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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/oscillators/_index.md
+15 -15
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@@ -6,22 +6,22 @@ Oscillators fluctuate above and below a centerline or within bounded ranges. Use
| Indicator | Full Name | Description |
| :--- | :--- | :--- |
| [AC](ac/Ac.md) | Acceleration Oscillator | Second derivative of AO. Measures acceleration of market driving force. |
| AC | Acceleration Oscillator | Second derivative of AO. Measures acceleration of market driving force. |
| [AO](ao/Ao.md) | Awesome Oscillator | 5-period SMA minus 34-period SMA of bar midpoint. Bill Williams creation. |
| [APO](apo/Apo.md) | Absolute Price Oscillator | Raw currency difference between fast and slow EMAs. Unbounded. |
| [BBB](bbb/Bbb.md) | Bollinger %B | Position within Bollinger Bands. 0=lower band, 1=upper band. |
| [BBS](bbs/Bbs.md) | Bollinger Band Squeeze | BB width < KC width indicates consolidation. Breakout imminent. |
| [CFO](cfo/Cfo.md) | Chande Forecast Oscillator | Percentage difference between price and linear regression forecast. |
| [DPO](dpo/Dpo.md) | Detrended Price Oscillator | Removes trend via displaced SMA. Reveals cycles. |
| [FISHER](fisher/Fisher.md) | Fisher Transform | Converts prices to Gaussian distribution. Sharp reversals. |
| [INERTIA](inertia/Inertia.md) | Inertia | Trend strength from distance to linear regression line. |
| [KDJ](kdj/Kdj.md) | KDJ Indicator | Enhanced Stochastic. J = 3K - 2D provides leading signal. |
| [PGO](pgo/Pgo.md) | Pretty Good Oscillator | Distance from SMA normalized by ATR. Units: ATR multiples. |
| [SMI](smi/Smi.md) | Stochastic Momentum Index | Distance from range midpoint. More sensitive than classic Stochastic. |
| [STOCH](stoch/Stoch.md) | Stochastic Oscillator | Close position within N-period high-low range. Classic overbought/oversold. |
| [STOCHF](stochf/Stochf.md) | Stochastic Fast | Unsmoothed Stochastic. Faster but noisier. |
| [STOCHRSI](stochrsi/Stochrsi.md) | Stochastic RSI | Stochastic applied to RSI. More sensitive than either alone. |
| [TRIX](trix/Trix.md) | Triple Exponential Average | ROC of triple EMA. Filters noise through three smoothings. |
| BBB | Bollinger %B | Position within Bollinger Bands. 0=lower band, 1=upper band. |
| BBS | Bollinger Band Squeeze | BB width < KC width indicates consolidation. Breakout imminent. |
| CFO | Chande Forecast Oscillator | Percentage difference between price and linear regression forecast. |
| DPO | Detrended Price Oscillator | Removes trend via displaced SMA. Reveals cycles. |
| FISHER | Fisher Transform | Converts prices to Gaussian distribution. Sharp reversals. |
| INERTIA | Inertia | Trend strength from distance to linear regression line. |
| KDJ | KDJ Indicator | Enhanced Stochastic. J = 3K - 2D provides leading signal. |
| PGO | Pretty Good Oscillator | Distance from SMA normalized by ATR. Units: ATR multiples. |
| SMI | Stochastic Momentum Index | Distance from range midpoint. More sensitive than classic Stochastic. |
| STOCH | Stochastic Oscillator | Close position within N-period high-low range. Classic overbought/oversold. |
| STOCHF | Stochastic Fast | Unsmoothed Stochastic. Faster but noisier. |
| STOCHRSI | Stochastic RSI | Stochastic applied to RSI. More sensitive than either alone. |
| TRIX | Triple Exponential Average | ROC of triple EMA. Filters noise through three smoothings. |
| [TTM_WAVE](ttm_wave/TtmWave.md) | TTM Wave | Fibonacci-period MACD composite (Waves A/B/C). John Carter. |
| [ULTOSC](ultosc/Ultosc.md) | Ultimate Oscillator | Multi-timeframe oscillator. Combines 7, 14, 28 period buying pressure. |
| [WILLR](willr/Willr.md) | Williams %R | Inverse Stochastic. -100 to 0 range. Overbought/oversold. |
| WILLR | Williams %R | Inverse Stochastic. -100 to 0 range. Overbought/oversold. |
lib/oscillators/ao/Ao.cs
+10 -3
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@@ -179,7 +179,7 @@ public sealed class Ao : ITValuePublisher
int len = source.Count;
var v = new double[len];
Calculate(source.High.Values, source.Low.Values, v, _fastPeriod, _slowPeriod);
Batch(source.High.Values, source.Low.Values, v, _fastPeriod, _slowPeriod);
// Bulk copy timestamps using CollectionsMarshal
var tList = new List<long>(len);
@@ -212,7 +212,7 @@ public sealed class Ao : ITValuePublisher
/// <param name="slowPeriod">Slow SMA period (default 34)</param>
/// <param name="destination">Output AO values</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(ReadOnlySpan<double> high, ReadOnlySpan<double> low, Span<double> destination, int fastPeriod = 5, int slowPeriod = 34)
public static void Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low, Span<double> destination, int fastPeriod = 5, int slowPeriod = 34)
{
if (high.Length != low.Length || high.Length != destination.Length)
{
@@ -267,7 +267,7 @@ public sealed class Ao : ITValuePublisher
int len = source.Count;
var v = new double[len];
Calculate(source.High.Values, source.Low.Values, v, fastPeriod, slowPeriod);
Batch(source.High.Values, source.Low.Values, v, fastPeriod, slowPeriod);
// Bulk copy timestamps using CollectionsMarshal
var tList = new List<long>(len);
@@ -283,4 +283,11 @@ public sealed class Ao : ITValuePublisher
return new TSeries(tList, vList);
}
public static (TSeries Results, Ao Indicator) Calculate(TBarSeries source, int fastPeriod = 5, int slowPeriod = 34)
{
var indicator = new Ao(fastPeriod, slowPeriod);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}
lib/oscillators/apo/Apo.Validation.Tests.cs
+3 -3
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@@ -64,7 +64,7 @@ public sealed class ApoValidationTests : IDisposable
// 3. Span Mode
double[] spanOutput = new double[input.Length];
Apo.Calculate(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
ValidationHelper.VerifyData(spanOutput, output, outRange, lookback: slowPeriod - 1);
}
@@ -102,7 +102,7 @@ public sealed class ApoValidationTests : IDisposable
// 3. Span Mode
double[] spanOutput = new double[input.Length];
Apo.Calculate(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
ValidationHelper.VerifyData(spanOutput, output, lookback: 1);
}
@@ -143,7 +143,7 @@ public sealed class ApoValidationTests : IDisposable
// 3. Span Mode
double[] input = _testData.Data.Values.ToArray();
double[] spanOutput = new double[input.Length];
Apo.Calculate(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
Apo.Batch(input.AsSpan(), spanOutput.AsSpan(), fastPeriod, slowPeriod);
ValidationHelper.VerifyData(spanOutput, output, lookback: 0, tolerance: ValidationHelper.OoplesTolerance);
}
}
lib/oscillators/apo/Apo.cs
+9 -2
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@@ -182,7 +182,7 @@ public sealed class Apo : ITValuePublisher, IDisposable
/// <param name="fastPeriod">Fast EMA period (default 12)</param>
/// <param name="slowPeriod">Slow EMA period (default 26)</param>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int fastPeriod = 12, int slowPeriod = 26)
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int fastPeriod = 12, int slowPeriod = 26)
{
if (source.Length != output.Length)
{
@@ -198,6 +198,13 @@ public sealed class Apo : ITValuePublisher, IDisposable
SimdExtensions.Subtract(fastEma, slowEma, output);
}
public static (TSeries Results, Apo Indicator) Calculate(TSeries source, int fastPeriod = 12, int slowPeriod = 26)
{
var indicator = new Apo(fastPeriod, slowPeriod);
TSeries results = indicator.Update(source);
return (results, indicator);
}
/// <summary>
/// Disposes resources and unsubscribes from the source publisher.
/// </summary>
@@ -215,4 +222,4 @@ public sealed class Apo : ITValuePublisher, IDisposable
_source = null;
}
}
}
}
lib/oscillators/ultosc/Ultosc.Validation.Tests.cs
+1 -1
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@@ -290,7 +290,7 @@ public sealed class UltoscValidationTests : IDisposable
double[] spanOutput = new double[hData.Length];
// Calculate using span method
Ultosc.Calculate(hData, lData, cData, spanOutput, p1, p2, p3);
Ultosc.Batch(hData, lData, cData, spanOutput, p1, p2, p3);
// Calculate using TBarSeries batch
var ultosc = new Ultosc(p1, p2, p3);
lib/oscillators/ultosc/Ultosc.cs
+17 -4
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@@ -46,6 +46,7 @@ public sealed class Ultosc : AbstractBase
private int _p_index;
private readonly TBarSeries? _source;
private readonly TBarPublishedHandler? _handler;
private bool _disposed;
// Weights: 4:2:1
private const double Weight1 = 4.0;
@@ -118,9 +119,13 @@ public sealed class Ultosc : AbstractBase
protected override void Dispose(bool disposing)
{
if (disposing && _source != null && _handler != null)
if (!_disposed)
{
_source.Pub -= _handler;
if (disposing && _source != null && _handler != null)
{
_source.Pub -= _handler;
}
_disposed = true;
}
base.Dispose(disposing);
}
@@ -241,7 +246,7 @@ public sealed class Ultosc : AbstractBase
var vSpan = CollectionsMarshal.AsSpan(v);
// Calculate using span method
Calculate(source.High.Values, source.Low.Values, source.Close.Values,
Batch(source.High.Values, source.Low.Values, source.Close.Values,
vSpan, _period1, _period2, _period3);
source.Times.CopyTo(tSpan);
@@ -290,7 +295,7 @@ public sealed class Ultosc : AbstractBase
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(
public static void Batch(
ReadOnlySpan<double> high,
ReadOnlySpan<double> low,
ReadOnlySpan<double> close,
@@ -412,6 +417,14 @@ public sealed class Ultosc : AbstractBase
}
}
public static (TSeries Results, Ultosc Indicator) Calculate(TBarSeries source, int period1 = 7, int period2 = 14, int period3 = 28)
{
var indicator = new Ultosc(period1, period2, period3);
TSeries results = indicator.Update(source);
return (results, indicator);
}
public override void Reset()
{
_bp1.Clear();