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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/Fwma.cs
+18 -17
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -27,6 +27,7 @@ namespace QuanTAlib;
public class Fwma : AbstractBase
{
private readonly Convolution _convolution;
private readonly double[] _kernel;
/// <param name="period">The number of data points used in the FWMA calculation.</param>
/// <exception cref="ArgumentException">Thrown when period is less than 1.</exception>
@@ -34,9 +35,10 @@ public class Fwma : AbstractBase
{
if (period < 1)
{
throw new ArgumentException("Period must be greater than or equal to 1.", nameof(period));
throw new System.ArgumentException("Period must be greater than or equal to 1.", nameof(period));
}
_convolution = new Convolution(GenerateKernel(period));
_kernel = GenerateKernel(period);
_convolution = new Convolution(_kernel);
Name = "Fwma";
WarmupPeriod = period;
Init();
@@ -55,41 +57,42 @@ public class Fwma : AbstractBase
/// </summary>
/// <param name="period">The period for which to generate the kernel.</param>
/// <returns>An array of normalized Fibonacci-based weights for the convolution operation.</returns>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static double[] GenerateKernel(int period)
{
double[] kernel = new double[period];
double[] fibSeries = new double[period];
double weightSum = 0;
// Generate Fibonacci series
// Generate Fibonacci series with running sum
fibSeries[0] = fibSeries[1] = 1;
double weightSum = 2.0; // Initial sum for first two Fibonacci numbers
for (int i = 2; i < period; i++)
{
fibSeries[i] = fibSeries[i - 1] + fibSeries[i - 2];
weightSum += fibSeries[i];
}
// Reverse the series to give more weight to recent prices
for (int i = 0; i < period; i++)
{
kernel[i] = fibSeries[period - 1 - i];
weightSum += kernel[i];
}
// Calculate inverse of weight sum for normalization
double invWeightSum = 1.0 / weightSum;
// Normalize the kernel
// Reverse and normalize the series in one pass
for (int i = 0; i < period; i++)
{
kernel[i] /= weightSum;
kernel[i] = fibSeries[period - 1 - i] * invWeightSum;
}
return kernel;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private new void Init()
{
base.Init();
_convolution.Init();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -104,11 +107,9 @@ public class Fwma : AbstractBase
ManageState(Input.IsNew);
// Use Convolution for calculation
TValue convolutionResult = _convolution.Calc(Input);
double result = convolutionResult.Value;
var convolutionResult = _convolution.Calc(Input);
IsHot = _index >= WarmupPeriod;
return result;
return convolutionResult.Value;
}
}