Add Span API for SMA, EMA, and WMA with zero-allocation performance improvements

- Implemented zero-allocation methods for SMA, EMA, and WMA calculations using ReadOnlySpan and Span.
- Added unit tests for Span API to validate input, match TSeries calculations, handle NaN values, and ensure zero allocation.
- Enhanced documentation to include usage examples for the new Span API.
- Introduced performance benchmarks comparing the new Span API against existing TSeries implementations and other libraries.
This commit is contained in:
Miha Kralj
2025-11-29 20:48:01 -08:00
parent 5c1fb18520
commit 2d28b8f62a
12 changed files with 936 additions and 3 deletions
+55
View File
@@ -186,6 +186,61 @@ public class Ema
return ema.Update(source);
}
/// <summary>
/// Calculates EMA in-place using period, writing results to pre-allocated output span.
/// Zero-allocation method for maximum performance.
/// Alpha = 2 / (period + 1)
/// </summary>
/// <param name="source">Input values</param>
/// <param name="output">Output span (must be same length as source)</param>
/// <param name="period">EMA period (must be > 0)</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(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);
}
/// <summary>
/// Calculates EMA in-place using alpha, writing results to pre-allocated output span.
/// Zero-allocation method for maximum performance.
/// </summary>
/// <param name="source">Input values</param>
/// <param name="output">Output span (must be same length as source)</param>
/// <param name="alpha">Smoothing factor (0 < alpha <= 1)</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, double alpha)
{
if (source.Length != output.Length)
throw new ArgumentException("Source and output must have the same length");
if (alpha <= 0 || alpha > 1)
throw new ArgumentException("Alpha must be between 0 and 1", nameof(alpha));
int len = source.Length;
double ema = 0;
double e = 1.0;
double lastValid = 0;
double oneMinusAlpha = 1.0 - alpha;
for (int i = 0; i < len; i++)
{
double val = source[i];
if (!double.IsFinite(val))
val = lastValid;
else
lastValid = val;
ema += alpha * (val - ema);
e *= oneMinusAlpha;
// Bias correction until warmed up
output[i] = e > 1e-10 ? ema / (1.0 - e) : ema;
}
}
/// <summary>
/// Resets the EMA state.
/// </summary>