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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/volume/pvd/Pvd.Tests.cs
+11 -11
View File
@@ -341,7 +341,7 @@ public class PvdTests
double[] volumes = [1000, 1100, 1200, 1300, 1400];
double[] output = new double[5];
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
// Should handle NaN gracefully - result might be NaN or computed value
Assert.True(output.Length == 5);
@@ -373,10 +373,10 @@ public class PvdTests
var pvdBatch = new Pvd(pricePeriod: period, volumePeriod: period, smoothingPeriod: 3);
var batchResult = pvdBatch.Update(_bars);
// Mode 3: Static Calculate(TBarSeries)
var staticResult = Pvd.Calculate(_bars, pricePeriod: period, volumePeriod: period, smoothingPeriod: 3);
// Mode 3: Static Batch(TBarSeries)
var staticResult = Pvd.Batch(_bars, pricePeriod: period, volumePeriod: period, smoothingPeriod: 3);
// Mode 4: Static Calculate(Span)
// Mode 4: Static Batch(Span)
double[] closes = new double[_bars.Count];
double[] volumes = new double[_bars.Count];
double[] spanOutput = new double[_bars.Count];
@@ -385,7 +385,7 @@ public class PvdTests
closes[i] = _bars[i].Close;
volumes[i] = _bars[i].Volume;
}
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), spanOutput.AsSpan(), pricePeriod: period, volumePeriod: period, smoothingPeriod: 3);
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), spanOutput.AsSpan(), pricePeriod: period, volumePeriod: period, smoothingPeriod: 3);
// Compare last 100 values (after warmup)
int compareStart = _bars.Count - 100;
@@ -408,7 +408,7 @@ public class PvdTests
double[] output = new double[5];
var ex = Assert.Throws<ArgumentException>(() =>
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan()));
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan()));
Assert.Equal("volume", ex.ParamName);
}
@@ -420,7 +420,7 @@ public class PvdTests
double[] output = new double[3]; // Too short
var ex = Assert.Throws<ArgumentException>(() =>
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan()));
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan()));
Assert.Equal("output", ex.ParamName);
}
@@ -432,7 +432,7 @@ public class PvdTests
double[] output = new double[5];
var ex = Assert.Throws<ArgumentException>(() =>
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), pricePeriod: 0));
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), pricePeriod: 0));
Assert.Equal("pricePeriod", ex.ParamName);
}
@@ -444,7 +444,7 @@ public class PvdTests
double[] output = new double[5];
var ex = Assert.Throws<ArgumentException>(() =>
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), volumePeriod: 0));
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), volumePeriod: 0));
Assert.Equal("volumePeriod", ex.ParamName);
}
@@ -456,7 +456,7 @@ public class PvdTests
double[] output = new double[5];
var ex = Assert.Throws<ArgumentException>(() =>
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), smoothingPeriod: 0));
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan(), smoothingPeriod: 0));
Assert.Equal("smoothingPeriod", ex.ParamName);
}
@@ -475,7 +475,7 @@ public class PvdTests
}
// Should not stack overflow
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), output.AsSpan());
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), output.AsSpan());
Assert.True(double.IsFinite(output[size - 1]));
}
lib/volume/pvd/Pvd.Validation.Tests.cs
+18 -18
View File
@@ -41,7 +41,7 @@ public class PvdValidationTests
}
// Batch calculation (uses static Calculate which uses span internally)
var batchResults = Pvd.Calculate(_data, pricePeriod, volumePeriod, smoothingPeriod);
var batchResults = Pvd.Batch(_data, pricePeriod, volumePeriod, smoothingPeriod);
// Compare after full warmup (streaming and span may differ during warmup due to smoothing initialization)
Assert.Equal(_data.Count, batchResults.Count);
@@ -70,10 +70,10 @@ public class PvdValidationTests
// Span calculation
double[] spanResults = new double[_data.Count];
Pvd.Calculate(closes.AsSpan(), volumes.AsSpan(), spanResults.AsSpan(), pricePeriod, volumePeriod, smoothingPeriod);
Pvd.Batch(closes.AsSpan(), volumes.AsSpan(), spanResults.AsSpan(), pricePeriod, volumePeriod, smoothingPeriod);
// Batch calculation
var batchResults = Pvd.Calculate(_data, pricePeriod, volumePeriod, smoothingPeriod);
var batchResults = Pvd.Batch(_data, pricePeriod, volumePeriod, smoothingPeriod);
// Compare after warmup
int startCompare = Math.Max(pricePeriod, volumePeriod) + smoothingPeriod;
@@ -86,8 +86,8 @@ public class PvdValidationTests
[Fact]
public void Pvd_DifferentPeriods_ProduceDifferentResults()
{
var pvd1 = Pvd.Calculate(_data, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 3);
var pvd2 = Pvd.Calculate(_data, pricePeriod: 20, volumePeriod: 20, smoothingPeriod: 3);
var pvd1 = Pvd.Batch(_data, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 3);
var pvd2 = Pvd.Batch(_data, pricePeriod: 20, volumePeriod: 20, smoothingPeriod: 3);
// After warmup, values should differ
int compareIdx = _data.Count - 1;
@@ -98,10 +98,10 @@ public class PvdValidationTests
public void Pvd_AsymmetricPeriods_Work()
{
// Price period longer than volume period
var pvd1 = Pvd.Calculate(_data, pricePeriod: 20, volumePeriod: 5, smoothingPeriod: 3);
var pvd1 = Pvd.Batch(_data, pricePeriod: 20, volumePeriod: 5, smoothingPeriod: 3);
// Volume period longer than price period
var pvd2 = Pvd.Calculate(_data, pricePeriod: 5, volumePeriod: 20, smoothingPeriod: 3);
var pvd2 = Pvd.Batch(_data, pricePeriod: 5, volumePeriod: 20, smoothingPeriod: 3);
// Results should differ
int compareIdx = _data.Count - 1;
@@ -128,7 +128,7 @@ public class PvdValidationTests
// Price increasing, volume decreasing
bars.Add(new TBar(time.AddMinutes(5), 110.0, 110.0, 110.0, 110.0, 800.0));
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
var result = Pvd.Batch(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
// Last value should be positive (divergence detected)
Assert.True(result[^1].Value > 0);
@@ -150,7 +150,7 @@ public class PvdValidationTests
// Price increasing, volume also increasing
bars.Add(new TBar(time.AddMinutes(5), 110.0, 110.0, 110.0, 110.0, 1200.0));
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
var result = Pvd.Batch(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
// Last value should be negative (price and volume moving same direction)
Assert.True(result[^1].Value < 0);
@@ -169,7 +169,7 @@ public class PvdValidationTests
bars.Add(new TBar(time.AddMinutes(i), 100.0, 100.0, 100.0, 100.0, 1000.0));
}
var result = Pvd.Calculate(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
var result = Pvd.Batch(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
// Should be zero (no momentum in either direction)
Assert.Equal(0.0, result[^1].Value, precision: 10);
@@ -198,7 +198,7 @@ public class PvdValidationTests
// Magnitude = |0.9615| + |-11.111| = 12.073...
// Divergence = 1 * -(-1) * 12.073 = 12.073... (positive: price up, volume down)
var result = Pvd.Calculate(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
var result = Pvd.Batch(bars, pricePeriod: 2, volumePeriod: 2, smoothingPeriod: 1);
// Last value should be positive
Assert.True(result[^1].Value > 0);
@@ -211,8 +211,8 @@ public class PvdValidationTests
[Fact]
public void Pvd_SmoothingPeriod1_NoSmoothing()
{
var result1 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
var result3 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 3);
var result1 = Pvd.Batch(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
var result3 = Pvd.Batch(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 3);
// Smoothing should make values different (and generally smoother)
bool foundDifference = false;
@@ -230,8 +230,8 @@ public class PvdValidationTests
[Fact]
public void Pvd_HigherSmoothing_ReducesVolatility()
{
var result1 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
var result10 = Pvd.Calculate(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 10);
var result1 = Pvd.Batch(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 1);
var result10 = Pvd.Batch(_data, pricePeriod: 10, volumePeriod: 10, smoothingPeriod: 10);
// Calculate variance of last 100 values
double variance1 = CalculateVariance(result1.Skip(400).Select(x => x.Value).ToArray());
@@ -268,7 +268,7 @@ public class PvdValidationTests
bars.Add(new TBar(time.AddMinutes(i), 100.0 + i, 101.0 + i, 99.0 + i, 100.5 + i, volume));
}
var result = Pvd.Calculate(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
var result = Pvd.Batch(bars, pricePeriod: 3, volumePeriod: 3, smoothingPeriod: 2);
// Should complete without errors
Assert.Equal(20, result.Count);
@@ -281,7 +281,7 @@ public class PvdValidationTests
var bars = new TBarSeries();
bars.Add(new TBar(DateTime.UtcNow, 100.0, 100.0, 100.0, 100.0, 1000.0));
var result = Pvd.Calculate(bars, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 2);
var result = Pvd.Batch(bars, pricePeriod: 5, volumePeriod: 5, smoothingPeriod: 2);
Assert.Single(result);
Assert.Equal(0.0, result[0].Value);
@@ -298,7 +298,7 @@ public class PvdValidationTests
largeData.Add(gbm.Next());
}
var result = Pvd.Calculate(largeData, pricePeriod: 14, volumePeriod: 14, smoothingPeriod: 3);
var result = Pvd.Batch(largeData, pricePeriod: 14, volumePeriod: 14, smoothingPeriod: 3);
Assert.Equal(10000, result.Count);
Assert.True(double.IsFinite(result[^1].Value));
lib/volume/pvd/Pvd.cs
+10 -3
View File
@@ -250,7 +250,7 @@ public sealed class Pvd : ITValuePublisher
return new TSeries(t, v);
}
public static TSeries Calculate(TBarSeries source, int pricePeriod = 14, int volumePeriod = 14, int smoothingPeriod = 3)
public static TSeries Batch(TBarSeries source, int pricePeriod = 14, int volumePeriod = 14, int smoothingPeriod = 3)
{
if (source.Count == 0)
{
@@ -260,13 +260,13 @@ public sealed class Pvd : ITValuePublisher
var t = source.Close.Times.ToArray();
var v = new double[source.Count];
Calculate(source.Close.Values, source.Volume.Values, v, pricePeriod, volumePeriod, smoothingPeriod);
Batch(source.Close.Values, source.Volume.Values, v, pricePeriod, volumePeriod, smoothingPeriod);
return new TSeries(t, v);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void Calculate(ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output,
public static void Batch(ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output,
int pricePeriod = 14, int volumePeriod = 14, int smoothingPeriod = 3)
{
if (close.Length != volume.Length)
@@ -379,4 +379,11 @@ public sealed class Pvd : ITValuePublisher
}
}
}
public static (TSeries Results, Pvd Indicator) Calculate(TBarSeries source, int pricePeriod = 14, int volumePeriod = 14, int smoothingPeriod = 3)
{
var indicator = new Pvd(pricePeriod, volumePeriod, smoothingPeriod);
TSeries results = indicator.Update(source);
return (results, indicator);
}
}