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.Linq;
+using Accord.Math;
+using NUnit.Framework;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class TimeSeriesIndicatorTests
+    {
+        [Test]
+        public void DifferencesSeries()
+        {
+            var test = EvenOddSeries();
+
+            double[] heads;
+            var differencer = TimeSeriesIndicator.DifferenceSeries(1, test, out heads);
+            Assert.AreEqual(-1, differencer.Sum());
+        }
+
+        [Test]
+        public void UndifferencesSeries()
+        {
+            var test = EvenOddSeries();
+
+            double[] heads;
+            var differencer = TimeSeriesIndicator.DifferenceSeries(1, test, out heads);
+            Assert.AreEqual(test.Sum(), TimeSeriesIndicator.InverseDifferencedSeries(differencer, heads).Sum());
+        }
+
+        [Test]
+        public void LagsSeriesTest()
+        {
+            var test = EvenOddSeries(0, 1);
+            var lags = TimeSeriesIndicator.LaggedSeries(1, test);
+            
+            Assert.AreEqual(50, test.Sum());
+            Assert.AreEqual(49d, lags.Sum());
+        }
+
+        [Test]
+        public void CumulativeSumTest()
+        {
+            var test = EvenOddSeries(0, 1, 50);
+            var sums = TimeSeriesIndicator.CumulativeSum(test.ToList());
+            
+            Assert.AreEqual(25, test.Sum());
+            Assert.AreEqual(625, sums.Sum()); // From excel
+        }
+
+        private static double[] EvenOddSeries(int even = 1, int odd = 2, int len = 100)
+        {
+            var test = new double[len];
+            for (var i = 0; i < test.Length; i++)
+            {
+                switch (i % 2)
+                {
+                    case 0:
+                        test[i] = even;
+                        break;
+                    default:
+                        test[i] = odd;
+                        break;
+                }
+            }
+
+            return test;
+        }
+    }
+}