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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-18 02:28:05 +00:00
Add Aroon Indicator implementation and tests
- 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
+72
-142
@@ -9,6 +9,9 @@ using QuanTAlib.Benchmarks;
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using Skender.Stock.Indicators;
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using TALib;
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using Tulip;
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using OoplesFinance.StockIndicators;
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using OoplesFinance.StockIndicators.Models;
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using OoplesFinance.StockIndicators.Enums;
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namespace QuanTAlib.Benchmarks;
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@@ -40,12 +43,13 @@ public static class Program
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[GroupBenchmarksBy(BenchmarkLogicalGroupRule.ByCategory)]
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public class IndicatorBenchmarks
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{
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private const int BarCount = 200_000;
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private const int Period = 100;
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private const int BarCount = 500_000;
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private const int Period = 220;
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private double[] _closeValues = null!;
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private TSeries _closeTseries = null!;
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private List<Quote> _quotes = null!;
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private List<TickerData> _ooplesData = null!;
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// Pre-allocated outputs for TA-Lib
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private double[] _talibOutput = null!;
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@@ -60,15 +64,9 @@ public class IndicatorBenchmarks
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private double[][] _tulipWmaInputs = null!;
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private double[] _tulipWmaOptions = null!;
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private double[][] _tulipWmaOutputs = null!;
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private double[][] _tulipTrimaInputs = null!;
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private double[] _tulipTrimaOptions = null!;
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private double[][] _tulipTrimaOutputs = null!;
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private double[][] _tulipDemaInputs = null!;
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private double[] _tulipDemaOptions = null!;
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private double[][] _tulipDemaOutputs = null!;
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private double[][] _tulipTemaInputs = null!;
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private double[] _tulipTemaOptions = null!;
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private double[][] _tulipTemaOutputs = null!;
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private double[][] _tulipHmaInputs = null!;
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private double[] _tulipHmaOptions = null!;
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private double[][] _tulipHmaOutputs = null!;
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// Pre-allocated outputs for QuanTAlib Span API
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private double[] _quantalibOutput = null!;
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@@ -98,6 +96,21 @@ public class IndicatorBenchmarks
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});
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}
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// Create Ooples TickerData format
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_ooplesData = new List<TickerData>(BarCount);
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for (int i = 0; i < BarCount; i++)
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{
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_ooplesData.Add(new TickerData
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{
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Date = new DateTime(_closeTseries.Times[i]),
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Open = bars.Open.Values[i],
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High = bars.High.Values[i],
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Low = bars.Low.Values[i],
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Close = _closeValues[i],
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Volume = bars.Volume.Values[i]
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});
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}
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// Pre-allocate TA-Lib output
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_talibOutput = new double[BarCount];
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@@ -115,19 +128,10 @@ public class IndicatorBenchmarks
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_tulipWmaOptions = new double[] { Period };
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_tulipWmaOutputs = new[] { new double[BarCount - smaLookback] };
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_tulipTrimaInputs = new[] { _closeValues };
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_tulipTrimaOptions = new double[] { Period };
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_tulipTrimaOutputs = new[] { new double[BarCount - smaLookback] };
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int demaLookback = 2 * (Period - 1);
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_tulipDemaInputs = new[] { _closeValues };
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_tulipDemaOptions = new double[] { Period };
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_tulipDemaOutputs = new[] { new double[BarCount - demaLookback] };
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int temaLookback = 3 * (Period - 1);
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_tulipTemaInputs = new[] { _closeValues };
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_tulipTemaOptions = new double[] { Period };
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_tulipTemaOutputs = new[] { new double[BarCount - temaLookback] };
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int hmaLookback = Period + (int)Math.Sqrt(Period) - 2;
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_tulipHmaInputs = new[] { _closeValues };
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_tulipHmaOptions = new double[] { Period };
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_tulipHmaOutputs = new[] { new double[BarCount - hmaLookback] };
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// Pre-allocate QuanTAlib output
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_quantalibOutput = new double[BarCount];
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@@ -136,11 +140,11 @@ public class IndicatorBenchmarks
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// ==================== SMA ====================
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[BenchmarkCategory("SMA")]
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[Benchmark(Description = "QuanTAlib SMA (Span)")]
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public void QuanTAlib_Sma_Span() => Sma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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public void QuanTAlib_Sma_Span() => Sma.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("SMA")]
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[Benchmark(Description = "QuanTAlib SMA (Batch)")]
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public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period);
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public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period).Results;
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[BenchmarkCategory("SMA")]
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[Benchmark(Description = "QuanTAlib SMA (Streaming)")]
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@@ -178,14 +182,18 @@ public class IndicatorBenchmarks
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[Benchmark(Description = "Skender SMA")]
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public object Skender_Sma() => _quotes.GetSma(Period);
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[BenchmarkCategory("SMA")]
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[Benchmark(Description = "Ooples SMA")]
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public object Ooples_Sma() => new StockData(_ooplesData).CalculateSimpleMovingAverage(Period);
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// ==================== EMA ====================
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[BenchmarkCategory("EMA")]
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[Benchmark(Description = "QuanTAlib EMA (Span)")]
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public void QuanTAlib_Ema_Span() => Ema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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public void QuanTAlib_Ema_Span() => Ema.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("EMA")]
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[Benchmark(Description = "QuanTAlib EMA (Batch)")]
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public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period);
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public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period).Results;
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[BenchmarkCategory("EMA")]
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[Benchmark(Description = "QuanTAlib EMA (Streaming)")]
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@@ -223,14 +231,18 @@ public class IndicatorBenchmarks
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[Benchmark(Description = "Skender EMA")]
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public object Skender_Ema() => _quotes.GetEma(Period);
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[BenchmarkCategory("EMA")]
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[Benchmark(Description = "Ooples EMA")]
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public object Ooples_Ema() => new StockData(_ooplesData).CalculateExponentialMovingAverage(Period);
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// ==================== WMA ====================
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[BenchmarkCategory("WMA")]
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[Benchmark(Description = "QuanTAlib WMA (Span)")]
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public void QuanTAlib_Wma_Span() => Wma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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public void QuanTAlib_Wma_Span() => Wma.Batch(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("WMA")]
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[Benchmark(Description = "QuanTAlib WMA (Batch)")]
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public TSeries QuanTAlib_Wma_TSeries() => Wma.Calculate(_closeTseries, Period);
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public TSeries QuanTAlib_Wma_TSeries() => Wma.Batch(_closeTseries, Period);
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[BenchmarkCategory("WMA")]
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[Benchmark(Description = "QuanTAlib WMA (Streaming)")]
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@@ -268,134 +280,52 @@ public class IndicatorBenchmarks
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[Benchmark(Description = "Skender WMA")]
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public object Skender_Wma() => _quotes.GetWma(Period);
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// ==================== TRIMA ====================
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "QuanTAlib TRIMA (Span)")]
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public void QuanTAlib_Trima_Span() => Trima.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("WMA")]
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[Benchmark(Description = "Ooples WMA")]
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public object Ooples_Wma() => new StockData(_ooplesData).CalculateWeightedMovingAverage(Period);
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "QuanTAlib TRIMA (Batch)")]
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public TSeries QuanTAlib_Trima_TSeries() => Trima.Calculate(_closeTseries, Period);
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// ==================== HMA ====================
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "QuanTAlib HMA (Span)")]
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public void QuanTAlib_Hma_Span() => Hma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "QuanTAlib TRIMA (Streaming)")]
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public void QuanTAlib_Trima_Streaming()
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "QuanTAlib HMA (Batch)")]
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public TSeries QuanTAlib_Hma_TSeries() => Hma.Batch(_closeTseries, Period);
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "QuanTAlib HMA (Streaming)")]
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public void QuanTAlib_Hma_Streaming()
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{
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var trima = new Trima(Period);
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var hma = new Hma(Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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_quantalibOutput[i] = trima.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
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_quantalibOutput[i] = hma.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
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}
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}
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "QuanTAlib TRIMA (Eventing)")]
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public void QuanTAlib_Trima_Eventing()
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "QuanTAlib HMA (Eventing)")]
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public void QuanTAlib_Hma_Eventing()
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{
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var source = new TSeries();
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var trima = new Trima(source, Period);
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var hma = new Hma(source, Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
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_quantalibOutput[i] = trima.Last.Value;
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_quantalibOutput[i] = hma.Last.Value;
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}
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}
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "Tulip TRIMA")]
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public void Tulip_Trima() => Tulip.Indicators.trima.Run(_tulipTrimaInputs, _tulipTrimaOptions, _tulipTrimaOutputs);
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "Tulip HMA")]
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public void Tulip_Hma() => Tulip.Indicators.hma.Run(_tulipHmaInputs, _tulipHmaOptions, _tulipHmaOutputs);
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[BenchmarkCategory("TRIMA")]
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[Benchmark(Description = "TALib TRIMA")]
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public Core.RetCode TALib_Trima() => TALib.Functions.Trima<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "Skender HMA")]
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public object Skender_Hma() => _quotes.GetHma(Period);
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// ==================== DEMA ====================
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "QuanTAlib DEMA (Span)")]
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public void QuanTAlib_Dema_Span() => Dema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "QuanTAlib DEMA (Batch)")]
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public TSeries QuanTAlib_Dema_TSeries() => Dema.Calculate(_closeTseries, Period);
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "QuanTAlib DEMA (Streaming)")]
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public void QuanTAlib_Dema_Streaming()
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{
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var dema = new Dema(Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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_quantalibOutput[i] = dema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
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}
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}
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "QuanTAlib DEMA (Eventing)")]
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public void QuanTAlib_Dema_Eventing()
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{
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var source = new TSeries();
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var dema = new Dema(source, Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
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_quantalibOutput[i] = dema.Last.Value;
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}
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}
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "Tulip DEMA")]
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public void Tulip_Dema() => Tulip.Indicators.dema.Run(_tulipDemaInputs, _tulipDemaOptions, _tulipDemaOutputs);
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "TALib DEMA")]
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public Core.RetCode TALib_Dema() => TALib.Functions.Dema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
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[BenchmarkCategory("DEMA")]
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[Benchmark(Description = "Skender DEMA")]
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public object Skender_Dema() => _quotes.GetDema(Period);
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// ==================== TEMA ====================
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "QuanTAlib TEMA (Span)")]
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public void QuanTAlib_Tema_Span() => Tema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "QuanTAlib TEMA (Batch)")]
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public TSeries QuanTAlib_Tema_TSeries() => Tema.Calculate(_closeTseries, Period);
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "QuanTAlib TEMA (Streaming)")]
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public void QuanTAlib_Tema_Streaming()
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{
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var tema = new Tema(Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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_quantalibOutput[i] = tema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
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}
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}
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "QuanTAlib TEMA (Eventing)")]
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public void QuanTAlib_Tema_Eventing()
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{
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var source = new TSeries();
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var tema = new Tema(source, Period);
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for (int i = 0; i < _closeValues.Length; i++)
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{
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source.Add(new TValue(_closeTseries.Times[i], _closeValues[i]));
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_quantalibOutput[i] = tema.Last.Value;
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}
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}
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "Tulip TEMA")]
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public void Tulip_Tema() => Tulip.Indicators.tema.Run(_tulipTemaInputs, _tulipTemaOptions, _tulipTemaOutputs);
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "TALib TEMA")]
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public Core.RetCode TALib_Tema() => TALib.Functions.Tema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
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[BenchmarkCategory("TEMA")]
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[Benchmark(Description = "Skender TEMA")]
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public object Skender_Tema() => _quotes.GetTema(Period);
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[BenchmarkCategory("HMA")]
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[Benchmark(Description = "Ooples HMA")]
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public object Ooples_Hma() => new StockData(_ooplesData).CalculateHullMovingAverage(MovingAvgType.WeightedMovingAverage, Period);
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}
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