gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-18 18:48:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Add Aroon Indicator implementation and tests

Browse Source 
- 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
Download Patch File Download Diff File Expand all files Collapse all files
perf/Benchmark.cs
+72 -142
View File
@@ -9,6 +9,9 @@ using QuanTAlib.Benchmarks;
using Skender.Stock.Indicators;
using TALib;
using Tulip;
using OoplesFinance.StockIndicators;
using OoplesFinance.StockIndicators.Models;
using OoplesFinance.StockIndicators.Enums;
namespace QuanTAlib.Benchmarks;
@@ -40,12 +43,13 @@ public static class Program
[GroupBenchmarksBy(BenchmarkLogicalGroupRule.ByCategory)]
public class IndicatorBenchmarks
{
private const int BarCount = 200_000;
private const int Period = 100;
private const int BarCount = 500_000;
private const int Period = 220;
private double[] _closeValues = null!;
private TSeries _closeTseries = null!;
private List<Quote> _quotes = null!;
private List<TickerData> _ooplesData = null!;
// Pre-allocated outputs for TA-Lib
private double[] _talibOutput = null!;
@@ -60,15 +64,9 @@ public class IndicatorBenchmarks
private double[][] _tulipWmaInputs = null!;
private double[] _tulipWmaOptions = null!;
private double[][] _tulipWmaOutputs = null!;
private double[][] _tulipTrimaInputs = null!;
private double[] _tulipTrimaOptions = null!;
private double[][] _tulipTrimaOutputs = null!;
private double[][] _tulipDemaInputs = null!;
private double[] _tulipDemaOptions = null!;
private double[][] _tulipDemaOutputs = null!;
private double[][] _tulipTemaInputs = null!;
private double[] _tulipTemaOptions = null!;
private double[][] _tulipTemaOutputs = null!;
private double[][] _tulipHmaInputs = null!;
private double[] _tulipHmaOptions = null!;
private double[][] _tulipHmaOutputs = null!;
// Pre-allocated outputs for QuanTAlib Span API
private double[] _quantalibOutput = null!;
@@ -98,6 +96,21 @@ public class IndicatorBenchmarks
});
}
// Create Ooples TickerData format
_ooplesData = new List<TickerData>(BarCount);
for (int i = 0; i < BarCount; i++)
{
_ooplesData.Add(new TickerData
{
Date = new DateTime(_closeTseries.Times[i]),
Open = bars.Open.Values[i],
High = bars.High.Values[i],
Low = bars.Low.Values[i],
Close = _closeValues[i],
Volume = bars.Volume.Values[i]
});
}
// Pre-allocate TA-Lib output
_talibOutput = new double[BarCount];
@@ -115,19 +128,10 @@ public class IndicatorBenchmarks
_tulipWmaOptions = new double[] { Period };
_tulipWmaOutputs = new[] { new double[BarCount - smaLookback] };
_tulipTrimaInputs = new[] { _closeValues };
_tulipTrimaOptions = new double[] { Period };
_tulipTrimaOutputs = new[] { new double[BarCount - smaLookback] };
int demaLookback = 2 * (Period - 1);
_tulipDemaInputs = new[] { _closeValues };
_tulipDemaOptions = new double[] { Period };
_tulipDemaOutputs = new[] { new double[BarCount - demaLookback] };
int temaLookback = 3 * (Period - 1);
_tulipTemaInputs = new[] { _closeValues };
_tulipTemaOptions = new double[] { Period };
_tulipTemaOutputs = new[] { new double[BarCount - temaLookback] };
int hmaLookback = Period + (int)Math.Sqrt(Period) - 2;
_tulipHmaInputs = new[] { _closeValues };
_tulipHmaOptions = new double[] { Period };
_tulipHmaOutputs = new[] { new double[BarCount - hmaLookback] };
// Pre-allocate QuanTAlib output
_quantalibOutput = new double[BarCount];
@@ -136,11 +140,11 @@ public class IndicatorBenchmarks
// ==================== SMA ====================
[BenchmarkCategory("SMA")]
[Benchmark(Description = "QuanTAlib SMA (Span)")]
public void QuanTAlib_Sma_Span() => Sma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
public void QuanTAlib_Sma_Span() => Sma.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("SMA")]
[Benchmark(Description = "QuanTAlib SMA (Batch)")]
public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period);
public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period).Results;
[BenchmarkCategory("SMA")]
[Benchmark(Description = "QuanTAlib SMA (Streaming)")]
@@ -178,14 +182,18 @@ public class IndicatorBenchmarks
[Benchmark(Description = "Skender SMA")]
public object Skender_Sma() => _quotes.GetSma(Period);
[BenchmarkCategory("SMA")]
[Benchmark(Description = "Ooples SMA")]
public object Ooples_Sma() => new StockData(_ooplesData).CalculateSimpleMovingAverage(Period);
// ==================== EMA ====================
[BenchmarkCategory("EMA")]
[Benchmark(Description = "QuanTAlib EMA (Span)")]
public void QuanTAlib_Ema_Span() => Ema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
public void QuanTAlib_Ema_Span() => Ema.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("EMA")]
[Benchmark(Description = "QuanTAlib EMA (Batch)")]
public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period);
public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period).Results;
[BenchmarkCategory("EMA")]
[Benchmark(Description = "QuanTAlib EMA (Streaming)")]
@@ -223,14 +231,18 @@ public class IndicatorBenchmarks
[Benchmark(Description = "Skender EMA")]
public object Skender_Ema() => _quotes.GetEma(Period);
[BenchmarkCategory("EMA")]
[Benchmark(Description = "Ooples EMA")]
public object Ooples_Ema() => new StockData(_ooplesData).CalculateExponentialMovingAverage(Period);
// ==================== WMA ====================
[BenchmarkCategory("WMA")]
[Benchmark(Description = "QuanTAlib WMA (Span)")]
public void QuanTAlib_Wma_Span() => Wma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
public void QuanTAlib_Wma_Span() => Wma.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("WMA")]
[Benchmark(Description = "QuanTAlib WMA (Batch)")]
public TSeries QuanTAlib_Wma_TSeries() => Wma.Calculate(_closeTseries, Period);
public TSeries QuanTAlib_Wma_TSeries() => Wma.Batch(_closeTseries, Period);
[BenchmarkCategory("WMA")]
[Benchmark(Description = "QuanTAlib WMA (Streaming)")]
@@ -268,134 +280,52 @@ public class IndicatorBenchmarks
[Benchmark(Description = "Skender WMA")]
public object Skender_Wma() => _quotes.GetWma(Period);
// ==================== TRIMA ====================
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "QuanTAlib TRIMA (Span)")]
public void QuanTAlib_Trima_Span() => Trima.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("WMA")]
[Benchmark(Description = "Ooples WMA")]
public object Ooples_Wma() => new StockData(_ooplesData).CalculateWeightedMovingAverage(Period);
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "QuanTAlib TRIMA (Batch)")]
public TSeries QuanTAlib_Trima_TSeries() => Trima.Calculate(_closeTseries, Period);
// ==================== HMA ====================
[BenchmarkCategory("HMA")]
[Benchmark(Description = "QuanTAlib HMA (Span)")]
public void QuanTAlib_Hma_Span() => Hma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "QuanTAlib TRIMA (Streaming)")]
public void QuanTAlib_Trima_Streaming()
[BenchmarkCategory("HMA")]
[Benchmark(Description = "QuanTAlib HMA (Batch)")]
public TSeries QuanTAlib_Hma_TSeries() => Hma.Batch(_closeTseries, Period);
[BenchmarkCategory("HMA")]
[Benchmark(Description = "QuanTAlib HMA (Streaming)")]
public void QuanTAlib_Hma_Streaming()
{
var trima = new Trima(Period);
var hma = new Hma(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = trima.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
_quantalibOutput[i] = hma.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "QuanTAlib TRIMA (Eventing)")]
public void QuanTAlib_Trima_Eventing()
[BenchmarkCategory("HMA")]
[Benchmark(Description = "QuanTAlib HMA (Eventing)")]
public void QuanTAlib_Hma_Eventing()
{
var source = new TSeries();
var trima = new Trima(source, Period);
var hma = new Hma(source, Period);
for (int i = 0; i < _closeValues.Length; i++)
{
source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
_quantalibOutput[i] = trima.Last.Value;
_quantalibOutput[i] = hma.Last.Value;
}
}
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "Tulip TRIMA")]
public void Tulip_Trima() => Tulip.Indicators.trima.Run(_tulipTrimaInputs, _tulipTrimaOptions, _tulipTrimaOutputs);
[BenchmarkCategory("HMA")]
[Benchmark(Description = "Tulip HMA")]
public void Tulip_Hma() => Tulip.Indicators.hma.Run(_tulipHmaInputs, _tulipHmaOptions, _tulipHmaOutputs);
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "TALib TRIMA")]
public Core.RetCode TALib_Trima() => TALib.Functions.Trima<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("HMA")]
[Benchmark(Description = "Skender HMA")]
public object Skender_Hma() => _quotes.GetHma(Period);
// ==================== DEMA ====================
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Span)")]
public void QuanTAlib_Dema_Span() => Dema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Batch)")]
public TSeries QuanTAlib_Dema_TSeries() => Dema.Calculate(_closeTseries, Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Streaming)")]
public void QuanTAlib_Dema_Streaming()
{
var dema = new Dema(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = dema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Eventing)")]
public void QuanTAlib_Dema_Eventing()
{
var source = new TSeries();
var dema = new Dema(source, Period);
for (int i = 0; i < _closeValues.Length; i++)
{
source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
_quantalibOutput[i] = dema.Last.Value;
}
}
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "Tulip DEMA")]
public void Tulip_Dema() => Tulip.Indicators.dema.Run(_tulipDemaInputs, _tulipDemaOptions, _tulipDemaOutputs);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "TALib DEMA")]
public Core.RetCode TALib_Dema() => TALib.Functions.Dema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "Skender DEMA")]
public object Skender_Dema() => _quotes.GetDema(Period);
// ==================== TEMA ====================
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Span)")]
public void QuanTAlib_Tema_Span() => Tema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Batch)")]
public TSeries QuanTAlib_Tema_TSeries() => Tema.Calculate(_closeTseries, Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Streaming)")]
public void QuanTAlib_Tema_Streaming()
{
var tema = new Tema(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = tema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Eventing)")]
public void QuanTAlib_Tema_Eventing()
{
var source = new TSeries();
var tema = new Tema(source, Period);
for (int i = 0; i < _closeValues.Length; i++)
{
source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
_quantalibOutput[i] = tema.Last.Value;
}
}
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "Tulip TEMA")]
public void Tulip_Tema() => Tulip.Indicators.tema.Run(_tulipTemaInputs, _tulipTemaOptions, _tulipTemaOutputs);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "TALib TEMA")]
public Core.RetCode TALib_Tema() => TALib.Functions.Tema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "Skender TEMA")]
public object Skender_Tema() => _quotes.GetTema(Period);
[BenchmarkCategory("HMA")]
[Benchmark(Description = "Ooples HMA")]
public object Ooples_Hma() => new StockData(_ooplesData).CalculateHullMovingAverage(MovingAvgType.WeightedMovingAverage, Period);
}
perf/perf.csproj
+1
View File
@@ -14,6 +14,7 @@
<ItemGroup>
<!-- Comparison libraries -->
<PackageReference Include="OoplesFinance.StockIndicators" Version="1.0.53" />
<PackageReference Include="Skender.Stock.Indicators" Version="2.6.1" />
<PackageReference Include="Tulip.NETCore" Version="0.8.0.1" />
<PackageReference Include="TALib.NETCore" Version="0.5.0" />