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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/oscillators/Rsi.cs
+26 -10
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -35,15 +35,19 @@ namespace QuanTAlib;
/// Note: Default period of 14 was recommended by Wilder
/// </remarks>
public class Rsi : AbstractBase
[SkipLocalsInit]
public sealed class Rsi : AbstractBase
{
private readonly Rma _avgGain;
private readonly Rma _avgLoss;
private double _prevValue, _p_prevValue;
private const double ScalingFactor = 100.0;
private const int DefaultPeriod = 14;
/// <param name="period">The number of periods used in the RSI calculation (default 14).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Rsi(int period = 14)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rsi(int period = DefaultPeriod)
{
if (period < 1)
throw new ArgumentOutOfRangeException(nameof(period));
@@ -56,12 +60,14 @@ public class Rsi : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods used in the RSI calculation.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rsi(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -75,6 +81,19 @@ public class Rsi : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static (double gain, double loss) CalculateGainLoss(double change)
{
return (Math.Max(change, 0), Math.Max(-change, 0));
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateRsi(double avgGain, double avgLoss)
{
return avgLoss > 0 ? ScalingFactor - (ScalingFactor / (1 + (avgGain / avgLoss))) : ScalingFactor;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -86,17 +105,14 @@ public class Rsi : AbstractBase
// Calculate price change and separate gains/losses
double change = Input.Value - _prevValue;
double gain = Math.Max(change, 0);
double loss = Math.Max(-change, 0);
var (gain, loss) = CalculateGainLoss(change);
_prevValue = Input.Value;
// Calculate smoothed averages using Wilder's method
_avgGain.Calc(gain, IsNew: Input.IsNew);
_avgLoss.Calc(loss, IsNew: Input.IsNew);
_avgGain.Calc(gain, Input.IsNew);
_avgLoss.Calc(loss, Input.IsNew);
// Calculate RSI
double rsi = (_avgLoss.Value > 0) ? 100 - (100 / (1 + (_avgGain.Value / _avgLoss.Value))) : 100;
return rsi;
return CalculateRsi(_avgGain.Value, _avgLoss.Value);
}
}