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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/Rvi.cs
+29 -13
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@@ -1,4 +1,4 @@
using System;
using System.Runtime.CompilerServices;
namespace QuanTAlib;
/// <summary>
@@ -42,14 +42,18 @@ namespace QuanTAlib;
/// Note: Similar concept to RSI but using volatility
/// </remarks>
public class Rvi : AbstractBase
[SkipLocalsInit]
public sealed class Rvi : AbstractBase
{
private readonly Stddev _upStdDev, _downStdDev;
private readonly Sma _upSma, _downSma;
private double _previousClose;
private const double ScalingFactor = 100.0;
private const double Epsilon = 1e-10;
/// <param name="period">The number of periods for RVI calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 2.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rvi(int period)
{
if (period < 2)
@@ -57,30 +61,32 @@ public class Rvi : AbstractBase
throw new ArgumentOutOfRangeException(nameof(period),
"Period must be greater than or equal to 2.");
}
int Period = period;
WarmupPeriod = period;
Name = $"RVI(period={period})";
_upStdDev = new Stddev(Period);
_downStdDev = new Stddev(Period);
_upSma = new(Period);
_downSma = new(Period);
_upStdDev = new Stddev(period);
_downStdDev = new Stddev(period);
_upSma = new(period);
_downSma = new(period);
Init();
}
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for RVI calculation.</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public Rvi(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override void Init()
{
base.Init();
_previousClose = 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -90,6 +96,20 @@ public class Rvi : AbstractBase
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static (double upMove, double downMove) CalculateMoves(double change)
{
return (Math.Max(change, 0), Math.Max(-change, 0));
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
private static double CalculateRvi(double upSma, double downSma)
{
double totalSma = upSma + downSma;
return totalSma > Epsilon ? ScalingFactor * upSma / totalSma : 0;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -98,18 +118,14 @@ public class Rvi : AbstractBase
double change = close - _previousClose;
// Separate into up and down moves
double upMove = Math.Max(change, 0);
double downMove = Math.Max(-change, 0);
var (upMove, downMove) = CalculateMoves(change);
// Calculate standard deviations and apply smoothing
_upSma.Calc(_upStdDev.Calc(new TValue(Input.Time, upMove, Input.IsNew)));
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
// Calculate RVI ratio
double rvi;
rvi = (_upSma.Value + _downSma.Value != 0)
? 100 * _upSma.Value / (_upSma.Value + _downSma.Value)
: 0;
double rvi = CalculateRvi(_upSma.Value, _downSma.Value);
_previousClose = close;
IsHot = _index >= WarmupPeriod;