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Merge dev into main: v0.8.7 Kahan compensated summation

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Miha Kralj
2026-03-13 22:01:52 -07:00
parent 86a1db286c 67ad6f0cba
commit 9697facfb4
79 changed files with 2923 additions and 2495 deletions
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lib/trends_FIR/rwma/Rwma.cs
+61 -64
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@@ -9,6 +9,7 @@ namespace QuanTAlib;
/// <remarks>
/// Weights each bar's contribution by its price range (high - low), giving
/// greater influence to volatile bars and less to narrow-range bars.
/// Kahan compensated summation prevents floating-point drift without periodic resync.
/// <c>RWMA = Σ(close_i × range_i) / Σ(range_i)</c> where <c>range_i = max(high_i - low_i, 0)</c>.
///
/// Requires TBar (OHLC) inputs. When all bars have zero range the output
@@ -21,17 +22,11 @@ namespace QuanTAlib;
public sealed class Rwma : ITValuePublisher
{
[StructLayout(LayoutKind.Auto)]
private record struct State(double SumCR, double SumR, int Index, int Head, int Count, int SyncCounter)
private record struct State(double SumCR, double SumR, double SumCRComp, double SumRComp, int Index, int Head, int Count)
{
public static State New() => new() { SumCR = 0, SumR = 0, Index = 0, Head = 0, Count = 0, SyncCounter = 0 };
public static State New() => new() { SumCR = 0, SumR = 0, SumCRComp = 0, SumRComp = 0, Index = 0, Head = 0, Count = 0 };
}
/// <summary>
/// Resync interval to limit floating-point drift in running sums.
/// Full recalculation every N bars.
/// </summary>
private const int ResyncInterval = 1000;
private readonly int _period;
private readonly double[] _closeBuffer;
private readonly double[] _rangeBuffer;
@@ -119,27 +114,6 @@ public sealed class Rwma : ITValuePublisher
return lastValid;
}
/// <summary>
/// Recalculates running sums from buffer to eliminate accumulated floating-point drift.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void ResyncRunningTotals(ref State s)
{
double sumCR = 0;
double sumR = 0;
for (int i = 0; i < _period; i++)
{
double c = _closeBuffer[i];
double r = _rangeBuffer[i];
sumCR = Math.FusedMultiplyAdd(c, r, sumCR);
sumR += r;
}
s.SumCR = sumCR;
s.SumR = sumR;
}
/// <summary>
/// Updates RWMA with a TBar input (uses close, high, low).
/// </summary>
@@ -222,13 +196,35 @@ public sealed class Rwma : ITValuePublisher
if (s.Count >= _period)
{
s.SumCR = Math.FusedMultiplyAdd(-oldClose, oldRange, s.SumCR);
s.SumR -= oldRange;
}
// Kahan compensated update for SumCR: sumCR += (close*range - oldClose*oldRange)
double deltaCR = Math.FusedMultiplyAdd(currentClose, currentRange, -oldClose * oldRange);
double yCR = deltaCR - s.SumCRComp;
double tCR = s.SumCR + yCR;
s.SumCRComp = (tCR - s.SumCR) - yCR;
s.SumCR = tCR;
// Add new values
s.SumCR = Math.FusedMultiplyAdd(currentClose, currentRange, s.SumCR);
s.SumR += currentRange;
// Kahan compensated update for SumR: sumR += (currentRange - oldRange)
double deltaR = currentRange - oldRange;
double yR = deltaR - s.SumRComp;
double tR = s.SumR + yR;
s.SumRComp = (tR - s.SumR) - yR;
s.SumR = tR;
}
else
{
// Kahan compensated addition for SumCR
double crVal = currentClose * currentRange;
double yCR = crVal - s.SumCRComp;
double tCR = s.SumCR + yCR;
s.SumCRComp = (tCR - s.SumCR) - yCR;
s.SumCR = tCR;
// Kahan compensated addition for SumR
double yR = currentRange - s.SumRComp;
double tR = s.SumR + yR;
s.SumRComp = (tR - s.SumR) - yR;
s.SumR = tR;
}
// Store in circular buffer
_closeBuffer[s.Head] = currentClose;
@@ -244,14 +240,6 @@ public sealed class Rwma : ITValuePublisher
{
s.Count++;
}
// Periodic resync to limit floating-point drift
s.SyncCounter++;
if (s.SyncCounter >= ResyncInterval && s.Count >= _period)
{
s.SyncCounter = 0;
ResyncRunningTotals(ref s);
}
}
// Calculate RWMA: Σ(close × range) / Σ(range)
@@ -392,7 +380,8 @@ public sealed class Rwma : ITValuePublisher
if (double.IsFinite(low[k])) { lastValidLow = low[k]; break; }
}
int syncCounter = 0;
double sumCRComp = 0;
double sumRComp = 0;
for (int i = 0; i < len; i++)
{
@@ -421,13 +410,35 @@ public sealed class Rwma : ITValuePublisher
if (count >= period)
{
sumCR = Math.FusedMultiplyAdd(-oldClose, oldRange, sumCR);
sumR -= oldRange;
}
// Kahan compensated update for SumCR
double deltaCR = Math.FusedMultiplyAdd(currentClose, currentRange, -oldClose * oldRange);
double yCR = deltaCR - sumCRComp;
double tCR = sumCR + yCR;
sumCRComp = (tCR - sumCR) - yCR;
sumCR = tCR;
// Add new values
sumCR = Math.FusedMultiplyAdd(currentClose, currentRange, sumCR);
sumR += currentRange;
// Kahan compensated update for SumR
double deltaR = currentRange - oldRange;
double yR = deltaR - sumRComp;
double tR = sumR + yR;
sumRComp = (tR - sumR) - yR;
sumR = tR;
}
else
{
// Kahan compensated addition for SumCR
double crVal = currentClose * currentRange;
double yCR = crVal - sumCRComp;
double tCR = sumCR + yCR;
sumCRComp = (tCR - sumCR) - yCR;
sumCR = tCR;
// Kahan compensated addition for SumR
double yR = currentRange - sumRComp;
double tR = sumR + yR;
sumRComp = (tR - sumR) - yR;
sumR = tR;
}
// Store in circular buffer
closeBuffer[head] = currentClose;
@@ -440,20 +451,6 @@ public sealed class Rwma : ITValuePublisher
count++;
}
// Periodic resync
syncCounter++;
if (syncCounter >= ResyncInterval && count >= period)
{
syncCounter = 0;
sumCR = 0;
sumR = 0;
for (int j = 0; j < period; j++)
{
sumCR = Math.FusedMultiplyAdd(closeBuffer[j], rangeBuffer[j], sumCR);
sumR += rangeBuffer[j];
}
}
output[i] = sumR > double.Epsilon ? sumCR / sumR : currentClose;
}
}