private double[] GetReturns(QCAlgorithm algorithm, Symbol symbol)
{
var window = new RollingWindow <double>(period);
var rateOfChange = new RateOfChange(1);
rateOfChange.Updated += (s, item) => window.Add((double)item.Value);
foreach (var bar in algorithm.History(symbol, period, Resolution.Daily))
{
rateOfChange.Update(bar.EndTime, bar.Close);
}
return(window.ToArray());
}
public void WhenComputing_Then_ResultIsTheStandardDeviationUsingPopulationVarianceOfAllDataInTheWindow()
{
const int period = 5;
var sut = new StandardDeviationComputation();
var window = new RollingWindow <double>(period);
window.Add(0);
Assert.AreEqual(null, sut.Compute(window));
for (int i = 1; i < 2 * period; i++)
{
window.Add(i);
var actual = sut.Compute(window);
var expected = window.ToArray().StandardDeviation(false);
Assert.AreEqual(expected, actual, 1e-10);
}
}