v0.8.7: Replace periodic ResyncInterval with Kahan compensated summation

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
+15 -31
View File
@@ -31,17 +31,15 @@ public sealed class Vhf : AbstractBase
[StructLayout(LayoutKind.Auto)]
private record struct State(
double DiffSum,
double DiffSumComp,
double PrevClose,
double LastValidValue,
int TickCount,
bool HasPrevClose
);
private State _s;
private State _ps;
private const int ResyncInterval = 1000;
/// <summary>
/// Creates VHF with specified lookback period.
/// </summary>
@@ -58,7 +56,7 @@ public sealed class Vhf : AbstractBase
_diffBuffer = new RingBuffer(period); // period absolute differences
Name = $"Vhf({period})";
WarmupPeriod = period + 1;
_s = new State(0, 0, 0, 0, false);
_s = default;
_ps = _s;
}
@@ -116,11 +114,14 @@ public sealed class Vhf : AbstractBase
absDiff = Math.Abs(val - s.PrevClose);
}
// Update diff buffer running sum
// Update diff buffer running sum — Kahan compensated
if (s.HasPrevClose)
{
double diffRemoved = _diffBuffer.Count == _diffBuffer.Capacity ? _diffBuffer.Oldest : 0.0;
s.DiffSum = s.DiffSum - diffRemoved + absDiff;
double delta = absDiff - diffRemoved - s.DiffSumComp;
double newSum = s.DiffSum + delta;
s.DiffSumComp = (newSum - s.DiffSum) - delta;
s.DiffSum = newSum;
_diffBuffer.Add(absDiff);
}
@@ -129,14 +130,6 @@ public sealed class Vhf : AbstractBase
s.PrevClose = val;
s.HasPrevClose = true;
// Resync to prevent floating-point drift
s.TickCount++;
if (_diffBuffer.IsFull && s.TickCount >= ResyncInterval)
{
s.TickCount = 0;
s.DiffSum = _diffBuffer.RecalculateSum();
}
}
else
{
@@ -151,6 +144,7 @@ public sealed class Vhf : AbstractBase
double newAbsDiff = Math.Abs(val - prevCloseForDiff);
_diffBuffer.UpdateNewest(newAbsDiff);
s.DiffSum = _diffBuffer.Sum;
s.DiffSumComp = 0;
}
}
@@ -327,6 +321,7 @@ public sealed class Vhf : AbstractBase
try
{
double diffSum = 0;
double diffSumComp = 0;
double lastValid = 0;
double prevClose = 0;
bool hasPrevClose = false;
@@ -334,7 +329,6 @@ public sealed class Vhf : AbstractBase
int closeFilled = 0;
int diffIdx = 0;
int diffFilled = 0;
int tickCount = 0;
// Find first valid value to seed lastValid
for (int k = 0; k < len; k++)
@@ -363,12 +357,14 @@ public sealed class Vhf : AbstractBase
{
double absDiff = Math.Abs(val - prevClose);
// Update diff buffer
if (diffFilled >= period)
// Kahan-compensated update for diff buffer
{
diffSum -= diffBuf[diffIdx];
double deltaD = absDiff - (diffFilled >= period ? diffBuf[diffIdx] : 0);
double yD = deltaD - diffSumComp;
double tD = diffSum + yD;
diffSumComp = (tD - diffSum) - yD;
diffSum = tD;
}
diffSum += absDiff;
diffBuf[diffIdx] = absDiff;
if (diffFilled < period)
{
@@ -396,18 +392,6 @@ public sealed class Vhf : AbstractBase
prevClose = val;
hasPrevClose = true;
// Resync diff sum
tickCount++;
if (diffFilled >= period && tickCount >= ResyncInterval)
{
tickCount = 0;
double recalc = 0;
for (int k = 0; k < period; k++)
{
recalc += diffBuf[k];
}
diffSum = recalc;
}
// Calculate VHF
if (closeFilled >= closeBufSize && diffFilled >= period)