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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/statistics/Max.cs
+37 -7
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -40,7 +40,8 @@ namespace QuanTAlib;
/// Note: Decay factor allows for adaptive peak tracking
/// </remarks>
public class Max : AbstractBase
[SkipLocalsInit]
public sealed class Max : AbstractBase
{
private readonly int Period;
private readonly CircularBuffer _buffer;
@@ -49,11 +50,15 @@ public class Max : AbstractBase
private double _p_currentMax;
private int _timeSinceNewMax;
private int _p_timeSinceNewMax;
private const double DefaultDecay = 0.0;
private const double DecayScaleFactor = 0.1;
private const double Epsilon = 1e-10;
/// <param name="period">The number of points to consider for maximum calculation.</param>
/// <param name="decay">Half-life decay factor (0 for no decay, higher for faster forgetting).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1 or decay is negative.</exception>
public Max(int period, double decay = 0)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Max(int period, double decay = DefaultDecay)
{
if (period < 1)
{
@@ -68,7 +73,7 @@ public class Max : AbstractBase
Period = period;
WarmupPeriod = 0;
_buffer = new CircularBuffer(period);
_halfLife = decay * 0.1;
_halfLife = decay * DecayScaleFactor;
Name = $"Max(period={period}, halfLife={decay:F2})";
Init();
}
@@ -76,12 +81,14 @@ public class Max : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of points to consider for maximum calculation.</param>
/// <param name="decay">Half-life decay factor (default 0).</param>
public Max(object source, int period, double decay = 0) : this(period, decay)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Max(object source, int period, double decay = DefaultDecay) : this(period, decay)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -89,6 +96,7 @@ public class Max : AbstractBase
_timeSinceNewMax = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -106,6 +114,27 @@ public class Max : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private double CalculateDecayRate()
{
return 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double FindMaxValue(ReadOnlySpan<double> values)
{
double max = double.MinValue;
for (int i = 0; i < values.Length; i++)
{
if (values[i] > max)
{
max = values[i];
}
}
return max;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -119,11 +148,12 @@ public class Max : AbstractBase
}
// Apply decay based on time since last maximum
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMax / Period);
double decayRate = CalculateDecayRate();
_currentMax -= decayRate * (_currentMax - _buffer.Average());
// Ensure maximum doesn't exceed current period's highest value
_currentMax = Math.Min(_currentMax, _buffer.Max());
ReadOnlySpan<double> values = _buffer.GetSpan();
_currentMax = Math.Min(_currentMax, FindMaxValue(values));
IsHot = true;
return _currentMax;