gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-16 01:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

feat: implement last-value substitution for NaN/Infinity in Ema and EmaVector, enhance documentation and tests

Browse Source
This commit is contained in:
Miha Kralj
2025-11-29 13:19:04 -08:00
parent acac3e610c
commit 6cdebb984d
11 changed files with 506 additions and 29 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/averages/ema/Ema.Notebook.dib
+76
View File
@@ -216,3 +216,79 @@ for (int i = 0; i < periods.Length; i++)
}
}
Console.WriteLine($"\nAll Vectorized Stream/Batch values match: {allMatch}");
#!markdown
## 5. Handling Invalid Values (NaN/Infinity)
Both `Ema` and `EmaVector` use **last-value substitution** for invalid inputs. When a non-finite value (NaN, PositiveInfinity, NegativeInfinity) is encountered, it is replaced with the last valid value. This provides output continuity instead of propagating invalid values through the calculation.
#!csharp
Console.WriteLine("\n--- Handling Invalid Values ---");
// Single EMA
var emaNaN = new Ema(10);
// Feed valid values first
emaNaN.Update(new TValue(DateTime.Now, 100.0));
emaNaN.Update(new TValue(DateTime.Now.AddMinutes(1), 110.0));
Console.WriteLine($"After valid values: {emaNaN.Value.Value:F2}");
// Feed NaN - should use last valid value (110)
var resultAfterNaN = emaNaN.Update(new TValue(DateTime.Now.AddMinutes(2), double.NaN));
Console.WriteLine($"After NaN input: {resultAfterNaN.Value:F2} (IsFinite: {double.IsFinite(resultAfterNaN.Value)})");
// Feed Infinity - should use last valid value (110)
var resultAfterInf = emaNaN.Update(new TValue(DateTime.Now.AddMinutes(3), double.PositiveInfinity));
Console.WriteLine($"After Infinity input: {resultAfterInf.Value:F2} (IsFinite: {double.IsFinite(resultAfterInf.Value)})");
// Continue with valid value
var resultAfterValid = emaNaN.Update(new TValue(DateTime.Now.AddMinutes(4), 120.0));
Console.WriteLine($"After valid value (120): {resultAfterValid.Value:F2}");
#!csharp
Console.WriteLine("\n--- Batch Processing with Invalid Values ---");
// Create series with NaN values interspersed
var seriesWithNaN = new TSeries();
seriesWithNaN.Add(DateTime.Now.Ticks, 100.0);
seriesWithNaN.Add(DateTime.Now.Ticks + 1, 110.0);
seriesWithNaN.Add(DateTime.Now.Ticks + 2, double.NaN);
seriesWithNaN.Add(DateTime.Now.Ticks + 3, 120.0);
seriesWithNaN.Add(DateTime.Now.Ticks + 4, double.PositiveInfinity);
seriesWithNaN.Add(DateTime.Now.Ticks + 5, 130.0);
var emaBatchNaN = new Ema(3);
var resultsWithNaN = emaBatchNaN.Update(seriesWithNaN);
Console.WriteLine("Input → Output:");
for (int i = 0; i < seriesWithNaN.Count; i++)
{
var input = seriesWithNaN[i].Value;
var output = resultsWithNaN[i].Value;
var inputStr = double.IsFinite(input) ? input.ToString("F2") : input.ToString();
Console.WriteLine($" {inputStr,-10} → {output:F2} (IsFinite: {double.IsFinite(output)})");
}
#!csharp
Console.WriteLine("\n--- Vectorized EMA with Invalid Values ---");
int[] periodsNaN = { 5, 10 };
var emaVectorNaN = new EmaVector(periodsNaN);
// Feed values including invalid ones
var inputsNaN = new double[] { 100, 110, double.NaN, 120, double.PositiveInfinity, 130 };
var time = DateTime.Now;
foreach (var val in inputsNaN)
{
var results = emaVectorNaN.Update(new TValue(time, val));
var inputStr = double.IsFinite(val) ? val.ToString("F2") : val.ToString();
Console.WriteLine($"Input: {inputStr,-10} → EMA(5): {results[0].Value:F2}, EMA(10): {results[1].Value:F2}");
time = time.AddMinutes(1);
}
Console.WriteLine("\nAll outputs are finite - invalid inputs were substituted with last valid values.");