QuanTAlib/lib/statistics/skew/Skew.Validation.Tests.cs

using System;
using System.Linq;
using Xunit;
using QuanTAlib;
using QuanTAlib.Tests;
using MathNet.Numerics.Statistics;

namespace QuanTAlib.Validation;

public class SkewValidationTests : IDisposable
{
    private readonly ValidationTestData _data = new();

    public void Dispose()
    {
        Dispose(true);
        GC.SuppressFinalize(this);
    }

    protected virtual void Dispose(bool disposing)
    {
        if (disposing)
        {
            _data.Dispose();
        }
    }

    [Fact]
    public void Skew_Matches_MathNet()
    {
        int period = 20;
        var skew = new Skew(period, isPopulation: false);
        var popSkew = new Skew(period, isPopulation: true);
        
        var quotes = _data.SkenderQuotes.ToList();
        double[] input = quotes.Select(q => (double)q.Close).ToArray();

        for (int i = 0; i < input.Length; i++)
        {
            var val = skew.Update(new TValue(quotes[i].Date, input[i]));
            var popVal = popSkew.Update(new TValue(quotes[i].Date, input[i]));

            // Validate last 100 bars
            if (i >= input.Length - 100)
            {
                var window = input[(i - period + 1)..(i + 1)];
                double expected = Statistics.Skewness(window);
                double expectedPop = Statistics.PopulationSkewness(window);
                
                Assert.Equal(expected, val.Value, 1e-6);
                Assert.Equal(expectedPop, popVal.Value, 1e-6);
            }
        }
    }
}