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Add TEMA (Triple Exponential Moving Average) implementation and validation tests
- Implemented TEMA calculation in QuanTAlib with O(1) update complexity. - Added validation tests for TEMA against Skender, TA-Lib, and Tulip indicators. - Updated documentation for TEMA, including its mathematical foundation and usage examples. - Enhanced existing tests for other indicators (TRIMA, WMA) to generate more records. - Adjusted benchmark tests to include DEMA and TEMA comparisons. - Refactored code for better readability and performance, including zero-allocation Span API.
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@@ -19,7 +19,7 @@ The **Triangular Moving Average (TRIMA)** is a weighted moving average where the
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#!csharp
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// Reference the library
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#r "..\..\bin\QuanTAlib.dll"
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#r "..\..\bin\Debug\net10.0\QuanTAlib.dll"
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using System;
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using System.Linq;
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@@ -20,9 +20,9 @@ public class TrimaValidationTests
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{
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_output = output;
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// 1. Generate 1000 records using GBM feed
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// 1. Generate 5000 records using GBM feed
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var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2);
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_bars = gbm.Fetch(1000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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_bars = gbm.Fetch(5000, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
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// 2. Extract Close TSeries
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_data = _bars.Close;
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@@ -8,17 +8,19 @@ namespace QuanTAlib;
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/// TRIMA: Triangular Moving Average
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/// </summary>
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/// <remarks>
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/// TRIMA is a weighted moving average where weights increase linearly to the middle
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/// and then decrease. It is equivalent to a double SMA: SMA(SMA(period1), period2).
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/// TRIMA applies triangular weighting to data points, emphasizing the middle of the window.
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/// Equivalent to a double SMA: SMA(SMA(period1), period2).
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///
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/// Calculation:
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/// period1 = period / 2 + 1
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/// period2 = (period + 1) / 2
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/// p1 = period / 2 + 1
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/// p2 = (period + 1) / 2
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/// TRIMA = SMA(SMA(input, p1), p2)
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///
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/// Characteristics:
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/// - Smoother than SMA, higher lag
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/// - O(1) time complexity
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/// - O(period) space complexity
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/// O(1) update:
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/// Uses two SMA instances, each with O(1) update complexity.
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///
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/// IsHot:
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/// Becomes true when the buffer is full (period samples processed).
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Trima
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