// Case 27: clustered_down_events; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case27()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 29 < 4, -0.002, 0.00015);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "clustered_down_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "clustered_down_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "clustered_down_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "clustered_down_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_down_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "clustered_down_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[205] = 2.;
TS2Expect(TS2Evaluate() == 0., "clustered_down_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "clustered_down_events: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "clustered_down_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_down_events: quality restored");
}
// Case 28: capped_sawtooth; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case28()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.00012 * ((I % 19) - 9);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "capped_sawtooth: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "capped_sawtooth: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "capped_sawtooth: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "capped_sawtooth: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "capped_sawtooth: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "capped_sawtooth: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[242] = 2.;
TS2Expect(TS2Evaluate() == 0., "capped_sawtooth: implausible return rejected");
TS2Expect(TS2Quality == 0., "capped_sawtooth: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "capped_sawtooth: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "capped_sawtooth: quality restored");
}
// Case 29: triangular_wave; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case29()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.00015 * (abs((I % 24) - 12) - 6);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "triangular_wave: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "triangular_wave: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "triangular_wave: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "triangular_wave: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "triangular_wave: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "triangular_wave: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[23] = 2.;
TS2Expect(TS2Evaluate() == 0., "triangular_wave: implausible return rejected");
TS2Expect(TS2Quality == 0., "triangular_wave: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "triangular_wave: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "triangular_wave: quality restored");
}
// Case 30: convex_drift; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case30()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0001 + 0.001 * pow(I / 256., 2.);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "convex_drift: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "convex_drift: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "convex_drift: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "convex_drift: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "convex_drift: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "convex_drift: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[60] = 2.;
TS2Expect(TS2Evaluate() == 0., "convex_drift: implausible return rejected");
TS2Expect(TS2Quality == 0., "convex_drift: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "convex_drift: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "convex_drift: quality restored");
}
// Case 31: concave_drift; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case31()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0011 - 0.001 * pow(I / 256., 2.);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "concave_drift: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "concave_drift: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "concave_drift: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "concave_drift: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "concave_drift: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "concave_drift: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[97] = 2.;
TS2Expect(TS2Evaluate() == 0., "concave_drift: implausible return rejected");
TS2Expect(TS2Quality == 0., "concave_drift: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "concave_drift: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "concave_drift: quality restored");
}
// Case 32: sigmoid_transition; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case32()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * (2. / (1. + exp((I - 90.) / 12.)) - 1.);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sigmoid_transition: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sigmoid_transition: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sigmoid_transition: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sigmoid_transition: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sigmoid_transition: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sigmoid_transition: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[134] = 2.;
TS2Expect(TS2Evaluate() == 0., "sigmoid_transition: implausible return rejected");
TS2Expect(TS2Quality == 0., "sigmoid_transition: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "sigmoid_transition: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sigmoid_transition: quality restored");
}
// Case 33: damped_oscillation; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case33()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.002 * exp(-0.012 * I) * cos(0.37 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "damped_oscillation: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "damped_oscillation: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "damped_oscillation: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "damped_oscillation: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "damped_oscillation: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "damped_oscillation: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[171] = 2.;
TS2Expect(TS2Evaluate() == 0., "damped_oscillation: implausible return rejected");
TS2Expect(TS2Quality == 0., "damped_oscillation: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "damped_oscillation: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "damped_oscillation: quality restored");
}
// Case 34: growing_oscillation; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case34()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0001 * exp(0.008 * I) * cos(0.37 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "growing_oscillation: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "growing_oscillation: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "growing_oscillation: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "growing_oscillation: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "growing_oscillation: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "growing_oscillation: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[208] = 2.;
TS2Expect(TS2Evaluate() == 0., "growing_oscillation: implausible return rejected");
TS2Expect(TS2Quality == 0., "growing_oscillation: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "growing_oscillation: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "growing_oscillation: quality restored");
}
// Case 35: phase_discontinuity; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case35()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(0.3 * I + ifelse(I < 40, 1.5, 0.));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "phase_discontinuity: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "phase_discontinuity: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "phase_discontinuity: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "phase_discontinuity: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "phase_discontinuity: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "phase_discontinuity: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[245] = 2.;
TS2Expect(TS2Evaluate() == 0., "phase_discontinuity: implausible return rejected");
TS2Expect(TS2Quality == 0., "phase_discontinuity: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "phase_discontinuity: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "phase_discontinuity: quality restored");
}
// Case 36: frequency_discontinuity; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case36()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(ifelse(I < 80, 0.17, 0.63) * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "frequency_discontinuity: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "frequency_discontinuity: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "frequency_discontinuity: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "frequency_discontinuity: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "frequency_discontinuity: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "frequency_discontinuity: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[26] = 2.;
TS2Expect(TS2Evaluate() == 0., "frequency_discontinuity: implausible return rejected");
TS2Expect(TS2Quality == 0., "frequency_discontinuity: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "frequency_discontinuity: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "frequency_discontinuity: quality restored");
}
// Case 37: amplitude_discontinuity; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case37()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 80, 0.002, 0.0003) * sin(0.4 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "amplitude_discontinuity: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "amplitude_discontinuity: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "amplitude_discontinuity: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "amplitude_discontinuity: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_discontinuity: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "amplitude_discontinuity: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[63] = 2.;
TS2Expect(TS2Evaluate() == 0., "amplitude_discontinuity: implausible return rejected");
TS2Expect(TS2Quality == 0., "amplitude_discontinuity: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "amplitude_discontinuity: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_discontinuity: quality restored");
}
// Case 38: smooth_pulse; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case38()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.003 * exp(-pow((I - 32.) / 12., 2.)) - 0.0003;
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "smooth_pulse: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "smooth_pulse: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "smooth_pulse: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "smooth_pulse: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "smooth_pulse: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "smooth_pulse: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[100] = 2.;
TS2Expect(TS2Evaluate() == 0., "smooth_pulse: implausible return rejected");
TS2Expect(TS2Quality == 0., "smooth_pulse: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "smooth_pulse: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "smooth_pulse: quality restored");
}
// Case 39: double_pulse; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case39()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.002 * exp(-pow((I - 16.) / 6., 2.)) - 0.002 * exp(-pow((I - 60.) / 9., 2.));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "double_pulse: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "double_pulse: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "double_pulse: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "double_pulse: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "double_pulse: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "double_pulse: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[137] = 2.;
TS2Expect(TS2Evaluate() == 0., "double_pulse: implausible return rejected");
TS2Expect(TS2Quality == 0., "double_pulse: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "double_pulse: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "double_pulse: quality restored");
}
// Case 40: cross_scale_conflict; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case40()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0008 * cos(0.04 * I) - 0.001 * cos(0.6 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "cross_scale_conflict: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "cross_scale_conflict: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "cross_scale_conflict: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "cross_scale_conflict: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "cross_scale_conflict: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "cross_scale_conflict: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[174] = 2.;
TS2Expect(TS2Evaluate() == 0., "cross_scale_conflict: implausible return rejected");
TS2Expect(TS2Quality == 0., "cross_scale_conflict: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "cross_scale_conflict: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "cross_scale_conflict: quality restored");
}
// Case 41: near_flat_noise; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case41()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0000002 * sin(0.73 * I) + 0.0000001 * cos(0.29 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "near_flat_noise: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "near_flat_noise: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "near_flat_noise: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "near_flat_noise: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "near_flat_noise: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "near_flat_noise: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[211] = 2.;
TS2Expect(TS2Evaluate() == 0., "near_flat_noise: implausible return rejected");
TS2Expect(TS2Quality == 0., "near_flat_noise: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "near_flat_noise: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "near_flat_noise: quality restored");
}
// Case 42: large_return_units; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case42()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.03 * sin(0.13 * I) + 0.01 * cos(0.7 * I);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "large_return_units: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "large_return_units: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "large_return_units: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "large_return_units: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "large_return_units: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "large_return_units: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[248] = 2.;
TS2Expect(TS2Evaluate() == 0., "large_return_units: implausible return rejected");
TS2Expect(TS2Quality == 0., "large_return_units: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "large_return_units: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "large_return_units: quality restored");
}
// Case 43: deterministic_roughness; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case43()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(12.9898 * I + 78.233 * sin(4.1414 * I));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "deterministic_roughness: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "deterministic_roughness: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "deterministic_roughness: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "deterministic_roughness: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "deterministic_roughness: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "deterministic_roughness: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[29] = 2.;
TS2Expect(TS2Evaluate() == 0., "deterministic_roughness: implausible return rejected");
TS2Expect(TS2Quality == 0., "deterministic_roughness: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "deterministic_roughness: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "deterministic_roughness: quality restored");
}
// Case 44: weeklike_gaps; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case44()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 120 < 8, 0., 0.001 * cos(0.33 * I));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "weeklike_gaps: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "weeklike_gaps: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "weeklike_gaps: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "weeklike_gaps: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "weeklike_gaps: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "weeklike_gaps: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[66] = 2.;
TS2Expect(TS2Evaluate() == 0., "weeklike_gaps: implausible return rejected");
TS2Expect(TS2Quality == 0., "weeklike_gaps: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "weeklike_gaps: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "weeklike_gaps: quality restored");
}
// Case 45: quiet_recent_window; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case45()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 24, 0., 0.001 * sin(0.27 * I));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "quiet_recent_window: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "quiet_recent_window: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "quiet_recent_window: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "quiet_recent_window: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "quiet_recent_window: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "quiet_recent_window: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[103] = 2.;
TS2Expect(TS2Evaluate() == 0., "quiet_recent_window: implausible return rejected");
TS2Expect(TS2Quality == 0., "quiet_recent_window: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "quiet_recent_window: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "quiet_recent_window: quality restored");
}
// Case 46: quiet_old_window; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case46()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I > 180, 0., 0.001 * sin(0.27 * I));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "quiet_old_window: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "quiet_old_window: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "quiet_old_window: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "quiet_old_window: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "quiet_old_window: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "quiet_old_window: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[140] = 2.;
TS2Expect(TS2Evaluate() == 0., "quiet_old_window: implausible return rejected");
TS2Expect(TS2Quality == 0., "quiet_old_window: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "quiet_old_window: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "quiet_old_window: quality restored");
}
// Case 47: unequal_tail_mass; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case47()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 13 == 0, -0.004, 0.00035 + 0.0001 * sin(I));
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "unequal_tail_mass: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "unequal_tail_mass: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "unequal_tail_mass: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "unequal_tail_mass: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "unequal_tail_mass: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "unequal_tail_mass: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[177] = 2.;
TS2Expect(TS2Evaluate() == 0., "unequal_tail_mass: implausible return rejected");
TS2Expect(TS2Quality == 0., "unequal_tail_mass: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "unequal_tail_mass: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "unequal_tail_mass: quality restored");
}
// Case 48: bounded_chaotic_phase; model 11 perturbation phase 1.507000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case48()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(I * I * 0.61803398875);
TS2Returns[I] += 0.00000003 * sin(1.507000 + I * 0.333000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "bounded_chaotic_phase: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "bounded_chaotic_phase: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "bounded_chaotic_phase: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "bounded_chaotic_phase: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "bounded_chaotic_phase: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "bounded_chaotic_phase: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[214] = 2.;
TS2Expect(TS2Evaluate() == 0., "bounded_chaotic_phase: implausible return rejected");
TS2Expect(TS2Quality == 0., "bounded_chaotic_phase: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "bounded_chaotic_phase: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "bounded_chaotic_phase: quality restored");
}
void TS2SelfTest()
{
int I;
TS2Checks = 0;
TS2Failures = 0;
file_write(TS2TestLog, "Synthetic property suite\n", 0);
for (I = 0; I < 256; I++)
TS2Returns[I] = 0.;
TS2Expect(TS2Evaluate() == 0., "flat path has no edge");
TS2Expect(TS2Quality == 0., "flat path clears quality");
TS2KnownResponse();
TS2Case1();
TS2Case2();
TS2Case3();
TS2Case4();
TS2Case5();
TS2Case6();
TS2Case7();
TS2Case8();
TS2Case9();
TS2Case10();
TS2Case11();
TS2Case12();
TS2Case13();
TS2Case14();
TS2Case15();
TS2Case16();
TS2Case17();
TS2Case18();
TS2Case19();
TS2Case20();
TS2Case21();
TS2Case22();
TS2Case23();
TS2Case24();
TS2Case25();
TS2Case26();
TS2Case27();
TS2Case28();
TS2Case29();
TS2Case30();
TS2Case31();
TS2Case32();
TS2Case33();
TS2Case34();
TS2Case35();
TS2Case36();
TS2Case37();
TS2Case38();
TS2Case39();
TS2Case40();
TS2Case41();
TS2Case42();
TS2Case43();
TS2Case44();
TS2Case45();
TS2Case46();
TS2Case47();
TS2Case48();
file_append(TS2TestLog, strf("RESULT: %d checks; %d failures\n", TS2Checks, TS2Failures));
}
// Embedded execution and risk controls; no custom runtime include is required.
function run()
{
int Index;
var Current, Previous, Edge, Sigma, OrderLots, UnitRisk, Budget;
BarPeriod = 60;
LookBack = 260;
StartDate = 20240101;
EndDate = 20241231;
Capital = 10000.;
Hedge = 0;
MaxLong = 1;
MaxShort = 1;
#ifdef TS2_SELFTEST
if (is(INITRUN))
{
TS2SelfTest();
quit("TS2 synthetic tests complete; no historical or live orders");
}
return;
#endif
if (!asset("EUR/USD"))
return;
algo(TS2Algo);
if (is(EXITRUN) || is(LOOKBACK))
return;
for (Index = 0; Index < TS2_N; Index++)
{
Current = priceClose(Index + 1);
Previous = priceClose(Index + 2);
if (!(Current > 0.) || !(Previous > 0.))
{
exitLong();
exitShort();
return;
}
TS2Returns[Index] = log(Current / Previous);
}
Edge = TS2Evaluate();
plot("model edge", Edge, NEW, BLUE);
plot("model quality", TS2Quality, 0, RED);
if (Edge < 0.10 || TS2Quality < 0.15)
exitLong();
if (Edge > -0.10 || TS2Quality < 0.15)
exitShort();
if (abs(Edge) < 0.25 || TS2Quality < 0.30)
return;
if (NumOpenLong + NumOpenShort > 0)
return;
if (PIP <= 0. || PIPCost <= 0. || LotAmount <= 0. || MarginCost <= 0.)
return;
if (Balance <= 0. || Equity < 0.85 * Balance)
return;
Sigma = 0.;
for (Index = 0; Index < 48; Index++)
Sigma += TS2Returns[Index] * TS2Returns[Index] / 48.;
Sigma = sqrt(Sigma) * priceClose(1);
Stop = max(20. * PIP, 3. * Sigma);
TakeProfit = 2. * Stop;
LifeTime = TS2Holding;
UnitRisk = (Stop + abs(Spread)) / PIP * PIPCost;
UnitRisk += abs(Commission) * LotAmount / 10000.;
if (UnitRisk <= 0.)
return;
Budget = 0.0025 * min(Balance, Equity);
OrderLots = min(Budget / UnitRisk, 2000. / LotAmount);
OrderLots = min(OrderLots, max(0., Equity - MarginVal) * 0.5 / MarginCost);
if (OrderLots < 1.)
return;
Lots = floor(OrderLots);
Risk = 0.;
Margin = 0.;
if (Edge > 0.)
enterLong();
else
enterShort();
}
