mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 19:48:05 +00:00
Add Stochastic Oscillator implementation and validation tests
- Implemented Stochastic Oscillator (%K and %D) in Stoch.cs with streaming and batch processing capabilities. - Added validation tests for the Stochastic Oscillator in Stoch.Validation.Tests.cs, ensuring consistency with Skender.Stock.Indicators. - Created documentation for the Stochastic Oscillator in Stoch.md, detailing its mathematical formula, architecture, parameters, and common pitfalls. - Updated project file to include necessary numeric libraries for highest and lowest calculations.
This commit is contained in:
Miha Kralj
@@ -0,0 +1,326 @@
|
||||
using System.Runtime.CompilerServices;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// BBB: Bollinger %B
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// <para>
|
||||
/// Bollinger %B measures where price sits within Bollinger Bands:
|
||||
/// <c>%B = (Price - Lower) / (Upper - Lower)</c>
|
||||
/// </para>
|
||||
///
|
||||
/// This implementation uses O(1) rolling sums for mean and variance.
|
||||
///
|
||||
/// Formula:
|
||||
/// <c>Basis = SMA(source, period)</c>
|
||||
/// <c>StdDev = sqrt(E[x^2] - E[x]^2)</c>
|
||||
/// <c>Upper = Basis + multiplier * StdDev</c>
|
||||
/// <c>Lower = Basis - multiplier * StdDev</c>
|
||||
/// <c>BBB = (source - Lower) / (Upper - Lower)</c>
|
||||
///
|
||||
/// When band width is zero, returns 0.5 (neutral).
|
||||
///
|
||||
/// References:
|
||||
/// - John Bollinger, "Bollinger on Bollinger Bands"
|
||||
/// - PineScript reference: bbb.pine
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Bbb : AbstractBase
|
||||
{
|
||||
private readonly int _period;
|
||||
private readonly double _multiplier;
|
||||
private readonly RingBuffer _buffer;
|
||||
|
||||
[StructLayout(LayoutKind.Auto)]
|
||||
private record struct State(
|
||||
double Sum,
|
||||
double SumSq,
|
||||
double LastValid);
|
||||
private State _state;
|
||||
private State _p_state;
|
||||
|
||||
private const int ResyncInterval = 1000;
|
||||
private int _tickCount;
|
||||
|
||||
/// <summary>
|
||||
/// Creates BBB with specified period and multiplier.
|
||||
/// </summary>
|
||||
/// <param name="period">Lookback period (must be > 0)</param>
|
||||
/// <param name="multiplier">Standard deviation multiplier (must be > 0)</param>
|
||||
public Bbb(int period = 20, double multiplier = 2.0)
|
||||
{
|
||||
if (period <= 0)
|
||||
{
|
||||
throw new ArgumentException("Period must be greater than 0", nameof(period));
|
||||
}
|
||||
|
||||
if (multiplier <= 0)
|
||||
{
|
||||
throw new ArgumentException("Multiplier must be greater than 0", nameof(multiplier));
|
||||
}
|
||||
|
||||
_period = period;
|
||||
_multiplier = multiplier;
|
||||
_buffer = new RingBuffer(period);
|
||||
Name = $"Bbb({period},{multiplier:F1})";
|
||||
WarmupPeriod = period;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates BBB with specified source, period, and multiplier.
|
||||
/// </summary>
|
||||
public Bbb(ITValuePublisher source, int period = 20, double multiplier = 2.0) : this(period, multiplier)
|
||||
{
|
||||
source.Pub += Handle;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
|
||||
|
||||
/// <summary>
|
||||
/// True if the indicator has enough data for valid results.
|
||||
/// </summary>
|
||||
public override bool IsHot => _buffer.IsFull;
|
||||
|
||||
/// <summary>
|
||||
/// Period of the indicator.
|
||||
/// </summary>
|
||||
public int Period => _period;
|
||||
|
||||
/// <summary>
|
||||
/// Standard deviation multiplier.
|
||||
/// </summary>
|
||||
public double Multiplier => _multiplier;
|
||||
|
||||
/// <inheritdoc/>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public override TValue Update(TValue input, bool isNew = true)
|
||||
{
|
||||
double value = input.Value;
|
||||
|
||||
// Sanitize input
|
||||
if (!double.IsFinite(value))
|
||||
{
|
||||
value = double.IsFinite(_state.LastValid) ? _state.LastValid : 0.0;
|
||||
}
|
||||
else
|
||||
{
|
||||
_state.LastValid = value;
|
||||
}
|
||||
|
||||
if (isNew)
|
||||
{
|
||||
_p_state = _state;
|
||||
|
||||
// Remove oldest value contribution if buffer full
|
||||
if (_buffer.Count == _buffer.Capacity)
|
||||
{
|
||||
double oldest = _buffer.Oldest;
|
||||
_state.Sum -= oldest;
|
||||
_state.SumSq -= oldest * oldest;
|
||||
}
|
||||
|
||||
// Add new value
|
||||
_state.Sum += value;
|
||||
_state.SumSq += value * value;
|
||||
_buffer.Add(value);
|
||||
|
||||
_tickCount++;
|
||||
if (_buffer.IsFull && _tickCount >= ResyncInterval)
|
||||
{
|
||||
_tickCount = 0;
|
||||
RecalculateSums();
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
_state = _p_state;
|
||||
|
||||
// Update the newest value in buffer
|
||||
_buffer.UpdateNewest(value);
|
||||
RecalculateSums();
|
||||
}
|
||||
|
||||
int count = _buffer.Count;
|
||||
if (count == 0)
|
||||
{
|
||||
Last = new TValue(input.Time, 0.5);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
double mean = _state.Sum / count;
|
||||
double variance = Math.Max(0.0, (_state.SumSq / count) - (mean * mean));
|
||||
double stddev = Math.Sqrt(variance);
|
||||
double dev = _multiplier * stddev;
|
||||
|
||||
double upper = mean + dev;
|
||||
double lower = mean - dev;
|
||||
double width = upper - lower;
|
||||
|
||||
double bbb = width > 0.0 ? (value - lower) / width : 0.5;
|
||||
|
||||
Last = new TValue(input.Time, bbb);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
/// <inheritdoc/>
|
||||
public override TSeries Update(TSeries source)
|
||||
{
|
||||
Reset();
|
||||
int len = source.Count;
|
||||
var t = new List<long>(len);
|
||||
var v = new List<double>(len);
|
||||
CollectionsMarshal.SetCount(t, len);
|
||||
CollectionsMarshal.SetCount(v, len);
|
||||
|
||||
var tSpan = CollectionsMarshal.AsSpan(t);
|
||||
var vSpan = CollectionsMarshal.AsSpan(v);
|
||||
source.Times.CopyTo(tSpan);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
vSpan[i] = Update(new TValue(tSpan[i], source.Values[i]), isNew: true).Value;
|
||||
}
|
||||
|
||||
return new TSeries(t, v);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates BBB for entire series.
|
||||
/// </summary>
|
||||
public static TSeries Batch(TSeries source, int period = 20, double multiplier = 2.0)
|
||||
{
|
||||
int len = source.Count;
|
||||
var t = new List<long>(len);
|
||||
var v = new List<double>(len);
|
||||
CollectionsMarshal.SetCount(t, len);
|
||||
CollectionsMarshal.SetCount(v, len);
|
||||
|
||||
var tSpan = CollectionsMarshal.AsSpan(t);
|
||||
var vSpan = CollectionsMarshal.AsSpan(v);
|
||||
|
||||
Batch(source.Values, vSpan, period, multiplier);
|
||||
source.Times.CopyTo(tSpan);
|
||||
|
||||
return new TSeries(t, v);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Batch BBB calculation with O(1) rolling variance.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period = 20, double multiplier = 2.0)
|
||||
{
|
||||
if (source.Length != output.Length)
|
||||
{
|
||||
throw new ArgumentException("Source and output must have the same length", nameof(output));
|
||||
}
|
||||
|
||||
if (period <= 0)
|
||||
{
|
||||
throw new ArgumentException("Period must be greater than 0", nameof(period));
|
||||
}
|
||||
|
||||
if (multiplier <= 0)
|
||||
{
|
||||
throw new ArgumentException("Multiplier must be greater than 0", nameof(multiplier));
|
||||
}
|
||||
|
||||
int len = source.Length;
|
||||
if (len == 0)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
double sum = 0.0;
|
||||
double sumSq = 0.0;
|
||||
double lastValid = 0.0;
|
||||
double mult = multiplier;
|
||||
|
||||
var valueBuffer = new RingBuffer(period);
|
||||
|
||||
for (int i = 0; i < len; i++)
|
||||
{
|
||||
double val = source[i];
|
||||
|
||||
if (!double.IsFinite(val))
|
||||
{
|
||||
val = lastValid;
|
||||
}
|
||||
else
|
||||
{
|
||||
lastValid = val;
|
||||
}
|
||||
|
||||
if (i >= period)
|
||||
{
|
||||
double oldest = valueBuffer.Oldest;
|
||||
sum -= oldest;
|
||||
sumSq -= oldest * oldest;
|
||||
}
|
||||
|
||||
sum += val;
|
||||
sumSq += val * val;
|
||||
valueBuffer.Add(val);
|
||||
|
||||
int count = Math.Min(i + 1, period);
|
||||
double mean = sum / count;
|
||||
double variance = Math.Max(0.0, (sumSq / count) - (mean * mean));
|
||||
double stddev = Math.Sqrt(variance);
|
||||
double dev = mult * stddev;
|
||||
|
||||
double upper = mean + dev;
|
||||
double lower = mean - dev;
|
||||
double width = upper - lower;
|
||||
|
||||
output[i] = width > 0.0 ? (val - lower) / width : 0.5;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates BBB and returns both results and the warm indicator.
|
||||
/// </summary>
|
||||
public static (TSeries Results, Bbb Indicator) Calculate(TSeries source, int period = 20, double multiplier = 2.0)
|
||||
{
|
||||
var indicator = new Bbb(period, multiplier);
|
||||
TSeries results = indicator.Update(source);
|
||||
return (results, indicator);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void RecalculateSums()
|
||||
{
|
||||
_state.Sum = 0.0;
|
||||
_state.SumSq = 0.0;
|
||||
for (int i = 0; i < _buffer.Count; i++)
|
||||
{
|
||||
double v = _buffer[i];
|
||||
_state.Sum += v;
|
||||
_state.SumSq += v * v;
|
||||
}
|
||||
}
|
||||
|
||||
/// <inheritdoc/>
|
||||
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
|
||||
{
|
||||
for (int i = 0; i < source.Length; i++)
|
||||
{
|
||||
Update(new TValue(DateTime.UtcNow, source[i]), isNew: true);
|
||||
}
|
||||
}
|
||||
|
||||
/// <inheritdoc/>
|
||||
public override void Reset()
|
||||
{
|
||||
_buffer.Clear();
|
||||
_state = default;
|
||||
_p_state = default;
|
||||
_tickCount = 0;
|
||||
Last = default;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user