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normalization of methods

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Miha Kralj
2026-02-10 21:33:16 -08:00
parent 915d7a007b
commit 6d6259a47d
527 changed files with 10525 additions and 2123 deletions
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lib/dynamics/dx/Dx.Validation.Tests.cs
-38
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@@ -26,44 +26,6 @@ public sealed class DxValidationTests : IDisposable
_data.Dispose();
}
/// <summary>
/// Validates DX against TA-Lib. Our DX uses the standard formula:
/// DX = 100 × |+DI - -DI| / (+DI + -DI)
/// This matches the Wilder/industry standard formula.
///
/// NOTE: TA-Lib's DX function produces different results than computing DX
/// from their standalone PlusDI/MinusDI functions. Our implementation matches:
/// - TA-Lib's individual +DI and -DI (verified in DiPlus_MatchesTalib, DiMinus_MatchesTalib)
/// - Tulip's DX (verified in MatchesTulip)
/// - Skender's DI values (verified in MatchesSkender_DiValues)
///
/// The discrepancy appears to be in TA-Lib's DX function itself, possibly due to
/// internal rounding or unstable period handling that differs from the standalone DI functions.
/// </summary>
[Fact(Skip = "TA-Lib DX function differs from standard; we match TA-Lib's PlusDI/MinusDI and Tulip")]
public void MatchesTalib()
{
var dx = new Dx(14);
var results = new List<double>();
for (int i = 0; i < _data.Bars.Count; i++)
{
var res = dx.Update(_data.Bars[i]);
results.Add(res.Value);
}
double[] hData = _data.Bars.High.Select(x => x.Value).ToArray();
double[] lData = _data.Bars.Low.Select(x => x.Value).ToArray();
double[] cData = _data.Bars.Close.Select(x => x.Value).ToArray();
double[] outReal = new double[_data.Bars.Count];
var retCode = Functions.Dx(hData, lData, cData, 0..^0, outReal, out var outRange, 14);
Assert.Equal(Core.RetCode.Success, retCode);
int lookback = Functions.DxLookback(14);
ValidationHelper.VerifyData(results, outReal, outRange, lookback);
}
[Fact]
public void MatchesTulip()
{
lib/dynamics/dx/Dx.cs
+10 -3
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@@ -299,7 +299,7 @@ public sealed class Dx : ITValuePublisher
var v = new double[len];
// Use the static Calculate method for performance
Calculate(source.High.Values, source.Low.Values, source.Close.Values, _period, v);
Batch(source.High.Values, source.Low.Values, source.Close.Values, _period, v);
// Create lists for TSeries
var tList = new List<long>(len);
@@ -356,7 +356,7 @@ public sealed class Dx : ITValuePublisher
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close, int period, Span<double> destination)
public static void Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low, ReadOnlySpan<double> close, int period, Span<double> destination)
{
int len = high.Length;
if (len < period + 1)
@@ -419,7 +419,7 @@ public sealed class Dx : ITValuePublisher
var len = source.Count;
var v = new double[len];
Calculate(source.High.Values, source.Low.Values, source.Close.Values, period, v);
Batch(source.High.Values, source.Low.Values, source.Close.Values, period, v);
var tList = new List<long>(len);
var times = source.Open.Times;
@@ -430,4 +430,11 @@ public sealed class Dx : ITValuePublisher
return new TSeries(tList, [.. v]);
}
public static (TSeries Results, Dx Indicator) Calculate(TBarSeries source, int period = 14)
{
var indicator = new Dx(period);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}