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normalization of methods

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This commit is contained in:
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/numerics/exptrans/Exptrans.Tests.cs
+7 -7
View File
@@ -187,7 +187,7 @@ public class ExptransTests
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 40000);
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
// Use log of close prices to stay in reasonable exp range
var logSource = Logtrans.Calculate(bars.Close);
var logSource = Logtrans.Batch(bars.Close);
// Streaming
var streaming = new Exptrans();
@@ -199,7 +199,7 @@ public class ExptransTests
}
// Batch
var batch = Exptrans.Calculate(logSource);
var batch = Exptrans.Batch(logSource);
// Compare all values
for (int i = 0; i < logSource.Count; i++)
@@ -214,15 +214,15 @@ public class ExptransTests
int count = 50;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 40001);
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var logSource = Logtrans.Calculate(bars.Close);
var logSource = Logtrans.Batch(bars.Close);
// TSeries batch
var batchResult = Exptrans.Calculate(logSource);
var batchResult = Exptrans.Batch(logSource);
// Span calculation
var values = logSource.Values.ToArray();
var output = new double[count];
Exptrans.Calculate(values, output);
Exptrans.Batch(values, output);
for (int i = 0; i < logSource.Count; i++)
{
@@ -236,14 +236,14 @@ public class ExptransTests
Assert.Throws<ArgumentException>(() =>
{
Span<double> output = stackalloc double[10];
Exptrans.Calculate(ReadOnlySpan<double>.Empty, output);
Exptrans.Batch(ReadOnlySpan<double>.Empty, output);
});
Assert.Throws<ArgumentException>(() =>
{
ReadOnlySpan<double> source = stackalloc double[10];
Span<double> output = stackalloc double[5];
Exptrans.Calculate(source, output);
Exptrans.Batch(source, output);
});
}
lib/numerics/exptrans/Exptrans.Validation.Tests.cs
+7 -7
View File
@@ -16,9 +16,9 @@ public class ExptransValidationTests
// Use log-transformed prices to keep exp in reasonable range
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50000);
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var logSource = Logtrans.Calculate(bars.Close);
var logSource = Logtrans.Batch(bars.Close);
var result = Exptrans.Calculate(logSource);
var result = Exptrans.Batch(logSource);
for (int i = 0; i < logSource.Count; i++)
{
@@ -33,7 +33,7 @@ public class ExptransValidationTests
int count = 100;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50001);
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var logSource = Logtrans.Calculate(bars.Close);
var logSource = Logtrans.Batch(bars.Close);
var indicator = new Exptrans();
@@ -51,11 +51,11 @@ public class ExptransValidationTests
int count = 100;
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 50002);
var bars = gbm.Fetch(count, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var logSource = Logtrans.Calculate(bars.Close);
var logSource = Logtrans.Batch(bars.Close);
var values = logSource.Values.ToArray();
var output = new double[count];
Exptrans.Calculate(values, output);
Exptrans.Batch(values, output);
for (int i = 0; i < count; i++)
{
@@ -94,8 +94,8 @@ public class ExptransValidationTests
var bars = gbm.Fetch(50, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
var source = bars.Close;
var logResult = Logtrans.Calculate(source);
var expResult = Exptrans.Calculate(logResult);
var logResult = Logtrans.Batch(source);
var expResult = Exptrans.Batch(logResult);
for (int i = 0; i < source.Count; i++)
{
lib/numerics/exptrans/Exptrans.cs
+10 -3
View File
@@ -106,7 +106,7 @@ public sealed class Exptrans : AbstractBase
}
}
public static TSeries Calculate(TSeries source)
public static TSeries Batch(TSeries source)
{
var indicator = new Exptrans();
return indicator.Update(source);
@@ -115,7 +115,7 @@ public sealed class Exptrans : AbstractBase
/// <summary>
/// Calculates exponential over a span of values.
/// </summary>
public static void Calculate(ReadOnlySpan<double> source, Span<double> output)
public static void Batch(ReadOnlySpan<double> source, Span<double> output)
{
if (source.Length == 0)
{
@@ -152,10 +152,17 @@ public sealed class Exptrans : AbstractBase
}
}
public static (TSeries Results, Exptrans Indicator) Calculate(TSeries source)
{
var indicator = new Exptrans();
TSeries results = indicator.Update(source);
return (results, indicator);
}
public override void Reset()
{
_state = new(1.0);
_p_state = new(1.0);
Last = default;
}
}
}