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fix(sma, bollinger): periodic recompute to bound long-stream drift (R7, L2-Rust)

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`Sma` and `BollingerBands` both maintained their running `sum` (and
`sum_sq` for Bollinger) with a single-subtract incremental update. That
is correct in exact arithmetic, but in f64 the sequence `sum -= old;
sum += new` on long streams with alternating large/small magnitudes
can accumulate catastrophic-cancellation error. Bollinger's existing
`.max(0.0)` clamp on the computed variance was a band-aid for the same
root cause — the drift had already driven the running variance below
zero.

The fix: every `16 · period` finite updates, reseed `sum` (and `sum_sq`
for Bollinger) from the live window. Amortised cost stays at O(1) —
`O(period)` work amortised over `O(period)` updates — and the reseed
strategy is named after the constant `RECOMPUTE_EVERY` so the
intention is clear at the call site.

Behaviour is unchanged on inputs that did not drift to begin with
(every existing test still passes, including `batch_equals_streaming`
and the SMA proptest). Two new stress tests
(`long_stream_drift_stays_bounded` in each module) feed a
magnitude-alternating stream for `5 · RECOMPUTE_EVERY · period`
updates and assert the reported value tracks a fresh from-scratch
computation over the live window to within tight tolerance — these
would have failed without the reseed on Bollinger's `sum_sq`.

The misleading `sma.rs` comment that claimed drift was already
bounded by recomputing the sum after each pop is rewritten to
describe the actual reseed strategy (audit finding L2-Rust).
This commit is contained in:
kingchenc
2026-05-23 10:42:50 +02:00
parent 2db546ac12
commit 510013fc5a
3 changed files with 136 additions and 3 deletions
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CHANGELOG.md
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@@ -24,6 +24,20 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
site makes the invariant explicit.
### Changed
- `Sma` and `BollingerBands` now reseed their incremental `sum` (and `sum_sq`
for Bollinger) from the live window every `16 · period` finite updates,
capping floating-point drift on long-running streams (audit findings R7 and
L2-Rust). Previously the incremental single-subtract `sum -= old` could
accumulate catastrophic-cancellation error on streams with alternating
large/small magnitudes; the misleading `sma.rs` comment that claimed the
drift was already bounded "by recomputing the sum after each pop" is
replaced with an accurate description of the new reseed strategy. Amortised
cost stays at O(1) (`O(period)` work amortised over `O(period)` updates),
values are bit-identical on inputs that did not drift to begin with, and
two new `long_stream_drift_stays_bounded` tests stress the recompute by
alternating `1e9` / `1.0` (SMA) and `1e6` / `1.0` (Bollinger) for several
recompute cycles and verify the reported values track a fresh from-scratch
computation over the live window.
- `LinearRegression`, `LinRegSlope` and `LinRegAngle` (via composition over
`LinRegSlope`) now run their rolling ordinary-least-squares fit
**incrementally** in O(1) per update (audit finding R2). Previously every