validation and profiles

lib/oscillators/dem/Dem.cs

@@ -0,0 +1,328 @@
+// DEM: DeMarker Oscillator
+// Measures demand by comparing current bar's High/Low against the previous bar's High/Low.
+// Tom DeMark, "The New Science of Technical Analysis" (1994).
+
+using System.Buffers;
+using System.Runtime.CompilerServices;
+using System.Runtime.InteropServices;
+
+namespace QuanTAlib;
+
+/// <summary>
+/// DEM: DeMarker Oscillator
+/// </summary>
+/// <remarks>
+/// Bounded [0, 1] oscillator measuring sequential buying/selling pressure:
+/// <list type="bullet">
+///   <item>DeMax = max(High − prevHigh, 0)</item>
+///   <item>DeMin = max(prevLow − Low, 0)</item>
+///   <item>DEM = SMA(DeMax, period) / (SMA(DeMax, period) + SMA(DeMin, period))</item>
+/// </list>
+/// Two O(1) rolling sums via circular buffers — 2 additions + 2 subtractions per bar
+/// regardless of period length. Guard: zero denominator → 0.5 (neutral).
+///
+/// References:
+///   DeMark, Tom (1994). The New Science of Technical Analysis.
+///   PineScript reference: dem.pine
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Dem : ITValuePublisher
+{
+    private readonly int _period;
+
+    // Two circular buffers for O(1) SMA rolling sums
+    private readonly double[] _deMaxBuf;
+    private readonly double[] _deMinBuf;
+
+    // Snapshots for idempotent isNew=false rollback — full array copy required
+    // because isNew=false must restore the exact buffer state before the last new bar
+    private readonly double[] _deMaxSnap;
+    private readonly double[] _deMinSnap;
+
+    [StructLayout(LayoutKind.Auto)]
+    private record struct State(
+        double DeMaxSum,
+        double DeMinSum,
+        double PrevHigh,
+        double PrevLow,
+        double LastValid,
+        int Count,
+        int Idx);
+
+    private State _s;
+    private State _ps;
+
+    private readonly TBarPublishedHandler _barHandler;
+
+    /// <summary>Display name for the indicator.</summary>
+    public string Name { get; }
+
+    /// <summary>Bars required for the first valid output.</summary>
+    public int WarmupPeriod { get; }
+
+    /// <summary>True once the rolling window is fully populated (needs period+1 bars).</summary>
+    public bool IsHot => _s.Count > _period;
+
+    /// <summary>Current DEM value in [0, 1].</summary>
+    public TValue Last { get; private set; }
+
+    public event TValuePublishedHandler? Pub;
+
+    /// <summary>
+    /// Creates DEM with the specified SMA period.
+    /// </summary>
+    /// <param name="period">SMA lookback period (must be &gt;= 1, default 14)</param>
+    public Dem(int period = 14)
+    {
+        if (period <= 0)
+        {
+            throw new ArgumentException("Period must be greater than 0", nameof(period));
+        }
+
+        _period = period;
+        _deMaxBuf = new double[period];
+        _deMinBuf = new double[period];
+        _deMaxSnap = new double[period];
+        _deMinSnap = new double[period];
+
+        _s = new State(0, 0, double.NaN, double.NaN, 0.5, 0, 0);
+        _ps = _s;
+
+        WarmupPeriod = period + 1;
+        Name = $"Dem({period})";
+        _barHandler = HandleBar;
+    }
+
+    /// <summary>
+    /// Creates DEM chained to a TBarSeries source.
+    /// </summary>
+    public Dem(TBarSeries source, int period = 14) : this(period)
+    {
+        Prime(source);
+        source.Pub += _barHandler;
+    }
+
+    private void HandleBar(object? sender, in TBarEventArgs e) => Update(e.Value, e.IsNew);
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void PubEvent(TValue value, bool isNew) =>
+        Pub?.Invoke(this, new TValueEventArgs { Value = value, IsNew = isNew });
+
+    /// <summary>Resets all state to initial conditions.</summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public void Reset()
+    {
+        _s = new State(0, 0, double.NaN, double.NaN, 0.5, 0, 0);
+        _ps = _s;
+        Last = default;
+        Array.Clear(_deMaxBuf);
+        Array.Clear(_deMinBuf);
+        Array.Clear(_deMaxSnap);
+        Array.Clear(_deMinSnap);
+    }
+
+    /// <summary>
+    /// Updates DEM with a new OHLCV bar.
+    /// </summary>
+    /// <param name="input">OHLCV bar data</param>
+    /// <param name="isNew">True to advance state; false to rewrite the latest bar</param>
+    /// <returns>Current DEM value as TValue</returns>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public TValue Update(TBar input, bool isNew = true)
+    {
+        var s = _s;
+
+        if (isNew)
+        {
+            // Snapshot buffers before mutation — required for idempotent rollback
+            _ps = s;
+            Array.Copy(_deMaxBuf, _deMaxSnap, _period);
+            Array.Copy(_deMinBuf, _deMinSnap, _period);
+            s.Count++;
+        }
+        else
+        {
+            // Rollback: restore scalar state + both buffer snapshots
+            s = _ps;
+            Array.Copy(_deMaxSnap, _deMaxBuf, _period);
+            Array.Copy(_deMinSnap, _deMinBuf, _period);
+        }
+
+        // Sanitize OHLC inputs — use last-valid on NaN/Infinity
+        double rawHigh = input.High;
+        double rawLow = input.Low;
+        double high = double.IsFinite(rawHigh) ? rawHigh : s.LastValid;
+        double low = double.IsFinite(rawLow) ? rawLow : s.LastValid;
+
+        // First bar: no previous high/low — DeMax=DeMin=0 by convention
+        double prevHigh = double.IsFinite(s.PrevHigh) ? s.PrevHigh : high;
+        double prevLow = double.IsFinite(s.PrevLow) ? s.PrevLow : low;
+
+        // Per-bar demand/supply components
+        double deMax = Math.Max(high - prevHigh, 0.0);
+        double deMin = Math.Max(prevLow - low, 0.0);
+
+        // O(1) circular-buffer rolling sums: subtract outgoing, write new, add incoming
+        int idx = s.Idx;
+
+        s.DeMaxSum -= _deMaxBuf[idx];
+        s.DeMinSum -= _deMinBuf[idx];
+
+        _deMaxBuf[idx] = deMax;
+        _deMinBuf[idx] = deMin;
+
+        s.DeMaxSum += deMax;
+        s.DeMinSum += deMin;
+
+        // Advance circular index only on new bars
+        if (isNew)
+        {
+            s.Idx = (idx + 1) % _period;
+        }
+
+        // Compute DEM — default to 0.5 (neutral) on zero denominator
+        double denom = s.DeMaxSum + s.DeMinSum;
+        double dem = denom != 0.0 ? s.DeMaxSum / denom : 0.5;
+
+        // Store last valid value for NaN protection
+        if (double.IsFinite(dem))
+        {
+            s.LastValid = dem;
+        }
+
+        // Store current high/low as next bar's prev
+        s.PrevHigh = high;
+        s.PrevLow = low;
+
+        _s = s;
+
+        Last = new TValue(input.Time, IsHot ? dem : s.LastValid);
+        PubEvent(Last, isNew);
+        return Last;
+    }
+
+    /// <summary>
+    /// Updates DEM from a scalar TValue (uses Val as proxy; High=Low=Val).
+    /// Primarily for ITValuePublisher compatibility — not the natural input for DEM.
+    /// </summary>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public TValue Update(TValue input, bool isNew = true)
+    {
+        double v = double.IsFinite(input.Value) ? input.Value : _s.LastValid;
+        return Update(new TBar(input.Time, v, v, v, v, 0), isNew);
+    }
+
+    /// <summary>
+    /// Batch-computes DEM over raw High/Low spans. Zero-allocation path for large datasets.
+    /// </summary>
+    /// <param name="high">Source high prices</param>
+    /// <param name="low">Source low prices</param>
+    /// <param name="output">Destination span for DEM values</param>
+    /// <param name="period">SMA period (must be &gt; 0)</param>
+    public static void Batch(
+        ReadOnlySpan<double> high,
+        ReadOnlySpan<double> low,
+        Span<double> output,
+        int period = 14)
+    {
+        if (period <= 0)
+        {
+            throw new ArgumentException("Period must be greater than 0", nameof(period));
+        }
+
+        int len = high.Length;
+
+        if (low.Length != len)
+        {
+            throw new ArgumentException("Low length must match high length", nameof(low));
+        }
+
+        if (output.Length != len)
+        {
+            throw new ArgumentException("Output length must match input length", nameof(output));
+        }
+
+        if (len == 0)
+        {
+            return;
+        }
+
+        const int StackallocThreshold = 256;
+
+        double[]? rentedMax = null;
+        double[]? rentedMin = null;
+
+        scoped Span<double> deMaxBuf;
+        scoped Span<double> deMinBuf;
+
+        if (period <= StackallocThreshold)
+        {
+            deMaxBuf = stackalloc double[period];
+            deMinBuf = stackalloc double[period];
+        }
+        else
+        {
+            rentedMax = ArrayPool<double>.Shared.Rent(period);
+            rentedMin = ArrayPool<double>.Shared.Rent(period);
+            deMaxBuf = rentedMax.AsSpan(0, period);
+            deMinBuf = rentedMin.AsSpan(0, period);
+        }
+
+        try
+        {
+            deMaxBuf.Clear();
+            deMinBuf.Clear();
+
+            double deMaxSum = 0.0;
+            double deMinSum = 0.0;
+            double prevHigh = double.NaN;
+            double prevLow = double.NaN;
+            int idx = 0;
+            int count = 0;
+
+            for (int i = 0; i < len; i++)
+            {
+                double h = high[i];
+                double l = low[i];
+
+                // First bar bootstrap: DeMax=DeMin=0
+                double ph = double.IsFinite(prevHigh) ? prevHigh : h;
+                double pl = double.IsFinite(prevLow) ? prevLow : l;
+
+                double deMax = Math.Max(h - ph, 0.0);
+                double deMin = Math.Max(pl - l, 0.0);
+
+                deMaxSum -= deMaxBuf[idx];
+                deMinSum -= deMinBuf[idx];
+
+                deMaxBuf[idx] = deMax;
+                deMinBuf[idx] = deMin;
+
+                deMaxSum += deMax;
+                deMinSum += deMin;
+
+                idx = (idx + 1) % period;
+                count++;
+                prevHigh = h;
+                prevLow = l;
+
+                double denom = deMaxSum + deMinSum;
+                output[i] = denom != 0.0 ? deMaxSum / denom : 0.5;
+            }
+        }
+        finally
+        {
+            if (rentedMax != null) { ArrayPool<double>.Shared.Return(rentedMax); }
+            if (rentedMin != null) { ArrayPool<double>.Shared.Return(rentedMin); }
+        }
+    }
+
+    /// <summary>Primes the indicator by replaying historical data without firing events.</summary>
+    public void Prime(TBarSeries source)
+    {
+        foreach (var bar in source)
+        {
+            Update(bar, isNew: true);
+        }
+    }
+}