Add TRAMA implementation and comprehensive tests

- Implemented the TRAMA (Trend Regularity Adaptive Moving Average) class with adaptive EMA logic.
- Added unit tests for TRAMA functionality, including constructor validation, basic calculations, state management, and robustness checks.
- Created validation tests to ensure consistency across different modes of operation (streaming, batch, and static calculations).
- Enhanced documentation for TRAMA, including performance profiles and quality metrics.
- Updated workspace configuration by removing unnecessary folder references.
This commit is contained in:
Miha Kralj
2026-02-21 20:45:38 -08:00
parent 90d5638008
commit 7253f61299
199 changed files with 29577 additions and 234 deletions
+33
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@@ -123,6 +123,39 @@ function JBANDS(source, period, phase):
| `upper` | Adaptive upper envelope (snaps up, decays down) |
| `lower` | Adaptive lower envelope (snaps down, decays up) |
## Performance Profile
### Operation Count (Streaming Mode)
JBANDS is the most complex channel indicator, combining snap-and-decay bands, a two-stage volatility estimator, and a 2-pole JMA IIR filter:
| Operation | Count | Cost (cycles) | Subtotal |
| :--- | :---: | :---: | :---: |
| SUB + ABS (local deviation, 2 distances) | 3 | 1 | 3 |
| CMP (max of 2 for dLocal) | 1 | 1 | 1 |
| SMA update (10-bar highD, running sum) | 3 | 1 | 3 |
| Partial sort (128-bar trimmed mean) | ~900 | 1 | ~900 |
| DIV (ratio = distance / dRef) | 2 | 15 | 30 |
| POW (ratio^Pexp) | 2 | 30 | 60 |
| SQRT (√d) | 2 | 20 | 40 |
| POW (sqrtDiv^√d for adapt) | 2 | 30 | 60 |
| MUL + SUB (snap-decay, 2 bands) | 4 | 3 | 12 |
| JMA IIR (3 recursion stages) | ~8 | 4 | 32 |
| **Total** | **~930** | — | **~1141 cycles** |
The 128-element trimmed mean (partial sort) dominates. In practice, the sort operates on a cache-friendly 1 KB buffer, making actual latency lower than raw cycle count suggests. The JMA IIR adds ~32 cycles per bar, comparable to a double-EMA.
### Batch Mode (SIMD Analysis)
The JMA IIR and snap-decay bands are recursive, preventing SIMD parallelization across bars. The trimmed mean sort is $O(n \log n)$ on a fixed 128-element buffer:
| Optimization | Benefit |
| :--- | :--- |
| Trimmed mean | Fixed 128 elements; fits in L1 cache; intrinsics-friendly sort |
| JMA 2-pole IIR | Sequential (3-stage recursion) |
| Snap-and-decay bands | Sequential (conditional state updates) |
| POW/SQRT computations | Hardware-accelerated; no vectorization opportunity |
## Resources
- **Jurik, M.** Jurik Research. (Proprietary JMA specification and band logic)