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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/volatility/ewma/Ewma.Tests.cs
+6 -6
View File
@@ -274,7 +274,7 @@ public class EwmaTests
{
ts.Add(new TValue(times[i], close[i]));
}
var batchResult = Ewma.Calculate(ts, 20);
var batchResult = Ewma.Batch(ts, 20);
Assert.Equal(iterativeResult, batchResult[batchResult.Count - 1].Value, 1e-8);
}
@@ -292,7 +292,7 @@ public class EwmaTests
ts.Add(new TValue(times[i], close[i]));
}
var result = Ewma.Calculate(ts, 20);
var result = Ewma.Batch(ts, 20);
Assert.Equal(100, result.Count);
Assert.True(double.IsFinite(result[result.Count - 1].Value));
@@ -307,10 +307,10 @@ public class EwmaTests
ts.Add(new TValue(DateTime.UtcNow.AddMinutes(i), 100 + i));
}
Assert.Throws<ArgumentException>(() => Ewma.Calculate(ts, 0));
Assert.Throws<ArgumentException>(() => Ewma.Calculate(ts, -1));
Assert.Throws<ArgumentException>(() => Ewma.Calculate(ts, 5, true, 0));
Assert.Throws<ArgumentException>(() => Ewma.Calculate(ts, 5, true, -1));
Assert.Throws<ArgumentException>(() => Ewma.Batch(ts, 0));
Assert.Throws<ArgumentException>(() => Ewma.Batch(ts, -1));
Assert.Throws<ArgumentException>(() => Ewma.Batch(ts, 5, true, 0));
Assert.Throws<ArgumentException>(() => Ewma.Batch(ts, 5, true, -1));
}
[Fact]
lib/volatility/ewma/Ewma.Validation.Tests.cs
+2 -2
View File
@@ -160,7 +160,7 @@ public class EwmaValidationTests
}
// Batch
var batchResult = Ewma.Calculate(ts, DefaultPeriod, DefaultAnnualize, DefaultAnnualPeriods);
var batchResult = Ewma.Batch(ts, DefaultPeriod, DefaultAnnualize, DefaultAnnualPeriods);
Assert.Equal(ewmaStream.Last.Value, batchResult[batchResult.Count - 1].Value, StreamingTolerance);
}
@@ -226,7 +226,7 @@ public class EwmaValidationTests
double tseriesValue = tseriesResult[tseriesResult.Count - 1].Value;
// Mode 3: Static Calculate
var batchResult = Ewma.Calculate(ts, DefaultPeriod, DefaultAnnualize, DefaultAnnualPeriods);
var batchResult = Ewma.Batch(ts, DefaultPeriod, DefaultAnnualize, DefaultAnnualPeriods);
double batchValue = batchResult[batchResult.Count - 1].Value;
// Mode 4: Span Batch
lib/volatility/ewma/Ewma.cs
+8 -1
View File
@@ -238,7 +238,7 @@ public sealed class Ewma : AbstractBase
/// <summary>
/// Calculates EWMA Volatility for entire series.
/// </summary>
public static TSeries Calculate(TSeries source, int period = 20, bool annualize = true, int annualPeriods = 252)
public static TSeries Batch(TSeries source, int period = 20, bool annualize = true, int annualPeriods = 252)
{
if (period <= 0)
{
@@ -350,4 +350,11 @@ public sealed class Ewma : AbstractBase
output[i] = double.IsFinite(result) ? result : 0.0;
}
}
public static (TSeries Results, Ewma Indicator) Calculate(TSeries source, int period = 20, bool annualize = true, int annualPeriods = 252)
{
var indicator = new Ewma(period, annualize, annualPeriods);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}