chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using NUnit.Framework;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class StandardDeviationTests : CommonIndicatorTests<IndicatorDataPoint>
+    {
+        [Test]
+        public void ComputesCorrectly()
+        {
+            // Indicator output was compared against the following function in Julia
+            // stdpop(v) = sqrt(sum((v - mean(v)).^2) / length(v))
+            var std = new StandardDeviation(3);
+            var reference = DateTime.MinValue;
+
+            std.Update(reference.AddDays(1), 1m);
+            Assert.AreEqual(0m, std.Current.Value);
+
+            std.Update(reference.AddDays(2), -1m);
+            Assert.AreEqual(1m, std.Current.Value);
+
+            std.Update(reference.AddDays(3), 1m);
+            Assert.AreEqual(0.942809041582063m, std.Current.Value);
+
+            std.Update(reference.AddDays(4), -2m);
+            Assert.AreEqual(1.24721912892465m, std.Current.Value);
+
+            std.Update(reference.AddDays(5), 3m);
+            Assert.AreEqual(2.05480466765633m, std.Current.Value);
+        }
+
+        [Test]
+        public void ResetsProperlyStandardDeviation()
+        {
+            var std = new StandardDeviation(3);
+            std.Update(DateTime.Today, 1m);
+            std.Update(DateTime.Today.AddSeconds(1), 5m);
+            std.Update(DateTime.Today.AddSeconds(2), 1m);
+            Assert.IsTrue(std.IsReady);
+
+            std.Reset();
+            TestHelper.AssertIndicatorIsInDefaultState(std);
+        }
+
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            return new StandardDeviation(10);
+        }
+
+        protected override string TestFileName => "spy_var.txt";
+
+        protected override string TestColumnName => "Var";
+
+        protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion =>
+            (indicator, expected) =>
+                Assert.AreEqual(Math.Sqrt(expected), (double) indicator.Current.Value, 1e-6);
+    }
+}