mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 13:08:04 +00:00
fix: resolve build and test errors
- Sar.Quantower.Tests.cs: add missing opening quote on string literal (line 48) - Exports.cs: rename Correlation.Batch → Correl.Batch (CS0103) - Ad.Validation.Tests.cs: fix Ooples OutputValues key "Ad" → "Adl"
This commit is contained in:
Miha Kralj
@@ -0,0 +1,477 @@
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// SAR: Parabolic Stop And Reverse (Wilder, 1978)
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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// skipcq: CS-W1028 - Intentional sealed class with no inheritance
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// skipcq: CS-R1140 - State machine requires sequential long/short logic; splitting fragments state transitions
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namespace QuanTAlib;
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/// <summary>
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/// SAR: Parabolic Stop And Reverse
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/// </summary>
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/// <remarks>
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/// Trend-following overlay indicator developed by J. Welles Wilder Jr. (1978).
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/// Produces a trailing stop that accelerates toward price as the trend progresses.
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///
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/// Calculation:
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/// <code>
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/// Bar 0: isLong = close > open; SAR = isLong ? low : high; EP = isLong ? high : low; AF = afStart
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/// Bar 1+: newSAR = SAR + AF * (EP - SAR)
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/// Long: clamp newSAR ≤ min(low[1], low[2]); if low < newSAR → reverse
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/// Short: clamp newSAR ≥ max(high[1], high[2]); if high > newSAR → reverse
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/// On new EP: AF = min(AF + afIncrement, afMax)
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/// On reversal: SAR = EP; EP = new extreme; AF = afStart; flip direction
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/// </code>
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///
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/// <b>Key characteristics:</b>
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/// - O(1) per-bar state machine with long/short mode transitions
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/// - Acceleration factor ramps from afStart to afMax as trend strengthens
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/// - SAR clamped to prior 2 bars' extremes to prevent crossover artifacts
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/// - Default parameters: afStart=0.02, afIncrement=0.02, afMax=0.20 (Wilder's originals)
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/// </remarks>
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/// <seealso href="Sar.md">Detailed documentation</seealso>
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[SkipLocalsInit]
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public sealed class Sar : ITValuePublisher
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{
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private const double DefaultAfStart = 0.02;
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private const double DefaultAfIncrement = 0.02;
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private const double DefaultAfMax = 0.20;
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private readonly double _afStart;
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private readonly double _afIncrement;
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private readonly double _afMax;
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private int _count;
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[StructLayout(LayoutKind.Auto)]
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private record struct State(
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bool IsLong,
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double Sar,
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double Ep,
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double Af,
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double Prev1High,
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double Prev1Low,
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double Prev2High,
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double Prev2Low,
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double LastValidOpen,
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double LastValidHigh,
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double LastValidLow,
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double LastValidClose);
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private State _s;
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private State _ps;
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private readonly TBarPublishedHandler _barHandler;
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/// <summary>Display name for the indicator.</summary>
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public string Name { get; }
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/// <summary>Initial acceleration factor.</summary>
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public double AfStart => _afStart;
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/// <summary>Acceleration factor increment per new extreme.</summary>
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public double AfIncrement => _afIncrement;
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/// <summary>Maximum acceleration factor.</summary>
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public double AfMax => _afMax;
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/// <summary>Bars required for the indicator to warm up.</summary>
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public int WarmupPeriod { get; }
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/// <summary>Current SAR value (the stop level).</summary>
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public double SarValue { get; private set; }
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/// <summary>True when the SAR is in long (uptrend) mode.</summary>
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public bool IsLong => _s.IsLong;
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/// <summary>Primary output value (SAR as TValue for overlay plotting).</summary>
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public TValue Last { get; private set; }
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/// <summary>True when enough bars have been processed for valid output.</summary>
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public bool IsHot => _count >= 1;
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public event TValuePublishedHandler? Pub;
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/// <summary>
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/// Creates a Parabolic SAR indicator.
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/// </summary>
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/// <param name="afStart">Initial acceleration factor (default 0.02).</param>
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/// <param name="afIncrement">AF increment per new extreme (default 0.02).</param>
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/// <param name="afMax">Maximum acceleration factor (default 0.20).</param>
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public Sar(double afStart = DefaultAfStart, double afIncrement = DefaultAfIncrement, double afMax = DefaultAfMax)
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{
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if (afStart <= 0)
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{
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throw new ArgumentException("Start AF must be > 0.", nameof(afStart));
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}
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if (afIncrement <= 0)
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{
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throw new ArgumentException("AF increment must be > 0.", nameof(afIncrement));
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}
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if (afStart > afMax)
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{
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throw new ArgumentException("Start AF must be <= Max AF.", nameof(afStart));
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}
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if (afMax <= afStart)
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{
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throw new ArgumentException("Max AF must be > Start AF.", nameof(afMax));
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}
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_afStart = afStart;
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_afIncrement = afIncrement;
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_afMax = afMax;
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_count = 0;
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_s = new State(
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IsLong: true,
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Sar: double.NaN,
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Ep: double.NaN,
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Af: afStart,
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Prev1High: double.NaN,
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Prev1Low: double.NaN,
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Prev2High: double.NaN,
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Prev2Low: double.NaN,
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LastValidOpen: double.NaN,
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LastValidHigh: double.NaN,
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LastValidLow: double.NaN,
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LastValidClose: double.NaN);
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_ps = _s;
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Name = $"Sar({afStart:F2},{afIncrement:F2},{afMax:F2})";
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WarmupPeriod = 1;
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_barHandler = HandleBar;
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}
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/// <summary>
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/// Creates a Parabolic SAR chained to a TBarSeries source.
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/// </summary>
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public Sar(TBarSeries source, double afStart = DefaultAfStart, double afIncrement = DefaultAfIncrement, double afMax = DefaultAfMax)
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: this(afStart, afIncrement, afMax)
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{
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Prime(source);
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source.Pub += _barHandler;
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}
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private void HandleBar(object? sender, in TBarEventArgs e) => Update(e.Value, e.IsNew);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void PubEvent(TValue value, bool isNew = true) =>
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Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TBar input, bool isNew = true)
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{
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if (isNew)
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{
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_ps = _s;
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_count++;
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}
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else
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{
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_s = _ps;
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}
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var s = _s;
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// Validate inputs — substitute last-valid on NaN/Infinity
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double open = input.Open;
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double high = input.High;
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double low = input.Low;
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double close = input.Close;
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if (double.IsFinite(open)) { s.LastValidOpen = open; }
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else { open = s.LastValidOpen; }
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if (double.IsFinite(high)) { s.LastValidHigh = high; }
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else { high = s.LastValidHigh; }
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if (double.IsFinite(low)) { s.LastValidLow = low; }
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else { low = s.LastValidLow; }
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if (double.IsFinite(close)) { s.LastValidClose = close; }
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else { close = s.LastValidClose; }
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// If still no valid data, return NaN
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if (double.IsNaN(open) || double.IsNaN(high) || double.IsNaN(low) || double.IsNaN(close))
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{
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_s = s;
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Last = new TValue(input.Time, double.NaN);
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PubEvent(Last, isNew);
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return Last;
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}
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double sarResult;
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if (_count == 1)
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{
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// Bar 0: Initialize direction from close vs open
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s.IsLong = close > open;
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s.Sar = s.IsLong ? low : high;
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s.Ep = s.IsLong ? high : low;
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s.Af = _afStart;
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s.Prev1High = high;
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s.Prev1Low = low;
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s.Prev2High = high;
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s.Prev2Low = low;
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sarResult = s.Sar;
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}
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else
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{
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// Compute new SAR: sar + af * (ep - sar) → FMA: af*ep + sar*(1-af)
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double newSar = Math.FusedMultiplyAdd(s.Af, s.Ep - s.Sar, s.Sar);
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if (s.IsLong)
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{
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// Clamp SAR to be at or below prior lows
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newSar = Math.Min(newSar, s.Prev1Low);
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if (_count > 2)
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{
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newSar = Math.Min(newSar, s.Prev2Low);
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}
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// Check for reversal: price crosses below SAR
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if (low < newSar)
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{
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// Reverse to short
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s.IsLong = false;
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newSar = s.Ep;
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s.Ep = low;
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s.Af = _afStart;
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}
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else
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{
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// Check for new extreme point
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if (high > s.Ep)
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{
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s.Ep = high;
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s.Af = Math.Min(s.Af + _afIncrement, _afMax);
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}
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}
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}
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else
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{
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// Short mode: clamp SAR to be at or above prior highs
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newSar = Math.Max(newSar, s.Prev1High);
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if (_count > 2)
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{
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newSar = Math.Max(newSar, s.Prev2High);
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}
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// Check for reversal: price crosses above SAR
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if (high > newSar)
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{
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// Reverse to long
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s.IsLong = true;
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newSar = s.Ep;
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s.Ep = high;
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s.Af = _afStart;
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}
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else
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{
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// Check for new extreme point
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if (low < s.Ep)
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{
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s.Ep = low;
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s.Af = Math.Min(s.Af + _afIncrement, _afMax);
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}
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}
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}
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s.Sar = newSar;
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sarResult = newSar;
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// Shift prior bar tracking
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if (isNew)
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{
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s.Prev2High = s.Prev1High;
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s.Prev2Low = s.Prev1Low;
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s.Prev1High = high;
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s.Prev1Low = low;
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}
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else
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{
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// Bar correction: update current bar's values
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s.Prev1High = high;
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s.Prev1Low = low;
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}
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}
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SarValue = sarResult;
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_s = s;
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Last = new TValue(input.Time, sarResult);
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PubEvent(Last, isNew);
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return Last;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TValue input, bool isNew = true) =>
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Update(new TBar(input.Time, input.Value, input.Value, input.Value, input.Value, 0), isNew);
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public TSeries Update(TBarSeries source)
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{
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if (source.Count == 0)
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{
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return new TSeries([], []);
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}
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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Batch(source.OpenValues, source.HighValues, source.LowValues, source.CloseValues,
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CollectionsMarshal.AsSpan(v), _afStart, _afIncrement, _afMax);
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source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
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// Prime internal state for continued streaming
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Prime(source);
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var lastTime = new DateTime(source.Times[^1], DateTimeKind.Utc);
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Last = new TValue(lastTime, CollectionsMarshal.AsSpan(v)[^1]);
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return new TSeries(t, v);
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}
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public void Prime(TBarSeries source)
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{
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Reset();
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if (source.Count == 0)
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{
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return;
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}
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for (int i = 0; i < source.Count; i++)
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{
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Update(source[i], isNew: true);
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}
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}
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public void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
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{
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Reset();
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if (source.Length == 0)
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{
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return;
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}
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long t = DateTime.UtcNow.Ticks;
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long stepTicks = (step ?? TimeSpan.FromMinutes(1)).Ticks;
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for (int i = 0; i < source.Length; i++)
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{
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double val = source[i];
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Update(new TBar(t, val, val, val, val, 0), isNew: true);
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t += stepTicks;
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}
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}
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public void Reset()
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{
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_count = 0;
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_s = new State(
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IsLong: true,
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Sar: double.NaN,
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Ep: double.NaN,
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Af: _afStart,
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Prev1High: double.NaN,
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Prev1Low: double.NaN,
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Prev2High: double.NaN,
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Prev2Low: double.NaN,
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LastValidOpen: double.NaN,
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LastValidHigh: double.NaN,
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LastValidLow: double.NaN,
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LastValidClose: double.NaN);
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_ps = _s;
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SarValue = double.NaN;
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Last = default;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Batch(
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ReadOnlySpan<double> open,
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ReadOnlySpan<double> high,
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ReadOnlySpan<double> low,
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ReadOnlySpan<double> close,
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Span<double> output,
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double afStart = DefaultAfStart,
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double afIncrement = DefaultAfIncrement,
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double afMax = DefaultAfMax)
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{
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if (afStart <= 0 || afStart > afMax)
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{
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throw new ArgumentException("Start AF must be > 0 and <= Max AF.", nameof(afStart));
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}
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if (afIncrement <= 0)
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{
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throw new ArgumentException("AF increment must be > 0.", nameof(afIncrement));
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}
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if (afMax <= afStart)
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{
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throw new ArgumentException("Max AF must be > Start AF.", nameof(afMax));
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}
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if (high.Length != low.Length || high.Length != close.Length || high.Length != open.Length)
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{
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throw new ArgumentException("Input spans must have the same length.", nameof(high));
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}
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if (output.Length < high.Length)
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{
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throw new ArgumentException("Output span must be at least as long as input.", nameof(output));
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}
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int len = high.Length;
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if (len == 0)
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{
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return;
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}
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// Compute via streaming instance for correctness (state machine prevents SIMD)
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var indicator = new Sar(afStart, afIncrement, afMax);
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long baseTime = DateTime.UtcNow.Ticks;
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for (int i = 0; i < len; i++)
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{
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_ = indicator.Update(
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new TBar(baseTime + i, open[i], high[i], low[i], close[i], 0),
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isNew: true);
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output[i] = indicator.SarValue;
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}
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}
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public static TSeries Batch(TBarSeries source, double afStart = DefaultAfStart, double afIncrement = DefaultAfIncrement, double afMax = DefaultAfMax)
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{
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if (source == null || source.Count == 0)
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{
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return new TSeries([], []);
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}
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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Batch(source.OpenValues, source.HighValues, source.LowValues, source.CloseValues,
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CollectionsMarshal.AsSpan(v), afStart, afIncrement, afMax);
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source.Times.CopyTo(CollectionsMarshal.AsSpan(t));
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return new TSeries(t, v);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static (TSeries Results, Sar Indicator) Calculate(
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TBarSeries source, double afStart = DefaultAfStart, double afIncrement = DefaultAfIncrement, double afMax = DefaultAfMax)
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{
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var indicator = new Sar(afStart, afIncrement, afMax);
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var results = indicator.Update(source);
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return (results, indicator);
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}
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}
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