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Add Aroon Indicator implementation and tests

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- Implemented Aroon Indicator with constructor, initialization, and update methods.
- Added unit tests for AroonIndicator to verify default settings, historical depth, short name, source code link, and processing of historical bars.
- Created Aroon class for core calculations, including methods for updating with TBar and TBarSeries.
- Added validation tests to ensure Aroon calculations match results from Skender and TA-Lib.
- Updated documentation for Aroon Indicator with calculation methods and usage examples.
- Refactored Dema and Wma classes to use Batch methods for calculations.
- Enhanced performance benchmarks by increasing bar count and integrating OoplesFinance indicators.
- Updated project dependencies to include OoplesFinance.StockIndicators.
This commit is contained in:
Miha Kralj
2025-12-17 13:18:25 -08:00
parent 15c4e832ed
commit 1084644a3d
14 changed files with 921 additions and 310 deletions
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lib/trends/dema/Dema.cs
+3 -3
View File
@@ -200,16 +200,16 @@ public sealed class Dema : AbstractBase
return dema.Update(source);
}
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period)
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
if (period <= 0)
throw new ArgumentException("Period must be greater than 0", nameof(period));
double alpha = 2.0 / (period + 1);
Calculate(source, output, alpha);
Batch(source, output, alpha);
}
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, double alpha)
public static void Batch(ReadOnlySpan<double> source, Span<double> output, double alpha)
{
if (source.Length != output.Length)
throw new ArgumentException("Source and output must have the same length");
lib/trends/wma/Wma.cs
+14 -7
View File
@@ -37,7 +37,14 @@ public sealed class Wma : AbstractBase
private State _state;
private State _p_state;
private const int ResyncInterval = 1000;
private const int ResyncInterval = 10000;
private static readonly Vector512<long> V512_Idx_1 = Vector512.Create(0L, 0, 1, 2, 3, 4, 5, 6);
private static readonly Vector512<long> V512_Idx_2 = Vector512.Create(0L, 0, 0, 0, 1, 2, 3, 4);
private static readonly Vector512<long> V512_Idx_4 = Vector512.Create(0L, 0, 0, 0, 0, 0, 1, 2);
private static readonly Vector512<double> V512_Mask_1 = Vector512.Create(0.0, 1, 1, 1, 1, 1, 1, 1);
private static readonly Vector512<double> V512_Mask_2 = Vector512.Create(0.0, 0, 1, 1, 1, 1, 1, 1);
private static readonly Vector512<double> V512_Mask_4 = Vector512.Create(0.0, 0, 0, 0, 1, 1, 1, 1);
public Wma(int period)
{
@@ -366,13 +373,13 @@ public sealed class Wma : AbstractBase
var vDeltaS = Avx512F.Subtract(vNew, vOld);
// Prefix sum of DeltaS
var vShiftS1 = Vector512.Create(0.0, vDeltaS.GetElement(0), vDeltaS.GetElement(1), vDeltaS.GetElement(2), vDeltaS.GetElement(3), vDeltaS.GetElement(4), vDeltaS.GetElement(5), vDeltaS.GetElement(6));
var vShiftS1 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vDeltaS, V512_Idx_1), V512_Mask_1);
var vPS1 = Avx512F.Add(vDeltaS, vShiftS1);
var vShiftS2 = Vector512.Create(0.0, 0.0, vPS1.GetElement(0), vPS1.GetElement(1), vPS1.GetElement(2), vPS1.GetElement(3), vPS1.GetElement(4), vPS1.GetElement(5));
var vShiftS2 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vPS1, V512_Idx_2), V512_Mask_2);
var vPS2 = Avx512F.Add(vPS1, vShiftS2);
var vShiftS4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vPS2.GetElement(0), vPS2.GetElement(1), vPS2.GetElement(2), vPS2.GetElement(3));
var vShiftS4 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vPS2, V512_Idx_4), V512_Mask_4);
var vPS4 = Avx512F.Add(vPS2, vShiftS4);
var vSums = Avx512F.Add(vSumState, vPS4);
@@ -382,13 +389,13 @@ public sealed class Wma : AbstractBase
var vU = Avx512F.FusedMultiplySubtract(vPeriod, vNew, vSumsShifted);
// Prefix sum of vU
var vShiftW1 = Vector512.Create(0.0, vU.GetElement(0), vU.GetElement(1), vU.GetElement(2), vU.GetElement(3), vU.GetElement(4), vU.GetElement(5), vU.GetElement(6));
var vShiftW1 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vU, V512_Idx_1), V512_Mask_1);
var vPW1 = Avx512F.Add(vU, vShiftW1);
var vShiftW2 = Vector512.Create(0.0, 0.0, vPW1.GetElement(0), vPW1.GetElement(1), vPW1.GetElement(2), vPW1.GetElement(3), vPW1.GetElement(4), vPW1.GetElement(5));
var vShiftW2 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vPW1, V512_Idx_2), V512_Mask_2);
var vPW2 = Avx512F.Add(vPW1, vShiftW2);
var vShiftW4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vPW2.GetElement(0), vPW2.GetElement(1), vPW2.GetElement(2), vPW2.GetElement(3));
var vShiftW4 = Avx512F.Multiply(Avx512F.PermuteVar8x64(vPW2, V512_Idx_4), V512_Mask_4);
var vPW4 = Avx512F.Add(vPW2, vShiftW4);
var vWsums = Avx512F.Add(vWsumState, vPW4);