feat: Add Cumulative Moving Average (CMA) implementation with detailed documentation

- Introduced Cma class for calculating the Cumulative Moving Average using Welford's algorithm with FMA for precision.
- Added methods for batch processing and streaming updates.
- Implemented a comprehensive markdown documentation for CMA, covering its mathematical foundation, performance profile, and use cases.
- Enhanced existing trend indicators (Bessel, Butter, Htit, Jma, Mama, Ssf, Vidya) with FMA for improved numerical stability and precision.
- Updated Adosc to utilize a single-pass algorithm for performance optimization.
- Fixed date initialization in benchmarks to ensure UTC consistency.
This commit is contained in:
Miha Kralj
2025-12-29 09:34:37 -08:00
parent 43ce6e63e4
commit 16a21a5b65
26 changed files with 1816 additions and 142 deletions
+18 -2
View File
@@ -9,10 +9,26 @@ namespace QuanTAlib;
/// Implemented as struct to avoid heap allocations in high-frequency event dispatch.
/// </summary>
[StructLayout(LayoutKind.Auto)]
public readonly struct TBarEventArgs
public readonly struct TBarEventArgs : IEquatable<TBarEventArgs>
{
public TBar Value { get; init; }
public bool IsNew { get; init; }
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool Equals(TBarEventArgs other) =>
Value.Equals(other.Value) && IsNew == other.IsNew;
public override bool Equals(object? obj) =>
obj is TBarEventArgs other && Equals(other);
public override int GetHashCode() =>
HashCode.Combine(Value, IsNew);
public static bool operator ==(TBarEventArgs left, TBarEventArgs right) =>
left.Equals(right);
public static bool operator !=(TBarEventArgs left, TBarEventArgs right) =>
!left.Equals(right);
}
/// <summary>
@@ -277,4 +293,4 @@ public class TBarSeries : IReadOnlyList<TBar>
IEnumerator<TBar> IEnumerable<TBar>.GetEnumerator() => GetEnumerator();
IEnumerator IEnumerable.GetEnumerator() => GetEnumerator();
}
}
+18 -1
View File
@@ -1,3 +1,4 @@
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
namespace QuanTAlib;
@@ -7,10 +8,26 @@ namespace QuanTAlib;
/// Implemented as struct to avoid heap allocations in high-frequency event dispatch.
/// </summary>
[StructLayout(LayoutKind.Auto)]
public readonly struct TValueEventArgs
public readonly struct TValueEventArgs : IEquatable<TValueEventArgs>
{
public TValue Value { get; init; }
public bool IsNew { get; init; }
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool Equals(TValueEventArgs other) =>
Value.Equals(other.Value) && IsNew == other.IsNew;
public override bool Equals(object? obj) =>
obj is TValueEventArgs other && Equals(other);
public override int GetHashCode() =>
HashCode.Combine(Value, IsNew);
public static bool operator ==(TValueEventArgs left, TValueEventArgs right) =>
left.Equals(right);
public static bool operator !=(TValueEventArgs left, TValueEventArgs right) =>
!left.Equals(right);
}
// Performance-focused event args struct; not derived from EventArgs by design.