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SIMD Refactor: Merge simd-dev into dev (#55)
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
This commit is contained in:
Miha Kralj
co-authored by
Claude Opus 4.5
aider
Warp
Claude Opus 4.5
aider
Warp
parent
5bcdf8d614
commit
86fe32a682
@@ -0,0 +1,268 @@
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// SuperTrend Indicator
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/// A trend-following indicator that uses ATR to define upper and lower bands.
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/// </summary>
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[SkipLocalsInit]
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public sealed class Super : ITValuePublisher
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{
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private readonly double _multiplier;
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private readonly int _period;
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private TBar _prevBar;
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private TBar _lastInput;
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private TBar _p_prevBar;
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private TBar _p_lastInput;
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private int _sampleCount;
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private int _p_sampleCount;
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[StructLayout(LayoutKind.Auto)]
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private record struct State
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{
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public bool IsBullish;
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public double UpperBand;
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public double LowerBand;
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public bool IsInitialized;
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public double Atr;
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public double SumTr;
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}
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private State _state;
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private State _p_state;
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/// <summary>
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/// Display name for the indicator.
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/// </summary>
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public string Name => $"Super({_period},{_multiplier})";
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public event TValuePublishedHandler? Pub;
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/// <summary>
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/// Current SuperTrend value.
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/// </summary>
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public TValue Last { get; private set; }
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/// <summary>
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/// Current Upper Band value.
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/// </summary>
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public TValue UpperBand { get; private set; }
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/// <summary>
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/// Current Lower Band value.
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/// </summary>
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public TValue LowerBand { get; private set; }
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/// <summary>
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/// True if the current trend is bullish.
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/// </summary>
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public bool IsBullish => _state.IsBullish;
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/// <summary>
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/// True if the indicator has enough data to be valid.
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/// </summary>
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public bool IsHot => _sampleCount > _period;
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public int WarmupPeriod => _period + 1;
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public Super(int period = 10, double multiplier = 3.0)
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{
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if (period <= 0)
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{
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throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than 0.");
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}
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if (multiplier <= 0)
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{
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throw new ArgumentOutOfRangeException(nameof(multiplier), "Multiplier must be greater than 0.");
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}
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_period = period;
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_multiplier = multiplier;
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_state = new State { IsBullish = true, IsInitialized = false };
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_sampleCount = 0;
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}
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public void Reset()
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{
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_state = new State { IsBullish = true, IsInitialized = false };
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_p_state = default;
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_prevBar = default;
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_lastInput = default;
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_p_prevBar = default;
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_p_lastInput = default;
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_sampleCount = 0;
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_p_sampleCount = 0;
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Last = default;
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UpperBand = default;
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LowerBand = default;
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}
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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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_p_state = _state;
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_p_prevBar = _prevBar;
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_p_lastInput = _lastInput;
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_p_sampleCount = _sampleCount;
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if (_sampleCount > 0)
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{
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_prevBar = _lastInput;
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}
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_sampleCount++;
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}
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else
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{
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_state = _p_state;
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_prevBar = _p_prevBar;
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_lastInput = _p_lastInput;
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_sampleCount = _p_sampleCount;
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if (_sampleCount > 0)
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{
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_prevBar = _lastInput;
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}
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_sampleCount++;
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}
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_lastInput = input;
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// Calculate True Range with NaN/Infinity guards
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double safeHigh = double.IsFinite(input.High) ? input.High : _prevBar.High;
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double safeLow = double.IsFinite(input.Low) ? input.Low : _prevBar.Low;
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double safePrevClose = double.IsFinite(_prevBar.Close) ? _prevBar.Close : safeHigh;
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double tr;
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if (_sampleCount <= 1)
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{
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tr = safeHigh - safeLow;
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}
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else
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{
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double h_l = safeHigh - safeLow;
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double h_pc = Math.Abs(safeHigh - safePrevClose);
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double l_pc = Math.Abs(safeLow - safePrevClose);
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tr = Math.Max(h_l, Math.Max(h_pc, l_pc));
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}
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// Update ATR using RMA (Wilder's smoothing)
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// Note: Skender's implementation skips the first bar's TR for the initial SMA calculation.
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double atr;
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if (_sampleCount == 1)
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{
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atr = 0;
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}
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else if (_sampleCount <= _period + 1)
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{
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_state.SumTr += tr;
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if (_sampleCount == _period + 1)
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{
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_state.Atr = _state.SumTr / _period;
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}
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atr = _state.Atr;
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}
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else
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{
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// RMA: (prevAtr * (period - 1) + tr) / period
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// Rewritten as FMA: prevAtr * decay + tr * alpha where decay = (period-1)/period, alpha = 1/period
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double invPeriod = 1.0 / _period;
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_state.Atr = Math.FusedMultiplyAdd(_state.Atr, 1.0 - invPeriod, tr * invPeriod);
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atr = _state.Atr;
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}
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double superTrend = double.NaN;
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double upperBand = double.NaN;
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double lowerBand = double.NaN;
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if (_sampleCount > _period)
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{
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double mid = (input.High + input.Low) * 0.5;
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// Use FMA for band calculations: mid + multiplier * atr
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double upperEval = Math.FusedMultiplyAdd(_multiplier, atr, mid);
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double lowerEval = Math.FusedMultiplyAdd(-_multiplier, atr, mid);
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if (!_state.IsInitialized)
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{
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_state.IsBullish = true; // Skender seems to default to Bullish (or determines it dynamically)
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_state.UpperBand = upperEval;
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_state.LowerBand = lowerEval;
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_state.IsInitialized = true;
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}
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double prevUpperBand = _state.UpperBand;
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double prevLowerBand = _state.LowerBand;
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double prevClose = _prevBar.Close;
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// New upper band
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if (upperEval < prevUpperBand || prevClose > prevUpperBand)
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{
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_state.UpperBand = upperEval;
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}
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// New lower band
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if (lowerEval > prevLowerBand || prevClose < prevLowerBand)
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{
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_state.LowerBand = lowerEval;
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}
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// SuperTrend
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if (_state.IsBullish)
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{
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if (input.Close < _state.LowerBand)
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{
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_state.IsBullish = false;
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superTrend = _state.UpperBand;
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}
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else
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{
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superTrend = _state.LowerBand;
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}
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}
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else
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{
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if (input.Close > _state.UpperBand)
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{
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_state.IsBullish = true;
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superTrend = _state.LowerBand;
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}
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else
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{
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superTrend = _state.UpperBand;
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}
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}
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upperBand = _state.UpperBand;
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lowerBand = _state.LowerBand;
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}
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Last = new TValue(input.Time, superTrend);
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UpperBand = new TValue(input.Time, upperBand);
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LowerBand = new TValue(input.Time, lowerBand);
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Pub?.Invoke(this, new TValueEventArgs { Value = Last, IsNew = isNew });
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return Last;
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}
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public TSeries Update(TBarSeries source)
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{
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var t = new List<long>(source.Count);
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var v = new List<double>(source.Count);
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Reset();
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for (int i = 0; i < source.Count; i++)
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{
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var val = Update(source[i], isNew: true);
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t.Add(val.Time);
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v.Add(val.Value);
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}
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return new TSeries(t, v);
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}
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public static TSeries Batch(TBarSeries source, int period = 10, double multiplier = 3.0)
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{
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var indicator = new Super(period, multiplier);
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return indicator.Update(source);
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}
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}
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