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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/Min.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 low tracking
/// </remarks>
public class Min : AbstractBase
[SkipLocalsInit]
public sealed class Min : AbstractBase
{
private readonly int Period;
private readonly CircularBuffer _buffer;
@@ -49,11 +50,15 @@ public class Min : AbstractBase
private double _p_currentMin;
private int _timeSinceNewMin;
private int _p_timeSinceNewMin;
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 minimum 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 Min(int period, double decay = 0)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Min(int period, double decay = DefaultDecay)
{
if (period < 1)
{
@@ -66,7 +71,7 @@ public class Min : AbstractBase
Period = period;
WarmupPeriod = 0;
_buffer = new CircularBuffer(period);
_halfLife = decay * 0.1;
_halfLife = decay * DecayScaleFactor;
Name = $"Min(period={period}, halfLife={decay:F2})";
Init();
}
@@ -74,12 +79,14 @@ public class Min : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of points to consider for minimum calculation.</param>
/// <param name="decay">Half-life decay factor (default 0).</param>
public Min(object source, int period, double decay = 0) : this(period, decay)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Min(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();
@@ -87,6 +94,7 @@ public class Min : AbstractBase
_timeSinceNewMin = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -104,6 +112,27 @@ public class Min : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private double CalculateDecayRate()
{
return 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double FindMinValue(ReadOnlySpan<double> values)
{
double min = double.MaxValue;
for (int i = 0; i < values.Length; i++)
{
if (values[i] < min)
{
min = values[i];
}
}
return min;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -117,11 +146,12 @@ public class Min : AbstractBase
}
// Apply decay based on time since last minimum
double decayRate = 1 - Math.Exp(-_halfLife * _timeSinceNewMin / Period);
double decayRate = CalculateDecayRate();
_currentMin += decayRate * (_buffer.Average() - _currentMin);
// Ensure minimum doesn't fall below current period's lowest value
_currentMin = Math.Max(_currentMin, _buffer.Min());
ReadOnlySpan<double> values = _buffer.GetSpan();
_currentMin = Math.Max(_currentMin, FindMinValue(values));
IsHot = true;
return _currentMin;