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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/tsf/Tsf.cs
+26 -32
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@@ -9,6 +9,7 @@ namespace QuanTAlib;
/// <remarks>
/// Projects the linear regression line one step forward, forecasting the
/// next bar's value based on the least-squares trend over the lookback period.
/// Kahan compensated summation prevents floating-point drift without periodic resync.
///
/// Calculation: <c>TSF = slope × period + intercept</c> (standard convention)
/// or equivalently <c>TSF = b − m</c> (reversed-x convention where b = current bar value).
@@ -30,15 +31,12 @@ public sealed class Tsf : AbstractBase
private int _disposed;
[StructLayout(LayoutKind.Auto)]
private record struct State(double SumY, double SumXY, double LastVal, double LastValidValue);
private record struct State(double SumY, double SumXY, double SumYComp, double SumXYComp, double LastVal, double LastValidValue);
private State _s;
private State _ps;
private int _tickCount;
private bool _isNew;
private const int ResyncInterval = 1000;
public override bool IsHot => _buffer.IsFull;
public bool IsNew => _isNew;
@@ -98,13 +96,19 @@ public sealed class Tsf : AbstractBase
double oldest = _buffer.Oldest;
double prevSumY = _s.SumY;
// O(1) update for SumXY (reversed-x convention)
// New value enters at x=0, existing values shift x+1, oldest drops off
// sumXY_new = sumXY_old + sumY_prev - n * oldest
_s.SumXY = Math.FusedMultiplyAdd(-_period, oldest, _s.SumXY + prevSumY);
// Kahan compensated update for SumXY: sumXY += (prevSumY - period * oldest)
double deltaXY = Math.FusedMultiplyAdd(-_period, oldest, prevSumY);
double yXY = deltaXY - _s.SumXYComp;
double tXY = _s.SumXY + yXY;
_s.SumXYComp = (tXY - _s.SumXY) - yXY;
_s.SumXY = tXY;
// O(1) update for SumY
_s.SumY = _s.SumY - oldest + val;
// Kahan compensated update for SumY: sumY += (val - oldest)
double deltaY = val - oldest;
double yY = deltaY - _s.SumYComp;
double tY = _s.SumY + yY;
_s.SumYComp = (tY - _s.SumY) - yY;
_s.SumY = tY;
_buffer.Add(val);
}
@@ -112,30 +116,21 @@ public sealed class Tsf : AbstractBase
{
if (_buffer.Count > 0)
{
_s.SumXY += _s.SumY;
// Kahan compensated addition for SumXY: sumXY += sumY
double yXY = _s.SumY - _s.SumXYComp;
double tXY = _s.SumXY + yXY;
_s.SumXYComp = (tXY - _s.SumXY) - yXY;
_s.SumXY = tXY;
}
_s.SumY += val;
// Kahan compensated addition for SumY
double yY = val - _s.SumYComp;
double tY = _s.SumY + yY;
_s.SumYComp = (tY - _s.SumY) - yY;
_s.SumY = tY;
_buffer.Add(val);
}
_tickCount++;
if (_buffer.IsFull && _tickCount >= ResyncInterval)
{
_tickCount = 0;
Resync();
}
}
private void Resync()
{
_s.SumY = _buffer.Sum;
_s.SumXY = 0;
var span = _buffer.GetSpan();
for (int i = 0; i < span.Length; i++)
{
int x = span.Length - 1 - i;
_s.SumXY = Math.FusedMultiplyAdd(x, span[i], _s.SumXY);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -409,7 +404,6 @@ public sealed class Tsf : AbstractBase
_s.LastValidValue = double.NaN;
_ps = default;
Last = default;
_tickCount = 0;
}
protected override void Dispose(bool disposing)