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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/Frama.cs
+40 -22
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@@ -1,5 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -28,6 +27,11 @@ namespace QuanTAlib;
public class Frama : AbstractBase
{
private readonly int _period;
private readonly int _halfPeriod;
private readonly double _periodRecip;
private readonly double _halfPeriodRecip;
private readonly double _log2 = System.Math.Log(2);
private readonly double _epsilon = double.Epsilon;
private readonly CircularBuffer _buffer;
private double _lastFrama;
private double _prevLastFrama;
@@ -37,9 +41,12 @@ public class Frama : AbstractBase
public Frama(int period)
{
if (period < 2)
throw new ArgumentException("Period must be at least 2", nameof(period));
throw new System.ArgumentException("Period must be at least 2", nameof(period));
_period = period;
_halfPeriod = period / 2;
_periodRecip = 1.0 / period;
_halfPeriodRecip = 1.0 / _halfPeriod;
_buffer = new CircularBuffer(period);
WarmupPeriod = period;
}
@@ -52,6 +59,7 @@ public class Frama : AbstractBase
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -60,6 +68,7 @@ public class Frama : AbstractBase
_prevLastFrama = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -73,6 +82,26 @@ public class Frama : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void UpdateMinMax(double price, ref double high, ref double low)
{
high = System.Math.Max(high, price);
low = System.Math.Min(low, price);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateAlpha(double dimension)
{
double alpha = System.Math.Exp(-4.6 * (dimension - 1));
return System.Math.Clamp(alpha, 0.01, 1.0);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override double GetLastValid()
{
return _lastFrama;
}
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -85,7 +114,6 @@ public class Frama : AbstractBase
return _lastFrama;
}
int half = _period / 2;
double hh = double.MinValue, ll = double.MaxValue;
double hh1 = double.MinValue, ll1 = double.MaxValue;
double hh2 = double.MinValue, ll2 = double.MaxValue;
@@ -93,37 +121,27 @@ public class Frama : AbstractBase
for (int i = 0; i < _period; i++)
{
double price = _buffer[i];
hh = Math.Max(hh, price);
ll = Math.Min(ll, price);
UpdateMinMax(price, ref hh, ref ll);
if (i < half)
if (i < _halfPeriod)
{
hh1 = Math.Max(hh1, price);
ll1 = Math.Min(ll1, price);
UpdateMinMax(price, ref hh1, ref ll1);
}
else
{
hh2 = Math.Max(hh2, price);
ll2 = Math.Min(ll2, price);
UpdateMinMax(price, ref hh2, ref ll2);
}
}
double n1 = (hh - ll) / _period;
double n2 = (hh1 - ll1 + hh2 - ll2) / (_period / 2);
double n1 = (hh - ll) * _periodRecip;
double n2 = (hh1 - ll1 + hh2 - ll2) * _halfPeriodRecip;
double d = (Math.Log(n2 + double.Epsilon) - Math.Log(n1 + double.Epsilon)) / Math.Log(2);
double alpha = Math.Exp(-4.6 * (d - 1));
alpha = Math.Max(Math.Min(alpha, 1), 0.01); // Ensure alpha is between 0.01 and 1
double dimension = (System.Math.Log(n2 + _epsilon) - System.Math.Log(n1 + _epsilon)) / _log2;
double alpha = CalculateAlpha(dimension);
_lastFrama = alpha * (Input.Value - _lastFrama) + _lastFrama;
IsHot = _index >= WarmupPeriod;
return _lastFrama;
}
protected override double GetLastValid()
{
return _lastFrama;
}
}