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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/Rema.cs
+24 -7
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -29,6 +29,7 @@ public class Rema : AbstractBase
{
private readonly int _period;
private readonly double _lambda;
private readonly double _lambdaPlus1Recip; // 1/(1 + lambda)
private double _lastRema, _prevRema;
private double _savedLastRema, _savedPrevRema;
@@ -48,12 +49,13 @@ public class Rema : AbstractBase
public Rema(int period, double lambda = 0.5)
{
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.");
if (lambda < 0)
throw new ArgumentOutOfRangeException(nameof(lambda), "Lambda must be non-negative.");
throw new System.ArgumentOutOfRangeException(nameof(lambda), "Lambda must be non-negative.");
_period = period;
_lambda = lambda;
_lambdaPlus1Recip = 1.0 / (1.0 + lambda);
Name = $"REMA({period},{lambda:F2})";
WarmupPeriod = period;
Init();
@@ -68,6 +70,7 @@ public class Rema : AbstractBase
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -77,6 +80,7 @@ public class Rema : AbstractBase
_savedPrevRema = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -92,15 +96,28 @@ public class Rema : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateAlpha()
{
return 2.0 / (System.Math.Min(_period, _index) + 1);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateRema(double alpha, double input)
{
double standardTerm = _lastRema + alpha * (input - _lastRema);
double regularizationTerm = _lastRema + (_lastRema - _prevRema);
return (standardTerm + _lambda * regularizationTerm) * _lambdaPlus1Recip;
}
protected override double Calculation()
{
ManageState(Input.IsNew);
double alpha = 2.0 / (Math.Min(_period, _index) + 1);
if (_index > 2)
{
double rema = (_lastRema + alpha * (Input.Value - _lastRema) + _lambda * (_lastRema + (_lastRema - _prevRema))) / (1 + _lambda);
double alpha = CalculateAlpha();
double rema = CalculateRema(alpha, Input.Value);
_prevRema = _lastRema;
_lastRema = rema;
}
@@ -110,7 +127,7 @@ public class Rema : AbstractBase
_lastRema = Input.Value;
}
else
{ // _index == 1
{
_lastRema = Input.Value;
}