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https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 11:38:05 +00:00
Class optimization
This commit is contained in:
Miha
+85
-66
@@ -1,4 +1,4 @@
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using System;
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using System.Runtime.CompilerServices;
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namespace QuanTAlib;
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/// <summary>
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@@ -31,6 +31,12 @@ public class Mama : AbstractBase
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{
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private readonly double _fastLimit, _slowLimit;
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private readonly CircularBuffer _pr, _sm, _dt, _i1, _q1, _i2, _q2, _re, _im, _pd, _ph;
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private readonly double _twoPi = 2.0 * System.Math.PI;
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private readonly double _radToDeg = 180.0 / System.Math.PI;
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private readonly double _alpha02 = 0.2;
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private readonly double _alpha08 = 0.8;
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private readonly double _famaAlpha = 0.5;
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private double _mama, _fama;
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private double _prevMama, _prevFama, _sumPr;
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private double _p_prevMama, _p_prevFama, _p_sumPr;
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@@ -40,12 +46,9 @@ public class Mama : AbstractBase
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/// </summary>
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public TValue Fama { get; private set; }
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/// <param name="fastLimit">The maximum adaptation speed (default 0.5).</param>
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/// <param name="slowLimit">The minimum adaptation speed (default 0.05).</param>
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public Mama(double fastLimit = 0.5, double slowLimit = 0.05)
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{
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Fama = new TValue();
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Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
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_fastLimit = fastLimit;
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_slowLimit = slowLimit;
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_pr = new(7);
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@@ -59,23 +62,23 @@ public class Mama : AbstractBase
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_im = new(2);
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_pd = new(2);
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_ph = new(2);
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Name = $"Mama({_fastLimit:F2}, {_slowLimit:F2})";
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Init();
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}
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/// <param name="source">The data source object that publishes updates.</param>
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/// <param name="fastLimit">The maximum adaptation speed (default 0.5).</param>
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/// <param name="slowLimit">The minimum adaptation speed (default 0.05).</param>
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public Mama(object source, double fastLimit = 0.5, double slowLimit = 0.05) : this(fastLimit, slowLimit)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Init()
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{
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Fama = new TValue();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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@@ -94,6 +97,33 @@ public class Mama : AbstractBase
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double CalculateSmooth()
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{
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return (4.0 * _pr[^1] + 3.0 * _pr[^2] + 2.0 * _pr[^3] + _pr[^4]) * 0.1;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static double CalculateHilbertTransform(CircularBuffer buffer, double adj)
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{
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return (0.0962 * (buffer[^1] - buffer[^7]) + 0.5769 * (buffer[^3] - buffer[^5])) * adj;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double CalculatePeriod(double im, double re)
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{
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if (im == 0 || re == 0) return _pd[^2];
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return _twoPi / System.Math.Atan(im / re);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double AdjustPeriod(double period)
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{
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period = System.Math.Clamp(period, 0.67 * _pd[^2], 1.5 * _pd[^2]);
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period = System.Math.Clamp(period, 6.0, 50.0);
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return _alpha02 * period + _alpha08 * _pd[^2];
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}
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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@@ -102,85 +132,59 @@ public class Mama : AbstractBase
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if (_index > 6)
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{
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double adj = (0.075 * _pd[^1]) + 0.54;
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double adj = 0.075 * _pd[^1] + 0.54;
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// Smooth
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_sm.Add(((4 * _pr[^1]) + (3 * _pr[^2]) + (2 * _pr[^3]) + _pr[^4]) / 10, Input.IsNew);
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// Detrender
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_dt.Add(((0.0962 * _sm[^1]) + (0.5769 * _sm[^3]) - (0.5769 * _sm[^5]) - (0.0962 * _sm[^7])) * adj, Input.IsNew);
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// Smooth and Detrender
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_sm.Add(CalculateSmooth(), Input.IsNew);
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_dt.Add(CalculateHilbertTransform(_sm, adj), Input.IsNew);
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// In-phase and quadrature
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_q1.Add(((0.0962 * _dt[^1]) + (0.5769 * _dt[^3]) - (0.5769 * _dt[^5]) - (0.0962 * _dt[^7])) * adj, Input.IsNew);
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_q1.Add(CalculateHilbertTransform(_dt, adj), Input.IsNew);
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_i1.Add(_dt[^4], Input.IsNew);
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// Advance the phases by 90 degrees
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double jI = ((0.0962 * _i1[^1]) + (0.5769 * _i1[^3]) - (0.5769 * _i1[^5]) - (0.0962 * _i1[^7])) * adj;
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double jQ = ((0.0962 * _q1[^1]) + (0.5769 * _q1[^3]) - (0.5769 * _q1[^5]) - (0.0962 * _q1[^7])) * adj;
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// Advance phases
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double jI = CalculateHilbertTransform(_i1, adj);
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double jQ = CalculateHilbertTransform(_q1, adj);
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// Phasor addition for 3-bar averaging
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_i2.Add(_i1[^1] - jQ, Input.IsNew);
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_q2.Add(_q1[^1] + jI, Input.IsNew);
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_i2[^1] = 0.2 * _i2[^1] + 0.8 * _i2[^2];
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_q2[^1] = 0.2 * _q2[^1] + 0.8 * _q2[^2];
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// Phasor addition
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double i2 = _i1[^1] - jQ;
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double q2 = _q1[^1] + jI;
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_i2.Add(i2, Input.IsNew);
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_q2.Add(q2, Input.IsNew);
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_i2[^1] = _alpha02 * _i2[^1] + _alpha08 * _i2[^2];
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_q2[^1] = _alpha02 * _q2[^1] + _alpha08 * _q2[^2];
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// Homodyne discriminator
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_re.Add((_i2[^1] * _i2[^2]) + (_q2[^1] * _q2[^2]), Input.IsNew);
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_im.Add((_i2[^1] * _q2[^2]) - (_q2[^1] * _i2[^2]), Input.IsNew);
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_re[^1] = (0.2 * _re[^1]) + (0.8 * _re[^2]);
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_im[^1] = (0.2 * _im[^1]) + (0.8 * _im[^2]);
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double re = _i2[^1] * _i2[^2] + _q2[^1] * _q2[^2];
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double im = _i2[^1] * _q2[^2] - _q2[^1] * _i2[^2];
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_re.Add(re, Input.IsNew);
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_im.Add(im, Input.IsNew);
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_re[^1] = _alpha02 * _re[^1] + _alpha08 * _re[^2];
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_im[^1] = _alpha02 * _im[^1] + _alpha08 * _im[^2];
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// Calculate period
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if (_im[^1] != 0 && _re[^1] != 0)
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{
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_pd.Add(2 * Math.PI / Math.Atan(_im[^1] / _re[^1]), Input.IsNew);
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}
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else
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{
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_pd.Add(_pd[^2], Input.IsNew);
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}
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// Calculate and adjust period
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double period = CalculatePeriod(_im[^1], _re[^1]);
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_pd.Add(period, Input.IsNew);
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_pd[^1] = AdjustPeriod(_pd[^1]);
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// Adjust period to thresholds
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_pd[^1] = Math.Max(Math.Min(_pd[^1], 1.5 * _pd[^2]), 0.67 * _pd[^2]);
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_pd[^1] = Math.Max(Math.Min(_pd[^1], 50), 6);
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_pd[^1] = (0.2 * _pd[^1]) + (0.8 * _pd[^2]);
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// Phase calculation
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double phase = _i1[^1] != 0 ? System.Math.Atan(_q1[^1] / _i1[^1]) * _radToDeg : _ph[^2];
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_ph.Add(phase, Input.IsNew);
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// Determine phase position
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if (_i1[^1] != 0)
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{
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_ph.Add(Math.Atan(_q1[^1] / _i1[^1]) * 180 / Math.PI, Input.IsNew);
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}
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else
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{
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_ph.Add(_ph[^2], Input.IsNew);
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}
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// Change in phase
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double delta = Math.Max(_ph[^2] - _ph[^1], 1);
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// Adaptive alpha value
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double alpha = Math.Max(_fastLimit / delta, _slowLimit);
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// Adaptive alpha
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double delta = System.Math.Max(_ph[^2] - _ph[^1], 1.0);
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double alpha = System.Math.Clamp(_fastLimit / delta, _slowLimit, _fastLimit);
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// Final indicators
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_mama = alpha * (_pr[^1] - _prevMama) + _prevMama;
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_fama = 0.5 * alpha * (_mama - _prevFama) + _prevFama;
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_fama = _famaAlpha * alpha * (_mama - _prevFama) + _prevFama;
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_prevMama = _mama;
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_prevFama = _fama;
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}
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else
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{
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_pd.Add(0, Input.IsNew);
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_sm.Add(0, Input.IsNew);
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_dt.Add(0, Input.IsNew);
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_i1.Add(0, Input.IsNew);
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_q1.Add(0, Input.IsNew);
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_i2.Add(0, Input.IsNew);
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_q2.Add(0, Input.IsNew);
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_re.Add(0, Input.IsNew);
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_im.Add(0, Input.IsNew);
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_ph.Add(0, Input.IsNew);
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InitializeBuffers();
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_sumPr += Input.Value;
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_mama = _fama = _prevMama = _prevFama = _sumPr / _index;
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}
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@@ -190,4 +194,19 @@ public class Mama : AbstractBase
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return _mama;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void InitializeBuffers()
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{
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_pd.Add(0, Input.IsNew);
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_sm.Add(0, Input.IsNew);
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_dt.Add(0, Input.IsNew);
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_i1.Add(0, Input.IsNew);
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_q1.Add(0, Input.IsNew);
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_i2.Add(0, Input.IsNew);
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_q2.Add(0, Input.IsNew);
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_re.Add(0, Input.IsNew);
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_im.Add(0, Input.IsNew);
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_ph.Add(0, Input.IsNew);
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}
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}
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