gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-17 18:18:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

v0.8.7: Replace periodic ResyncInterval with Kahan compensated summation

Browse Source 
Comprehensive refactor across all indicators replacing the periodic
ResyncInterval-based drift correction (every 1000 ticks recalculate
from scratch) with Kahan compensated summation for running sums.

Key changes:
- Remove ResyncInterval constants and TickCount fields from all State records
- Add Kahan compensation fields (SumComp, SumSqComp, etc.) to State records
- Replace naive sum += val - removed with Kahan delta pattern
- Remove Resync()/RecalculateSum() methods that did O(N) recalculation
- Update batch/SIMD paths to use Kahan compensation instead of resync loops
- IIR filters (EMA, REMA, RGMA) simplified: inherently self-correcting
- Version bump to 0.8.7
- Build system: README version stamping via Directory.Build.props
- Minor doc/test tolerance adjustments for new numerical characteristics

Affected modules: channels, core, cycles, dynamics, errors, momentum,
oscillators, statistics, trends_FIR, trends_IIR, volatility, volume
This commit is contained in:
Miha Kralj
2026-03-13 22:01:31 -07:00
parent c75135ab14
commit 67ad6f0cba
79 changed files with 2923 additions and 2495 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/core/BiInputIndicatorBase.cs
+12 -11
View File
@@ -32,10 +32,11 @@ public delegate void BiInputBatchDelegate(
///
/// Infrastructure provided:
/// - _p_state / _buffer.Snapshot() / _buffer.Restore() for bar correction (isNew semantics)
/// - RingBuffer-based sliding window with a single running sum
/// - Periodic resync every 1000 updates for floating-point drift correction
/// - RingBuffer-based sliding window with a single Kahan compensated running sum
/// - NaN/Infinity handling with last-valid-value substitution
/// - Template Method pattern: subclasses only implement ComputeError and optionally PostProcess
///
/// Kahan compensated summation prevents floating-point drift without periodic resync.
/// </remarks>
[SkipLocalsInit]
public abstract class BiInputIndicatorBase : AbstractBase
@@ -43,13 +44,11 @@ public abstract class BiInputIndicatorBase : AbstractBase
protected readonly RingBuffer _buffer;
[StructLayout(LayoutKind.Auto)]
protected record struct BiInputState(double Sum, double LastValidActual, double LastValidPredicted, int TickCount);
protected record struct BiInputState(double Sum, double Compensation, double LastValidActual, double LastValidPredicted);
protected BiInputState _state;
protected BiInputState _p_state;
protected const int ResyncInterval = 1000;
/// <summary>
/// Creates a bi-input indicator with specified period.
/// </summary>
@@ -141,15 +140,17 @@ public abstract class BiInputIndicatorBase : AbstractBase
_p_state = _state;
// Snapshot buffer state BEFORE Add so Restore can undo it
_buffer.Snapshot();
_state.Sum = _state.Sum - GetRemovedValue() + error;
_buffer.Add(error);
_state.TickCount++;
if (_buffer.IsFull && _state.TickCount >= ResyncInterval)
// Kahan compensated sliding window update
double delta = error - GetRemovedValue();
{
_state.TickCount = 0;
_state.Sum = _buffer.RecalculateSum();
double y = delta - _state.Compensation;
double t = _state.Sum + y;
_state.Compensation = (t - _state.Sum) - y;
_state.Sum = t;
}
_buffer.Add(error);
}
/// <summary>