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feat(statistics): add Variance indicator with O(1) calculation and usage example

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Miha Kralj
2025-12-25 17:18:41 -08:00
parent 9ba89812cd
commit 4ff6dc0ad9
61 changed files with 6069 additions and 99 deletions
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lib/trends/kama/Kama.cs
+8 -4
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@@ -164,7 +164,8 @@ public sealed class Kama : AbstractBase
// Cap ER at 1.0 just in case floating point errors push it slightly over
if (er > 1.0) er = 1.0;
double sc = er * (_fastAlpha - _slowAlpha) + _slowAlpha;
// double sc = er * (_fastAlpha - _slowAlpha) + _slowAlpha; // skipcq: S125
double sc = Math.FusedMultiplyAdd(er, _fastAlpha - _slowAlpha, _slowAlpha);
sc *= sc;
double prevKama = _p_state.Kama;
@@ -173,7 +174,8 @@ public sealed class Kama : AbstractBase
prevKama = _state.Kama;
}
_state.Kama = prevKama + sc * (val - prevKama);
// _state.Kama = prevKama + sc * (val - prevKama); // skipcq: S125
_state.Kama = Math.FusedMultiplyAdd(sc, val - prevKama, prevKama);
}
Last = new TValue(input.Time, _state.Kama);
@@ -314,10 +316,12 @@ public sealed class Kama : AbstractBase
double er = (volatilitySum > 1e-10) ? change / volatilitySum : 0.0;
if (er > 1.0) er = 1.0;
double sc = er * (fastAlpha - slowAlpha) + slowAlpha;
// double sc = er * (fastAlpha - slowAlpha) + slowAlpha; // skipcq: S125
double sc = Math.FusedMultiplyAdd(er, fastAlpha - slowAlpha, slowAlpha);
sc *= sc;
kama += sc * (val - kama);
// kama += sc * (val - kama); // skipcq: S125
kama = Math.FusedMultiplyAdd(sc, val - kama, kama);
output[i] = kama;
}
}