Refactor and enhance various channel indicators for improved performance and stability

- Updated Codacy instructions to streamline usage guidelines. - Refactored Bbands class to utilize ArrayPool for memory management, preventing stack overflow on large series. - Changed Fcb class to use long for monotonic deques to avoid truncation issues. - Enhanced Kchannel class to ensure safe defaults for non-finite values. - Improved Maenv class to prevent double-priming during calculations. - Modified Mmchannel class to ensure non-negative buffer indices and removed unnecessary state tracking. - Updated Pchannel class to correctly reference IsHot state. - Refined Regchannel class to avoid double-processing during calculations. - Enhanced Starchannel class to sanitize non-finite values during calculations. - Adjusted Stbands.Quantower.cs to allow finer control over multiplier precision. - Updated Ubands class to only update last valid values on new bars. - Modified Uchannel.Quantower.cs to allow for finer multiplier precision. - Enhanced Vwapbands classes to include standard deviation calculations and ensure consistent array lengths. - Refactored Vwapsd classes to include standard deviation outputs and ensure consistent array lengths. - Updated MonotonicDeque to use long for indices to prevent overflow. - Improved Mdape class to handle zero actual values with a substitute value for error calculation. - Enhanced Rae class to ensure correct state management during updates. - Refined Wmape class to simplify the logic for finding last valid actual and predicted values. - Updated Cmf.Quantower classes to ensure MinHistoryDepths reflects the current period.
2026-08-18 10:38:05 +00:00 · 2026-01-27 23:48:33 -08:00
parent 8ac15f1efa
commit a9e72dae0d
29 changed files with 464 additions and 114 deletions
@@ -1,3 +1,4 @@
+using System.Buffers;
 using System.Runtime.CompilerServices;
 using System.Runtime.InteropServices;

@@ -168,15 +169,30 @@ public sealed class Bbands : AbstractBase
        int len = sourceSpan.Length;

        TSeries middleSeries = new(capacity: len);
-        Span<double> middleSpan = stackalloc double[len];
-        Span<double> upperSpan = stackalloc double[len];
-        Span<double> lowerSpan = stackalloc double[len];

-        Calculate(sourceSpan, middleSpan, upperSpan, lowerSpan, _period, _multiplier);
+        // Use ArrayPool to avoid stack overflow for large series
+        double[] middleRented = ArrayPool<double>.Shared.Rent(len);
+        double[] upperRented = ArrayPool<double>.Shared.Rent(len);
+        double[] lowerRented = ArrayPool<double>.Shared.Rent(len);

-        for (int i = 0; i < len; i++)
+        try
        {
-            middleSeries.Add(timeSpan[i], middleSpan[i], isNew: true);
+            Span<double> middleSpan = middleRented.AsSpan(0, len);
+            Span<double> upperSpan = upperRented.AsSpan(0, len);
+            Span<double> lowerSpan = lowerRented.AsSpan(0, len);
+
+            Calculate(sourceSpan, middleSpan, upperSpan, lowerSpan, _period, _multiplier);
+
+            for (int i = 0; i < len; i++)
+            {
+                middleSeries.Add(timeSpan[i], middleSpan[i], isNew: true);
+            }
+        }
+        finally
+        {
+            ArrayPool<double>.Shared.Return(middleRented);
+            ArrayPool<double>.Shared.Return(upperRented);
+            ArrayPool<double>.Shared.Return(lowerRented);
        }

        // Restore state from the last period values
@@ -257,8 +273,10 @@ public sealed class Bbands : AbstractBase

        // Calculate standard deviation and bands using O(n) rolling sums
        // Instead of O(n²) nested loop, maintain running sum and sumSq
+        // Track count of finite values to properly compute mean/variance
        double rollingSum = 0.0;
        double rollingSumSq = 0.0;
+        int finiteCount = 0;

        // Initialize rolling sums for first window
        for (int i = 0; i < Math.Min(period, len); i++)
@@ -268,6 +286,7 @@ public sealed class Bbands : AbstractBase
            {
                rollingSum += val;
                rollingSumSq += val * val;
+                finiteCount++;
            }

            if (i < period - 1)
@@ -280,13 +299,22 @@ public sealed class Bbands : AbstractBase
        // Process first complete window
        if (len >= period)
        {
-            double mean = rollingSum / period;
-            double variance = (rollingSumSq / period) - (mean * mean);
-            variance = Math.Max(0.0, variance); // Guard against negative due to floating point
-            double stdDev = Math.Sqrt(variance);
-            double offset = multiplier * stdDev;
-            upper[period - 1] = middle[period - 1] + offset;
-            lower[period - 1] = middle[period - 1] - offset;
+            if (finiteCount == period)
+            {
+                double mean = rollingSum / finiteCount;
+                double variance = (rollingSumSq / finiteCount) - (mean * mean);
+                variance = Math.Max(0.0, variance); // Guard against negative due to floating point
+                double stdDev = Math.Sqrt(variance);
+                double offset = multiplier * stdDev;
+                upper[period - 1] = middle[period - 1] + offset;
+                lower[period - 1] = middle[period - 1] - offset;
+            }
+            else
+            {
+                // Not all values in window are finite, emit NaN
+                upper[period - 1] = double.NaN;
+                lower[period - 1] = double.NaN;
+            }
        }

        // Process remaining bars with O(1) rolling update
@@ -298,6 +326,7 @@ public sealed class Bbands : AbstractBase
            {
                rollingSum -= outgoing;
                rollingSumSq -= outgoing * outgoing;
+                finiteCount--;
            }

            // Add incoming value (current)
@@ -306,18 +335,29 @@ public sealed class Bbands : AbstractBase
            {
                rollingSum += incoming;
                rollingSumSq += incoming * incoming;
+                finiteCount++;
            }

-            // Calculate variance from rolling sums: Var = E[X²] - E[X]²
-            double mean = rollingSum / period;
-            double variance = (rollingSumSq / period) - (mean * mean);
-            variance = Math.Max(0.0, variance); // Guard against negative due to floating point
+            // Only compute bands when all values in window are finite
+            if (finiteCount == period)
+            {
+                // Calculate variance from rolling sums: Var = E[X²] - E[X]²
+                double mean = rollingSum / finiteCount;
+                double variance = (rollingSumSq / finiteCount) - (mean * mean);
+                variance = Math.Max(0.0, variance); // Guard against negative due to floating point

-            double stdDev = Math.Sqrt(variance);
-            double offset = multiplier * stdDev;
+                double stdDev = Math.Sqrt(variance);
+                double offset = multiplier * stdDev;

-            upper[i] = middle[i] + offset;
-            lower[i] = middle[i] - offset;
+                upper[i] = middle[i] + offset;
+                lower[i] = middle[i] - offset;
+            }
+            else
+            {
+                // Window contains non-finite values, emit NaN
+                upper[i] = double.NaN;
+                lower[i] = double.NaN;
+            }
        }
    }
 }
@@ -20,9 +20,9 @@ public sealed class Fcb : ITValuePublisher
    private readonly double[] _hBuf;
    private readonly double[] _lBuf;

-    // Monotonic deques (store indices)
-    private readonly int[] _hDeque;
-    private readonly int[] _lDeque;
+    // Monotonic deques (store indices as long to avoid truncation)
+    private readonly long[] _hDeque;
+    private readonly long[] _lDeque;

    // Deque state
    private int _hHead;
@@ -68,8 +68,8 @@ public sealed class Fcb : ITValuePublisher

        _hBuf = new double[_period];
        _lBuf = new double[_period];
-        _hDeque = new int[_period];
-        _lDeque = new int[_period];
+        _hDeque = new long[_period];
+        _lDeque = new long[_period];

        Name = $"Fcb({period})";
        _barHandler = HandleBar;
@@ -128,7 +128,7 @@ public sealed class Fcb : ITValuePublisher
        while (_hCount > 0)
        {
            int backIdx = (_hHead + _hCount - 1) % _period;
-            int bufIdx = _hDeque[backIdx] % _period;
+            int bufIdx = (int)(_hDeque[backIdx] % _period);
            if (_hBuf[bufIdx] <= value)
            {
                _hCount--;
@@ -140,7 +140,7 @@ public sealed class Fcb : ITValuePublisher
        }

        int tail = (_hHead + _hCount) % _period;
-        _hDeque[tail] = (int)logicalIndex;
+        _hDeque[tail] = logicalIndex;
        _hCount++;
    }

@@ -157,7 +157,7 @@ public sealed class Fcb : ITValuePublisher
        while (_lCount > 0)
        {
            int backIdx = (_lHead + _lCount - 1) % _period;
-            int bufIdx = _lDeque[backIdx] % _period;
+            int bufIdx = (int)(_lDeque[backIdx] % _period);
            if (_lBuf[bufIdx] >= value)
            {
                _lCount--;
@@ -169,7 +169,7 @@ public sealed class Fcb : ITValuePublisher
        }

        int tail = (_lHead + _lCount) % _period;
-        _lDeque[tail] = (int)logicalIndex;
+        _lDeque[tail] = logicalIndex;
        _lCount++;
    }

@@ -289,8 +289,8 @@ public sealed class Fcb : ITValuePublisher
            RebuildDeques();
        }

-        double top = _hBuf[_hDeque[_hHead] % _period];
-        double bot = _lBuf[_lDeque[_lHead] % _period];
+        double top = _hBuf[(int)(_hDeque[_hHead] % _period)];
+        double bot = _lBuf[(int)(_lDeque[_lHead] % _period)];
        double mid = (top + bot) * 0.5;

        if (!_state.IsHot && _index + 1 >= WarmupPeriod)
@@ -537,7 +537,10 @@ public sealed class Fcb : ITValuePublisher

    public static ((TSeries Middle, TSeries Upper, TSeries Lower) Results, Fcb Indicator) Calculate(TBarSeries source, int period = 20)
    {
-        var indicator = new Fcb(source, period);
+        // Use parameterless constructor to avoid double-priming:
+        // The Fcb(source, period) constructor already calls Prime(source),
+        // so calling Update(source) afterwards would Prime again.
+        var indicator = new Fcb(period);
        var results = indicator.Update(source);
        return (results, indicator);
    }
@@ -103,28 +103,43 @@ public sealed class Kchannel : ITValuePublisher
        {
            _state = _state with { LastValidClose = close };
        }
-        else
+        else if (double.IsFinite(_state.LastValidClose))
        {
            close = _state.LastValidClose;
        }
+        else
+        {
+            // Neither input nor stored value is finite - use safe default
+            close = 0.0;
+        }

        if (double.IsFinite(high))
        {
            _state = _state with { LastValidHigh = high };
        }
-        else
+        else if (double.IsFinite(_state.LastValidHigh))
        {
            high = _state.LastValidHigh;
        }
+        else
+        {
+            // Neither input nor stored value is finite - use safe default
+            high = 0.0;
+        }

        if (double.IsFinite(low))
        {
            _state = _state with { LastValidLow = low };
        }
-        else
+        else if (double.IsFinite(_state.LastValidLow))
        {
            low = _state.LastValidLow;
        }
+        else
+        {
+            // Neither input nor stored value is finite - use safe default
+            low = 0.0;
+        }

        return (close, high, low);
    }
@@ -603,7 +603,10 @@ public sealed class Maenv : ITValuePublisher

    public static ((TSeries Middle, TSeries Upper, TSeries Lower) Results, Maenv Indicator) Calculate(TSeries source, int period = 20, double percentage = 1.0, MaenvType maType = MaenvType.EMA)
    {
-        var indicator = new Maenv(source, period, percentage, maType);
+        // Use parameterless constructor to avoid double-priming:
+        // The Maenv(source, ...) constructor already calls Prime(source),
+        // so calling Update(source) afterwards would Prime again.
+        var indicator = new Maenv(period, percentage, maType);
        var results = indicator.Update(source);
        return (results, indicator);
    }
@@ -23,7 +23,7 @@ public sealed class Mmchannel : ITValuePublisher
    private long _index;

    [StructLayout(LayoutKind.Auto)]
-    private record struct State(double LastValidHigh, double LastValidLow, bool IsHot);
+    private record struct State(double LastValidHigh, double LastValidLow);
    private State _state;
    private State _p_state;

@@ -52,7 +52,7 @@ public sealed class Mmchannel : ITValuePublisher
        _minDeque = new MonotonicDeque(_period);
        _count = 0;
        _index = -1;
-        _state = new State(double.NaN, double.NaN, false);
+        _state = new State(double.NaN, double.NaN);
        _p_state = _state;

        Name = $"Mmchannel({period})";
@@ -112,7 +112,8 @@ public sealed class Mmchannel : ITValuePublisher
            _state = _p_state;
        }

-        int bufIdx = (int)(_index % _period);
+        // Defensive guard: ensure non-negative buffer index even if _index is -1 (shouldn't happen but safeguard)
+        int bufIdx = _index < 0 ? 0 : (int)(_index % _period);
        var (high, low) = GetValid(input.High, input.Low);

        // If still no valid data, return NaN placeholders
@@ -143,11 +144,6 @@ public sealed class Mmchannel : ITValuePublisher
        double top = _maxDeque.GetExtremum(_hBuf);
        double bot = _minDeque.GetExtremum(_lBuf);

-        if (!IsHot && _count >= _period)
-        {
-            _state = _state with { IsHot = true };
-        }
-
        // Last returns Upper by default for single-value compatibility
        Last = new TValue(input.Time, top);
        Upper = new TValue(input.Time, top);
@@ -218,7 +214,7 @@ public sealed class Mmchannel : ITValuePublisher
        _minDeque.Reset();
        _count = 0;
        _index = -1;
-        _state = new State(double.NaN, double.NaN, false);
+        _state = new State(double.NaN, double.NaN);
        _p_state = _state;
        Last = default;
        Upper = default;
@@ -262,6 +258,11 @@ public sealed class Mmchannel : ITValuePublisher

    public static (TSeries Upper, TSeries Lower) Batch(TBarSeries source, int period)
    {
+        if (source == null || source.Count == 0)
+        {
+            return (new TSeries([], []), new TSeries([], []));
+        }
+
        int len = source.Count;
        var tUpper = new List<long>(len);
        var vUpper = new List<double>(len);
@@ -237,7 +237,7 @@ public sealed class Pchannel : ITValuePublisher
        double bot = _lBuf[_lDeque[_lHead] % _period];
        double mid = (top + bot) * 0.5;

-        if (!IsHot && _count >= _period)
+        if (!_state.IsHot && _count >= _period)
        {
            _state = _state with { IsHot = true };
        }
@@ -464,7 +464,9 @@ public sealed class Regchannel : ITValuePublisher

    public static ((TSeries Middle, TSeries Upper, TSeries Lower) Results, Regchannel Indicator) Calculate(TSeries source, int period = 20, double multiplier = 2.0)
    {
-        var indicator = new Regchannel(source, period, multiplier);
+        // Use parameterless constructor to avoid double-processing: new Regchannel(source, ...) calls Prime(source),
+        // then Update(source) would call Prime again.
+        var indicator = new Regchannel(period, multiplier);
        var results = indicator.Update(source);
        return (results, indicator);
    }
@@ -322,12 +322,45 @@ public sealed class Starchannel : ITValuePublisher
        upper[0] = close[0];
        lower[0] = close[0];

+        // Track last valid values for sanitization
+        double lastValidClose = close[0];
+        double lastValidHigh = high[0];
+        double lastValidLow = low[0];
+
        for (int i = 1; i < len; i++)
        {
            double c = close[i];
            double h = high[i];
            double l = low[i];

+            // Sanitize non-finite values (match Update/GetValid behavior)
+            if (double.IsFinite(c))
+            {
+                lastValidClose = c;
+            }
+            else
+            {
+                c = lastValidClose;
+            }
+
+            if (double.IsFinite(h))
+            {
+                lastValidHigh = h;
+            }
+            else
+            {
+                h = lastValidHigh;
+            }
+
+            if (double.IsFinite(l))
+            {
+                lastValidLow = l;
+            }
+            else
+            {
+                l = lastValidLow;
+            }
+
            // SMA: add current, subtract oldest if beyond window
            if (i < period)
            {
@@ -8,7 +8,7 @@ public class StbandsIndicator : Indicator, IWatchlistIndicator
    [InputParameter("Period", sortIndex: 1, minimum: 1, maximum: 1000, increment: 1, decimalPlaces: 0)]
    public int Period { get; set; } = 10;

-    [InputParameter("Multiplier", sortIndex: 2, minimum: 0.1, maximum: 10.0, increment: 0.1, decimalPlaces: 1)]
+    [InputParameter("Multiplier", sortIndex: 2, minimum: 0.001, maximum: 10.0, increment: 0.1, decimalPlaces: 3)]
    public double Multiplier { get; set; } = 3.0;

    [InputParameter("Show cold values", sortIndex: 21)]
@@ -124,11 +124,15 @@ public sealed class Ubands : AbstractBase
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
-    private double GetFiniteValue(double value)
+    private double GetFiniteValue(double value, bool isNew)
    {
        if (double.IsFinite(value))
        {
-            _state.LastValidValue = value;
+            // Only update LastValidValue on new bars to avoid corrupting restored state during corrections
+            if (isNew)
+            {
+                _state = _state with { LastValidValue = value };
+            }
            return value;
        }
        return double.IsFinite(_state.LastValidValue) ? _state.LastValidValue : 0;
@@ -149,7 +153,7 @@ public sealed class Ubands : AbstractBase
            _state = _p_state;
        }

-        double val = GetFiniteValue(input.Value);
+        double val = GetFiniteValue(input.Value, isNew);

        // Initialize on first value
        if (!_state.IsInitialized)
@@ -11,7 +11,7 @@ public class UchannelIndicator : Indicator, IWatchlistIndicator
    [InputParameter("Center Period", sortIndex: 2, minimum: 1, maximum: 1000, increment: 1, decimalPlaces: 0)]
    public int CenterPeriod { get; set; } = 20;

-    [InputParameter("Multiplier", sortIndex: 3, minimum: 0.1, maximum: 10.0, increment: 0.1, decimalPlaces: 1)]
+    [InputParameter("Multiplier", sortIndex: 3, minimum: 0.001, maximum: 10.0, increment: 0.1, decimalPlaces: 3)]
    public double Multiplier { get; set; } = 1.0;

    [InputParameter("Show cold values", sortIndex: 21)]
@@ -441,17 +441,18 @@ public class VwapbandsTests
        double[] upper2 = new double[5];
        double[] lower2 = new double[5];
        double[] vwap = new double[5];
+        double[] stdDev = new double[5];
        double[] wrongSize = new double[3];

        // Multiplier must be >= MinMultiplier
        Assert.Throws<ArgumentOutOfRangeException>(() =>
            Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
-                upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), 0));
+                upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 0));

        // All arrays must be same length
        Assert.Throws<ArgumentException>(() =>
            Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
-                wrongSize.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), 1.0));
+                wrongSize.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0));
    }

    [Fact]
@@ -464,9 +465,10 @@ public class VwapbandsTests
        double[] upper2 = new double[5];
        double[] lower2 = new double[5];
        double[] vwap = new double[5];
+        double[] stdDev = new double[5];

        Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
-            upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), 1.0);
+            upper1.AsSpan(), lower1.AsSpan(), upper2.AsSpan(), lower2.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0);

        foreach (var val in vwap)
        {
@@ -124,11 +124,12 @@ public sealed class VwapbandsValidationTests : IDisposable
            double[] spanLower1 = new double[bars.Count];
            double[] spanUpper2 = new double[bars.Count];
            double[] spanLower2 = new double[bars.Count];
+            double[] spanStdDev = new double[bars.Count];

            Vwapbands.Calculate(price.AsSpan(), volume.AsSpan(),
                spanUpper1.AsSpan(), spanLower1.AsSpan(),
                spanUpper2.AsSpan(), spanLower2.AsSpan(),
-                spanVwap.AsSpan(), multiplier);
+                spanVwap.AsSpan(), spanStdDev.AsSpan(), multiplier);

            // Compare last 100 values
            int compareCount = Math.Min(100, bars.Count - 2);
@@ -351,6 +351,15 @@ public sealed class Vwapbands : AbstractBase
    /// <summary>
    /// Calculates VWAP Bands using span arrays.
    /// </summary>
+    /// <param name="price">Source price values (typically HLC3)</param>
+    /// <param name="volume">Volume values</param>
+    /// <param name="upper1">Output span for upper band at 1σ</param>
+    /// <param name="lower1">Output span for lower band at 1σ</param>
+    /// <param name="upper2">Output span for upper band at 2σ</param>
+    /// <param name="lower2">Output span for lower band at 2σ</param>
+    /// <param name="vwap">Output span for VWAP values</param>
+    /// <param name="stdDev">Output span for standard deviation values</param>
+    /// <param name="multiplier">Band multiplier (default 1.0)</param>
    public static void Calculate(
        ReadOnlySpan<double> price,
        ReadOnlySpan<double> volume,
@@ -359,11 +368,12 @@ public sealed class Vwapbands : AbstractBase
        Span<double> upper2,
        Span<double> lower2,
        Span<double> vwap,
+        Span<double> stdDev,
        double multiplier = DefaultMultiplier)
    {
        int len = price.Length;
        if (len != volume.Length || len != upper1.Length || len != lower1.Length ||
-            len != upper2.Length || len != lower2.Length || len != vwap.Length)
+            len != upper2.Length || len != lower2.Length || len != vwap.Length || len != stdDev.Length)
        {
            throw new ArgumentException("All spans must have the same length.", nameof(price));
        }
@@ -408,6 +418,7 @@ public sealed class Vwapbands : AbstractBase
            double stdev = Math.Sqrt(variance);

            vwap[i] = vwapVal;
+            stdDev[i] = stdev;
            upper1[i] = vwapVal + multiplier * stdev;
            lower1[i] = vwapVal - multiplier * stdev;
            upper2[i] = vwapVal + 2.0 * multiplier * stdev;
@@ -31,8 +31,8 @@ public class VwapsdIndicator : Indicator, IWatchlistIndicator
        Description = "Volume weighted average price with configurable standard deviation bands";

        VwapSeries = new("VWAP", Color.Blue, 2, LineStyle.Solid);
-        UpperSeries = new($"Upper (+{NumDevs}σ)", Color.Red, 1, LineStyle.Solid);
-        LowerSeries = new($"Lower (-{NumDevs}σ)", Color.Green, 1, LineStyle.Solid);
+        UpperSeries = new("Upper", Color.Red, 1, LineStyle.Solid);
+        LowerSeries = new("Lower", Color.Green, 1, LineStyle.Solid);
        WidthSeries = new("Width", Color.Gray, 1, LineStyle.Dot);

        AddLineSeries(VwapSeries);
@@ -47,9 +47,29 @@ public class VwapsdIndicator : Indicator, IWatchlistIndicator
    protected override void OnInit()
    {
        vwapsd = new(NumDevs);
+        if (UpperSeries != null)
+        {
+            UpperSeries.Name = $"Upper (+{NumDevs:F1}σ)";
+        }
+        if (LowerSeries != null)
+        {
+            LowerSeries.Name = $"Lower (-{NumDevs:F1}σ)";
+        }
        base.OnInit();
    }

+    private void UpdateSeriesNames()
+    {
+        if (UpperSeries != null)
+        {
+            UpperSeries.Name = $"Upper (+{NumDevs:F1}σ)";
+        }
+        if (LowerSeries != null)
+        {
+            LowerSeries.Name = $"Lower (-{NumDevs:F1}σ)";
+        }
+    }
+
    protected override void OnUpdate(UpdateArgs args)
    {
        var item = HistoricalData[0, SeekOriginHistory.End];
@@ -467,22 +467,23 @@ public class VwapsdTests
        double[] upper = new double[5];
        double[] lower = new double[5];
        double[] vwap = new double[5];
+        double[] stdDev = new double[5];
        double[] wrongSize = new double[3];

        // NumDevs must be >= MinNumDevs
        Assert.Throws<ArgumentOutOfRangeException>(() =>
            Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
-                upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), 0));
+                upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 0));

        // NumDevs must be <= MaxNumDevs
        Assert.Throws<ArgumentOutOfRangeException>(() =>
            Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
-                upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), 6.0));
+                upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 6.0));

        // All arrays must be same length
        Assert.Throws<ArgumentException>(() =>
            Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
-                wrongSize.AsSpan(), lower.AsSpan(), vwap.AsSpan(), 1.0));
+                wrongSize.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0));
    }

    [Fact]
@@ -493,9 +494,10 @@ public class VwapsdTests
        double[] upper = new double[5];
        double[] lower = new double[5];
        double[] vwap = new double[5];
+        double[] stdDev = new double[5];

        Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
-            upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), 1.0);
+            upper.AsSpan(), lower.AsSpan(), vwap.AsSpan(), stdDev.AsSpan(), 1.0);

        foreach (var val in vwap)
        {
@@ -118,10 +118,11 @@ public sealed class VwapsdValidationTests : IDisposable
            double[] spanVwap = new double[bars.Count];
            double[] spanUpper = new double[bars.Count];
            double[] spanLower = new double[bars.Count];
+            double[] spanStdDev = new double[bars.Count];

            Vwapsd.Calculate(price.AsSpan(), volume.AsSpan(),
                spanUpper.AsSpan(), spanLower.AsSpan(),
-                spanVwap.AsSpan(), numDevs);
+                spanVwap.AsSpan(), spanStdDev.AsSpan(), numDevs);

            // Compare last 100 values
            int compareCount = Math.Min(100, bars.Count - 2);
@@ -337,16 +337,24 @@ public sealed class Vwapsd : AbstractBase
    /// <summary>
    /// Calculates VWAP SD Bands using span arrays.
    /// </summary>
+    /// <param name="price">Source price values (typically HLC3)</param>
+    /// <param name="volume">Volume values</param>
+    /// <param name="upper">Output span for upper band</param>
+    /// <param name="lower">Output span for lower band</param>
+    /// <param name="vwap">Output span for VWAP values</param>
+    /// <param name="stdDev">Output span for standard deviation values</param>
+    /// <param name="numDevs">Number of standard deviations for bands (default 2.0)</param>
    public static void Calculate(
        ReadOnlySpan<double> price,
        ReadOnlySpan<double> volume,
        Span<double> upper,
        Span<double> lower,
        Span<double> vwap,
+        Span<double> stdDev,
        double numDevs = DefaultNumDevs)
    {
        int len = price.Length;
-        if (len != volume.Length || len != upper.Length || len != lower.Length || len != vwap.Length)
+        if (len != volume.Length || len != upper.Length || len != lower.Length || len != vwap.Length || len != stdDev.Length)
        {
            throw new ArgumentException("All spans must have the same length.", nameof(price));
        }
@@ -396,6 +404,7 @@ public sealed class Vwapsd : AbstractBase
            double stdev = Math.Sqrt(variance);

            vwap[i] = vwapVal;
+            stdDev[i] = stdev;
            upper[i] = vwapVal + numDevs * stdev;
            lower[i] = vwapVal - numDevs * stdev;
        }
@@ -16,7 +16,7 @@ namespace QuanTAlib;
 [SkipLocalsInit]
 public sealed class MonotonicDeque
 {
-    private readonly int[] _deque;
+    private readonly long[] _deque;
    private readonly int _period;
    private int _head;
    private int _count;
@@ -24,7 +24,7 @@ public sealed class MonotonicDeque
    /// <summary>
    /// Gets the current front index (the index of the current extremum).
    /// </summary>
-    public int FrontIndex => _count > 0 ? _deque[_head] : -1;
+    public long FrontIndex => _count > 0 ? _deque[_head] : -1;

    /// <summary>
    /// Gets the current element count in the deque.
@@ -43,7 +43,7 @@ public sealed class MonotonicDeque
        }

        _period = period;
-        _deque = new int[period];
+        _deque = new long[period];
        _head = 0;
        _count = 0;
    }
@@ -70,7 +70,7 @@ public sealed class MonotonicDeque
        while (_count > 0)
        {
            int backIdx = (_head + _count - 1) % _period;
-            int bufIdx = _deque[backIdx] % _period;
+            int bufIdx = (int)(_deque[backIdx] % _period);
            if (buffer[bufIdx] <= value)
            {
                _count--;
@@ -83,7 +83,7 @@ public sealed class MonotonicDeque

        // Push new index
        int tail = (_head + _count) % _period;
-        _deque[tail] = (int)logicalIndex;
+        _deque[tail] = logicalIndex;
        _count++;
    }

@@ -109,7 +109,7 @@ public sealed class MonotonicDeque
        while (_count > 0)
        {
            int backIdx = (_head + _count - 1) % _period;
-            int bufIdx = _deque[backIdx] % _period;
+            int bufIdx = (int)(_deque[backIdx] % _period);
            if (buffer[bufIdx] >= value)
            {
                _count--;
@@ -122,7 +122,7 @@ public sealed class MonotonicDeque

        // Push new index
        int tail = (_head + _count) % _period;
-        _deque[tail] = (int)logicalIndex;
+        _deque[tail] = logicalIndex;
        _count++;
    }

@@ -134,7 +134,7 @@ public sealed class MonotonicDeque
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public double GetExtremum(double[] buffer)
    {
-        return _count > 0 ? buffer[_deque[_head] % _period] : double.NaN;
+        return _count > 0 ? buffer[(int)(_deque[_head] % _period)] : double.NaN;
    }

    /// <summary>
@@ -309,17 +309,18 @@ public class MdapeTests
    }

    [Fact]
-    public void Calculate_ZeroActual_ReturnsZeroError()
+    public void Calculate_ZeroActual_UsesSubstituteValue()
    {
-        // When actual is zero or near-zero, should return 0 error (epsilon protection)
+        // When actual is zero or near-zero, implementation substitutes 1.0 fallback
+        // to avoid division by zero (epsilon protection means substitute, not return 0)
        var mdape = new Mdape(3);

-        mdape.Update(0.0, 10);
-        mdape.Update(0.0, 20);
-        mdape.Update(0.0, 30);
+        mdape.Update(0.0, 10);  // actual=1.0 (substituted), pred=10 → |1-10|/1 * 100 = 900%
+        mdape.Update(0.0, 20);  // actual=1.0 (substituted), pred=20 → |1-20|/1 * 100 = 1900%
+        mdape.Update(0.0, 30);  // actual=1.0 (substituted), pred=30 → |1-30|/1 * 100 = 2900%

-        // With epsilon protection, all errors are 0
-        Assert.Equal(0.0, mdape.Last.Value, Precision);
+        // Median of [900, 1900, 2900] = 1900
+        Assert.Equal(1900.0, mdape.Last.Value, Precision);
    }

    [Fact]
@@ -361,4 +362,4 @@ public class MdapeTests

        Assert.Equal(mdape1.Last.Value, mdape2.Last.Value, Precision);
    }
-}
+}
@@ -74,9 +74,12 @@ public sealed class Mdape : AbstractBase
    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    private TValue UpdateCore(DateTime time, double actualVal, double predictedVal, bool isNew)
    {
-        if (!double.IsFinite(actualVal))
+        // Validate actual: must be finite AND have sufficient magnitude (matches Batch logic)
+        if (!double.IsFinite(actualVal) || Math.Abs(actualVal) < 1e-10)
        {
-            actualVal = double.IsFinite(_state.LastValidActual) ? _state.LastValidActual : 1.0;
+            actualVal = double.IsFinite(_state.LastValidActual) && Math.Abs(_state.LastValidActual) >= 1e-10
+                ? _state.LastValidActual
+                : 1.0;
        }
        else
        {
@@ -92,10 +95,10 @@ public sealed class Mdape : AbstractBase
            _state.LastValidPredicted = predictedVal;
        }

-        // Calculate absolute percentage error
+        // Calculate absolute percentage error (absActual guaranteed >= 1e-10 by validation above)
        double absActual = Math.Abs(actualVal);
        double absError = Math.Abs(actualVal - predictedVal);
-        double percentageError = absActual > 1e-10 ? (absError / absActual) * 100.0 : 0.0;
+        double percentageError = (absError / absActual) * 100.0;

        if (isNew)
        {
@@ -62,6 +62,17 @@ public sealed class Rae : AbstractBase
        double actualVal = actual.Value;
        double predictedVal = predicted.Value;

+        // Snapshot BEFORE any mutations for correct rollback
+        if (isNew)
+        {
+            _p_state = _state;
+        }
+        else
+        {
+            _state = _p_state;
+        }
+
+        // Sanitize non-finite values AFTER snapshot/restore
        if (!double.IsFinite(actualVal))
        {
            actualVal = double.IsFinite(_state.LastValidActual) ? _state.LastValidActual : 0.0;
@@ -82,8 +93,6 @@ public sealed class Rae : AbstractBase

        if (isNew)
        {
-            _p_state = _state;
-
            // Update actual buffer for mean calculation
            double removedActual = _actualBuffer.Count == _actualBuffer.Capacity ? _actualBuffer.Oldest : 0.0;
            _state.ActualSum = _state.ActualSum - removedActual + actualVal;
@@ -115,8 +124,6 @@ public sealed class Rae : AbstractBase
        }
        else
        {
-            _state = _p_state;
-
            // Update buffers and recalculate sums (buffer state is inconsistent with _p_state)
            _actualBuffer.UpdateNewest(actualVal);
            _state.ActualSum = _actualBuffer.RecalculateSum();
@@ -348,4 +355,4 @@ public sealed class Rae : AbstractBase
            }
        }
    }
-}
+}
@@ -222,22 +222,22 @@ public sealed class Wmape : AbstractBase
            double lastValidActual = 0;
            double lastValidPredicted = 0;

-        for (int k = 0; k < len; k++)
-        {
-            if (double.IsFinite(actual[k]))
+            for (int k = 0; k < len; k++)
            {
-                lastValidActual = actual[k];
-                break;
+                if (double.IsFinite(actual[k]))
+                {
+                    lastValidActual = actual[k];
+                    break;
+                }
            }
-        }
-        for (int k = 0; k < len; k++)
-        {
-            if (double.IsFinite(predicted[k]))
+            for (int k = 0; k < len; k++)
            {
-                lastValidPredicted = predicted[k];
-                break;
+                if (double.IsFinite(predicted[k]))
+                {
+                    lastValidPredicted = predicted[k];
+                    break;
+                }
            }
-        }

            int bufferIndex = 0;
            int i = 0;
@@ -13,7 +13,7 @@ public class CmfIndicatorTests
        Assert.Equal(20, indicator.Period);
        Assert.True(indicator.SeparateWindow);
        Assert.True(indicator.OnBackGround);
-        Assert.Equal(20, CmfIndicator.MinHistoryDepths);
+        Assert.Equal(20, indicator.MinHistoryDepths);
    }

    [Fact]
@@ -28,7 +28,7 @@ public class CmfIndicatorTests
    {
        var indicator = new CmfIndicator();

-        Assert.Equal(20, CmfIndicator.MinHistoryDepths);
+        Assert.Equal(20, indicator.MinHistoryDepths);
        Assert.Equal(20, ((IWatchlistIndicator)indicator).MinHistoryDepths);
    }

@@ -16,8 +16,8 @@ public sealed class CmfIndicator : Indicator, IWatchlistIndicator
    private Cmf _cmf = null!;
    private readonly LineSeries _series;

-    public static int MinHistoryDepths => 20;
-    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+    public int MinHistoryDepths => Period;
+    int IWatchlistIndicator.MinHistoryDepths => Period;

    public override string ShortName => $"CMF({Period})";
    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/volume/cmf/Cmf.Quantower.cs";