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Sparse-Curvature Convex Trend Filter (cont.)
[Re: TipmyPip]
#489759
51 minutes ago
51 minutes ago
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Joined: Sep 2017
Posts: 372
TipmyPip
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OP
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Joined: Sep 2017
Posts: 372
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// Case 23: old_shock; model 18 perturbation phase 2.466000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case23()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 211, 0.012, 0.0003 * sin(0.27 * I));
TS2Returns[I] += 0.00000003 * sin(2.466000 + I * 0.424000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "old_shock: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "old_shock: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "old_shock: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "old_shock: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "old_shock: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[64] = 2.;
TS2Expect(TS2Evaluate() == 0., "old_shock: implausible return rejected");
TS2Expect(TS2Quality == 0., "old_shock: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "old_shock: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: quality restored");
}
// Case 24: sparse_up_events; model 18 perturbation phase 2.466000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case24()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, 0.003, -0.0001);
TS2Returns[I] += 0.00000003 * sin(2.466000 + I * 0.424000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[101] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_up_events: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "sparse_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: quality restored");
}
// Case 25: sparse_down_events; model 18 perturbation phase 2.466000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case25()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, -0.003, 0.0001);
TS2Returns[I] += 0.00000003 * sin(2.466000 + I * 0.424000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_down_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_down_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_down_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_down_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_down_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[138] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_down_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_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, "sparse_down_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: quality restored");
}
// Case 26: clustered_up_events; model 18 perturbation phase 2.466000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case26()
{
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(2.466000 + I * 0.424000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "clustered_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "clustered_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "clustered_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "clustered_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "clustered_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[175] = 2.;
TS2Expect(TS2Evaluate() == 0., "clustered_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "clustered_up_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_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: quality restored");
}
// Case 27: clustered_down_events; model 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[212] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[249] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[30] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[67] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[104] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[141] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[178] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[215] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[252] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[33] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[70] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[107] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[144] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[181] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[218] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[255] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[36] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[73] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[110] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[147] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[184] = 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 18 perturbation phase 2.466000.
// 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(2.466000 + I * 0.424000);
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[221] = 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();
TSRepairTests();
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 (!TSIsFinite(Current) || !TSIsFinite(Previous) || !(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 = TSUnitStopRisk(priceClose(0));
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();
}
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Causal Multiplicative-Weights Horizon Experts
[Re: TipmyPip]
#489760
46 minutes ago
46 minutes ago
|
Joined: Sep 2017
Posts: 372
TipmyPip
OP
Senior Member
|
OP
Senior Member
Joined: Sep 2017
Posts: 372
|
This strategy treats several horizon-based directional rules as competing forecasters and updates their influence from observed forecast errors. Its main analytical object is adaptive expert weight, not a hidden market regime. Each horizon contributes a trend-following and a contrarian expert, so the model can learn which behavior has recently produced smaller prequential loss. The ten strategies are not merely these twelve rules with changed periods: this entire online aggregation process is only one of the ten distinct implementations. The six expert lookbacks are 2, 5, 11, 23, 47, and 89 returns. For a historical anchor t, the trend prediction is clip(sum(r[t..t+w-1])/(old_RMS*sqrt(w)), -1, 1). The corresponding contrarian prediction is its negative. The outcome is the following four-return sum divided by 2*old_RMS, also clipped to the same interval. Historical rounds advance chronologically in four-bar blocks. Every expert prediction is computed from information older than that round's target, and the target becomes available before the weights are updated. Initially all twelve weights equal 1/12. The mixture prediction is mixture = sum(weight[e]*prediction[e]). Each expert receives bounded squared loss loss[e] = (prediction[e]-target)^2/4. Its provisional update is weight[e] = weight[e]*exp(-rate*loss[e]), with a decreasing learning rate based on the number of completed rounds. A small fixed-share term is then added before normalization. This recovery mechanism prevents an expert that performed badly earlier from becoming permanently irrelevant when market behavior changes. It also means that simple textbook regret guarantees should not be transferred to this exact implementation without checking their assumptions. The model evaluates its recent historical mixture predictions before using their corresponding outcomes in updates. Recent squared error is compared with the error of always predicting zero. Quality is max(0, 1-recent_mixture_error/zero_forecast_error). If that improvement is not above the internal threshold, the strategy abstains. Otherwise it constructs current expert forecasts from the newest completed returns and combines them using the learned weights. The diagnostic is cumulative mixture loss minus the smallest cumulative loss among the fixed experts. Maximum holding duration is eight hourly bars. The expert universe is small and manually chosen. Good performance relative to those experts does not imply good absolute performance, and clipped target loss does not equal realized monetary trading loss. Repeated rolling refits reuse observations, so decisions are dependent. The scale estimate is deliberately historical but can become stale after volatility shocks. Synthetic cases test deterministic updates, reflection, and rejected-input recovery, not profitable adaptation. Before deployment, the mixture needs chronological market-data testing that includes spread, commission, holding rules, missed fills, and the possibility that every expert is simultaneously poor.
// TS19_ExpertRegret: Causal multiplicative-weights horizon experts.
// Standalone model implementation with embedded safety and engine code.
// Market scope: EUR/USD completed-hour return aggregation horizons.
// These are not actual bond maturities or a futures calendar spread.
// Model diagnostic: mixture cumulative loss minus best expert loss.
// Quality heuristic: Recent prequential improvement versus zero forecast.
// Limitation: Changing learning rates and fixed-share mixing do not inherit every textbook static-expert regret bound.
// No claim of profitability, calibration, or independent strategy returns.
// Inputs: 256 newest-first log returns; all must be finite and within [-1,1].
// Output: bounded signed edge; positive buys, negative sells, zero abstains.
// Quality is a heuristic filter, never a calibrated success probability.
// The synthetic suite below is included in the total file line count.
// Regenerate with build_sources.py; compare hashes before deployment.
#include <default.c>
string TS2Algo = "TS19";
string TS2TestLog = "Log/TS19_ExpertRegret_test.txt";
int TS2Holding = 8;
// R1/R3: IEEE-754 finite validation without lite-C unordered comparisons.
// Supported Zorro Windows targets use 64-bit var and little-endian 32-bit int.
int TSIsFinite(var Value)
{
int Words[2];
memcpy(Words, &Value, sizeof(Value));
return (Words[1] & 0x7ff00000) != 0x7ff00000;
}
// Forex commission per lot; negative quotes are percent, not cash rebates.
// Return -1 on invalid metadata rather than accepting an unknown risk amount.
var TSFeePerLot(var FeeQuote, var UnitsPerLot, var PipSize, var PipValue, var RefPrice)
{
var FeeValue;
if (!TSIsFinite(FeeQuote) || !TSIsFinite(UnitsPerLot) || !TSIsFinite(PipSize) ||
!TSIsFinite(PipValue) || !TSIsFinite(RefPrice))
return -1.;
if (!(UnitsPerLot > 0.) || !(PipSize > 0.) || !(PipValue > 0.) || !(RefPrice > 0.))
return -1.;
if (FeeQuote >= 0.)
FeeValue = FeeQuote * UnitsPerLot / 10000.;
else
FeeValue = (-FeeQuote / 100.) * (PipValue / PipSize) * RefPrice;
if (!TSIsFinite(FeeValue) || FeeValue < 0.)
return -1.;
return FeeValue;
}
var TSUnitStopRisk(var RefPrice)
{
var FeeValue, FeePrice, StopRisk;
if (!TSIsFinite(RefPrice) || !(RefPrice > 0.) || !TSIsFinite(Stop) || !(Stop > 0.) ||
!TSIsFinite(Spread) || !TSIsFinite(Balance) || !TSIsFinite(Equity) ||
!TSIsFinite(MarginCost) || !TSIsFinite(MarginVal))
return -1.;
if (!(Balance > 0.) || !(Equity > 0.) || !(MarginCost > 0.))
return -1.;
// Conservative percentage-fee price through the stop, absent gaps/slippage.
FeePrice = RefPrice + abs(Spread) + Stop;
FeeValue = TSFeePerLot(Commission, LotAmount, PIP, PIPCost, FeePrice);
if (FeeValue < 0.)
return -1.;
StopRisk = (Stop + abs(Spread)) / PIP * PIPCost + FeeValue;
if (!TSIsFinite(StopRisk) || !(StopRisk > 0.))
return -1.;
return StopRisk;
}
// Embedded input, state, and test contracts; identical safety is not novel alpha.
#define TS2_N 256
var TS2Returns[256];
var TS2Quality;
var TS2Statistic;
var TS2Raw;
int TS2Checks;
int TS2Failures;
var TS2Model();
var TS2Bound(var Value)
{
if (!TSIsFinite(Value))
return 0.;
return max(-1., min(1., Value));
}
var TS2Evaluate()
{
int Index;
var Energy;
TS2Quality = 0.;
TS2Statistic = 0.;
TS2Raw = 0.;
Energy = 0.;
for (Index = 0; Index < TS2_N; Index++)
{
if (!TSIsFinite(TS2Returns[Index]))
return 0.;
if (abs(TS2Returns[Index]) > 1.)
return 0.;
Energy += TS2Returns[Index] * TS2Returns[Index];
}
if (Energy < 1.e-24)
return 0.;
TS2Raw = TS2Model();
if (!TSIsFinite(TS2Raw) || abs(TS2Raw) > 1.e12 ||
!TSIsFinite(TS2Quality) || !TSIsFinite(TS2Statistic))
{
TS2Quality = 0.;
TS2Statistic = 0.;
TS2Raw = 0.;
return 0.;
}
TS2Quality = max(0., min(1., TS2Quality));
return TS2Bound(TS2Raw);
}
void TS2Expect(int Passed, string Label)
{
TS2Checks++;
if (!Passed)
{
TS2Failures++;
file_append(TS2TestLog, strf("FAIL: %s\n", Label));
}
}
// BEGIN ANALYTICAL MODEL
// Full-information expert losses update AFTER their forecast target is observed.
// No hidden-state transition matrix, neighbor search, or parameter optimizer.
var TS2Model()
{
int Windows[6] = {2, 5, 11, 23, 47, 89};
var Weights[12], Predictions[12], Losses[12], Cumulative[12];
var Scale, Target, Sum, Forecast, Total, MeanLoss, Rate, Normalizer;
var Prediction, Direction, Concentration, BestLoss, MixtureLoss;
var RecentLoss, BaselineLoss, Probability, Signal, Improvement;
int Expert, Time, Offset, Window, Round;
Scale = 0.;
for (Time = 128; Time < 256; Time++)
Scale += TS2Returns[Time] * TS2Returns[Time] / 128.;
Scale = sqrt(Scale);
if (Scale < 1.e-16)
return 0.;
for (Expert = 0; Expert < 12; Expert++)
{
Weights[Expert] = 1. / 12.;
Cumulative[Expert] = 0.;
}
RecentLoss = 0.; BaselineLoss = 0.; MixtureLoss = 0.; Round = 0;
for (Time = 160; Time >= 4; Time -= 4)
{
Target = 0.;
for (Offset = 1; Offset <= 4; Offset++)
Target += TS2Returns[Time - Offset] / (2. * Scale);
Target = TS2Bound(Target);
Prediction = 0.;
for (Expert = 0; Expert < 6; Expert++)
{
Window = Windows[Expert];
Sum = 0.;
for (Offset = 0; Offset < Window; Offset++)
Sum += TS2Returns[Time + Offset];
Predictions[Expert] = TS2Bound(Sum / (Scale * sqrt(Window)));
Predictions[Expert + 6] = -Predictions[Expert];
}
for (Expert = 0; Expert < 12; Expert++)
{
Prediction += Weights[Expert] * Predictions[Expert];
Losses[Expert] = pow(Predictions[Expert] - Target, 2.) / 4.;
Cumulative[Expert] += Losses[Expert];
}
MixtureLoss += pow(Prediction - Target, 2.) / 4.;
if (Time <= 48)
{
RecentLoss += pow(Prediction - Target, 2.);
BaselineLoss += Target * Target;
}
Round++;
Rate = sqrt(2. * log(12.) / Round);
Normalizer = 0.;
for (Expert = 0; Expert < 12; Expert++)
{
Weights[Expert] *= exp(-Rate * Losses[Expert]);
// Fixed-share recovery prevents a formerly weak horizon disappearing.
Weights[Expert] = 0.99 * Weights[Expert] + 0.01 / 12.;
Normalizer += Weights[Expert];
}
for (Expert = 0; Expert < 12; Expert++)
Weights[Expert] /= Normalizer;
}
Forecast = 0.; Concentration = 0.; BestLoss = Cumulative[0];
for (Expert = 0; Expert < 6; Expert++)
{
Sum = 0.;
for (Offset = 0; Offset < Windows[Expert]; Offset++)
Sum += TS2Returns[Offset];
Signal = TS2Bound(Sum / (Scale * sqrt(Windows[Expert])));
Forecast += (Weights[Expert] - Weights[Expert + 6]) * Signal;
}
for (Expert = 0; Expert < 12; Expert++)
{
Concentration += Weights[Expert] * Weights[Expert];
BestLoss = min(BestLoss, Cumulative[Expert]);
}
Improvement = 1. - RecentLoss / max(1.e-24, BaselineLoss);
TS2Statistic = MixtureLoss - BestLoss;
TS2Quality = max(0., Improvement);
if (Improvement <= 0.05)
return 0.;
return TS2Bound(Forecast);
}
// END ANALYTICAL MODEL
// Separate repair regression log; the original suite counts stay intact.
int TSRepairChecks = 0;
int TSRepairFailures = 0;
string TSRepairLog = "Log/TS19_ExpertRegret_repair.txt";
void TSRepairCheck(int Passed, string Label)
{
TSRepairChecks++;
if (!Passed)
{
TSRepairFailures++;
file_append(TSRepairLog, strf("FAIL: %s\n", Label));
}
}
var TSRepairBad(int Kind)
{
int Bits[2];
var Value;
Bits[0] = 0;
Bits[1] = 0x7ff80000;
if (Kind == 1) Bits[1] = 0x7ff00000;
if (Kind == 2) Bits[1] = 0xfff00000;
memcpy(&Value, Bits, sizeof(Value));
return Value;
}
void TSRepairTests()
{
int I, Kind, Position;
var FeeValue, UnitLoss, Budget;
TSRepairChecks = 0; TSRepairFailures = 0;
file_write(TSRepairLog, "Repairs R1-R5: native-safe regression suite\n", 0);
TSRepairCheck(sizeof(FeeValue) == 8, "64-bit var representation");
TSRepairCheck(TSIsFinite(0.), "finite zero");
TSRepairCheck(TSIsFinite(1.), "finite positive");
TSRepairCheck(TSIsFinite(-1.), "finite negative");
for (Kind = 0; Kind < 3; Kind++)
TSRepairCheck(!TSIsFinite(TSRepairBad(Kind)), "reject NaN and both infinities");
TSRepairCheck(abs(TSFeePerLot(0.7, 1000., 0.0001, 0.1, 1.1) - 0.07) < 1.e-6,
"cash commission convention");
TSRepairCheck(TSFeePerLot(0., 1000., 0.0001, 0.1, 1.1) == 0., "zero commission");
FeeValue = TSFeePerLot(-0.02, 1000., 0.0001, 0.1, 1.1);
TSRepairCheck(abs(FeeValue - 0.22) < 1.e-6, "percentage commission convention");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0., 0.1, 1.1) < 0., "invalid pip size");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0.0001, 0., 1.1) < 0., "invalid pip value");
TSRepairCheck(TSFeePerLot(0.7, 0., 0.0001, 0.1, 1.1) < 0., "invalid lot amount");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0.0001, 0.1, -1.) < 0., "invalid fee price");
TSRepairCheck(TSFeePerLot(TSRepairBad(0), 1000., 0.0001, 0.1, 1.1) < 0., "NaN fee quote");
TSRepairCheck(TSFeePerLot(-0.02, 1000., 0.0001, 0.1, TSRepairBad(1)) < 0., "infinite fee price");
TSRepairCheck(TSFeePerLot(-0.02, 1000., TSRepairBad(0), 0.1, 1.1) < 0., "NaN pip metadata");
UnitLoss = (20. * 0.0001 + 0.0001) / 0.0001 * 0.1 + FeeValue;
Budget = 850. * 0.0025;
TSRepairCheck(floor(Budget / UnitLoss) == 0., "percentage fee respects lot-rounding budget");
for (Kind = 0; Kind < 3; Kind++)
{
for (Position = 0; Position < 2; Position++)
{
for (I = 0; I < 256; I++) TS2Returns[I] = 0.0005 + 0.0001 * sin(0.3 * I);
TS2Returns[Position] = TSRepairBad(Kind);
TSRepairCheck(TS2Evaluate() == 0, "non-finite consumed input rejected");
TSRepairCheck(TS2Quality == 0., "invalid return clears quality");
}
}
file_append(TSRepairLog, strf("RESULT: %d checks; %d failures\n", TSRepairChecks, TSRepairFailures));
}
// Synthetic property tests: executed only with -d TS2_SELFTEST.
// Tests do not execute trades, query market data, or establish profitability.
// Known-response anchor: not just a generic bounded-output assertion.
void TS2KnownResponse()
{
int I;
var Edge, Negative;
for (I = 0; I < 256; I++)
TS2Returns[I] = 0.0005;
Edge = TS2Evaluate();
TS2Expect(Edge > 0.80, "known straight path: model-specific response");
for (I = 0; I < 256; I++)
TS2Returns[I] = -0.0005;
Negative = TS2Evaluate();
TS2Expect(abs(Edge + Negative) < 1.e-7, "known straight path: symmetric response");
}
// Case 1: slow_sine; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case1()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0008 * sin(0.07 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "slow_sine: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "slow_sine: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "slow_sine: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "slow_sine: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "slow_sine: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "slow_sine: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[19] = 2.;
TS2Expect(TS2Evaluate() == 0., "slow_sine: implausible return rejected");
TS2Expect(TS2Quality == 0., "slow_sine: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "slow_sine: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "slow_sine: quality restored");
}
// Case 2: fast_sine; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case2()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0012 * sin(1.1 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "fast_sine: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "fast_sine: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "fast_sine: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "fast_sine: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "fast_sine: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "fast_sine: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[56] = 2.;
TS2Expect(TS2Evaluate() == 0., "fast_sine: implausible return rejected");
TS2Expect(TS2Quality == 0., "fast_sine: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "fast_sine: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "fast_sine: quality restored");
}
// Case 3: two_scale_beating; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case3()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0009 * sin(0.18 * I) + 0.0007 * sin(0.21 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "two_scale_beating: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "two_scale_beating: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "two_scale_beating: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "two_scale_beating: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "two_scale_beating: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "two_scale_beating: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[93] = 2.;
TS2Expect(TS2Evaluate() == 0., "two_scale_beating: implausible return rejected");
TS2Expect(TS2Quality == 0., "two_scale_beating: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "two_scale_beating: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "two_scale_beating: quality restored");
}
// Case 4: amplitude_burst; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case4()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0004 * sin(0.31 * I) * (1. + 3. * exp(-pow((I - 28.) / 8., 2.)));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "amplitude_burst: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "amplitude_burst: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "amplitude_burst: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "amplitude_burst: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_burst: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "amplitude_burst: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[130] = 2.;
TS2Expect(TS2Evaluate() == 0., "amplitude_burst: implausible return rejected");
TS2Expect(TS2Quality == 0., "amplitude_burst: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "amplitude_burst: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_burst: quality restored");
}
// Case 5: chirp_acceleration; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case5()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(0.0018 * I * I + 0.05 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "chirp_acceleration: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "chirp_acceleration: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "chirp_acceleration: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "chirp_acceleration: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_acceleration: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "chirp_acceleration: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[167] = 2.;
TS2Expect(TS2Evaluate() == 0., "chirp_acceleration: implausible return rejected");
TS2Expect(TS2Quality == 0., "chirp_acceleration: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "chirp_acceleration: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_acceleration: quality restored");
}
// Case 6: chirp_deceleration; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case6()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(7. * sqrt(I + 1.));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "chirp_deceleration: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "chirp_deceleration: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "chirp_deceleration: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "chirp_deceleration: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_deceleration: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "chirp_deceleration: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[204] = 2.;
TS2Expect(TS2Evaluate() == 0., "chirp_deceleration: implausible return rejected");
TS2Expect(TS2Quality == 0., "chirp_deceleration: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "chirp_deceleration: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_deceleration: quality restored");
}
// Case 7: positive_drift_noise; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case7()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0003 + 0.0009 * sin(0.77 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "positive_drift_noise: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "positive_drift_noise: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "positive_drift_noise: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "positive_drift_noise: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "positive_drift_noise: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "positive_drift_noise: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[241] = 2.;
TS2Expect(TS2Evaluate() == 0., "positive_drift_noise: implausible return rejected");
TS2Expect(TS2Quality == 0., "positive_drift_noise: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "positive_drift_noise: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "positive_drift_noise: quality restored");
}
// Case 8: negative_drift_noise; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case8()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = -0.0003 + 0.0009 * sin(0.77 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "negative_drift_noise: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "negative_drift_noise: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "negative_drift_noise: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "negative_drift_noise: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "negative_drift_noise: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "negative_drift_noise: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[22] = 2.;
TS2Expect(TS2Evaluate() == 0., "negative_drift_noise: implausible return rejected");
TS2Expect(TS2Quality == 0., "negative_drift_noise: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "negative_drift_noise: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "negative_drift_noise: quality restored");
}
// Case 9: mixed_frequency_drift; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case9()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0002 + 0.0006 * sin(0.23 * I) + 0.0004 * cos(1.37 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "mixed_frequency_drift: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "mixed_frequency_drift: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "mixed_frequency_drift: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "mixed_frequency_drift: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "mixed_frequency_drift: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "mixed_frequency_drift: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[59] = 2.;
TS2Expect(TS2Evaluate() == 0., "mixed_frequency_drift: implausible return rejected");
TS2Expect(TS2Quality == 0., "mixed_frequency_drift: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "mixed_frequency_drift: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "mixed_frequency_drift: quality restored");
}
// Case 10: alternating_sign; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case10()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 2 == 0, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "alternating_sign: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "alternating_sign: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "alternating_sign: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "alternating_sign: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "alternating_sign: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "alternating_sign: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[96] = 2.;
TS2Expect(TS2Evaluate() == 0., "alternating_sign: implausible return rejected");
TS2Expect(TS2Quality == 0., "alternating_sign: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "alternating_sign: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "alternating_sign: quality restored");
}
// Case 11: three_bar_blocks; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case11()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 6 < 3, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "three_bar_blocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "three_bar_blocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "three_bar_blocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "three_bar_blocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "three_bar_blocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "three_bar_blocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[133] = 2.;
TS2Expect(TS2Evaluate() == 0., "three_bar_blocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "three_bar_blocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "three_bar_blocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "three_bar_blocks: quality restored");
}
// Case 12: five_bar_blocks; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case12()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 10 < 5, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "five_bar_blocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "five_bar_blocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "five_bar_blocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "five_bar_blocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "five_bar_blocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "five_bar_blocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[170] = 2.;
TS2Expect(TS2Evaluate() == 0., "five_bar_blocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "five_bar_blocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "five_bar_blocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "five_bar_blocks: quality restored");
}
// Case 13: one_sided_steps; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case13()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 24, 0.001, 0.0001) + 0.0001 * sin(I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "one_sided_steps: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "one_sided_steps: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "one_sided_steps: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "one_sided_steps: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "one_sided_steps: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "one_sided_steps: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[207] = 2.;
TS2Expect(TS2Evaluate() == 0., "one_sided_steps: implausible return rejected");
TS2Expect(TS2Quality == 0., "one_sided_steps: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "one_sided_steps: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "one_sided_steps: quality restored");
}
// Case 14: late_reversal; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case14()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 12, -0.0008, 0.0005) + 0.0002 * cos(0.7 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "late_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "late_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "late_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "late_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "late_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "late_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[244] = 2.;
TS2Expect(TS2Evaluate() == 0., "late_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "late_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "late_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "late_reversal: quality restored");
}
// Case 15: middle_reversal; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case15()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 64, 0.0006, -0.0004) + 0.0002 * sin(0.43 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "middle_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "middle_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "middle_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "middle_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "middle_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "middle_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[25] = 2.;
TS2Expect(TS2Evaluate() == 0., "middle_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "middle_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "middle_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "middle_reversal: quality restored");
}
// Case 16: old_reversal; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case16()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 160, 0.0004, -0.0007) + 0.0001 * cos(0.91 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "old_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "old_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "old_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "old_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "old_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[62] = 2.;
TS2Expect(TS2Evaluate() == 0., "old_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "old_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "old_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_reversal: quality restored");
}
// Case 17: volatility_expansion; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case17()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = (0.0002 + 0.001 * exp(-0.015 * I)) * sin(0.81 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "volatility_expansion: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "volatility_expansion: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "volatility_expansion: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "volatility_expansion: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_expansion: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "volatility_expansion: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[99] = 2.;
TS2Expect(TS2Evaluate() == 0., "volatility_expansion: implausible return rejected");
TS2Expect(TS2Quality == 0., "volatility_expansion: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "volatility_expansion: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_expansion: quality restored");
}
// Case 18: volatility_contraction; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case18()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = (0.0002 + 0.000004 * I) * sin(0.81 * I);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "volatility_contraction: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "volatility_contraction: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "volatility_contraction: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "volatility_contraction: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_contraction: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "volatility_contraction: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[136] = 2.;
TS2Expect(TS2Evaluate() == 0., "volatility_contraction: implausible return rejected");
TS2Expect(TS2Quality == 0., "volatility_contraction: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "volatility_contraction: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_contraction: quality restored");
}
// Case 19: isolated_recent_up; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case19()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 3, 0.008, 0.0002 * sin(0.61 * I));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "isolated_recent_up: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "isolated_recent_up: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "isolated_recent_up: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "isolated_recent_up: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_up: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "isolated_recent_up: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[173] = 2.;
TS2Expect(TS2Evaluate() == 0., "isolated_recent_up: implausible return rejected");
TS2Expect(TS2Quality == 0., "isolated_recent_up: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "isolated_recent_up: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_up: quality restored");
}
// Case 20: isolated_recent_down; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case20()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 3, -0.008, 0.0002 * sin(0.61 * I));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "isolated_recent_down: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "isolated_recent_down: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "isolated_recent_down: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "isolated_recent_down: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_down: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "isolated_recent_down: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[210] = 2.;
TS2Expect(TS2Evaluate() == 0., "isolated_recent_down: implausible return rejected");
TS2Expect(TS2Quality == 0., "isolated_recent_down: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "isolated_recent_down: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_down: quality restored");
}
// Case 21: paired_opposite_shocks; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case21()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 7, 0.006, ifelse(I == 11, -0.006, 0.0001 * cos(I)));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "paired_opposite_shocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "paired_opposite_shocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "paired_opposite_shocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "paired_opposite_shocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_opposite_shocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "paired_opposite_shocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[247] = 2.;
TS2Expect(TS2Evaluate() == 0., "paired_opposite_shocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "paired_opposite_shocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "paired_opposite_shocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_opposite_shocks: quality restored");
}
// Case 22: paired_same_shocks; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case22()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 7 || I == 11, 0.006, 0.0001 * cos(I));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "paired_same_shocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "paired_same_shocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "paired_same_shocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "paired_same_shocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_same_shocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "paired_same_shocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[28] = 2.;
TS2Expect(TS2Evaluate() == 0., "paired_same_shocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "paired_same_shocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "paired_same_shocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_same_shocks: quality restored");
}
|
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Causal Multiplicative-Weights Horizon Experts (cont.)
[Re: TipmyPip]
#489761
46 minutes ago
46 minutes ago
|
Joined: Sep 2017
Posts: 372
TipmyPip
OP
Senior Member
|
OP
Senior Member
Joined: Sep 2017
Posts: 372
|
// Case 23: old_shock; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case23()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 211, 0.012, 0.0003 * sin(0.27 * I));
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "old_shock: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "old_shock: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "old_shock: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "old_shock: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "old_shock: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[65] = 2.;
TS2Expect(TS2Evaluate() == 0., "old_shock: implausible return rejected");
TS2Expect(TS2Quality == 0., "old_shock: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "old_shock: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: quality restored");
}
// Case 24: sparse_up_events; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case24()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, 0.003, -0.0001);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[102] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_up_events: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "sparse_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: quality restored");
}
// Case 25: sparse_down_events; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case25()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, -0.003, 0.0001);
TS2Returns[I] += 0.00000003 * sin(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_down_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_down_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_down_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_down_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_down_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[139] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_down_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_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, "sparse_down_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: quality restored");
}
// Case 26: clustered_up_events; model 19 perturbation phase 2.603000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case26()
{
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(2.603000 + I * 0.437000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "clustered_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "clustered_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "clustered_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "clustered_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "clustered_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[176] = 2.;
TS2Expect(TS2Evaluate() == 0., "clustered_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "clustered_up_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_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: quality restored");
}
// Case 27: clustered_down_events; model 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[213] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[250] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[31] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[68] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[105] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[142] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[179] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[216] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[253] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[34] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[71] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[108] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[145] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[182] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[219] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[0] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[37] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[74] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[111] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[148] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[185] = 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 19 perturbation phase 2.603000.
// 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(2.603000 + I * 0.437000);
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[222] = 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();
TSRepairTests();
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 (!TSIsFinite(Current) || !TSIsFinite(Previous) || !(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 = TSUnitStopRisk(priceClose(0));
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();
}
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Lead-Lag Path-Signature Geometry
[Re: TipmyPip]
#489762
45 minutes ago
45 minutes ago
|
Joined: Sep 2017
Posts: 372
TipmyPip
OP
Senior Member
|
OP
Senior Member
Joined: Sep 2017
Posts: 372
|
This strategy summarizes the ordered geometry of a two-channel return path using a truncated path signature. It does not estimate entropy or retrieve historical analogues. The hypothesis is that directional displacement, hysteresis, and higher-order path orientation can jointly describe whether movement remains coherent across several horizons. Unlike a distribution-only method, a path signature is sensitive to the order in which the observations occur. Different temporal arrangements can therefore produce different features even when they have identical return histograms. The first channel is a cumulative, RMS-normalized return path. The second channel is a trailing three-return average on the same normalized scale. Three windows, of lengths 16, 32, and 64, are processed separately in chronological order. The signature retains first-order increments, second-order iterated terms, and third-order terms. For a new two-dimensional segment d, Chen concatenation updates the first level by S1_new = S1_old + d. The second level follows S2_new[a,b] = S2_old[a,b] + S1_old[a]*d[b] + d[a]*d[b]/2. Third-order terms combine the existing second level, the existing first level, and the segment's own cubic contribution. In plain notation, S3_new[a,b,c] = S3_old[a,b,c] + S2_old[a,b]*d[c] + S1_old[a]*d[b]*d[c]/2 + d[a]*d[b]*d[c]/6. The implementation saves the old lower-order levels before updating, which is essential: substituting partially updated values would double-count some terms. All tensor entries are calculated explicitly without an external signature package. The antisymmetric second-level quantity area = S2[0,1]-S2[1,0] measures signed interaction between channels. A cubic combination is cubic = S3[0,0,1] - 2*S3[0,1,0] + S3[1,0,0]. Area and cubic terms are normalized by the second and third powers of total path length. Directional displacement is scaled by the square root of the window length. The model combines drift with the magnitude of normalized area and an orientation-sensitive cubic adjustment. Each window score is bounded before averaging, and quality measures agreement between the signed mean and mean absolute window score. Low agreement causes abstention. Maximum holding duration is twelve hourly bars. Under a sign reflection of every return, area is even while drift and the cubic term are odd. The implemented combination preserves a corresponding reversal of the trading edge, which the synthetic tests exercise. Nevertheless, descriptive geometry is not a predictive theorem. Truncation discards higher-order information, path construction choices matter, and nested windows are dependent. A coherent signature can persist into a reversal. Historical walk-forward testing is still needed to determine whether these features have any incremental forecasting value after transaction costs and execution constraints.
// TS20_PathSignature: Lead-lag path-signature geometry.
// Standalone model implementation with embedded safety and engine code.
// Market scope: EUR/USD completed-hour return aggregation horizons.
// These are not actual bond maturities or a futures calendar spread.
// Model diagnostic: mean absolute normalized signature direction.
// Quality heuristic: Signed agreement of three path windows.
// Limitation: The truncated lead-lag signature is descriptive geometry; no predictive theorem is assumed.
// No claim of profitability, calibration, or independent strategy returns.
// Inputs: 256 newest-first log returns; all must be finite and within [-1,1].
// Output: bounded signed edge; positive buys, negative sells, zero abstains.
// Quality is a heuristic filter, never a calibrated success probability.
// The synthetic suite below is included in the total file line count.
// Regenerate with build_sources.py; compare hashes before deployment.
#include <default.c>
string TS2Algo = "TS20";
string TS2TestLog = "Log/TS20_PathSignature_test.txt";
int TS2Holding = 12;
// R1/R3: IEEE-754 finite validation without lite-C unordered comparisons.
// Supported Zorro Windows targets use 64-bit var and little-endian 32-bit int.
int TSIsFinite(var Value)
{
int Words[2];
memcpy(Words, &Value, sizeof(Value));
return (Words[1] & 0x7ff00000) != 0x7ff00000;
}
// Forex commission per lot; negative quotes are percent, not cash rebates.
// Return -1 on invalid metadata rather than accepting an unknown risk amount.
var TSFeePerLot(var FeeQuote, var UnitsPerLot, var PipSize, var PipValue, var RefPrice)
{
var FeeValue;
if (!TSIsFinite(FeeQuote) || !TSIsFinite(UnitsPerLot) || !TSIsFinite(PipSize) ||
!TSIsFinite(PipValue) || !TSIsFinite(RefPrice))
return -1.;
if (!(UnitsPerLot > 0.) || !(PipSize > 0.) || !(PipValue > 0.) || !(RefPrice > 0.))
return -1.;
if (FeeQuote >= 0.)
FeeValue = FeeQuote * UnitsPerLot / 10000.;
else
FeeValue = (-FeeQuote / 100.) * (PipValue / PipSize) * RefPrice;
if (!TSIsFinite(FeeValue) || FeeValue < 0.)
return -1.;
return FeeValue;
}
var TSUnitStopRisk(var RefPrice)
{
var FeeValue, FeePrice, StopRisk;
if (!TSIsFinite(RefPrice) || !(RefPrice > 0.) || !TSIsFinite(Stop) || !(Stop > 0.) ||
!TSIsFinite(Spread) || !TSIsFinite(Balance) || !TSIsFinite(Equity) ||
!TSIsFinite(MarginCost) || !TSIsFinite(MarginVal))
return -1.;
if (!(Balance > 0.) || !(Equity > 0.) || !(MarginCost > 0.))
return -1.;
// Conservative percentage-fee price through the stop, absent gaps/slippage.
FeePrice = RefPrice + abs(Spread) + Stop;
FeeValue = TSFeePerLot(Commission, LotAmount, PIP, PIPCost, FeePrice);
if (FeeValue < 0.)
return -1.;
StopRisk = (Stop + abs(Spread)) / PIP * PIPCost + FeeValue;
if (!TSIsFinite(StopRisk) || !(StopRisk > 0.))
return -1.;
return StopRisk;
}
// Embedded input, state, and test contracts; identical safety is not novel alpha.
#define TS2_N 256
var TS2Returns[256];
var TS2Quality;
var TS2Statistic;
var TS2Raw;
int TS2Checks;
int TS2Failures;
var TS2Model();
var TS2Bound(var Value)
{
if (!TSIsFinite(Value))
return 0.;
return max(-1., min(1., Value));
}
var TS2Evaluate()
{
int Index;
var Energy;
TS2Quality = 0.;
TS2Statistic = 0.;
TS2Raw = 0.;
Energy = 0.;
for (Index = 0; Index < TS2_N; Index++)
{
if (!TSIsFinite(TS2Returns[Index]))
return 0.;
if (abs(TS2Returns[Index]) > 1.)
return 0.;
Energy += TS2Returns[Index] * TS2Returns[Index];
}
if (Energy < 1.e-24)
return 0.;
TS2Raw = TS2Model();
if (!TSIsFinite(TS2Raw) || abs(TS2Raw) > 1.e12 ||
!TSIsFinite(TS2Quality) || !TSIsFinite(TS2Statistic))
{
TS2Quality = 0.;
TS2Statistic = 0.;
TS2Raw = 0.;
return 0.;
}
TS2Quality = max(0., min(1., TS2Quality));
return TS2Bound(TS2Raw);
}
void TS2Expect(int Passed, string Label)
{
TS2Checks++;
if (!Passed)
{
TS2Failures++;
file_append(TS2TestLog, strf("FAIL: %s\n", Label));
}
}
// BEGIN ANALYTICAL MODEL
// Chen concatenation of piecewise-linear two-channel paths through order three.
// The antisymmetric second level measures hysteresis; third order adds orientation.
var TS2Model()
{
int Widths[3] = {16, 32, 64};
var First[2], Second[4], Third[8], OldFirst[2], OldSecond[4];
var Delta[2], Previous[2], Current[2], Channels[128];
var Scale, Sum, Area, Cubic, Length, Drift, Score, Agreement;
var Local, Total, Variation, NormalizedArea, NormalizedCubic;
int Window, Width, Time, A, B, ChannelC, Index;
Scale = 0.;
for (Index = 0; Index < 128; Index++)
Scale += TS2Returns[Index] * TS2Returns[Index] / 128.;
Scale = sqrt(Scale);
if (Scale < 1.e-16)
return 0.;
Total = 0.; Agreement = 0.;
for (Window = 0; Window < 3; Window++)
{
Width = Widths[Window];
for (A = 0; A < 2; A++)
{
First[A] = 0.;
Previous[A] = 0.;
}
for (A = 0; A < 4; A++)
Second[A] = 0.;
for (A = 0; A < 8; A++)
Third[A] = 0.;
Sum = 0.; Length = 0.;
for (Time = Width - 1; Time >= 0; Time--)
{
Sum += TS2Returns[Time] / Scale;
Current[0] = Sum;
Current[1] = (TS2Returns[Time + 1] + TS2Returns[Time + 2] + TS2Returns[Time + 3]) / (3. * Scale);
for (A = 0; A < 2; A++)
{
Delta[A] = Current[A] - Previous[A];
OldFirst[A] = First[A];
Length += abs(Delta[A]);
}
for (A = 0; A < 4; A++)
OldSecond[A] = Second[A];
for (A = 0; A < 2; A++)
{
for (B = 0; B < 2; B++)
{
for (ChannelC = 0; ChannelC < 2; ChannelC++)
{
Third[4 * A + 2 * B + ChannelC] += OldSecond[2 * A + B] * Delta[ChannelC];
Third[4 * A + 2 * B + ChannelC] += OldFirst[A] * Delta[B] * Delta[ChannelC] / 2.;
Third[4 * A + 2 * B + ChannelC] += Delta[A] * Delta[B] * Delta[ChannelC] / 6.;
}
Second[2 * A + B] += OldFirst[A] * Delta[B] + Delta[A] * Delta[B] / 2.;
}
First[A] += Delta[A];
Previous[A] = Current[A];
}
}
Area = Second[1] - Second[2];
Cubic = Third[1] - 2. * Third[2] + Third[4];
NormalizedArea = Area / max(1.e-16, Length * Length);
NormalizedCubic = Cubic / max(1.e-16, Length * Length * Length);
Drift = First[0] / sqrt(Width);
// Area is reflection-even; cubic and drift are reflection-odd.
Local = Drift * (1. + 8. * abs(NormalizedArea)) + 32. * NormalizedCubic;
Local /= sqrt(1. + Local * Local);
Total += Local / 3.;
Agreement += abs(Local) / 3.;
}
TS2Statistic = Agreement;
TS2Quality = abs(Total) / max(1.e-16, Agreement);
if (TS2Quality < 0.60)
return 0.;
return TS2Bound(Total);
}
// END ANALYTICAL MODEL
// Separate repair regression log; the original suite counts stay intact.
int TSRepairChecks = 0;
int TSRepairFailures = 0;
string TSRepairLog = "Log/TS20_PathSignature_repair.txt";
void TSRepairCheck(int Passed, string Label)
{
TSRepairChecks++;
if (!Passed)
{
TSRepairFailures++;
file_append(TSRepairLog, strf("FAIL: %s\n", Label));
}
}
var TSRepairBad(int Kind)
{
int Bits[2];
var Value;
Bits[0] = 0;
Bits[1] = 0x7ff80000;
if (Kind == 1) Bits[1] = 0x7ff00000;
if (Kind == 2) Bits[1] = 0xfff00000;
memcpy(&Value, Bits, sizeof(Value));
return Value;
}
void TSRepairTests()
{
int I, Kind, Position;
var FeeValue, UnitLoss, Budget;
TSRepairChecks = 0; TSRepairFailures = 0;
file_write(TSRepairLog, "Repairs R1-R5: native-safe regression suite\n", 0);
TSRepairCheck(sizeof(FeeValue) == 8, "64-bit var representation");
TSRepairCheck(TSIsFinite(0.), "finite zero");
TSRepairCheck(TSIsFinite(1.), "finite positive");
TSRepairCheck(TSIsFinite(-1.), "finite negative");
for (Kind = 0; Kind < 3; Kind++)
TSRepairCheck(!TSIsFinite(TSRepairBad(Kind)), "reject NaN and both infinities");
TSRepairCheck(abs(TSFeePerLot(0.7, 1000., 0.0001, 0.1, 1.1) - 0.07) < 1.e-6,
"cash commission convention");
TSRepairCheck(TSFeePerLot(0., 1000., 0.0001, 0.1, 1.1) == 0., "zero commission");
FeeValue = TSFeePerLot(-0.02, 1000., 0.0001, 0.1, 1.1);
TSRepairCheck(abs(FeeValue - 0.22) < 1.e-6, "percentage commission convention");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0., 0.1, 1.1) < 0., "invalid pip size");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0.0001, 0., 1.1) < 0., "invalid pip value");
TSRepairCheck(TSFeePerLot(0.7, 0., 0.0001, 0.1, 1.1) < 0., "invalid lot amount");
TSRepairCheck(TSFeePerLot(0.7, 1000., 0.0001, 0.1, -1.) < 0., "invalid fee price");
TSRepairCheck(TSFeePerLot(TSRepairBad(0), 1000., 0.0001, 0.1, 1.1) < 0., "NaN fee quote");
TSRepairCheck(TSFeePerLot(-0.02, 1000., 0.0001, 0.1, TSRepairBad(1)) < 0., "infinite fee price");
TSRepairCheck(TSFeePerLot(-0.02, 1000., TSRepairBad(0), 0.1, 1.1) < 0., "NaN pip metadata");
UnitLoss = (20. * 0.0001 + 0.0001) / 0.0001 * 0.1 + FeeValue;
Budget = 850. * 0.0025;
TSRepairCheck(floor(Budget / UnitLoss) == 0., "percentage fee respects lot-rounding budget");
for (Kind = 0; Kind < 3; Kind++)
{
for (Position = 0; Position < 2; Position++)
{
for (I = 0; I < 256; I++) TS2Returns[I] = 0.0005 + 0.0001 * sin(0.3 * I);
TS2Returns[Position] = TSRepairBad(Kind);
TSRepairCheck(TS2Evaluate() == 0, "non-finite consumed input rejected");
TSRepairCheck(TS2Quality == 0., "invalid return clears quality");
}
}
file_append(TSRepairLog, strf("RESULT: %d checks; %d failures\n", TSRepairChecks, TSRepairFailures));
}
// Synthetic property tests: executed only with -d TS2_SELFTEST.
// Tests do not execute trades, query market data, or establish profitability.
// Known-response anchor: not just a generic bounded-output assertion.
void TS2KnownResponse()
{
int I;
var Edge, Negative;
for (I = 0; I < 256; I++)
TS2Returns[I] = 0.0005;
Edge = TS2Evaluate();
TS2Expect(Edge > 0.80, "known straight path: model-specific response");
for (I = 0; I < 256; I++)
TS2Returns[I] = -0.0005;
Negative = TS2Evaluate();
TS2Expect(abs(Edge + Negative) < 1.e-7, "known straight path: symmetric response");
}
// Case 1: slow_sine; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case1()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0008 * sin(0.07 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "slow_sine: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "slow_sine: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "slow_sine: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "slow_sine: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "slow_sine: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "slow_sine: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[20] = 2.;
TS2Expect(TS2Evaluate() == 0., "slow_sine: implausible return rejected");
TS2Expect(TS2Quality == 0., "slow_sine: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "slow_sine: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "slow_sine: quality restored");
}
// Case 2: fast_sine; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case2()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0012 * sin(1.1 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "fast_sine: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "fast_sine: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "fast_sine: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "fast_sine: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "fast_sine: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "fast_sine: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[57] = 2.;
TS2Expect(TS2Evaluate() == 0., "fast_sine: implausible return rejected");
TS2Expect(TS2Quality == 0., "fast_sine: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "fast_sine: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "fast_sine: quality restored");
}
// Case 3: two_scale_beating; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case3()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0009 * sin(0.18 * I) + 0.0007 * sin(0.21 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "two_scale_beating: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "two_scale_beating: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "two_scale_beating: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "two_scale_beating: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "two_scale_beating: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "two_scale_beating: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[94] = 2.;
TS2Expect(TS2Evaluate() == 0., "two_scale_beating: implausible return rejected");
TS2Expect(TS2Quality == 0., "two_scale_beating: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "two_scale_beating: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "two_scale_beating: quality restored");
}
// Case 4: amplitude_burst; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case4()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0004 * sin(0.31 * I) * (1. + 3. * exp(-pow((I - 28.) / 8., 2.)));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "amplitude_burst: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "amplitude_burst: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "amplitude_burst: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "amplitude_burst: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_burst: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "amplitude_burst: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[131] = 2.;
TS2Expect(TS2Evaluate() == 0., "amplitude_burst: implausible return rejected");
TS2Expect(TS2Quality == 0., "amplitude_burst: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "amplitude_burst: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "amplitude_burst: quality restored");
}
// Case 5: chirp_acceleration; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case5()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(0.0018 * I * I + 0.05 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "chirp_acceleration: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "chirp_acceleration: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "chirp_acceleration: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "chirp_acceleration: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_acceleration: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "chirp_acceleration: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[168] = 2.;
TS2Expect(TS2Evaluate() == 0., "chirp_acceleration: implausible return rejected");
TS2Expect(TS2Quality == 0., "chirp_acceleration: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "chirp_acceleration: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_acceleration: quality restored");
}
// Case 6: chirp_deceleration; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case6()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.001 * sin(7. * sqrt(I + 1.));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "chirp_deceleration: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "chirp_deceleration: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "chirp_deceleration: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "chirp_deceleration: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_deceleration: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "chirp_deceleration: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[205] = 2.;
TS2Expect(TS2Evaluate() == 0., "chirp_deceleration: implausible return rejected");
TS2Expect(TS2Quality == 0., "chirp_deceleration: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "chirp_deceleration: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "chirp_deceleration: quality restored");
}
// Case 7: positive_drift_noise; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case7()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0003 + 0.0009 * sin(0.77 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "positive_drift_noise: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "positive_drift_noise: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "positive_drift_noise: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "positive_drift_noise: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "positive_drift_noise: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "positive_drift_noise: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[242] = 2.;
TS2Expect(TS2Evaluate() == 0., "positive_drift_noise: implausible return rejected");
TS2Expect(TS2Quality == 0., "positive_drift_noise: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "positive_drift_noise: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "positive_drift_noise: quality restored");
}
// Case 8: negative_drift_noise; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case8()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = -0.0003 + 0.0009 * sin(0.77 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "negative_drift_noise: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "negative_drift_noise: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "negative_drift_noise: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "negative_drift_noise: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "negative_drift_noise: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "negative_drift_noise: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[23] = 2.;
TS2Expect(TS2Evaluate() == 0., "negative_drift_noise: implausible return rejected");
TS2Expect(TS2Quality == 0., "negative_drift_noise: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "negative_drift_noise: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "negative_drift_noise: quality restored");
}
// Case 9: mixed_frequency_drift; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case9()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = 0.0002 + 0.0006 * sin(0.23 * I) + 0.0004 * cos(1.37 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "mixed_frequency_drift: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "mixed_frequency_drift: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "mixed_frequency_drift: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "mixed_frequency_drift: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "mixed_frequency_drift: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "mixed_frequency_drift: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[60] = 2.;
TS2Expect(TS2Evaluate() == 0., "mixed_frequency_drift: implausible return rejected");
TS2Expect(TS2Quality == 0., "mixed_frequency_drift: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "mixed_frequency_drift: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "mixed_frequency_drift: quality restored");
}
// Case 10: alternating_sign; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case10()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 2 == 0, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "alternating_sign: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "alternating_sign: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "alternating_sign: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "alternating_sign: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "alternating_sign: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "alternating_sign: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[97] = 2.;
TS2Expect(TS2Evaluate() == 0., "alternating_sign: implausible return rejected");
TS2Expect(TS2Quality == 0., "alternating_sign: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "alternating_sign: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "alternating_sign: quality restored");
}
// Case 11: three_bar_blocks; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case11()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 6 < 3, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "three_bar_blocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "three_bar_blocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "three_bar_blocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "three_bar_blocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "three_bar_blocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "three_bar_blocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[134] = 2.;
TS2Expect(TS2Evaluate() == 0., "three_bar_blocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "three_bar_blocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "three_bar_blocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "three_bar_blocks: quality restored");
}
// Case 12: five_bar_blocks; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case12()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 10 < 5, 0.001, -0.001);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "five_bar_blocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "five_bar_blocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "five_bar_blocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "five_bar_blocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "five_bar_blocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "five_bar_blocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[171] = 2.;
TS2Expect(TS2Evaluate() == 0., "five_bar_blocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "five_bar_blocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "five_bar_blocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "five_bar_blocks: quality restored");
}
// Case 13: one_sided_steps; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case13()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 24, 0.001, 0.0001) + 0.0001 * sin(I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "one_sided_steps: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "one_sided_steps: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "one_sided_steps: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "one_sided_steps: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "one_sided_steps: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "one_sided_steps: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[208] = 2.;
TS2Expect(TS2Evaluate() == 0., "one_sided_steps: implausible return rejected");
TS2Expect(TS2Quality == 0., "one_sided_steps: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "one_sided_steps: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "one_sided_steps: quality restored");
}
// Case 14: late_reversal; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case14()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 12, -0.0008, 0.0005) + 0.0002 * cos(0.7 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "late_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "late_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "late_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "late_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "late_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "late_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[245] = 2.;
TS2Expect(TS2Evaluate() == 0., "late_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "late_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "late_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "late_reversal: quality restored");
}
// Case 15: middle_reversal; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case15()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 64, 0.0006, -0.0004) + 0.0002 * sin(0.43 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "middle_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "middle_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "middle_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "middle_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "middle_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "middle_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[26] = 2.;
TS2Expect(TS2Evaluate() == 0., "middle_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "middle_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "middle_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "middle_reversal: quality restored");
}
// Case 16: old_reversal; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case16()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I < 160, 0.0004, -0.0007) + 0.0001 * cos(0.91 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "old_reversal: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "old_reversal: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "old_reversal: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "old_reversal: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_reversal: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "old_reversal: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[63] = 2.;
TS2Expect(TS2Evaluate() == 0., "old_reversal: implausible return rejected");
TS2Expect(TS2Quality == 0., "old_reversal: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "old_reversal: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_reversal: quality restored");
}
// Case 17: volatility_expansion; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case17()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = (0.0002 + 0.001 * exp(-0.015 * I)) * sin(0.81 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "volatility_expansion: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "volatility_expansion: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "volatility_expansion: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "volatility_expansion: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_expansion: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "volatility_expansion: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[100] = 2.;
TS2Expect(TS2Evaluate() == 0., "volatility_expansion: implausible return rejected");
TS2Expect(TS2Quality == 0., "volatility_expansion: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "volatility_expansion: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_expansion: quality restored");
}
// Case 18: volatility_contraction; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case18()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = (0.0002 + 0.000004 * I) * sin(0.81 * I);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "volatility_contraction: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "volatility_contraction: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "volatility_contraction: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "volatility_contraction: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_contraction: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "volatility_contraction: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[137] = 2.;
TS2Expect(TS2Evaluate() == 0., "volatility_contraction: implausible return rejected");
TS2Expect(TS2Quality == 0., "volatility_contraction: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "volatility_contraction: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "volatility_contraction: quality restored");
}
// Case 19: isolated_recent_up; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case19()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 3, 0.008, 0.0002 * sin(0.61 * I));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "isolated_recent_up: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "isolated_recent_up: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "isolated_recent_up: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "isolated_recent_up: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_up: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "isolated_recent_up: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[174] = 2.;
TS2Expect(TS2Evaluate() == 0., "isolated_recent_up: implausible return rejected");
TS2Expect(TS2Quality == 0., "isolated_recent_up: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "isolated_recent_up: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_up: quality restored");
}
// Case 20: isolated_recent_down; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case20()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 3, -0.008, 0.0002 * sin(0.61 * I));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "isolated_recent_down: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "isolated_recent_down: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "isolated_recent_down: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "isolated_recent_down: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_down: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "isolated_recent_down: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[211] = 2.;
TS2Expect(TS2Evaluate() == 0., "isolated_recent_down: implausible return rejected");
TS2Expect(TS2Quality == 0., "isolated_recent_down: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "isolated_recent_down: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "isolated_recent_down: quality restored");
}
// Case 21: paired_opposite_shocks; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case21()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 7, 0.006, ifelse(I == 11, -0.006, 0.0001 * cos(I)));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "paired_opposite_shocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "paired_opposite_shocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "paired_opposite_shocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "paired_opposite_shocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_opposite_shocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "paired_opposite_shocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[248] = 2.;
TS2Expect(TS2Evaluate() == 0., "paired_opposite_shocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "paired_opposite_shocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "paired_opposite_shocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_opposite_shocks: quality restored");
}
// Case 22: paired_same_shocks; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case22()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 7 || I == 11, 0.006, 0.0001 * cos(I));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "paired_same_shocks: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "paired_same_shocks: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "paired_same_shocks: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "paired_same_shocks: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_same_shocks: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "paired_same_shocks: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[29] = 2.;
TS2Expect(TS2Evaluate() == 0., "paired_same_shocks: implausible return rejected");
TS2Expect(TS2Quality == 0., "paired_same_shocks: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "paired_same_shocks: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "paired_same_shocks: quality restored");
}
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Lead-Lag Path-Signature Geometry (cont.)
[Re: TipmyPip]
#489763
45 minutes ago
45 minutes ago
|
Joined: Sep 2017
Posts: 372
TipmyPip
OP
Senior Member
|
OP
Senior Member
Joined: Sep 2017
Posts: 372
|
// Case 23: old_shock; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case23()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I == 211, 0.012, 0.0003 * sin(0.27 * I));
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "old_shock: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "old_shock: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "old_shock: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "old_shock: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "old_shock: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[66] = 2.;
TS2Expect(TS2Evaluate() == 0., "old_shock: implausible return rejected");
TS2Expect(TS2Quality == 0., "old_shock: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "old_shock: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "old_shock: quality restored");
}
// Case 24: sparse_up_events; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case24()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, 0.003, -0.0001);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[103] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_up_events: rejected sample clears quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
Restored = TS2Evaluate();
TS2Expect(abs(Restored - Original) < 1.e-9, "sparse_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_up_events: quality restored");
}
// Case 25: sparse_down_events; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case25()
{
var Snapshot[256], Original, Repeated, Reflected, Restored;
var InitialQuality, InitialStatistic;
int I;
for (I = 0; I < 256; I++)
{
TS2Returns[I] = ifelse(I % 17 == 0, -0.003, 0.0001);
TS2Returns[I] += 0.00000003 * sin(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "sparse_down_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "sparse_down_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "sparse_down_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "sparse_down_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "sparse_down_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[140] = 2.;
TS2Expect(TS2Evaluate() == 0., "sparse_down_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "sparse_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, "sparse_down_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "sparse_down_events: quality restored");
}
// Case 26: clustered_up_events; model 20 perturbation phase 2.740000.
// Covers numerical stability and directional symmetry on this path family.
void TS2Case26()
{
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(2.740000 + I * 0.450000);
Snapshot[I] = TS2Returns[I];
}
Original = TS2Evaluate();
InitialQuality = TS2Quality;
InitialStatistic = TS2Statistic;
TS2Expect(Original == Original && abs(Original) <= 1., "clustered_up_events: finite bounded edge");
TS2Expect(InitialQuality >= 0. && InitialQuality <= 1., "clustered_up_events: quality contract");
TS2Expect(InitialStatistic == InitialStatistic && abs(InitialStatistic) < 1.e12, "clustered_up_events: finite diagnostic");
Repeated = TS2Evaluate();
TS2Expect(abs(Repeated - Original) < 1.e-9, "clustered_up_events: deterministic evaluation");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: deterministic quality");
for (I = 0; I < 256; I++)
TS2Returns[I] = -Snapshot[I];
Reflected = TS2Evaluate();
TS2Expect(abs(Reflected + Original) < 1.e-7, "clustered_up_events: directional reflection");
for (I = 0; I < 256; I++)
TS2Returns[I] = Snapshot[I];
TS2Returns[177] = 2.;
TS2Expect(TS2Evaluate() == 0., "clustered_up_events: implausible return rejected");
TS2Expect(TS2Quality == 0., "clustered_up_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_up_events: restored input has no stale state");
TS2Expect(abs(TS2Quality - InitialQuality) < 1.e-9, "clustered_up_events: quality restored");
}
// Case 27: clustered_down_events; model 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[214] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[251] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[32] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[69] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[106] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[143] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[180] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[217] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[254] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[35] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[72] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[109] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[146] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[183] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[220] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[1] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[38] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[75] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[112] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[149] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[186] = 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 20 perturbation phase 2.740000.
// 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(2.740000 + I * 0.450000);
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[223] = 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();
TSRepairTests();
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 (!TSIsFinite(Current) || !TSIsFinite(Previous) || !(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 = TSUnitStopRisk(priceClose(0));
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();
}
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