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>
2026-08-24 05:28:05 +00:00 · 2026-01-18 19:02:03 -08:00
parent 5bcdf8d614
commit 86fe32a682
1750 changed files with 198235 additions and 80539 deletions
@@ -0,0 +1,389 @@
+namespace QuanTAlib.Tests;
+
+public class MapeTests
+{
+    [Fact]
+    public void Constructor_ValidatesInput()
+    {
+        Assert.Throws<ArgumentException>(() => new Mape(0));
+        Assert.Throws<ArgumentException>(() => new Mape(-1));
+
+        var mape = new Mape(10);
+        Assert.NotNull(mape);
+    }
+
+    [Fact]
+    public void Properties_Accessible()
+    {
+        var mape = new Mape(10);
+
+        Assert.Equal(0, mape.Last.Value);
+        Assert.False(mape.IsHot);
+        Assert.Contains("Mape", mape.Name, StringComparison.Ordinal);
+
+        mape.Update(100, 105);
+        Assert.NotEqual(0, mape.Last.Time);
+    }
+
+    [Fact]
+    public void IsHot_BecomesTrueWhenBufferFull()
+    {
+        const int period = 5;
+        var mape = new Mape(period);
+
+        for (int i = 0; i < period - 1; i++)
+        {
+            Assert.False(mape.IsHot, $"IsHot should be false at index {i}");
+            mape.Update(100 + i, 105 + i);
+        }
+
+        mape.Update(104, 109);
+        Assert.True(mape.IsHot, "IsHot should be true after period updates");
+    }
+
+    [Fact]
+    public void Mape_CalculatesCorrectly()
+    {
+        var mape = new Mape(3);
+
+        // |100 - 110| / 100 * 100 = 10%
+        var res1 = mape.Update(100, 110);
+        Assert.Equal(10.0, res1.Value, 10);
+
+        // |200 - 220| / 200 * 100 = 10%, Mean = (10 + 10) / 2 = 10%
+        var res2 = mape.Update(200, 220);
+        Assert.Equal(10.0, res2.Value, 10);
+
+        // |50 - 60| / 50 * 100 = 20%, Mean = (10 + 10 + 20) / 3 = 13.333%
+        var res3 = mape.Update(50, 60);
+        Assert.Equal(40.0 / 3.0, res3.Value, 10);
+    }
+
+    [Fact]
+    public void Mape_PerfectPrediction_ReturnsZero()
+    {
+        var mape = new Mape(5);
+
+        for (int i = 1; i <= 10; i++)
+        {
+            mape.Update(i * 10, i * 10); // Perfect prediction
+        }
+
+        Assert.Equal(0.0, mape.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Mape_ConstantPercentageError()
+    {
+        var mape = new Mape(5);
+
+        // 10% error consistently
+        for (int i = 1; i <= 10; i++)
+        {
+            mape.Update(100, 110); // |100-110|/100 * 100 = 10%
+        }
+
+        Assert.Equal(10.0, mape.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Mape_ScaleIndependent()
+    {
+        var mape1 = new Mape(3);
+        var mape2 = new Mape(3);
+
+        // Small scale: 10% error
+        mape1.Update(10, 11);
+        mape1.Update(10, 11);
+        mape1.Update(10, 11);
+
+        // Large scale: 10% error
+        mape2.Update(1000, 1100);
+        mape2.Update(1000, 1100);
+        mape2.Update(1000, 1100);
+
+        Assert.Equal(mape1.Last.Value, mape2.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Calc_IsNew_AcceptsParameter()
+    {
+        var mape = new Mape(10);
+
+        mape.Update(100, 110, isNew: true);
+        double value1 = mape.Last.Value;
+
+        mape.Update(100, 120, isNew: true);
+        double value2 = mape.Last.Value;
+
+        Assert.NotEqual(value1, value2);
+    }
+
+    [Fact]
+    public void Calc_IsNew_False_UpdatesValue()
+    {
+        var mape = new Mape(10);
+
+        mape.Update(100, 110);
+        mape.Update(100, 120, isNew: true);
+        double beforeUpdate = mape.Last.Value;
+
+        mape.Update(100, 130, isNew: false);
+        double afterUpdate = mape.Last.Value;
+
+        Assert.NotEqual(beforeUpdate, afterUpdate);
+    }
+
+    [Fact]
+    public void IterativeCorrections_RestoreToOriginalState()
+    {
+        var mape = new Mape(5);
+
+        double tenthActual = 0;
+        double tenthPredicted = 0;
+
+        // Feed 10 updates
+        for (int i = 1; i <= 10; i++)
+        {
+            tenthActual = i * 10;
+            tenthPredicted = i * 10 + 5;
+            mape.Update(tenthActual, tenthPredicted);
+        }
+
+        double stateAfterTen = mape.Last.Value;
+
+        // Apply 5 corrections with isNew=false
+        for (int i = 0; i < 5; i++)
+        {
+            mape.Update(100 + i, 200 + i, isNew: false);
+        }
+
+        // Restore to original values
+        mape.Update(tenthActual, tenthPredicted, isNew: false);
+
+        Assert.Equal(stateAfterTen, mape.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Reset_ClearsState()
+    {
+        var mape = new Mape(5);
+
+        for (int i = 1; i <= 10; i++)
+        {
+            mape.Update(i * 10, i * 10 + 5);
+        }
+
+        Assert.True(mape.IsHot);
+
+        mape.Reset();
+
+        Assert.False(mape.IsHot);
+        Assert.Equal(0, mape.Last.Value);
+    }
+
+    [Fact]
+    public void NaN_Input_UsesLastValidValue()
+    {
+        var mape = new Mape(5);
+
+        mape.Update(100, 110);
+        mape.Update(110, 120);
+        mape.Update(120, 130);
+
+        var result = mape.Update(double.NaN, double.NaN);
+
+        Assert.True(double.IsFinite(result.Value));
+    }
+
+    [Fact]
+    public void Infinity_Input_UsesLastValidValue()
+    {
+        var mape = new Mape(5);
+
+        mape.Update(100, 110);
+        mape.Update(110, 120);
+
+        var result = mape.Update(double.PositiveInfinity, double.NegativeInfinity);
+
+        Assert.True(double.IsFinite(result.Value));
+    }
+
+    [Fact]
+    public void MultipleNaN_ContinuesWithLastValid()
+    {
+        var mape = new Mape(5);
+
+        mape.Update(100, 110);
+        mape.Update(110, 120);
+        mape.Update(120, 130);
+
+        var r1 = mape.Update(double.NaN, double.NaN);
+        var r2 = mape.Update(double.NaN, double.NaN);
+        var r3 = mape.Update(double.NaN, double.NaN);
+
+        Assert.True(double.IsFinite(r1.Value));
+        Assert.True(double.IsFinite(r2.Value));
+        Assert.True(double.IsFinite(r3.Value));
+    }
+
+    [Fact]
+    public void Mape_Throws_On_Single_Input()
+    {
+        var mape = new Mape(10);
+        Assert.Throws<NotSupportedException>(() => mape.Update(new TValue(DateTime.UtcNow, 1)));
+        Assert.Throws<NotSupportedException>(() => mape.Update(new TSeries()));
+        Assert.Throws<NotSupportedException>(() => mape.Prime([1, 2, 3]));
+    }
+
+    [Fact]
+    public void BatchSpan_MatchesStreaming()
+    {
+        int period = 5;
+        int count = 100;
+        var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 123);
+
+        double[] actual = new double[count];
+        double[] predicted = new double[count];
+        for (int i = 0; i < count; i++)
+        {
+            var bar = gbm.Next();
+            actual[i] = bar.Close;
+            predicted[i] = bar.Close * 1.05 + 2; // Offset prediction
+        }
+
+        // Streaming
+        var mape = new Mape(period);
+        var streamingResults = new double[count];
+        for (int i = 0; i < count; i++)
+        {
+            streamingResults[i] = mape.Update(actual[i], predicted[i]).Value;
+        }
+
+        // Batch
+        double[] batchResults = new double[count];
+        Mape.Batch(actual, predicted, batchResults, period);
+
+        // Compare
+        for (int i = 0; i < count; i++)
+        {
+            Assert.Equal(streamingResults[i], batchResults[i], 9);
+        }
+    }
+
+    [Fact]
+    public void BatchSpan_ValidatesInput()
+    {
+        double[] actual = [1, 2, 3, 4, 5];
+        double[] predicted = [1, 2, 3, 4, 5];
+        double[] output = new double[5];
+        double[] wrongSizeOutput = new double[3];
+        double[] wrongSizePredicted = new double[3];
+
+        // Period must be > 0
+        Assert.Throws<ArgumentException>(() =>
+            Mape.Batch(actual.AsSpan(), predicted.AsSpan(), output.AsSpan(), 0));
+        Assert.Throws<ArgumentException>(() =>
+            Mape.Batch(actual.AsSpan(), predicted.AsSpan(), output.AsSpan(), -1));
+
+        // Output must be same length as source
+        Assert.Throws<ArgumentException>(() =>
+            Mape.Batch(actual.AsSpan(), predicted.AsSpan(), wrongSizeOutput.AsSpan(), 3));
+
+        // Predicted must be same length as actual
+        Assert.Throws<ArgumentException>(() =>
+            Mape.Batch(actual.AsSpan(), wrongSizePredicted.AsSpan(), output.AsSpan(), 3));
+    }
+
+    [Fact]
+    public void Calculate_Works()
+    {
+        var actual = new TSeries();
+        var predicted = new TSeries();
+        var now = DateTime.UtcNow;
+
+        for (int i = 1; i <= 10; i++)
+        {
+            actual.Add(now.AddMinutes(i), 100);
+            predicted.Add(now.AddMinutes(i), 110); // 10% error
+        }
+
+        var results = Mape.Calculate(actual, predicted, 3);
+
+        Assert.Equal(10, results.Count);
+        Assert.Equal(10.0, results.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Calculate_ValidatesMismatchedLengths()
+    {
+        var actual = new TSeries();
+        var predicted = new TSeries();
+
+        for (int i = 0; i < 10; i++) actual.Add(DateTime.UtcNow, i + 1);
+        for (int i = 0; i < 5; i++) predicted.Add(DateTime.UtcNow, i + 1);
+
+        Assert.Throws<ArgumentException>(() => Mape.Calculate(actual, predicted, 3));
+    }
+
+    [Fact]
+    public void BatchSpan_HandlesNaN()
+    {
+        double[] actual = [100, 110, double.NaN, 130, 140];
+        double[] predicted = [105, 115, 125, double.NaN, 145];
+        double[] output = new double[5];
+
+        Mape.Batch(actual, predicted, output, 3);
+
+        foreach (var val in output)
+        {
+            Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
+        }
+    }
+
+    [Fact]
+    public void Mape_Resync_Works()
+    {
+        var mape = new Mape(5);
+
+        // Force many updates to trigger resync (ResyncInterval = 1000)
+        for (int i = 0; i < 1100; i++)
+        {
+            mape.Update(100, 110); // 10% error
+        }
+
+        // After resync, result should still be correct
+        Assert.Equal(10.0, mape.Last.Value, 10);
+    }
+
+    [Fact]
+    public void Mape_ZeroActual_HandlesGracefully()
+    {
+        var mape = new Mape(3);
+
+        mape.Update(100, 110);
+        mape.Update(100, 110);
+
+        // Zero actual should not cause division by zero
+        var result = mape.Update(0, 10);
+        Assert.True(double.IsFinite(result.Value));
+    }
+
+    [Fact]
+    public void Mape_Asymmetric_PenalizesUnderPredictionMore()
+    {
+        var mape1 = new Mape(1);
+        var mape2 = new Mape(1);
+
+        // Under-prediction: actual=100, predicted=50
+        // |100-50|/100 * 100 = 50%
+        var underPrediction = mape1.Update(100, 50);
+
+        // Over-prediction: actual=50, predicted=100
+        // |50-100|/50 * 100 = 100%
+        var overPrediction = mape2.Update(50, 100);
+
+        // Over-prediction should have higher MAPE due to smaller denominator
+        Assert.True(overPrediction.Value > underPrediction.Value);
+    }
+}
@@ -0,0 +1,65 @@
+using System.Runtime.CompilerServices;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// MAPE: Mean Absolute Percentage Error
+/// </summary>
+/// <remarks>
+/// MAPE measures the average absolute percentage error between actual and predicted values.
+/// It expresses accuracy as a percentage, making it scale-independent.
+///
+/// Formula:
+/// MAPE = (100/n) * Σ|((actual - predicted) / actual)|
+///
+/// Key properties:
+/// - Scale-independent (expressed as percentage)
+/// - Cannot be calculated when actual = 0
+/// - Asymmetric: penalizes under-predictions more than over-predictions
+/// - Undefined for zero actual values
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Mape : BiInputIndicatorBase
+{
+    private const double Epsilon = 1e-10;
+
+    /// <summary>
+    /// Creates MAPE with specified period.
+    /// </summary>
+    /// <param name="period">Number of values to average (must be > 0)</param>
+    public Mape(int period) : base(period, $"Mape({period})") { }
+
+    /// <inheritdoc/>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override double ComputeError(double actual, double predicted)
+    {
+        // Avoid division by zero - use small epsilon if actual is zero
+        double divisor = Math.Abs(actual) < Epsilon ? Epsilon : actual;
+        return 100.0 * Math.Abs((actual - predicted) / divisor);
+    }
+
+    /// <summary>
+    /// Calculates MAPE for entire series.
+    /// </summary>
+    public static TSeries Calculate(TSeries actual, TSeries predicted, int period)
+        => CalculateImpl(actual, predicted, period, Batch);
+
+    /// <summary>
+    /// Batch calculation using percentage error computation with rolling mean.
+    /// </summary>
+    public static void Batch(ReadOnlySpan<double> actual, ReadOnlySpan<double> predicted, Span<double> output, int period)
+    {
+        ValidateBatchInputs(actual, predicted, output, period);
+
+        int len = actual.Length;
+        if (len == 0) return;
+
+        const int StackAllocThreshold = 256;
+        Span<double> percentErrors = len <= StackAllocThreshold
+            ? stackalloc double[len]
+            : new double[len];
+
+        ErrorHelpers.ComputePercentageErrors(actual, predicted, percentErrors, Epsilon);
+        ErrorHelpers.ApplyRollingMean(percentErrors, output, period);
+    }
+}
@@ -0,0 +1,157 @@
+# MAPE: Mean Absolute Percentage Error
+
+> "The metric that lets you compare apples to oranges, as long as you don't have any zeros."
+
+Mean Absolute Percentage Error (MAPE) measures the average absolute percentage difference between actual and predicted values. It expresses accuracy as a percentage, making it scale-independent and easy to interpret.
+
+## Historical Context
+
+MAPE has been widely used in forecasting and operations research since the mid-20th century. Its intuitive percentage-based interpretation makes it a favorite in business contexts where stakeholders need to understand prediction accuracy without domain expertise.
+
+## Architecture & Physics
+
+MAPE divides each absolute error by the actual value, converting errors to percentages. This makes it independent of the scale of the data but introduces asymmetry and problems with zero values.
+
+### Properties
+
+* **Scale-independent**: Expressed as percentage
+* **Asymmetric**: Penalizes over-prediction more than under-prediction
+* **Undefined at zero**: Cannot compute when actual value is zero
+* **Non-negative**: MAPE ≥ 0, with 0 indicating perfect prediction
+* **No upper bound**: Can exceed 100% for large errors
+
+## Mathematical Foundation
+
+### 1. Percentage Error
+
+For each observation, calculate the absolute percentage error:
+
+$$APE_i = 100 \times \left| \frac{y_i - \hat{y}_i}{y_i} \right|$$
+
+Where:
+
+* $y_i$ = actual value
+* $\hat{y}_i$ = predicted value
+
+### 2. Mean Calculation
+
+Average the absolute percentage errors over the period:
+
+$$MAPE = \frac{100}{n} \sum_{i=1}^{n} \left| \frac{y_i - \hat{y}_i}{y_i} \right|$$
+
+### 3. Running Update (O(1))
+
+QuanTAlib uses a ring buffer with running sum for O(1) updates:
+
+$$S_{new} = S_{old} - APE_{oldest} + APE_{newest}$$
+
+$$MAPE = \frac{S_{new}}{n}$$
+
+## Implementation Details
+
+### Usage Patterns
+
+```csharp
+// Streaming mode - update with each new observation
+var mape = new Mape(period: 20);
+var result = mape.Update(actualValue, predictedValue);
+
+// Batch mode - calculate for entire series
+var results = Mape.Calculate(actualSeries, predictedSeries, period: 20);
+
+// Span mode - zero-allocation for high performance
+Mape.Batch(actualSpan, predictedSpan, outputSpan, period: 20);
+```
+
+### Parameters
+
+| Parameter | Type | Description |
+| :--- | :--- | :--- |
+| **period** | int | Lookback window for averaging (must be > 0) |
+
+### Properties
+
+| Property | Type | Description |
+| :--- | :--- | :--- |
+| **Last** | TValue | Most recent MAPE value (as percentage) |
+| **IsHot** | bool | True when buffer is full |
+| **Name** | string | Indicator name (e.g., "Mape(20)") |
+| **WarmupPeriod** | int | Number of periods before valid output |
+
+## Performance Profile
+
+| Metric | Score | Notes |
+| :--- | :--- | :--- |
+| **Throughput** | ~12 ns/bar | O(1) update complexity |
+| **Allocations** | 0 | Uses pre-allocated ring buffer |
+| **Complexity** | O(1) | Constant time per update |
+| **Accuracy** | 10/10 | Exact calculation |
+| **Timeliness** | 9/10 | No lag beyond the period |
+| **Smoothness** | 7/10 | Moderate smoothing |
+
+## Interpretation
+
+| MAPE Range | Interpretation |
+| :--- | :--- |
+| **< 10%** | Highly accurate |
+| **10-20%** | Good accuracy |
+| **20-50%** | Reasonable accuracy |
+| **> 50%** | Poor accuracy |
+
+## The Asymmetry Problem
+
+MAPE is asymmetric because it divides by the actual value:
+
+```csharp
+var mape1 = new Mape(1);
+var mape2 = new Mape(1);
+
+// Under-prediction: actual=100, predicted=50
+// |100-50|/100 = 50%
+mape1.Update(100, 50);  // Returns 50%
+
+// Over-prediction: actual=50, predicted=100  
+// |50-100|/50 = 100%
+mape2.Update(50, 100);  // Returns 100%
+```
+
+Same absolute error (50), but over-prediction shows higher MAPE.
+
+## Comparison with Other Metrics
+
+| Metric | Scale | Handles Zero | Symmetric |
+| :--- | :--- | :--- | :--- |
+| **MAPE** | Percentage | No | No |
+| **MAPD** | Percentage | No | No |
+| **SMAPE** | Percentage | Partially | Yes |
+| **MAE** | Original units | Yes | Yes |
+| **MPE** | Percentage | No | Yes (signed) |
+
+## Common Use Cases
+
+1. **Demand Forecasting**: Inventory and supply chain planning
+2. **Sales Prediction**: Revenue forecasting accuracy
+3. **Financial Modeling**: Investment return predictions
+4. **Operations**: Capacity planning and scheduling
+
+## Limitations
+
+1. **Zero Values**: Undefined when actual = 0 (QuanTAlib uses epsilon fallback)
+2. **Asymmetry**: Biases toward under-prediction
+3. **Scale Sensitivity**: Low values inflate MAPE disproportionately
+4. **Outlier Impact**: Single large percentage error can dominate
+
+## Edge Cases
+
+* **Identical Values**: Returns 0% when actual equals predicted
+* **Zero Actual**: Uses epsilon (1e-10) to avoid division by zero
+* **NaN Handling**: Uses last valid value substitution
+* **Single Input**: Not supported (requires two series)
+* **Period = 1**: Returns current percentage error
+
+## Related Indicators
+
+* [MAPD](../mapd/Mapd.md) - Mean Absolute Percentage Deviation (divides by predicted)
+* [SMAPE](../smape/Smape.md) - Symmetric Mean Absolute Percentage Error
+* [MPE](../mpe/Mpe.md) - Mean Percentage Error (signed)
+* [MAE](../mae/Mae.md) - Mean Absolute Error (same units)