = new Wmape(DefaultPeriod); Assert.Throws(() => wmape.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(() => Wmape.Batch(actual, predicted, DefaultPeriod)); } [Fact] public void Resync_PreventsFloatingPointDrift() { // Test that resync keeps values accurate over many updates var wmape = new Wmape(5); var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42); // Run more than ResyncInterval (1000) updates for (int i = 0; i < 1100; i++) { var bar = gbm.Next(isNew: true); wmape.Update(bar.Close, bar.Close * 0.98); } Assert.True(double.IsFinite(wmape.Last.Value)); Assert.True(wmape.Last.Value > 0); Assert.True(wmape.Last.Value < 100); // Should be around 2% } [Fact] public void Calculate_ZeroActuals_ReturnsZero() { // When sum of actuals is near zero, should return 0 (epsilon protection) var wmape = new Wmape(3); wmape.Update(0.0, 10); wmape.Update(0.0, 20); wmape.Update(0.0, 30); Assert.Equal(0.0, wmape.Last.Value, Precision); } [Fact] public void Calculate_SlidingWindow_Works() { var wmape = new Wmape(2); // Window 1: actuals 100, 200 (sum=300), errors 10, 20 (sum=30) // WMAPE = (30/300) * 100 = 10% wmape.Update(100, 90); wmape.Update(200, 180); Assert.Equal(10.0, wmape.Last.Value, Precision); // Window 2: actuals 200, 300 (sum=500), errors 20, 30 (sum=50) // WMAPE = (50/500) * 100 = 10% wmape.Update(300, 270); Assert.Equal(10.0, wmape.Last.Value, Precision); } [Fact] public void Calculate_IntermittentDemand_Stable() { // WMAPE should be stable with intermittent (zero) values var wmape = new Wmape(5); wmape.Update(100, 95); // 5% error wmape.Update(0, 0); // 0 error, 0 actual wmape.Update(200, 190); // 10 error wmape.Update(0, 0); // 0 error, 0 actual wmape.Update(300, 285); // 15 error // Sum errors = 5 + 0 + 10 + 0 + 15 = 30 // Sum actuals = 100 + 0 + 200 + 0 + 300 = 600 // WMAPE = (30/600) * 100 = 5% Assert.Equal(5.0, wmape.Last.Value, Precision); } }