gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-15 09:08:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

Class optimization

Browse Source
This commit is contained in:
Miha
2024-10-27 16:11:08 -07:00
parent b2fcdda785
commit 6c67a0cf31
77 changed files with 2634 additions and 1455 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/volatility/Hv.cs
+45 -12
View File
@@ -1,5 +1,4 @@
using System;
using System.Linq;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -44,17 +43,21 @@ namespace QuanTAlib;
/// Note: Assumes 252 trading days for annualization
/// </remarks>
public class Hv : AbstractBase
[SkipLocalsInit]
public sealed class Hv : AbstractBase
{
private readonly int Period;
private readonly bool IsAnnualized;
private readonly CircularBuffer _buffer;
private readonly CircularBuffer _logReturns;
private double _previousClose;
private const int TradingDaysPerYear = 252;
private const double Epsilon = 1e-10;
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="isAnnualized">Whether to annualize the result (default true).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 2.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Hv(int period, bool isAnnualized = true)
{
if (period < 2)
@@ -74,12 +77,14 @@ public class Hv : AbstractBase
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="isAnnualized">Whether to annualize the result (default true).</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Hv(object source, int period, bool isAnnualized = true) : this(period, isAnnualized)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -88,6 +93,7 @@ public class Hv : AbstractBase
_previousClose = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -97,6 +103,36 @@ public class Hv : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateLogReturn(double currentPrice, double previousPrice)
{
return previousPrice > Epsilon ? Math.Log(currentPrice / previousPrice) : 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateMean(ReadOnlySpan<double> values)
{
double sum = 0;
for (int i = 0; i < values.Length; i++)
{
sum += values[i];
}
return sum / values.Length;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateVariance(ReadOnlySpan<double> values, double mean, int degreesOfFreedom)
{
double sumSquaredDiff = 0;
for (int i = 0; i < values.Length; i++)
{
double diff = values[i] - mean;
sumSquaredDiff += diff * diff;
}
return sumSquaredDiff / degreesOfFreedom;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -106,26 +142,23 @@ public class Hv : AbstractBase
if (_buffer.Count > 1)
{
// Calculate log return if we have previous close
if (_previousClose != 0)
if (_previousClose > Epsilon)
{
double logReturn = Math.Log(Input.Value / _previousClose);
double logReturn = CalculateLogReturn(Input.Value, _previousClose);
_logReturns.Add(logReturn, Input.IsNew);
}
// Calculate volatility when we have enough returns
if (_logReturns.Count == Period)
{
var returns = _logReturns.GetSpan().ToArray();
double mean = returns.Average();
double sumOfSquaredDifferences = returns.Sum(x => Math.Pow(x - mean, 2));
// Sample standard deviation
double variance = sumOfSquaredDifferences / (Period - 1);
ReadOnlySpan<double> returns = _logReturns.GetSpan();
double mean = CalculateMean(returns);
double variance = CalculateVariance(returns, mean, Period - 1);
volatility = Math.Sqrt(variance);
if (IsAnnualized)
{
volatility *= Math.Sqrt(252); // Annualize using trading days
volatility *= Math.Sqrt(TradingDaysPerYear);
}
}
}