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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/volatility/Jvolty.cs
+60 -29
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -41,31 +41,37 @@ namespace QuanTAlib;
/// Note: Proprietary enhancement of volatility measurement
/// </remarks>
public class Jvolty : AbstractBase
[SkipLocalsInit]
public sealed class Jvolty : AbstractBase
{
private readonly int _period;
private readonly double _phase;
private readonly CircularBuffer _vsumBuff;
private readonly CircularBuffer _avoltyBuff;
private readonly double _beta;
private const double Epsilon = 1e-10;
private const int DefaultPhase = 0;
private const int VsumBufferSize = 10;
private const int AvoltyBufferSize = 65;
private double _len1;
private double _pow1;
private readonly double _beta;
private double _upperBand, _lowerBand, _p_upperBand, _p_lowerBand;
private double _prevMa1, _prevDet0, _prevDet1, _prevJma, _p_prevMa1, _p_prevDet0, _p_prevDet1, _p_prevJma;
private double _vSum, _p_vSum;
public double UpperBand { get; set; }
public double LowerBand { get; set; }
public double Volty { get; set; }
public double VSum { get; set; }
public double Jma { get; set; }
public double AvgVolty { get; set; }
public double UpperBand { get; private set; }
public double LowerBand { get; private set; }
public double Volty { get; private set; }
public double VSum { get; private set; }
public double Jma { get; private set; }
public double AvgVolty { get; private set; }
/// <param name="period">The number of periods for volatility calculation.</param>
/// <param name="phase">Phase parameter for JMA smoothing (default 0).</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 1.</exception>
public Jvolty(int period, int phase = 0)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Jvolty(int period, int phase = DefaultPhase)
{
if (period < 1)
{
@@ -75,8 +81,8 @@ public class Jvolty : AbstractBase
_period = period;
_phase = Math.Clamp((phase * 0.01) + 1.5, 0.5, 2.5);
_vsumBuff = new CircularBuffer(10);
_avoltyBuff = new CircularBuffer(65);
_vsumBuff = new CircularBuffer(VsumBufferSize);
_avoltyBuff = new CircularBuffer(AvoltyBufferSize);
_beta = 0.45 * (period - 1) / (0.45 * (period - 1) + 2);
WarmupPeriod = period * 2;
@@ -86,12 +92,14 @@ public class Jvolty : 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="phase">Phase parameter for JMA smoothing (default 0).</param>
public Jvolty(object source, int period, int phase = 0) : this(period, phase)
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Jvolty(object source, int period, int phase = DefaultPhase) : this(period, phase)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new BarSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
@@ -103,6 +111,7 @@ public class Jvolty : AbstractBase
_vsumBuff.Clear();
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -128,6 +137,37 @@ public class Jvolty : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateVolatility(double price, double upperBand, double lowerBand)
{
double del1 = price - upperBand;
double del2 = price - lowerBand;
return Math.Max(Math.Abs(del1), Math.Abs(del2));
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private double CalculateNormalizedVolatility(double volty, double avgVolty)
{
double rvolty = (avgVolty > Epsilon) ? volty / avgVolty : 1;
return Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private double CalculateJma(double price, double alpha, double ma1)
{
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha)) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
return jma;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -139,40 +179,31 @@ public class Jvolty : AbstractBase
}
// Calculate volatility from band distances
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
double volty = Math.Max(Math.Abs(del1), Math.Abs(del2));
double volty = CalculateVolatility(price, _upperBand, _lowerBand);
// Calculate moving averages of volatility
_vsumBuff.Add(volty, Input.IsNew);
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / 10;
_vSum += (_vsumBuff[^1] - _vsumBuff[0]) / VsumBufferSize;
_avoltyBuff.Add(_vSum, Input.IsNew);
double avgvolty = _avoltyBuff.Average();
// Normalize and adjust volatility
double rvolty = (avgvolty > 0) ? volty / avgvolty : 1;
rvolty = Math.Min(Math.Max(rvolty, 1.0), Math.Pow(_len1, 1.0 / _pow1));
double rvolty = CalculateNormalizedVolatility(volty, avgvolty);
double pow2 = Math.Pow(rvolty, _pow1);
double Kv = Math.Pow(_beta, Math.Sqrt(pow2));
// Update adaptive bands
double del1 = price - _upperBand;
double del2 = price - _lowerBand;
_upperBand = (del1 >= 0) ? price : price - (Kv * del1);
_lowerBand = (del2 <= 0) ? price : price - (Kv * del2);
// Apply JMA smoothing
double alpha = Math.Pow(_beta, pow2);
double ma1 = (1 - alpha) * Input.Value + alpha * _prevMa1;
double ma1 = (1 - alpha) * price + alpha * _prevMa1;
_prevMa1 = ma1;
double det0 = (price - ma1) * (1 - _beta) + _beta * _prevDet0;
_prevDet0 = det0;
double ma2 = ma1 + _phase * det0;
double det1 = ((ma2 - _prevJma) * (1 - alpha) * (1 - alpha)) + (alpha * alpha * _prevDet1);
_prevDet1 = det1;
double jma = _prevJma + det1;
_prevJma = jma;
double jma = CalculateJma(price, alpha, ma1);
// Update public properties
UpperBand = _upperBand;