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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 04:58:08 +00:00
Refactor error handling and calculations in TheilU, Wmape, and TukeyBiweight classes; update buffer handling for consistency
- Updated buffer handling in TheilU and Wmape classes to ensure consistency after adding new values. - Changed the resync interval constant in TukeyBiweight for better clarity. - Refactored state structures to record structs in Gauss, Hann, Hp, Hpf, Kalman, Loess, Notch, and other filter classes for improved performance and readability. - Enhanced numerical stability in Mama class calculations using Fused Multiply-Add (FMA) for precision. - Added comprehensive tests for Atan2 validation to compare .NET's Math.Atan2 with PineScript's implementation, ensuring accuracy across various edge cases. - Updated NDepend badges to reflect changes in classes, methods, and lines of code.
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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/// A monotonic deque for O(1) amortized sliding window min/max queries.
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/// Maintains elements in strictly monotonic order (non-increasing for max, non-decreasing for min).
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/// Used by channel indicators (Donchian, MinMax) for efficient rolling extrema.
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/// </summary>
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/// <remarks>
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/// Algorithm: For each new element, expire indices outside the window, then pop elements
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/// from the back that would violate monotonicity, then push the new index.
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/// Time complexity: O(1) amortized per operation (each element pushed/popped at most once).
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/// Space complexity: O(period) for the deque array.
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/// </remarks>
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[SkipLocalsInit]
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public sealed class MonotonicDeque
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{
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private readonly int[] _deque;
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private readonly int _period;
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private int _head;
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private int _count;
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/// <summary>
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/// Gets the current front index (the index of the current extremum).
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/// </summary>
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public int FrontIndex => _count > 0 ? _deque[_head] : -1;
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/// <summary>
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/// Gets the current element count in the deque.
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/// </summary>
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public int Count => _count;
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/// <summary>
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/// Creates a new monotonic deque with the specified period.
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/// </summary>
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/// <param name="period">The sliding window size.</param>
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public MonotonicDeque(int period)
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{
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if (period <= 0)
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throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than 0");
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_period = period;
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_deque = new int[period];
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_head = 0;
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_count = 0;
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}
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/// <summary>
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/// Pushes a value for maximum tracking (maintains non-increasing order).
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/// Smaller or equal values are removed from the back before pushing.
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/// </summary>
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/// <param name="logicalIndex">The logical index of the value (used for expiration).</param>
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/// <param name="value">The value to push.</param>
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/// <param name="buffer">The circular buffer containing values (indexed by logicalIndex % period).</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void PushMax(long logicalIndex, double value, double[] buffer)
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{
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// Expire old indices outside the window
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long expire = logicalIndex - _period;
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while (_count > 0 && _deque[_head] <= expire)
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{
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_head = (_head + 1) % _period;
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_count--;
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}
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// Pop elements from back that are <= value (maintain non-increasing order)
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while (_count > 0)
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{
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int backIdx = (_head + _count - 1) % _period;
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int bufIdx = _deque[backIdx] % _period;
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if (buffer[bufIdx] <= value)
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{
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_count--;
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}
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else
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{
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break;
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}
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}
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// Push new index
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int tail = (_head + _count) % _period;
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_deque[tail] = (int)logicalIndex;
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_count++;
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}
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/// <summary>
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/// Pushes a value for minimum tracking (maintains non-decreasing order).
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/// Larger or equal values are removed from the back before pushing.
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/// </summary>
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/// <param name="logicalIndex">The logical index of the value (used for expiration).</param>
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/// <param name="value">The value to push.</param>
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/// <param name="buffer">The circular buffer containing values (indexed by logicalIndex % period).</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void PushMin(long logicalIndex, double value, double[] buffer)
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{
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// Expire old indices outside the window
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long expire = logicalIndex - _period;
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while (_count > 0 && _deque[_head] <= expire)
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{
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_head = (_head + 1) % _period;
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_count--;
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}
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// Pop elements from back that are >= value (maintain non-decreasing order)
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while (_count > 0)
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{
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int backIdx = (_head + _count - 1) % _period;
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int bufIdx = _deque[backIdx] % _period;
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if (buffer[bufIdx] >= value)
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{
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_count--;
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}
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else
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{
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break;
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}
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}
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// Push new index
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int tail = (_head + _count) % _period;
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_deque[tail] = (int)logicalIndex;
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_count++;
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}
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/// <summary>
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/// Gets the current extremum value from the buffer.
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/// </summary>
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/// <param name="buffer">The circular buffer containing values.</param>
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/// <returns>The value at the front of the deque, or NaN if empty.</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public double GetExtremum(double[] buffer)
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{
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return _count > 0 ? buffer[_deque[_head] % _period] : double.NaN;
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}
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/// <summary>
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/// Resets the deque to empty state.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Reset()
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{
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_head = 0;
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_count = 0;
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}
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/// <summary>
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/// Rebuilds the max deque from scratch using the buffer contents.
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/// Used after bar corrections (isNew=false) to maintain consistency.
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/// </summary>
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/// <param name="buffer">The circular buffer containing values.</param>
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/// <param name="currentIndex">The current logical index.</param>
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/// <param name="count">The number of valid elements in the buffer.</param>
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public void RebuildMax(double[] buffer, long currentIndex, int count)
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{
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Reset();
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if (count == 0) return;
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long startLogical = currentIndex - count + 1;
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for (int i = 0; i < count; i++)
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{
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long logicalIndex = startLogical + i;
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int bufIdx = (int)(logicalIndex % _period);
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PushMax(logicalIndex, buffer[bufIdx], buffer);
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}
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}
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/// <summary>
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/// Rebuilds the min deque from scratch using the buffer contents.
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/// Used after bar corrections (isNew=false) to maintain consistency.
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/// </summary>
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/// <param name="buffer">The circular buffer containing values.</param>
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/// <param name="currentIndex">The current logical index.</param>
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/// <param name="count">The number of valid elements in the buffer.</param>
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public void RebuildMin(double[] buffer, long currentIndex, int count)
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{
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Reset();
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if (count == 0) return;
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long startLogical = currentIndex - count + 1;
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for (int i = 0; i < count; i++)
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{
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long logicalIndex = startLogical + i;
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int bufIdx = (int)(logicalIndex % _period);
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PushMin(logicalIndex, buffer[bufIdx], buffer);
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}
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}
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}
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