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Refactor documentation to remove "Zero-Allocation Design" sections across various trend indicators and implement a PowerShell script for automated cleanup

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- Updated mathematical foundations and performance profiles where necessary to maintain clarity and coherence.
This commit is contained in:
Miha Kralj
2025-12-21 14:37:44 -08:00
parent 54c309e5cf
commit a7b7207801
65 changed files with 1766 additions and 482 deletions
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lib/trends/htit/Htit.cs
+16 -10
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@@ -28,6 +28,12 @@ public sealed class Htit : AbstractBase
private readonly RingBuffer _smoothPeriodBuffer;
private readonly RingBuffer _itBuffer;
// High-precision constants
private const double c1 = 5.0 / 52.0; // ~0.09615385
private const double c2 = 15.0 / 26.0; // ~0.57692308
private const double adjSlope = 3.0 / 40.0; // 0.075
private const double adjIntercept = 27.0 / 50.0; // 0.54
private record struct State(double I2, double Q2, double Re, double Im, double LastValidValue);
private State _state;
private State _p_state;
@@ -85,19 +91,19 @@ public sealed class Htit : AbstractBase
// 2. Detrender
double prevPeriod = _periodBuffer[isNew ? ^1 : ^2];
double adj = (0.075 * prevPeriod) + 0.54;
double detrender = (0.0962 * _smoothBuffer[^1] + 0.5769 * _smoothBuffer[^3] - 0.5769 * _smoothBuffer[^5] - 0.0962 * _smoothBuffer[^7]) * adj;
double adj = (adjSlope * prevPeriod) + adjIntercept;
double detrender = (c1 * _smoothBuffer[^1] + c2 * _smoothBuffer[^3] - c2 * _smoothBuffer[^5] - c1 * _smoothBuffer[^7]) * adj;
UpdateBuffer(_detrenderBuffer, detrender, isNew);
// 3. In-Phase and Quadrature
double q1 = (0.0962 * _detrenderBuffer[^1] + 0.5769 * _detrenderBuffer[^3] - 0.5769 * _detrenderBuffer[^5] - 0.0962 * _detrenderBuffer[^7]) * adj;
double q1 = (c1 * _detrenderBuffer[^1] + c2 * _detrenderBuffer[^3] - c2 * _detrenderBuffer[^5] - c1 * _detrenderBuffer[^7]) * adj;
double i1 = _detrenderBuffer[^4];
UpdateBuffer(_q1Buffer, q1, isNew);
UpdateBuffer(_i1Buffer, i1, isNew);
// 4. Advance phases by 90 degrees
double jI = (0.0962 * _i1Buffer[^1] + 0.5769 * _i1Buffer[^3] - 0.5769 * _i1Buffer[^5] - 0.0962 * _i1Buffer[^7]) * adj;
double jQ = (0.0962 * _q1Buffer[^1] + 0.5769 * _q1Buffer[^3] - 0.5769 * _q1Buffer[^5] - 0.0962 * _q1Buffer[^7]) * adj;
double jI = (c1 * _i1Buffer[^1] + c2 * _i1Buffer[^3] - c2 * _i1Buffer[^5] - c1 * _i1Buffer[^7]) * adj;
double jQ = (c1 * _q1Buffer[^1] + c2 * _q1Buffer[^3] - c2 * _q1Buffer[^5] - c1 * _q1Buffer[^7]) * adj;
// 5. Phasor addition & 6. Homodyne Discriminator
ProcessPhasorAndHomodyne(i1, q1, jI, jQ);
@@ -321,14 +327,14 @@ public sealed class Htit : AbstractBase
// 2. Detrender
double prevPeriod = periodBuffer[(pdIdx - 1 + 2) % 2];
double adj = (0.075 * prevPeriod) + 0.54;
double adj = (adjSlope * prevPeriod) + adjIntercept;
double s0 = smoothBuffer[sIdx];
double s2 = smoothBuffer[(sIdx - 2 + 7) % 7];
double s4 = smoothBuffer[(sIdx - 4 + 7) % 7];
double s6 = smoothBuffer[(sIdx - 6 + 7) % 7];
double detrender = (0.0962 * s0 + 0.5769 * s2 - 0.5769 * s4 - 0.0962 * s6) * adj;
double detrender = (c1 * s0 + c2 * s2 - c2 * s4 - c1 * s6) * adj;
detrenderBuffer[dIdx] = detrender;
// 3. In-Phase and Quadrature
@@ -337,7 +343,7 @@ public sealed class Htit : AbstractBase
double d4 = detrenderBuffer[(dIdx - 4 + 7) % 7];
double d6 = detrenderBuffer[(dIdx - 6 + 7) % 7];
double q1 = (0.0962 * d0 + 0.5769 * d2 - 0.5769 * d4 - 0.0962 * d6) * adj;
double q1 = (c1 * d0 + c2 * d2 - c2 * d4 - c1 * d6) * adj;
double i1 = detrenderBuffer[(dIdx - 3 + 7) % 7];
q1Buffer[q1Idx] = q1;
@@ -348,13 +354,13 @@ public sealed class Htit : AbstractBase
double i1_2 = i1Buffer[(i1Idx - 2 + 7) % 7];
double i1_4 = i1Buffer[(i1Idx - 4 + 7) % 7];
double i1_6 = i1Buffer[(i1Idx - 6 + 7) % 7];
double jI = (0.0962 * i1_0 + 0.5769 * i1_2 - 0.5769 * i1_4 - 0.0962 * i1_6) * adj;
double jI = (c1 * i1_0 + c2 * i1_2 - c2 * i1_4 - c1 * i1_6) * adj;
double q1_0 = q1Buffer[q1Idx];
double q1_2 = q1Buffer[(q1Idx - 2 + 7) % 7];
double q1_4 = q1Buffer[(q1Idx - 4 + 7) % 7];
double q1_6 = q1Buffer[(q1Idx - 6 + 7) % 7];
double jQ = (0.0962 * q1_0 + 0.5769 * q1_2 - 0.5769 * q1_4 - 0.0962 * q1_6) * adj;
double jQ = (c1 * q1_0 + c2 * q1_2 - c2 * q1_4 - c1 * q1_6) * adj;
// 5. Phasor addition
double i2_raw = i1 - jQ;
lib/trends/htit/Htit.md
+25 -11
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@@ -18,14 +18,6 @@ This is a complex, multi-stage signal processing pipeline:
4. **Period Measurement**: Use the phase rate of change (Homodyne Discriminator) to measure the dominant cycle period.
5. **Trend Extraction**: Average the price over the measured dominant cycle period to cancel out the cycle.
### Zero-Allocation Design
Despite the complexity, we maintain zero allocations.
- **RingBuffers**: We use multiple small `RingBuffer`s for the various stages (smooth, detrend, I/Q, period).
- **State Struct**: Complex state (phasors, periods) is managed in a value type.
- **Fixed Buffers**: The pipeline depth is constant, allowing for static buffer sizing.
## Mathematical Foundation
The core idea is that if you average a sine wave over exactly one period, the result is 0.
@@ -34,11 +26,33 @@ $$ \text{Trend}_t = \frac{1}{\text{DC}} \sum_{i=0}^{\text{DC}-1} P_{t-i} $$
Where $\text{DC}$ is the measured Dominant Cycle period.
The Hilbert Transform is used to find $\text{DC}$ dynamically:
### 1. Pre-Smoothing
A 4-tap FIR filter removes high-frequency noise (Nyquist limit) to prevent aliasing before the Hilbert Transform.
$$ \text{Phase} = \arctan(Q / I) $$
$$ \text{Smooth}_t = \frac{4 P_t + 3 P_{t-1} + 2 P_{t-2} + P_{t-3}}{10} $$
$$ \text{DC} = \frac{2\pi}{\Delta \text{Phase}} $$
### 2. Hilbert Transform & Detrending
The signal is detrended and split into In-Phase ($I$) and Quadrature ($Q$) components using a 7-tap Hilbert Transform. The coefficients are optimized for market cycles (10-40 bars) to minimize passband ripple.
$$ \text{Adj} = 0.075 \cdot \text{Period}_{t-1} + 0.54 $$
$$ \text{Detrender}_t = \left( \frac{5}{52} S_t + \frac{15}{26} S_{t-2} - \frac{15}{26} S_{t-4} - \frac{5}{52} S_{t-6} \right) \cdot \text{Adj} $$
$$ Q_t = \left( \frac{5}{52} D_t + \frac{15}{26} D_{t-2} - \frac{15}{26} D_{t-4} - \frac{5}{52} D_{t-6} \right) \cdot \text{Adj} $$
$$ I_t = D_{t-3} $$
### 3. Homodyne Discriminator
The phase rate of change is calculated using the complex conjugate product of the current and previous phasors.
$$ \Delta \text{Phase} = \arctan\left(\frac{I_t Q_{t-1} - Q_t I_{t-1}}{I_t I_{t-1} + Q_t Q_{t-1}}\right) $$
$$ \text{Period}_t = \frac{2\pi}{\Delta \text{Phase}} $$
### 4. Instantaneous Trend
The trend is extracted by averaging the price over the measured dominant cycle period.
$$ \text{Trend}_t = \frac{1}{\text{Period}_t} \sum_{i=0}^{\text{Period}_t-1} P_{t-i} $$
## Performance Profile