feat: add DMH (Ehlers Directional Movement with Hann) indicator

2026-08-19 19:18:05 +00:00 · 2026-03-17 13:35:03 -07:00
parent 4552d8529d
commit 4fa29c04b7
15 changed files with 1419 additions and 0 deletions
@@ -0,0 +1,384 @@
+using System.Buffers;
+using System.Runtime.CompilerServices;
+using System.Runtime.InteropServices;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// DMH: Ehlers Directional Movement with Hann Windowing
+/// </summary>
+/// <remarks>
+/// Three-stage pipeline: DM extraction → EMA smoothing → Hann FIR filter.
+/// Provides smoother directional movement with reduced lag via Hann windowing.
+///
+/// Calculation: <c>DMH = HannFIR(EMA(PlusDM - MinusDM))</c>
+/// </remarks>
+/// <seealso href="Dmh.md">Detailed documentation</seealso>
+[SkipLocalsInit]
+public sealed class Dmh : ITValuePublisher
+{
+    private readonly int _period;
+    private readonly double _sf;           // 1.0 / period (EMA smoothing factor)
+    private readonly double[] _hannCoeffs; // Precomputed Hann window coefficients
+    private readonly double _coefSum;      // Sum of all Hann coefficients
+    private readonly RingBuffer _emaBuf;   // EMA history for FIR scan
+
+    private TBar _prevBar;
+    private TBar _lastInput;
+    private bool _isInitialized;
+    private double _ema;
+    private int _count;
+
+    // Snapshot state for bar correction
+    private TBar _p_prevBar;
+    private TBar _p_lastInput;
+    private bool _p_isInitialized;
+    private double _p_ema;
+    private int _p_count;
+    private RingBuffer.SnapshotToken _p_emaBufToken;
+
+    public string Name { get; }
+    public event TValuePublishedHandler? Pub;
+    public TValue Last { get; private set; }
+    public int WarmupPeriod { get; }
+
+    /// <summary>
+    /// True when the indicator has enough data for valid calculations.
+    /// </summary>
+    public bool IsHot => _count >= WarmupPeriod;
+
+    public Dmh(int period = 14)
+    {
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be >= 1.");
+        }
+
+        _period = period;
+        _sf = 1.0 / period;
+        Name = $"Dmh({period})";
+        WarmupPeriod = period + 1;
+
+        // Precompute Hann window coefficients: w(k) = 1 - cos(2π·k / (period + 1))
+        _hannCoeffs = new double[period];
+        double sum = 0;
+        double denom = period + 1.0;
+        for (int k = 0; k < period; k++)
+        {
+            double w = 1.0 - Math.Cos(2.0 * Math.PI * (k + 1) / denom);
+            _hannCoeffs[k] = w;
+            sum += w;
+        }
+        _coefSum = sum;
+
+        _emaBuf = new RingBuffer(period);
+        _isInitialized = false;
+        _ema = 0;
+        _count = 0;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public void Reset()
+    {
+        _prevBar = default;
+        _lastInput = default;
+        _isInitialized = false;
+        _ema = 0;
+        _count = 0;
+        _emaBuf.Clear();
+        Last = default;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public TValue Update(TBar input, bool isNew = true)
+    {
+        if (isNew)
+        {
+            // Snapshot state BEFORE mutations
+            _p_prevBar = _prevBar;
+            _p_lastInput = _lastInput;
+            _p_isInitialized = _isInitialized;
+            _p_ema = _ema;
+            _p_count = _count;
+            _p_emaBufToken = _emaBuf.GetSnapshot();
+
+            if (_isInitialized)
+            {
+                _prevBar = _lastInput;
+            }
+            else
+            {
+                _isInitialized = true;
+            }
+
+            _count++;
+        }
+        else
+        {
+            // Restore state from snapshot
+            _prevBar = _p_prevBar;
+            _lastInput = _p_lastInput;
+            _isInitialized = _p_isInitialized;
+            _ema = _p_ema;
+            _count = _p_count;
+            _emaBuf.RestoreSnapshot(_p_emaBufToken);
+
+            if (_isInitialized)
+            {
+                _prevBar = _lastInput;
+            }
+
+            _count++;
+        }
+
+        _lastInput = input;
+
+        // Stage 1: Classic DM extraction
+        double plusDM = 0;
+        double minusDM = 0;
+
+        if (_prevBar.Time != 0)
+        {
+            double upMove = input.High - _prevBar.High;
+            double downMove = _prevBar.Low - input.Low;
+
+            if (upMove > downMove && upMove > 0)
+            {
+                plusDM = upMove;
+            }
+
+            if (downMove > upMove && downMove > 0)
+            {
+                minusDM = downMove;
+            }
+        }
+
+        // Stage 2: EMA smoothing
+        // EMA = SF * (PlusDM - MinusDM) + (1 - SF) * EMA
+        double dmDiff = plusDM - minusDM;
+        _ema = Math.FusedMultiplyAdd(_sf, dmDiff - _ema, _ema);
+
+        // Add EMA to ring buffer
+        _emaBuf.Add(_ema);
+
+        // Stage 3: Hann FIR filter on EMA history
+        double dmhValue = ComputeHannFir();
+
+        // NaN/Infinity guard
+        if (!double.IsFinite(dmhValue))
+        {
+            dmhValue = Last.Value;
+        }
+
+        Last = new TValue(input.Time, dmhValue);
+        Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
+        return Last;
+    }
+
+    public TSeries Update(TBarSeries source)
+    {
+        int count = source.Count;
+        if (count == 0)
+        {
+            return [];
+        }
+
+        var t = new List<long>(count);
+        var v = new List<double>(count);
+        CollectionsMarshal.SetCount(t, count);
+        CollectionsMarshal.SetCount(v, count);
+
+        var tSpan = CollectionsMarshal.AsSpan(t);
+        var vSpan = CollectionsMarshal.AsSpan(v);
+
+        Batch(source.High.Values, source.Low.Values, _period, vSpan);
+        source.Close.Times.CopyTo(tSpan);
+
+        // Restore streaming state by replaying tail bars
+        Reset();
+        int replayStart = Math.Max(0, count - (2 * _period));
+        for (int i = replayStart; i < count; i++)
+        {
+            Update(source[i], isNew: true);
+        }
+
+        Last = new TValue(tSpan[count - 1], vSpan[count - 1]);
+        return new TSeries(t, v);
+    }
+
+    /// <summary>
+    /// Initializes the indicator state using the provided bar series history.
+    /// </summary>
+    public void Prime(TBarSeries source)
+    {
+        Reset();
+        if (source.Count == 0)
+        {
+            return;
+        }
+
+        for (int i = 0; i < source.Count; i++)
+        {
+            Update(source[i], isNew: true);
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private double ComputeHannFir()
+    {
+        int available = _emaBuf.Count;
+        if (available == 0 || _coefSum == 0)
+        {
+            return 0;
+        }
+
+        // Hann FIR: Σ(w(k) * EMA[k-1]) / Σ(w(k)) for k=1..period
+        // EMA[count-1] in Ehlers notation: count=1 → newest, count=2 → one ago, etc.
+        // RingBuffer: index [Count-1] = newest, [Count-2] = one ago, etc.
+        double dmSum = 0;
+        double coefUsed = 0;
+        int scanLen = Math.Min(_period, available);
+
+        for (int k = 0; k < scanLen; k++)
+        {
+            double w = _hannCoeffs[k];
+            // k=0 → EMA[0] (Ehlers count=1 → current EMA) → buffer newest → index [Count-1-k]
+            double emaVal = _emaBuf[^(k + 1)];
+            dmSum = Math.FusedMultiplyAdd(w, emaVal, dmSum);
+            coefUsed += w;
+        }
+
+        return coefUsed > 0 ? dmSum / coefUsed : 0;
+    }
+
+    public static void Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low,
+                             int period, Span<double> destination)
+    {
+        int len = high.Length;
+        if (len == 0)
+        {
+            return;
+        }
+
+        if (low.Length != len || destination.Length != len)
+        {
+            throw new ArgumentException("All input spans must have the same length.", nameof(destination));
+        }
+
+        if (period < 1)
+        {
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be >= 1.");
+        }
+
+        double sf = 1.0 / period;
+
+        // Precompute Hann coefficients
+        const int StackallocThreshold = 64;
+        double[]? hannRented = null;
+        scoped Span<double> hannCoeffs;
+
+        if (period <= StackallocThreshold)
+        {
+            hannCoeffs = stackalloc double[period];
+        }
+        else
+        {
+            hannRented = ArrayPool<double>.Shared.Rent(period);
+            hannCoeffs = hannRented.AsSpan(0, period);
+        }
+
+        double coefSum = 0;
+        double denom = period + 1.0;
+        for (int k = 0; k < period; k++)
+        {
+            double w = 1.0 - Math.Cos(2.0 * Math.PI * (k + 1) / denom);
+            hannCoeffs[k] = w;
+            coefSum += w;
+        }
+
+        // EMA buffer for FIR scan
+        double[]? emaRented = null;
+        scoped Span<double> emaBuf;
+
+        if (len <= StackallocThreshold)
+        {
+            emaBuf = stackalloc double[len];
+        }
+        else
+        {
+            emaRented = ArrayPool<double>.Shared.Rent(len);
+            emaBuf = emaRented.AsSpan(0, len);
+        }
+
+        try
+        {
+            // Stage 1 + 2: DM extraction + EMA smoothing
+            double ema = 0;
+            emaBuf[0] = 0; // First bar: no previous bar, DM=0, EMA=0
+
+            for (int i = 1; i < len; i++)
+            {
+                double upMove = high[i] - high[i - 1];
+                double downMove = low[i - 1] - low[i];
+
+                double plusDM = 0;
+                double minusDM = 0;
+
+                if (upMove > downMove && upMove > 0)
+                {
+                    plusDM = upMove;
+                }
+
+                if (downMove > upMove && downMove > 0)
+                {
+                    minusDM = downMove;
+                }
+
+                double dmDiff = plusDM - minusDM;
+                ema = Math.FusedMultiplyAdd(sf, dmDiff - ema, ema);
+                emaBuf[i] = ema;
+            }
+
+            // Stage 3: Hann FIR filter
+            for (int i = 0; i < len; i++)
+            {
+                double dmSum = 0;
+                double coefUsed = 0;
+                int scanLen = Math.Min(period, i + 1);
+
+                for (int k = 0; k < scanLen; k++)
+                {
+                    double w = hannCoeffs[k];
+                    dmSum = Math.FusedMultiplyAdd(w, emaBuf[i - k], dmSum);
+                    coefUsed += w;
+                }
+
+                destination[i] = coefUsed > 0 ? dmSum / coefUsed : 0;
+            }
+        }
+        finally
+        {
+            if (hannRented != null)
+            {
+                ArrayPool<double>.Shared.Return(hannRented);
+            }
+            if (emaRented != null)
+            {
+                ArrayPool<double>.Shared.Return(emaRented);
+            }
+        }
+    }
+
+    public static TSeries Batch(TBarSeries source, int period = 14)
+    {
+        var dmh = new Dmh(period);
+        return dmh.Update(source);
+    }
+
+    public static (TSeries Results, Dmh Indicator) Calculate(TBarSeries source, int period = 14)
+    {
+        var indicator = new Dmh(period);
+        TSeries results = indicator.Update(source);
+        return (results, indicator);
+    }
+}