Pratik Bhadane
436954138f
Update version numbers across Rust, Python, and documentation files to 1.1.0. Enhance the .gitignore to include macOS dSYM files and plans directory. Introduce new dependencies in the Rust core library and update the README to reflect recent performance benchmarks and backtesting engine capabilities. Add new artifacts to the benchmarks manifest and improve documentation for the backtesting engine API.
40 lines
1.2 KiB
Rust
40 lines
1.2 KiB
Rust
//! Statistic functions.
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/// Compute the rolling population standard deviation, scaled by `nbdev`.
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///
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/// Uses population variance (`ddof = 0`). Returns `nbdev * stddev` for
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/// each window. The first `timeperiod - 1` values are `NaN`.
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///
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/// # Arguments
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/// * `real` - Input series.
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/// * `timeperiod` - Rolling window size (must be >= 1).
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/// * `nbdev` - Multiplier applied to the standard deviation (use 1.0 for raw stddev).
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pub fn stddev(real: &[f64], timeperiod: usize, nbdev: f64) -> Vec<f64> {
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let n = real.len();
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let mut result = vec![f64::NAN; n];
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if timeperiod < 1 || n < timeperiod {
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return result;
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}
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for i in (timeperiod - 1)..n {
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let window = &real[i + 1 - timeperiod..=i];
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let mean: f64 = window.iter().sum::<f64>() / timeperiod as f64;
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let var: f64 = window.iter().map(|&x| (x - mean).powi(2)).sum::<f64>() / timeperiod as f64;
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result[i] = var.sqrt() * nbdev;
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}
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result
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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#[test]
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fn stddev_constant() {
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let prices = vec![5.0; 5];
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let result = stddev(&prices, 3, 1.0);
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for v in result.iter().filter(|v| !v.is_nan()) {
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assert!(v.abs() < 1e-10);
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}
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}
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}
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