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Refactor indicators to support optional time step in Prime method

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- Updated the Prime method signature in multiple indicators (Jma, Kama, Lsma, Mama, Mgdi, Pwma, Rma, Sma, Ssf, Super, T3, Tema, Trima, Usf, Vidya, Wma, Atr) to accept an optional TimeSpan parameter for improved flexibility.
- Added unit tests for Lsma to verify Dispose functionality, ensuring proper unsubscription from the source and thread safety.
- Enhanced Mama and Wma classes to handle non-finite inputs gracefully and added checks for valid parameters in constructors.
- Introduced additional tests for T3 to validate constructor behavior with invalid volume factors.
- Ensured all indicators maintain consistent behavior when handling edge cases, such as empty buffers and non-finite values.
This commit is contained in:
Miha Kralj
2025-12-28 15:14:07 -08:00
parent af7abea6e7
commit 5c3b3fbab4
43 changed files with 661 additions and 131 deletions
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lib/trends/htit/Htit.cs
+55 -32
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@@ -25,7 +25,11 @@ public sealed class Htit : AbstractBase
double I2, double Q2, double Re, double Im,
double Period, double SmoothPeriod,
double LastValidPrice, int Index
);
)
{
// Initialize LastValidPrice to NaN to detect first valid price
public State() : this(0, 0, 0, 0, 0, 0, double.NaN, 0) { }
}
private State _state;
private State _p_state;
@@ -59,7 +63,7 @@ public sealed class Htit : AbstractBase
_i1Buffer = new RingBuffer(8);
_q1Buffer = new RingBuffer(8);
_itBuffer = new RingBuffer(8);
Init();
}
@@ -77,14 +81,14 @@ public sealed class Htit : AbstractBase
{
_state = default;
_p_state = default;
_priceBuffer.Clear();
_smoothBuffer.Clear();
_detrenderBuffer.Clear();
_i1Buffer.Clear();
_q1Buffer.Clear();
_itBuffer.Clear();
Last = new TValue(DateTime.MinValue, double.NaN);
}
@@ -101,8 +105,15 @@ public sealed class Htit : AbstractBase
_state = _p_state;
}
// Handle non-finite input: skip processing if no valid price seen yet
if (!double.IsFinite(price))
{
// If we haven't seen a valid price yet, return NaN (early exit)
if (double.IsNaN(_state.LastValidPrice))
{
return double.NaN;
}
// Otherwise, use the last valid price
price = _state.LastValidPrice;
}
else
@@ -115,12 +126,13 @@ public sealed class Htit : AbstractBase
// Need enough data for smooth calculation (4 bars) + detrender (7 bars total lag)
if (_state.Index < 7)
{
// During warmup, propagate NaN if input is NaN
_smoothBuffer.Add(price, isNew);
_detrenderBuffer.Add(0, isNew);
_i1Buffer.Add(0, isNew);
_q1Buffer.Add(0, isNew);
_itBuffer.Add(price, isNew);
return price;
return price; // May be NaN if no valid input yet
}
// 1. Smooth Price
@@ -132,14 +144,14 @@ public sealed class Htit : AbstractBase
// In streaming, we use previous period from state
double prevPeriod = _p_state.Period;
double adj = (adjSlope * prevPeriod) + adjIntercept;
double detrender = (c1 * _smoothBuffer[^1] + c2 * _smoothBuffer[^3] - c2 * _smoothBuffer[^5] - c1 * _smoothBuffer[^7]) * adj;
_detrenderBuffer.Add(detrender, isNew);
// 3. In-Phase and Quadrature
double q1 = (c1 * _detrenderBuffer[^1] + c2 * _detrenderBuffer[^3] - c2 * _detrenderBuffer[^5] - c1 * _detrenderBuffer[^7]) * adj;
double i1 = _detrenderBuffer[^4];
_q1Buffer.Add(q1, isNew);
_i1Buffer.Add(i1, isNew);
@@ -207,10 +219,11 @@ public sealed class Htit : AbstractBase
// Need at least 12 bars total (Index > 11) to have valid IT history for smoothing
if (_state.Index >= 12)
{
// NaN will propagate if IT buffer contains NaN
return (4.0 * _itBuffer[^1] + 3.0 * _itBuffer[^2] + 2.0 * _itBuffer[^3] + _itBuffer[^4]) * 0.1;
}
return price;
return price; // May be NaN if no valid input yet
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -245,7 +258,7 @@ public sealed class Htit : AbstractBase
Update(args.Value, args.IsNew);
}
public override void Prime(ReadOnlySpan<double> source)
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
foreach (var value in source)
{
@@ -284,8 +297,9 @@ public sealed class Htit : AbstractBase
// State variables
double i2 = 0, q2 = 0, re = 0, im = 0;
double period = 0, smoothPeriod = 0;
double lastValidPrice = 0;
// Initialize to NaN to detect first valid price
double lastValidPrice = double.NaN;
// Previous state variables
double p_i2 = 0, p_q2 = 0, p_re = 0, p_im = 0;
double p_period = 0, p_smoothPeriod = 0;
@@ -296,9 +310,18 @@ public sealed class Htit : AbstractBase
for (int i = 0; i < source.Length; i++)
{
double price = source[i];
// Handle non-finite input: skip processing if no valid price seen yet
if (!double.IsFinite(price))
{
price = count > 0 ? lastValidPrice : 0.0;
// If we haven't seen a valid price yet, output NaN
if (double.IsNaN(lastValidPrice))
{
output[i] = double.NaN;
continue;
}
// Otherwise, use the last valid price
price = lastValidPrice;
}
else
{
@@ -315,25 +338,25 @@ public sealed class Htit : AbstractBase
if (count > 6)
{
// 1. Smooth Price
double smooth = (4.0 * priceBuffer[pIdx] +
3.0 * priceBuffer[(pIdx - 1) & Mask63] +
2.0 * priceBuffer[(pIdx - 2) & Mask63] +
double smooth = (4.0 * priceBuffer[pIdx] +
3.0 * priceBuffer[(pIdx - 1) & Mask63] +
2.0 * priceBuffer[(pIdx - 2) & Mask63] +
priceBuffer[(pIdx - 3) & Mask63]) * 0.1;
smoothBuffer[sIdx] = smooth;
// 2. Detrender
double adj = (adjSlope * p_period) + adjIntercept;
double detrender = (c1 * smoothBuffer[sIdx] +
c2 * smoothBuffer[(sIdx - 2) & Mask7] -
c2 * smoothBuffer[(sIdx - 4) & Mask7] -
double detrender = (c1 * smoothBuffer[sIdx] +
c2 * smoothBuffer[(sIdx - 2) & Mask7] -
c2 * smoothBuffer[(sIdx - 4) & Mask7] -
c1 * smoothBuffer[(sIdx - 6) & Mask7]) * adj;
detrenderBuffer[sIdx] = detrender;
// 3. In-Phase and Quadrature
double q1 = (c1 * detrender +
c2 * detrenderBuffer[(sIdx - 2) & Mask7] -
c2 * detrenderBuffer[(sIdx - 4) & Mask7] -
double q1 = (c1 * detrender +
c2 * detrenderBuffer[(sIdx - 2) & Mask7] -
c2 * detrenderBuffer[(sIdx - 4) & Mask7] -
c1 * detrenderBuffer[(sIdx - 6) & Mask7]) * adj;
q1Buffer[sIdx] = q1;
@@ -341,14 +364,14 @@ public sealed class Htit : AbstractBase
i1Buffer[sIdx] = i1;
// 4. Advance phases
double jI = (c1 * i1 +
c2 * i1Buffer[(sIdx - 2) & Mask7] -
c2 * i1Buffer[(sIdx - 4) & Mask7] -
double jI = (c1 * i1 +
c2 * i1Buffer[(sIdx - 2) & Mask7] -
c2 * i1Buffer[(sIdx - 4) & Mask7] -
c1 * i1Buffer[(sIdx - 6) & Mask7]) * adj;
double jQ = (c1 * q1 +
c2 * q1Buffer[(sIdx - 2) & Mask7] -
c2 * q1Buffer[(sIdx - 4) & Mask7] -
double jQ = (c1 * q1 +
c2 * q1Buffer[(sIdx - 2) & Mask7] -
c2 * q1Buffer[(sIdx - 4) & Mask7] -
c1 * q1Buffer[(sIdx - 6) & Mask7]) * adj;
// 5. Phasor addition
@@ -420,14 +443,14 @@ public sealed class Htit : AbstractBase
}
else
{
// Initialization
// Initialization - propagate NaN if no valid price yet
smoothBuffer[sIdx] = price;
detrenderBuffer[sIdx] = 0;
i1Buffer[sIdx] = 0;
q1Buffer[sIdx] = 0;
itBuffer[sIdx] = price;
output[i] = price;
output[i] = price; // May be NaN if no valid input yet
// Reset state variables
p_i2 = 0; p_q2 = 0; p_re = 0; p_im = 0;
p_period = 0; p_smoothPeriod = 0;