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Add TEMA (Triple Exponential Moving Average) implementation and validation tests

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- 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.
This commit is contained in:
Miha Kralj
2025-12-04 19:57:46 -08:00
parent ee358bfdd9
commit 9e152b9027
24 changed files with 2528 additions and 136 deletions
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perf/Benchmark.cs
+99 -4
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@@ -63,6 +63,12 @@ public class IndicatorBenchmarks
private double[][] _tulipTrimaInputs = null!;
private double[] _tulipTrimaOptions = null!;
private double[][] _tulipTrimaOutputs = null!;
private double[][] _tulipDemaInputs = null!;
private double[] _tulipDemaOptions = null!;
private double[][] _tulipDemaOutputs = null!;
private double[][] _tulipTemaInputs = null!;
private double[] _tulipTemaOptions = null!;
private double[][] _tulipTemaOutputs = null!;
// Pre-allocated outputs for QuanTAlib Span API
private double[] _quantalibOutput = null!;
@@ -113,6 +119,16 @@ public class IndicatorBenchmarks
_tulipTrimaOptions = new double[] { Period };
_tulipTrimaOutputs = new[] { new double[BarCount - smaLookback] };
int demaLookback = 2 * (Period - 1);
_tulipDemaInputs = new[] { _closeValues };
_tulipDemaOptions = new double[] { Period };
_tulipDemaOutputs = new[] { new double[BarCount - demaLookback] };
int temaLookback = 3 * (Period - 1);
_tulipTemaInputs = new[] { _closeValues };
_tulipTemaOptions = new double[] { Period };
_tulipTemaOutputs = new[] { new double[BarCount - temaLookback] };
// Pre-allocate QuanTAlib output
_quantalibOutput = new double[BarCount];
}
@@ -123,7 +139,7 @@ public class IndicatorBenchmarks
public void QuanTAlib_Sma_Span() => Sma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("SMA")]
[Benchmark(Description = "QuanTAlib SMA (TSeries)")]
[Benchmark(Description = "QuanTAlib SMA (Batch)")]
public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period);
[BenchmarkCategory("SMA")]
@@ -163,7 +179,7 @@ public class IndicatorBenchmarks
public void QuanTAlib_Ema_Span() => Ema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("EMA")]
[Benchmark(Description = "QuanTAlib EMA (TSeries)")]
[Benchmark(Description = "QuanTAlib EMA (Batch)")]
public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period);
[BenchmarkCategory("EMA")]
@@ -203,7 +219,7 @@ public class IndicatorBenchmarks
public void QuanTAlib_Wma_Span() => Wma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("WMA")]
[Benchmark(Description = "QuanTAlib WMA (TSeries)")]
[Benchmark(Description = "QuanTAlib WMA (Batch)")]
public TSeries QuanTAlib_Wma_TSeries() => Wma.Calculate(_closeTseries, Period);
[BenchmarkCategory("WMA")]
@@ -243,7 +259,7 @@ public class IndicatorBenchmarks
public void QuanTAlib_Trima_Span() => Trima.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("TRIMA")]
[Benchmark(Description = "QuanTAlib TRIMA (TSeries)")]
[Benchmark(Description = "QuanTAlib TRIMA (Batch)")]
public TSeries QuanTAlib_Trima_TSeries() => Trima.Calculate(_closeTseries, Period);
[BenchmarkCategory("TRIMA")]
@@ -265,4 +281,83 @@ public class IndicatorBenchmarks
[Benchmark(Description = "TALib TRIMA")]
public Core.RetCode TALib_Trima() => TALib.Functions.Trima<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
// ==================== DEMA ====================
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Span)")]
public void QuanTAlib_Dema_Span() => Dema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Batch)")]
public TSeries QuanTAlib_Dema_TSeries() => Dema.Calculate(_closeTseries, Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "QuanTAlib DEMA (Streaming)")]
public void QuanTAlib_Dema_Streaming()
{
var dema = new Dema(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = dema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "Tulip DEMA")]
public void Tulip_Dema() => Tulip.Indicators.dema.Run(_tulipDemaInputs, _tulipDemaOptions, _tulipDemaOutputs);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "TALib DEMA")]
public Core.RetCode TALib_Dema() => TALib.Functions.Dema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("DEMA")]
[Benchmark(Description = "Skender DEMA")]
public double Skender_Dema()
{
double sum = 0;
foreach (var r in _quotes.GetDema(Period))
{
sum += (double)(r.Dema ?? 0);
}
return sum;
}
// ==================== TEMA ====================
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Span)")]
public void QuanTAlib_Tema_Span() => Tema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Batch)")]
public TSeries QuanTAlib_Tema_TSeries() => Tema.Calculate(_closeTseries, Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "QuanTAlib TEMA (Streaming)")]
public void QuanTAlib_Tema_Streaming()
{
var tema = new Tema(Period);
for (int i = 0; i < _closeValues.Length; i++)
{
_quantalibOutput[i] = tema.Update(new TValue(_closeTseries.Times[i], _closeValues[i])).Value;
}
}
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "Tulip TEMA")]
public void Tulip_Tema() => Tulip.Indicators.tema.Run(_tulipTemaInputs, _tulipTemaOptions, _tulipTemaOutputs);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "TALib TEMA")]
public Core.RetCode TALib_Tema() => TALib.Functions.Tema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[BenchmarkCategory("TEMA")]
[Benchmark(Description = "Skender TEMA")]
public double Skender_Tema()
{
double sum = 0;
foreach (var r in _quotes.GetTema(Period))
{
sum += (double)(r.Tema ?? 0);
}
return sum;
}
}