mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 04:58:08 +00:00
refactor: move Decay/Edecay from trends_IIR to numerics; update filter signatures
- Move lib/trends_IIR/decay/ → lib/numerics/decay/ - Move lib/trends_IIR/edecay/ → lib/numerics/edecay/ - Update Category in Decay.md/Edecay.md from Trends (IIR) to Numerics - Add DECAY/EDECAY entries to lib/numerics/_index.md and docs/indicators.md - Update filter signature .md files and .svg assets - Update trends_IIR signature docs (htit, mama, holt, etc.) - All 163 tests passing, 0 warnings, 0 errors
This commit is contained in:
@@ -0,0 +1,196 @@
|
||||
using System.Runtime.CompilerServices;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// DECAY: Linear Decay
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Tracks the maximum of the current input and the previous output minus a fixed
|
||||
/// step of 1/period per bar. When price is rising or flat the output follows price;
|
||||
/// when price drops the output decays linearly toward it.
|
||||
///
|
||||
/// Calculation: <c>output = max(input, prev_output - 1/period)</c>.
|
||||
/// Origin: Tulip Indicators (ti_decay).
|
||||
/// </remarks>
|
||||
/// <seealso href="Decay.md">Detailed documentation</seealso>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Decay : AbstractBase
|
||||
{
|
||||
private readonly double _scale;
|
||||
private int _count;
|
||||
[StructLayout(LayoutKind.Auto)]
|
||||
private record struct State(double LastValid, double LastOutput);
|
||||
private State _state, _p_state;
|
||||
private int _p_count;
|
||||
private ITValuePublisher? _source;
|
||||
private bool _disposed;
|
||||
|
||||
public override bool IsHot => _count > 0;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new Linear Decay indicator with specified period.
|
||||
/// </summary>
|
||||
/// <param name="period">Decay period (must be >= 1)</param>
|
||||
public Decay(int period = 5)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be >= 1", nameof(period));
|
||||
}
|
||||
|
||||
_scale = 1.0 / period;
|
||||
Name = $"Decay({period})";
|
||||
WarmupPeriod = 1;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new Linear Decay indicator with source for event-based chaining.
|
||||
/// </summary>
|
||||
/// <param name="source">Source indicator for chaining</param>
|
||||
/// <param name="period">Decay period</param>
|
||||
public Decay(ITValuePublisher source, int period = 5) : this(period)
|
||||
{
|
||||
_source = source;
|
||||
_source.Pub += HandleUpdate;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public override TValue Update(TValue input, bool isNew = true)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_p_state = _state;
|
||||
_p_count = _count;
|
||||
}
|
||||
else
|
||||
{
|
||||
_state = _p_state;
|
||||
_count = _p_count;
|
||||
}
|
||||
|
||||
double value = double.IsFinite(input.Value) ? input.Value : _state.LastValid;
|
||||
|
||||
double result;
|
||||
if (_count == 0)
|
||||
{
|
||||
result = value;
|
||||
}
|
||||
else
|
||||
{
|
||||
double decayed = _state.LastOutput - _scale;
|
||||
result = value > decayed ? value : decayed;
|
||||
}
|
||||
|
||||
_state = new State(value, result);
|
||||
if (isNew)
|
||||
{
|
||||
_count++;
|
||||
}
|
||||
|
||||
Last = new TValue(input.Time, result);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
public override TSeries Update(TSeries source)
|
||||
{
|
||||
var result = new TSeries(source.Count);
|
||||
ReadOnlySpan<double> values = source.Values;
|
||||
ReadOnlySpan<long> times = source.Times;
|
||||
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true);
|
||||
result.Add(tv, true);
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
|
||||
{
|
||||
TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
|
||||
DateTime time = DateTime.UtcNow - (interval * source.Length);
|
||||
|
||||
for (int i = 0; i < source.Length; i++)
|
||||
{
|
||||
Update(new TValue(time, source[i]), true);
|
||||
time += interval;
|
||||
}
|
||||
}
|
||||
|
||||
public static TSeries Batch(TSeries source, int period = 5)
|
||||
{
|
||||
var indicator = new Decay(period);
|
||||
return indicator.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates linear decay over a span of values. Zero-allocation.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
|
||||
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period = 5)
|
||||
{
|
||||
if (source.Length == 0)
|
||||
{
|
||||
throw new ArgumentException("Source cannot be empty", nameof(source));
|
||||
}
|
||||
|
||||
if (output.Length < source.Length)
|
||||
{
|
||||
throw new ArgumentException("Output length must be >= source length", nameof(output));
|
||||
}
|
||||
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be >= 1", nameof(period));
|
||||
}
|
||||
|
||||
double scale = 1.0 / period;
|
||||
ref double srcRef = ref MemoryMarshal.GetReference(source);
|
||||
ref double outRef = ref MemoryMarshal.GetReference(output);
|
||||
|
||||
Unsafe.Add(ref outRef, 0) = Unsafe.Add(ref srcRef, 0);
|
||||
|
||||
for (int i = 1; i < source.Length; i++)
|
||||
{
|
||||
double d = Unsafe.Add(ref outRef, i - 1) - scale;
|
||||
double s = Unsafe.Add(ref srcRef, i);
|
||||
Unsafe.Add(ref outRef, i) = s > d ? s : d;
|
||||
}
|
||||
}
|
||||
|
||||
public static (TSeries Results, Decay Indicator) Calculate(TSeries source, int period = 5)
|
||||
{
|
||||
var indicator = new Decay(period);
|
||||
TSeries results = indicator.Update(source);
|
||||
return (results, indicator);
|
||||
}
|
||||
|
||||
public override void Reset()
|
||||
{
|
||||
_count = 0;
|
||||
_p_count = 0;
|
||||
_state = default;
|
||||
_p_state = default;
|
||||
Last = default;
|
||||
}
|
||||
|
||||
protected override void Dispose(bool disposing)
|
||||
{
|
||||
if (!_disposed)
|
||||
{
|
||||
if (disposing && _source != null)
|
||||
{
|
||||
_source.Pub -= HandleUpdate;
|
||||
_source = null;
|
||||
}
|
||||
_disposed = true;
|
||||
}
|
||||
base.Dispose(disposing);
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user