Files
QuanTAlib/lib/statistics/variance/Variance.Tests.cs
2026-02-28 14:14:35 -08:00

761 lines
23 KiB
C#

namespace QuanTAlib.Tests;
public class VarianceTests
{
[Fact]
public void Constructor_ValidatesPeriod()
{
Assert.Throws<ArgumentOutOfRangeException>(() => new Variance(1));
Assert.Throws<ArgumentOutOfRangeException>(() => new Variance(0));
Assert.Throws<ArgumentOutOfRangeException>(() => new Variance(-1));
var variance = new Variance(2);
Assert.NotNull(variance);
}
[Fact]
public void Calc_ReturnsValue()
{
var variance = new Variance(5);
Assert.Equal(0, variance.Last.Value);
TValue result = variance.Update(new TValue(DateTime.UtcNow, 100));
Assert.Equal(result.Value, variance.Last.Value);
}
[Fact]
public void Calc_IsNew_AcceptsParameter()
{
var variance = new Variance(5);
variance.Update(new TValue(DateTime.UtcNow, 1), isNew: true);
variance.Update(new TValue(DateTime.UtcNow, 2), isNew: true);
variance.Update(new TValue(DateTime.UtcNow, 3), isNew: true);
variance.Update(new TValue(DateTime.UtcNow, 4), isNew: true);
double value1 = variance.Update(new TValue(DateTime.UtcNow, 5), isNew: true).Value;
variance.Update(new TValue(DateTime.UtcNow, 100), isNew: true);
double value2 = variance.Last.Value;
Assert.NotEqual(value1, value2);
}
[Fact]
public void IterativeCorrections_RestoreToOriginalState()
{
// Use simple known values for easier debugging
var variance = new Variance(3);
// Add 3 values: 1, 2, 3
variance.Update(new TValue(DateTime.UtcNow, 1), isNew: true);
variance.Update(new TValue(DateTime.UtcNow, 2), isNew: true);
var originalResult = variance.Update(new TValue(DateTime.UtcNow, 3), isNew: true);
double expectedVariance = originalResult.Value; // Variance of [1,2,3]
// Now correct the 3rd value to 10 (isNew=false)
variance.Update(new TValue(DateTime.UtcNow, 10), isNew: false);
// Correct back to original value 3 (isNew=false)
var restoredResult = variance.Update(new TValue(DateTime.UtcNow, 3), isNew: false);
// Should match original variance
Assert.Equal(expectedVariance, restoredResult.Value, 1e-10);
}
[Fact]
public void Infinity_Input_UsesLastValidValue()
{
var variance = new Variance(5);
variance.Update(new TValue(DateTime.UtcNow, 1));
variance.Update(new TValue(DateTime.UtcNow, 2));
variance.Update(new TValue(DateTime.UtcNow, 3));
// Variance doesn't do last-valid-value substitution
// Just verify it doesn't crash
var resultAfterPosInf = variance.Update(new TValue(DateTime.UtcNow, double.PositiveInfinity));
// May be NaN or finite depending on implementation
Assert.True(double.IsFinite(resultAfterPosInf.Value) || double.IsNaN(resultAfterPosInf.Value) || double.IsInfinity(resultAfterPosInf.Value));
var resultAfterNegInf = variance.Update(new TValue(DateTime.UtcNow, double.NegativeInfinity));
Assert.True(double.IsFinite(resultAfterNegInf.Value) || double.IsNaN(resultAfterNegInf.Value) || double.IsInfinity(resultAfterNegInf.Value));
}
[Fact]
public void AllModes_ProduceSameResult()
{
// Arrange
const int period = 10;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
const int count = 200;
var times = new List<long>(count);
var values = new List<double>(count);
for (int i = 0; i < count; i++)
{
var bar = gbm.Next(isNew: true);
times.Add(bar.Time);
values.Add(bar.Close);
}
var series = new TSeries(times, values);
// 1. Batch Mode (static method)
var batchSeries = Variance.Batch(series, period);
double expected = batchSeries.Last.Value;
// 2. Span Mode (static method with spans)
var spanInput = values.ToArray();
var spanOutput = new double[count];
Variance.Batch(spanInput.AsSpan(), spanOutput.AsSpan(), period);
double spanResult = spanOutput[^1];
// 3. Streaming Mode (instance, one value at a time)
var streamingInd = new Variance(period);
for (int i = 0; i < count; i++)
{
streamingInd.Update(series[i]);
}
double streamingResult = streamingInd.Last.Value;
// Assert all modes produce identical results
Assert.Equal(expected, spanResult, precision: 9);
Assert.Equal(expected, streamingResult, precision: 9);
}
[Fact]
public void SpanBatch_ValidatesInput()
{
double[] source = [1, 2, 3, 4, 5];
double[] output = new double[5];
double[] wrongSizeOutput = new double[3];
// Period must be >= 2
Assert.Throws<ArgumentException>(() =>
Variance.Batch(source.AsSpan(), output.AsSpan(), 1));
Assert.Throws<ArgumentException>(() =>
Variance.Batch(source.AsSpan(), output.AsSpan(), 0));
// Output must be same length as source
Assert.Throws<ArgumentException>(() =>
Variance.Batch(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
}
[Fact]
public void SpanBatch_MatchesTSeriesBatch()
{
var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
const int count = 100;
var times = new List<long>(count);
var values = new List<double>(count);
double[] source = new double[count];
double[] output = new double[count];
for (int i = 0; i < count; i++)
{
var bar = gbm.Next(isNew: true);
times.Add(bar.Time);
values.Add(bar.Close);
source[i] = bar.Close;
}
var series = new TSeries(times, values);
var tseriesResult = Variance.Batch(series, 10);
Variance.Batch(source.AsSpan(), output.AsSpan(), 10);
for (int i = 0; i < count; i++)
{
Assert.Equal(tseriesResult[i].Value, output[i], precision: 10);
}
}
[Fact]
public void Batch_SimdPath_Triggered()
{
// Create dataset that should trigger SIMD (clean, large)
const int count = 300;
var data = new double[count];
var output = new double[count];
for (int i = 0; i < count; i++)
{
data[i] = Math.Sin(i * 0.1); // Clean finite values
}
Variance.Batch(data, output, 10);
// Should complete without error and produce finite values
for (int i = 9; i < count; i++) // Start from period-1
{
Assert.True(double.IsFinite(output[i]));
Assert.True(output[i] >= 0);
}
}
[Fact]
public void Batch_LargeDataset_ForceSimd()
{
// Force SIMD path with large clean dataset
const int count = 1000;
var data = new double[count];
var output = new double[count];
// Generate clean, finite data
for (int i = 0; i < count; i++)
{
data[i] = Math.Sin(i * 0.01) + 10; // Clean finite values, positive
}
Variance.Batch(data, output, 10);
// Verify results are finite and reasonable
for (int i = 9; i < count; i++)
{
Assert.True(double.IsFinite(output[i]));
Assert.True(output[i] >= 0);
}
// Verify against streaming calculation for correctness
var variance = new Variance(10);
double[] streamingOutput = new double[count];
for (int i = 0; i < count; i++)
{
streamingOutput[i] = variance.Update(new TValue(DateTime.UtcNow, data[i])).Value;
}
// Compare last 100 values
for (int i = count - 100; i < count; i++)
{
Assert.Equal(streamingOutput[i], output[i], precision: 10);
}
}
[Fact]
public void IsHot_BecomesTrueAfterPeriod()
{
const int period = 5;
var variance = new Variance(period);
for (int i = 0; i < period; i++)
{
Assert.False(variance.IsHot);
variance.Update(new TValue(DateTime.UtcNow, i));
}
Assert.True(variance.IsHot);
}
[Fact]
public void Reset_ClearsState()
{
var variance = new Variance(5);
for (int i = 0; i < 10; i++)
{
variance.Update(new TValue(DateTime.UtcNow, i));
}
Assert.True(variance.IsHot);
variance.Reset();
Assert.False(variance.IsHot);
Assert.Equal(0, variance.Last.Value);
}
[Fact]
public void Update_IsNewFalse_UpdatesCorrectly()
{
// Test differential update
var variance = new Variance(3, isPopulation: true);
// Add 1, 2, 3. Mean=2. Var = ((1-2)^2 + (2-2)^2 + (3-2)^2)/3 = (1+0+1)/3 = 2/3 = 0.666...
variance.Update(new TValue(DateTime.UtcNow, 1));
variance.Update(new TValue(DateTime.UtcNow, 2));
variance.Update(new TValue(DateTime.UtcNow, 3));
Assert.Equal(2.0 / 3.0, variance.Last.Value, precision: 6);
// Update last value from 3 to 6.
// Data: 1, 2, 6. Mean=3. Var = ((1-3)^2 + (2-3)^2 + (6-3)^2)/3 = (4+1+9)/3 = 14/3 = 4.666...
variance.Update(new TValue(DateTime.UtcNow, 6), isNew: false);
Assert.Equal(14.0 / 3.0, variance.Last.Value, precision: 6);
}
[Fact]
public void Batch_Matches_Iterative()
{
const int period = 10;
const int count = 1000;
var data = new double[count];
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
for (int i = 0; i < count; i++)
{
data[i] = gbm.Next().Close;
}
// Iterative
var variance = new Variance(period);
var iterativeResults = new double[count];
for (int i = 0; i < count; i++)
{
variance.Update(new TValue(DateTime.UtcNow, data[i]));
iterativeResults[i] = variance.Last.Value;
}
// Batch
var batchResults = new double[count];
Variance.Batch(data, batchResults, period);
// Compare
for (int i = 0; i < count; i++)
{
Assert.Equal(iterativeResults[i], batchResults[i], precision: 7);
}
}
[Fact]
public void Update_HandlesConstantValues_ZeroVariance()
{
var variance = new Variance(5);
for (int i = 0; i < 5; i++)
{
var result = variance.Update(new TValue(DateTime.UtcNow, 10));
if (i >= 1) // Variance defined for N >= 2
{
Assert.Equal(0, result.Value);
}
}
}
[Fact]
public void Update_HandlesNaN()
{
var variance = new Variance(5);
variance.Update(new TValue(DateTime.UtcNow, 1));
variance.Update(new TValue(DateTime.UtcNow, 2));
variance.Update(new TValue(DateTime.UtcNow, double.NaN));
var result = variance.Last.Value;
Assert.True(double.IsNaN(result));
}
[Fact]
public void Batch_LargeDataset_Simd()
{
// Create large dataset to trigger SIMD path (>= 256)
const int count = 1000;
var data = new double[count];
for (int i = 0; i < count; i++)
{
data[i] = (double)i;
}
var series = new TSeries(new System.Collections.Generic.List<long>(new long[count]), new System.Collections.Generic.List<double>(data));
// Batch calculation
var batchResult = Variance.Batch(series, 10);
Assert.True(double.IsFinite(batchResult.Last.Value));
Assert.True(batchResult.Last.Value >= 0);
// Verify last value against streaming
var variance = new Variance(10);
double lastStreaming = 0;
foreach (var val in data)
{
lastStreaming = variance.Update(new TValue(DateTime.UtcNow, val)).Value;
}
Assert.Equal(lastStreaming, batchResult.Last.Value, precision: 10);
}
[Fact]
public void Prime_Method_Works()
{
var variance = new Variance(5);
double[] primeData = [10, 20, 30, 40, 50];
variance.Prime(primeData.AsSpan());
Assert.True(variance.IsHot);
Assert.Equal(250.0, variance.Last.Value, precision: 6); // Variance of [10,20,30,40,50] = 1000/4 = 250
}
[Fact]
public void Prime_WithInsufficientData()
{
var variance = new Variance(5);
double[] primeData = [10, 20]; // Less than period
variance.Prime(primeData.AsSpan());
Assert.False(variance.IsHot);
Assert.Equal(50.0, variance.Last.Value, precision: 6); // Variance of [10,20] = 50/1 = 50
}
[Fact]
public void Prime_WithEmptySpan()
{
var variance = new Variance(5);
variance.Prime(ReadOnlySpan<double>.Empty);
Assert.False(variance.IsHot);
Assert.Equal(0, variance.Last.Value);
}
[Fact]
public void Update_TSeries_ReturnsCorrectSeries()
{
var source = new TSeries();
source.Add(DateTime.UtcNow.Ticks, 10);
source.Add(DateTime.UtcNow.Ticks + 1, 20);
source.Add(DateTime.UtcNow.Ticks + 2, 30);
source.Add(DateTime.UtcNow.Ticks + 3, 40);
source.Add(DateTime.UtcNow.Ticks + 4, 50);
var variance = new Variance(3);
var result = variance.Update(source);
Assert.Equal(5, result.Count);
Assert.Equal(source.Times[0], result.Times[0]);
Assert.Equal(source.Times[4], result.Times[4]);
// Check variance values
Assert.Equal(0, result[0].Value); // N=1, no variance
Assert.Equal(50.0, result[1].Value, precision: 6); // Var([10,20]) = 50
Assert.Equal(100.0, result[2].Value, precision: 6); // Var([10,20,30]) = 200/2 = 100
Assert.Equal(100.0, result[3].Value, precision: 6); // Var([20,30,40]) = 200/2 = 100
Assert.Equal(100.0, result[4].Value, precision: 6); // Var([30,40,50]) = 200/2 = 100
}
[Fact]
public void Update_TSeries_EmptySource()
{
var variance = new Variance(5);
var result = variance.Update(new TSeries());
Assert.Empty(result);
}
[Fact]
public void Update_TSeries_PrimesState()
{
var source = new TSeries();
for (int i = 0; i < 10; i++)
{
source.Add(DateTime.UtcNow.Ticks + i, i * 10);
}
var variance = new Variance(5);
variance.Update(source);
// Should be primed with last 5 values
Assert.True(variance.IsHot);
// Add one more value and check it continues correctly
var newValue = variance.Update(new TValue(DateTime.UtcNow, 100));
Assert.True(double.IsFinite(newValue.Value));
}
[Fact]
public void Calculate_StaticMethod_Works()
{
var source = new TSeries();
source.Add(DateTime.UtcNow.Ticks, 10);
source.Add(DateTime.UtcNow.Ticks + 1, 20);
source.Add(DateTime.UtcNow.Ticks + 2, 30);
var result = Variance.Batch(source, 3); // Sample variance by default
Assert.Equal(3, result.Count);
Assert.Equal(100.0, result.Last.Value, precision: 6); // Sample variance: 200/2 = 100
}
[Fact]
public void Calculate_StaticMethod_PopulationVariance()
{
var source = new TSeries();
source.Add(DateTime.UtcNow.Ticks, 10);
source.Add(DateTime.UtcNow.Ticks + 1, 20);
source.Add(DateTime.UtcNow.Ticks + 2, 30);
var result = Variance.Batch(source, 3, isPopulation: true);
Assert.Equal(3, result.Count);
Assert.Equal(66.666666, result.Last.Value, precision: 5); // Population variance: 200/3 ≈ 66.67
}
[Fact]
public void Batch_WithNaNInData()
{
double[] source = [10, 20, double.NaN, 40, 50];
double[] output = new double[5];
Variance.Batch(source, output, 3);
// Should handle NaN gracefully
foreach (var val in output)
{
Assert.True(double.IsFinite(val) || double.IsNaN(val));
}
}
[Fact]
public void Batch_PeriodEqualsTwo()
{
double[] source = [10, 20, 30, 40];
double[] output = new double[4];
Variance.Batch(source, output, 2);
Assert.Equal(0, output[0]); // N=1
Assert.Equal(50, output[1]); // Var([10,20]) = 50
Assert.Equal(50, output[2]); // Var([20,30]) = 50
Assert.Equal(50, output[3]); // Var([30,40]) = 50
}
[Fact]
public void Batch_VeryLargePeriod()
{
double[] source = [10, 20, 30, 40, 50];
double[] output = new double[5];
Variance.Batch(source, output, 5);
Assert.Equal(0, output[0]); // N=1, variance undefined
Assert.Equal(50, output[1]); // Var([10,20]) = 50
Assert.Equal(100, output[2]); // Var([10,20,30]) = 200/2 = 100
Assert.Equal(500.0 / 3.0, output[3], precision: 6); // Var([10,20,30,40]) = 500/3 ≈ 166.67
Assert.Equal(250, output[4], precision: 6); // Var([10,20,30,40,50]) = 1000/4 = 250
}
[Fact]
public void Batch_SingleElement()
{
double[] source = [42];
double[] output = new double[1];
Variance.Batch(source, output, 2);
Assert.Equal(0, output[0]);
}
[Fact]
public void Batch_ConstantValues_ZeroVariance()
{
double[] source = [5, 5, 5, 5, 5];
double[] output = new double[5];
Variance.Batch(source, output, 3);
Assert.Equal(0, output[0]);
Assert.Equal(0, output[1]);
Assert.Equal(0, output[2]);
Assert.Equal(0, output[3]);
Assert.Equal(0, output[4]);
}
[Fact]
public void Batch_PopulationVsSample()
{
double[] source = [10, 20, 30];
double[] outputPop = new double[3];
double[] outputSamp = new double[3];
Variance.Batch(source, outputPop, 3, isPopulation: true);
Variance.Batch(source, outputSamp, 3, isPopulation: false);
// Population variance should be smaller than sample variance
Assert.True(outputPop[2] < outputSamp[2]);
Assert.Equal(66.666666, outputPop[2], precision: 5); // 200/3
Assert.Equal(100, outputSamp[2], precision: 6); // 200/2
}
[Fact]
public void Resync_PreventsDrift_Extended()
{
// Test that resync works by running many updates
var variance = new Variance(5);
var gbm = new GBM(startPrice: 100, mu: 0.0, sigma: 0.1, seed: 42);
// Run enough updates to trigger multiple resyncs
for (int i = 0; i < 2500; i++)
{
variance.Update(new TValue(DateTime.UtcNow, gbm.Next().Close));
}
Assert.True(double.IsFinite(variance.Last.Value));
Assert.True(variance.Last.Value >= 0);
}
[Fact]
public void Update_WithNegativeValues()
{
var variance = new Variance(3);
variance.Update(new TValue(DateTime.UtcNow, -10));
variance.Update(new TValue(DateTime.UtcNow, -5));
variance.Update(new TValue(DateTime.UtcNow, 0));
Assert.Equal(25, variance.Last.Value, precision: 6); // Var([-10,-5,0]) = 25
}
[Fact]
public void Update_MixedPositiveNegative()
{
var variance = new Variance(4);
variance.Update(new TValue(DateTime.UtcNow, -2));
variance.Update(new TValue(DateTime.UtcNow, -1));
variance.Update(new TValue(DateTime.UtcNow, 1));
variance.Update(new TValue(DateTime.UtcNow, 2));
Assert.Equal(10.0 / 3.0, variance.Last.Value, precision: 6); // Var([-2,-1,1,2]) = 10/3 ≈ 3.333
}
[Fact]
public void Batch_SimdFallback_WithNaN()
{
// Dataset with NaN should fall back to scalar path
const int count = 300;
double[] source = new double[count];
double[] output = new double[count];
for (int i = 0; i < count; i++)
{
source[i] = i * 0.1;
}
source[150] = double.NaN; // Insert NaN
Variance.Batch(source, output, 10);
// Should complete without error
for (int i = 0; i < count; i++)
{
Assert.True(double.IsFinite(output[i]) || double.IsNaN(output[i]));
}
}
[Fact]
public void Constructor_WithPopulationFlag()
{
var popVariance = new Variance(5, isPopulation: true);
var sampVariance = new Variance(5, isPopulation: false);
// Both should be valid
Assert.NotNull(popVariance);
Assert.NotNull(sampVariance);
}
[Fact]
public void Name_Property_ContainsPeriod()
{
var variance = new Variance(10);
Assert.Contains("10", variance.Name, StringComparison.Ordinal);
Assert.Contains("Variance", variance.Name, StringComparison.Ordinal);
}
[Fact]
public void WarmupPeriod_Property()
{
var variance = new Variance(7);
Assert.Equal(7, variance.WarmupPeriod);
}
[Fact]
public void Update_AfterReset_Works()
{
var variance = new Variance(3);
// Fill buffer
variance.Update(new TValue(DateTime.UtcNow, 1));
variance.Update(new TValue(DateTime.UtcNow, 2));
variance.Update(new TValue(DateTime.UtcNow, 3));
double valueBefore = variance.Last.Value;
variance.Reset();
// Update after reset
variance.Update(new TValue(DateTime.UtcNow, 10));
variance.Update(new TValue(DateTime.UtcNow, 20));
variance.Update(new TValue(DateTime.UtcNow, 30));
double valueAfter = variance.Last.Value;
Assert.NotEqual(valueBefore, valueAfter);
Assert.Equal(100.0, valueAfter, precision: 6);
}
[Fact]
public void Batch_ZeroLengthSpans()
{
double[] emptySource = [];
double[] emptyOutput = [];
// Should not throw
Variance.Batch(emptySource, emptyOutput, 2);
Assert.Empty(emptySource);
Assert.Empty(emptyOutput);
}
[Fact]
public void Batch_MinimalValidData()
{
double[] source = [10, 20];
double[] output = new double[2];
Variance.Batch(source, output, 2);
Assert.Equal(0, output[0]); // N=1
Assert.Equal(50, output[1]); // Var([10,20]) = 50
}
[Fact]
public void Batch_AllNonFinite_UsesScalarFallbackAndReturnsFinite()
{
double[] source = [double.NaN, double.PositiveInfinity, double.NegativeInfinity, double.NaN];
double[] output = new double[source.Length];
Variance.Batch(source.AsSpan(), output.AsSpan(), 2);
foreach (double value in output)
{
Assert.True(double.IsFinite(value));
Assert.True(value >= 0);
}
}
[Fact]
public void Calculate_ReturnsConfiguredIndicatorAndMatchingResults()
{
const int period = 5;
var source = new TSeries();
var now = DateTime.UtcNow;
for (int i = 0; i < 25; i++)
{
source.Add(now.AddSeconds(i), 100 + i);
}
var (results, indicator) = Variance.Calculate(source, period, isPopulation: true);
var batch = Variance.Batch(source, period, isPopulation: true);
Assert.NotNull(indicator);
Assert.Equal(period, indicator.WarmupPeriod);
Assert.Equal(batch.Count, results.Count);
for (int i = 0; i < results.Count; i++)
{
Assert.Equal(batch[i].Value, results[i].Value, 10);
}
}
}