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Class optimization

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Miha
2024-10-27 16:11:08 -07:00
parent b2fcdda785
commit 6c67a0cf31
77 changed files with 2634 additions and 1455 deletions
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lib/averages/Ema.cs
+33 -62
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@@ -1,3 +1,4 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -22,43 +23,14 @@ namespace QuanTAlib;
/// </remarks>
public class Ema : AbstractBase
{
// inherited _index
// inherited _value
/// <summary>
/// The period for the EMA calculation.
/// </summary>
private readonly int _period;
/// <summary>
/// Circular buffer for SMA calculation.
/// </summary>
private CircularBuffer _sma;
/// <summary>
/// The last calculated EMA value.
/// </summary>
private double _lastEma, _p_lastEma;
/// <summary>
/// Compensator for early EMA values.
/// </summary>
private double _e, _p_e;
/// <summary>
/// The smoothing factor for EMA calculation.
/// </summary>
private readonly double _k;
/// <summary>
/// Flags to track initialization status.
/// </summary>
private bool _isInit, _p_isInit;
/// <summary>
/// Flag to determine whether to use SMA for initial values.
/// </summary>
private readonly bool _useSma;
private readonly double _epsilon = 1e-10;
private CircularBuffer _sma;
private double _lastEma, _p_lastEma;
private double _e, _p_e;
private bool _isInit, _p_isInit;
/// <summary>
/// Initializes a new instance of the Ema class with a specified period.
@@ -70,14 +42,14 @@ public class Ema : AbstractBase
{
if (period < 1)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
throw new System.ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 1.");
}
_period = period;
_k = 2.0 / (_period + 1);
_useSma = useSma;
_sma = new(period);
_sma = new(_period);
Name = "Ema";
WarmupPeriod = (int)Math.Ceiling(Math.Log(0.05) / Math.Log(1 - _k)); //95th percentile
WarmupPeriod = (int)System.Math.Ceiling(System.Math.Log(0.05) / System.Math.Log(1 - _k)); //95th percentile
Init();
}
@@ -92,7 +64,7 @@ public class Ema : AbstractBase
_sma = new(1);
Name = "Ema";
_period = 1;
WarmupPeriod = (int)Math.Ceiling(Math.Log(0.05) / Math.Log(1 - _k)); //95th percentile
WarmupPeriod = (int)System.Math.Ceiling(System.Math.Log(0.05) / System.Math.Log(1 - _k)); //95th percentile
Init();
}
@@ -108,9 +80,7 @@ public class Ema : AbstractBase
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Ema instance.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -121,10 +91,7 @@ public class Ema : AbstractBase
_sma = new(_period);
}
/// <summary>
/// Manages the state of the Ema instance.
/// </summary>
/// <param name="isNew">Indicates whether the input is new.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -142,21 +109,27 @@ public class Ema : AbstractBase
}
}
/// <summary>
/// Performs the EMA calculation.
/// </summary>
/// <returns>The calculated EMA value.</returns>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateEma(double input, double lastEma)
{
return _k * (input - lastEma) + lastEma;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CompensateEma(double ema)
{
return (_useSma || _e <= _epsilon) ? ema : ema / (1 - _e);
}
protected override double Calculation()
{
double result, _ema;
ManageState(Input.IsNew);
// when _UseSma == true, use SMA calculation until we have enough data points
double ema;
if (!_isInit && _useSma)
{
_sma.Add(Input.Value, Input.IsNew);
_ema = _sma.Average();
result = _ema;
ema = _sma.Average();
if (_index >= _period)
{
_isInit = true;
@@ -164,16 +137,14 @@ public class Ema : AbstractBase
}
else
{
// compensator for early ema values
_e = (_e > 1e-10) ? (1 - _k) * _e : 0;
_ema = _k * (Input.Value - _lastEma) + _lastEma;
// _useSma decides if we use compensator or not
result = (_useSma || _e <= double.Epsilon) ? _ema : _ema / (1 - _e);
// Compensator for early EMA values
_e = (_e > _epsilon) ? (1 - _k) * _e : 0;
ema = CalculateEma(Input.Value, _lastEma);
ema = CompensateEma(ema);
}
_lastEma = _ema;
_lastEma = ema;
IsHot = _index >= WarmupPeriod;
return result;
return ema;
}
}