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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/Vidya.cs
+33 -25
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@@ -1,7 +1,4 @@
using System;
using System.Linq;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -33,9 +30,9 @@ public class Vidya : AbstractBase
{
private readonly int _longPeriod;
private readonly double _alpha;
private readonly CircularBuffer _shortBuffer;
private readonly CircularBuffer _longBuffer;
private double _lastVIDYA, _p_lastVIDYA;
private readonly CircularBuffer? _shortBuffer;
private readonly CircularBuffer? _longBuffer;
/// <param name="shortPeriod">The number of periods for short-term volatility calculation.</param>
/// <param name="longPeriod">The number of periods for long-term volatility calculation (default is 4x shortPeriod).</param>
@@ -45,14 +42,14 @@ public class Vidya : AbstractBase
{
if (shortPeriod < 1)
{
throw new ArgumentException("Short period must be greater than or equal to 1.", nameof(shortPeriod));
throw new System.ArgumentException("Short period must be greater than or equal to 1.", nameof(shortPeriod));
}
_longPeriod = (longPeriod == 0) ? shortPeriod * 4 : longPeriod;
_alpha = alpha;
WarmupPeriod = _longPeriod;
Name = $"Vidya({shortPeriod},{_longPeriod})";
_shortBuffer = new CircularBuffer(shortPeriod);
_longBuffer = new CircularBuffer(_longPeriod);
WarmupPeriod = _longPeriod;
Name = $"Vidya({shortPeriod},{_longPeriod})";
Init();
}
@@ -67,12 +64,14 @@ public class Vidya : AbstractBase
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
_lastVIDYA = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -87,12 +86,35 @@ public class Vidya : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double CalculateStdDev(CircularBuffer buffer)
{
double mean = buffer.Average();
double sumSquaredDiff = 0;
var span = buffer.GetSpan();
for (int i = 0; i < buffer.Count; i++)
{
double diff = span[i] - mean;
sumSquaredDiff += diff * diff;
}
return System.Math.Sqrt(sumSquaredDiff / buffer.Count);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateVidya(double shortStdDev, double longStdDev)
{
double s = _alpha * (shortStdDev / longStdDev);
return (s * Input.Value) + ((1.0 - s) * _lastVIDYA);
}
protected override double Calculation()
{
ManageState(Input.IsNew);
_shortBuffer!.Add(Input.Value, Input.IsNew);
_longBuffer!.Add(Input.Value, Input.IsNew);
_shortBuffer.Add(Input.Value, Input.IsNew);
_longBuffer.Add(Input.Value, Input.IsNew);
double vidya;
if (_index <= _longPeriod)
@@ -103,8 +125,7 @@ public class Vidya : AbstractBase
{
double shortStdDev = CalculateStdDev(_shortBuffer);
double longStdDev = CalculateStdDev(_longBuffer);
double s = _alpha * (shortStdDev / longStdDev);
vidya = (s * Input.Value) + ((1 - s) * _lastVIDYA);
vidya = CalculateVidya(shortStdDev, longStdDev);
}
_lastVIDYA = vidya;
@@ -112,17 +133,4 @@ public class Vidya : AbstractBase
return vidya;
}
/// <summary>
/// Calculates the standard deviation of values in a circular buffer.
/// </summary>
/// <param name="buffer">The circular buffer containing the values.</param>
/// <returns>The standard deviation of the values in the buffer.</returns>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double CalculateStdDev(CircularBuffer buffer)
{
double mean = buffer.Average();
double sumSquaredDiff = buffer.Sum(x => Math.Pow(x - mean, 2));
return Math.Sqrt(sumSquaredDiff / buffer.Count);
}
}