benchmark: q1 ground truth - #98
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Please solve the merge conflict to main branch as well. |
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Closing this PR because EMA should not be computed by sketches. |
This was referenced May 7, 2026
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Q1 — EMA indicators (DDSketch p50 vs EMA38)
Adds ground truth computation and 60-minute accuracy benchmark for Q1: exponential moving average (EMA38) indicator tracking.
Benchmark results
Setup: Day
08-11-21,data_filtered,accuracy_sla=0.01, 12 × 5-min windowsSketch: DDSketch,
relative_accuracy=0.01, quantiles[0.0, 0.25, 0.5, 0.75, 0.9, 0.99, 1.0]Metric: fraction of (symbol, window) pairs where
|ema38 − sketch_p50| / |ema38| < 1%; threshold ≥ 95%.The 09:10–09:15 window (frac=0.943) is the only failure — EMA38 is still settling on initial large market-open price moves. All subsequent windows pass comfortably (0.952–0.967).
See
results/benchmarking.mdfor per-window breakdown.