mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-23 04:58:08 +00:00
adding missing validations
This commit is contained in:
Miha Kralj
@@ -0,0 +1,297 @@
|
||||
// EXPDIST: Exponential Distribution CDF
|
||||
// Applies the exponential CDF F(x; λ) = 1 - exp(-λx) to a min-max normalized
|
||||
// price series over a rolling lookback window.
|
||||
// Pipeline: MinMax normalization → closed-form CDF evaluation (single exp() call).
|
||||
|
||||
using System.Runtime.CompilerServices;
|
||||
using System.Runtime.InteropServices;
|
||||
|
||||
namespace QuanTAlib;
|
||||
|
||||
/// <summary>
|
||||
/// EXPDIST: Exponential Distribution CDF
|
||||
/// Computes the exponential CDF F(x; λ) = 1 - exp(-λx) applied to a min-max
|
||||
/// normalized price series over a rolling lookback window.
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// Key properties:
|
||||
/// - Output always in [0, 1]
|
||||
/// - Rolling window tracks min/max for normalization; flat range returns F(0.5; λ)
|
||||
/// - λ (lambda) controls curvature: higher λ compresses the CDF toward 1.0 faster
|
||||
/// - λ = 1: gentle curve, F(0.5) ≈ 0.39; λ = 3 (default): F(0.5) ≈ 0.78
|
||||
/// - CDF evaluation is O(1): a single exp() — no special functions required
|
||||
/// - NaN/Infinity inputs use last-valid-value substitution
|
||||
/// </remarks>
|
||||
[SkipLocalsInit]
|
||||
public sealed class Expdist : AbstractBase
|
||||
{
|
||||
private readonly int _period;
|
||||
private readonly double _lambda;
|
||||
private readonly RingBuffer _buffer;
|
||||
|
||||
[StructLayout(LayoutKind.Auto)]
|
||||
private record struct State(double LastValid);
|
||||
private State _state, _p_state;
|
||||
|
||||
public override bool IsHot => _buffer.Count >= _period;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new Expdist indicator.
|
||||
/// </summary>
|
||||
/// <param name="period">Lookback window for min-max normalization (default 50)</param>
|
||||
/// <param name="lambda">Rate parameter λ > 0 (default 3.0)</param>
|
||||
public Expdist(int period = 50, double lambda = 3.0)
|
||||
{
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be >= 1", nameof(period));
|
||||
}
|
||||
|
||||
if (lambda <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("Lambda must be > 0", nameof(lambda));
|
||||
}
|
||||
|
||||
_period = period;
|
||||
_lambda = lambda;
|
||||
_buffer = new RingBuffer(period);
|
||||
Name = $"Expdist({period},{lambda:F2})";
|
||||
WarmupPeriod = period;
|
||||
_state = new State(0.0);
|
||||
_p_state = _state;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new Expdist indicator with source for event-based chaining.
|
||||
/// </summary>
|
||||
/// <param name="source">Source indicator for chaining</param>
|
||||
/// <param name="period">Lookback window (default 50)</param>
|
||||
/// <param name="lambda">Rate parameter λ > 0 (default 3.0)</param>
|
||||
public Expdist(ITValuePublisher source, int period = 50, double lambda = 3.0)
|
||||
: this(period, lambda)
|
||||
{
|
||||
source.Pub += HandleUpdate;
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
|
||||
|
||||
/// <summary>
|
||||
/// Exponential CDF: F(x; λ) = 1 - exp(-λx) for x > 0, else 0.
|
||||
/// Closed-form; requires only a single exp() call.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public static double ExpCdf(double x, double lambda)
|
||||
{
|
||||
if (x <= 0.0)
|
||||
{
|
||||
return 0.0;
|
||||
}
|
||||
|
||||
return 1.0 - Math.Exp(-lambda * x);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Exponential PDF: f(x; λ) = λ * exp(-λx) for x >= 0, else 0.
|
||||
/// </summary>
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public static double ExpPdf(double x, double lambda)
|
||||
{
|
||||
if (x < 0.0)
|
||||
{
|
||||
return 0.0;
|
||||
}
|
||||
|
||||
return lambda * Math.Exp(Math.FusedMultiplyAdd(-lambda, x, 0.0));
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private static (double min, double max) FindMinMax(ReadOnlySpan<double> values)
|
||||
{
|
||||
if (values.Length == 0)
|
||||
{
|
||||
return (double.MaxValue, double.MinValue);
|
||||
}
|
||||
|
||||
double min = values[0];
|
||||
double max = values[0];
|
||||
for (int i = 1; i < values.Length; i++)
|
||||
{
|
||||
double v = values[i];
|
||||
if (v < min)
|
||||
{
|
||||
min = v;
|
||||
}
|
||||
|
||||
if (v > max)
|
||||
{
|
||||
max = v;
|
||||
}
|
||||
}
|
||||
|
||||
return (min, max);
|
||||
}
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
public override TValue Update(TValue input, bool isNew = true)
|
||||
{
|
||||
if (isNew)
|
||||
{
|
||||
_p_state = _state;
|
||||
}
|
||||
else
|
||||
{
|
||||
_state = _p_state;
|
||||
}
|
||||
|
||||
double value = input.Value;
|
||||
double result;
|
||||
|
||||
if (double.IsFinite(value))
|
||||
{
|
||||
_buffer.Add(value, isNew);
|
||||
|
||||
var (min, max) = FindMinMax(_buffer.GetSpan());
|
||||
double range = max - min;
|
||||
|
||||
// Flat range → use midpoint 0.5 to avoid degenerate output
|
||||
double x = range > 0.0 ? (value - min) / range : 0.5;
|
||||
|
||||
result = ExpCdf(x, _lambda);
|
||||
_state = new State(result);
|
||||
}
|
||||
else
|
||||
{
|
||||
result = _state.LastValid;
|
||||
}
|
||||
|
||||
Last = new TValue(input.Time, result);
|
||||
PubEvent(Last, isNew);
|
||||
return Last;
|
||||
}
|
||||
|
||||
public override TSeries Update(TSeries source)
|
||||
{
|
||||
var result = new TSeries(source.Count);
|
||||
ReadOnlySpan<double> values = source.Values;
|
||||
ReadOnlySpan<long> times = source.Times;
|
||||
|
||||
for (int i = 0; i < source.Count; i++)
|
||||
{
|
||||
var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true);
|
||||
result.Add(tv, true);
|
||||
}
|
||||
|
||||
return result;
|
||||
}
|
||||
|
||||
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
|
||||
{
|
||||
TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
|
||||
DateTime time = DateTime.UtcNow - (interval * source.Length);
|
||||
|
||||
for (int i = 0; i < source.Length; i++)
|
||||
{
|
||||
Update(new TValue(time, source[i]), true);
|
||||
time += interval;
|
||||
}
|
||||
}
|
||||
|
||||
public static TSeries Batch(TSeries source, int period = 50, double lambda = 3.0)
|
||||
{
|
||||
var indicator = new Expdist(period, lambda);
|
||||
return indicator.Update(source);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Calculates Exponential Distribution CDF over a span of values.
|
||||
/// Uses a sliding window min-max normalization identical to the streaming path.
|
||||
/// </summary>
|
||||
public static void Batch(
|
||||
ReadOnlySpan<double> source, Span<double> output,
|
||||
int period = 50, double lambda = 3.0)
|
||||
{
|
||||
if (source.Length == 0)
|
||||
{
|
||||
throw new ArgumentException("Source cannot be empty", nameof(source));
|
||||
}
|
||||
|
||||
if (output.Length < source.Length)
|
||||
{
|
||||
throw new ArgumentException("Output length must be >= source length", nameof(output));
|
||||
}
|
||||
|
||||
if (period < 1)
|
||||
{
|
||||
throw new ArgumentException("Period must be >= 1", nameof(period));
|
||||
}
|
||||
|
||||
if (lambda <= 0.0)
|
||||
{
|
||||
throw new ArgumentException("Lambda must be > 0", nameof(lambda));
|
||||
}
|
||||
|
||||
double lastValid = 0.0;
|
||||
|
||||
for (int i = 0; i < source.Length; i++)
|
||||
{
|
||||
double val = source[i];
|
||||
if (!double.IsFinite(val))
|
||||
{
|
||||
output[i] = lastValid;
|
||||
continue;
|
||||
}
|
||||
|
||||
int start = Math.Max(0, i - period + 1);
|
||||
|
||||
double min = double.PositiveInfinity;
|
||||
double max = double.NegativeInfinity;
|
||||
|
||||
for (int j = start; j <= i; j++)
|
||||
{
|
||||
double v = source[j];
|
||||
if (double.IsFinite(v))
|
||||
{
|
||||
if (v < min)
|
||||
{
|
||||
min = v;
|
||||
}
|
||||
|
||||
if (v > max)
|
||||
{
|
||||
max = v;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if (!double.IsFinite(min) || !double.IsFinite(max))
|
||||
{
|
||||
output[i] = lastValid;
|
||||
continue;
|
||||
}
|
||||
|
||||
double range = max - min;
|
||||
double x = range > 0.0 ? (val - min) / range : 0.5;
|
||||
|
||||
double result = ExpCdf(x, lambda);
|
||||
lastValid = result;
|
||||
output[i] = result;
|
||||
}
|
||||
}
|
||||
|
||||
public static (TSeries Results, Expdist Indicator) Calculate(
|
||||
TSeries source, int period = 50, double lambda = 3.0)
|
||||
{
|
||||
var indicator = new Expdist(period, lambda);
|
||||
TSeries results = indicator.Update(source);
|
||||
return (results, indicator);
|
||||
}
|
||||
|
||||
public override void Reset()
|
||||
{
|
||||
_buffer.Clear();
|
||||
_state = new State(0.0);
|
||||
_p_state = _state;
|
||||
Last = default;
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user