feat: add RSIH (Ehlers Hann-Windowed RSI) indicator

2026-08-26 06:18:05 +00:00 · 2026-03-17 12:40:55 -07:00
parent 7db48e2418
commit 4552d8529d
16 changed files with 1386 additions and 0 deletions
@@ -0,0 +1,318 @@
+using System.Runtime.CompilerServices;
+using System.Runtime.InteropServices;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// RSIH: Ehlers Hann-Windowed RSI
+/// </summary>
+/// <remarks>
+/// A zero-mean RSI variant that uses Hann window coefficients to weight
+/// price differences, producing a bounded [-1, +1] oscillator with inherent
+/// smoothing. FIR filter — fixed lookback window, not recursive.
+///
+/// Calculation:
+/// <c>w(k) = 1 - cos(2π·k / (period + 1))  for k = 1..period</c>
+/// <c>CU = Σ w(k) · max(Close[k-1] - Close[k], 0)</c>
+/// <c>CD = Σ w(k) · max(Close[k] - Close[k-1], 0)</c>
+/// <c>RSIH = (CU - CD) / (CU + CD)</c>
+/// </remarks>
+/// <seealso href="Rsih.md">Detailed documentation</seealso>
+/// <seealso href="rsih.pine">Reference Pine Script implementation</seealso>
+[SkipLocalsInit]
+public sealed class Rsih : AbstractBase
+{
+    [StructLayout(LayoutKind.Auto)]
+    private record struct State(int Count, double LastValid)
+    {
+        public static State New() => new() { Count = 0, LastValid = 0 };
+    }
+
+    private readonly int _period;
+    private readonly double[] _hannCoeffs;
+
+    private State _s = State.New();
+    private State _ps = State.New();
+
+    // RingBuffer stores close prices — needs period+1 slots for period differences
+    private readonly RingBuffer _closeBuf;
+
+    private const double Epsilon = 1e-10;
+
+    /// <summary>
+    /// Creates RSIH with specified period.
+    /// </summary>
+    /// <param name="period">Lookback period for Hann-windowed RSI (must be ≥ 1)</param>
+    public Rsih(int period)
+    {
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), period, "Period must be at least 1.");
+        }
+
+        _period = period;
+
+        // Precompute Hann window coefficients: w(k) = 1 - cos(2π·k / (period+1))
+        _hannCoeffs = new double[period];
+        double angleStep = 2.0 * Math.PI / (period + 1);
+        for (int k = 1; k <= period; k++)
+        {
+            _hannCoeffs[k - 1] = 1.0 - Math.Cos(angleStep * k);
+        }
+
+        _closeBuf = new RingBuffer(period + 1);
+
+        Name = $"Rsih({period})";
+        WarmupPeriod = period + 1;
+    }
+
+    /// <summary>
+    /// Creates RSIH with specified source and period.
+    /// Subscribes to source.Pub event.
+    /// </summary>
+    public Rsih(ITValuePublisher source, int period) : this(period)
+    {
+        source.Pub += Handle;
+    }
+
+    /// <summary>
+    /// Creates RSIH with a TSeries source, primes from history, then subscribes.
+    /// </summary>
+    public Rsih(TSeries source, int period) : this(period)
+    {
+        Prime(source.Values);
+        if (source.Count > 0)
+        {
+            Last = new TValue(source.LastTime, Last.Value);
+        }
+        source.Pub += Handle;
+    }
+
+    public override bool IsHot => _s.Count >= _period + 1;
+
+    public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
+    {
+        if (source.Length == 0)
+        {
+            return;
+        }
+
+        _s = State.New();
+        _ps = State.New();
+        _closeBuf.Clear();
+
+        int len = source.Length;
+        for (int i = 0; i < len; i++)
+        {
+            double val = source[i];
+            if (double.IsFinite(val))
+            {
+                _s.LastValid = val;
+            }
+            else
+            {
+                val = _s.LastValid;
+            }
+
+            Step(val);
+        }
+
+        Last = new TValue(DateTime.MinValue, ComputeResult());
+        _ps = _s;
+        _closeBuf.Snapshot();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private static double GetValidValue(double input, ref State s)
+    {
+        if (double.IsFinite(input))
+        {
+            s.LastValid = input;
+            return input;
+        }
+        return s.LastValid;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    public override TValue Update(TValue input, bool isNew = true)
+    {
+        if (isNew)
+        {
+            _ps = _s;
+            _closeBuf.Snapshot();
+        }
+        else
+        {
+            _s = _ps;
+            _closeBuf.Restore();
+        }
+
+        double val = GetValidValue(input.Value, ref _s);
+        Step(val);
+        double result = ComputeResult();
+
+        Last = new TValue(input.Time, result);
+        PubEvent(Last, isNew);
+        return Last;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveOptimization)]
+    public override TSeries Update(TSeries source)
+    {
+        if (source.Count == 0)
+        {
+            return [];
+        }
+
+        int len = source.Count;
+        var t = new List<long>(len);
+        var v = new List<double>(len);
+        CollectionsMarshal.SetCount(t, len);
+        CollectionsMarshal.SetCount(v, len);
+
+        var tSpan = CollectionsMarshal.AsSpan(t);
+        var vSpan = CollectionsMarshal.AsSpan(v);
+
+        source.Times.CopyTo(tSpan);
+
+        Reset();
+        for (int i = 0; i < len; i++)
+        {
+            double val = source.Values[i];
+            if (double.IsFinite(val))
+            {
+                _s.LastValid = val;
+            }
+            else
+            {
+                val = _s.LastValid;
+            }
+
+            Step(val);
+            vSpan[i] = ComputeResult();
+        }
+
+        _ps = _s;
+        _closeBuf.Snapshot();
+        Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
+
+        return new TSeries(t, v);
+    }
+
+    /// <summary>
+    /// Core streaming step: add close price to ring buffer.
+    /// </summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void Step(double input)
+    {
+        _s.Count++;
+        _closeBuf.Add(input);
+    }
+
+    /// <summary>
+    /// Computes RSIH from the close buffer using Hann-weighted CU/CD sums.
+    /// </summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    private double ComputeResult()
+    {
+        int available = Math.Min(_s.Count, _period + 1);
+        int pairs = available - 1;
+        if (pairs <= 0)
+        {
+            return 0.0;
+        }
+
+        double cu = 0.0;
+        double cd = 0.0;
+
+        // k = 1..pairs: newer = closeBuf[available - k], older = closeBuf[available - k - 1]
+        // Hann coeff index = k - 1 (0-based)
+        int effectivePairs = Math.Min(pairs, _period);
+        for (int k = 1; k <= effectivePairs; k++)
+        {
+            double newer = _closeBuf[available - k];
+            double older = _closeBuf[available - k - 1];
+            double diff = newer - older;
+            double w = _hannCoeffs[k - 1];
+
+            if (diff > 0.0)
+            {
+                cu = Math.FusedMultiplyAdd(w, diff, cu);
+            }
+            else if (diff < 0.0)
+            {
+                cd = Math.FusedMultiplyAdd(w, -diff, cd);
+            }
+        }
+
+        double denom = cu + cd;
+        return denom > Epsilon ? (cu - cd) / denom : 0.0;
+    }
+
+    /// <summary>
+    /// Batch calculation returning a TSeries.
+    /// </summary>
+    public static TSeries Batch(TSeries source, int period)
+    {
+        var indicator = new Rsih(period);
+        return indicator.Update(source);
+    }
+
+    /// <summary>
+    /// Batch calculation writing to a pre-allocated output span. Zero-allocation hot path.
+    /// </summary>
+    public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
+    {
+        if (source.Length != output.Length)
+        {
+            throw new ArgumentException("Source and output must have the same length", nameof(output));
+        }
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), period, "Period must be at least 1.");
+        }
+
+        if (source.Length == 0)
+        {
+            return;
+        }
+
+        var indicator = new Rsih(period);
+        for (int i = 0; i < source.Length; i++)
+        {
+            double val = source[i];
+            if (double.IsFinite(val))
+            {
+                indicator._s.LastValid = val;
+            }
+            else
+            {
+                val = indicator._s.LastValid;
+            }
+
+            indicator.Step(val);
+            output[i] = indicator.ComputeResult();
+        }
+    }
+
+    /// <summary>
+    /// Creates a hot indicator from historical data, ready for streaming.
+    /// </summary>
+    public static (TSeries Results, Rsih Indicator) Calculate(TSeries source, int period)
+    {
+        var indicator = new Rsih(period);
+        TSeries results = indicator.Update(source);
+        return (results, indicator);
+    }
+
+    public override void Reset()
+    {
+        _s = State.New();
+        _ps = _s;
+        _closeBuf.Clear();
+        Last = default;
+    }
+}