mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-20 11:38:05 +00:00
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.
This commit is contained in:
@@ -309,17 +309,18 @@ public class MdapeTests
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}
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[Fact]
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public void Calculate_ZeroActual_ReturnsZeroError()
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public void Calculate_ZeroActual_UsesSubstituteValue()
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{
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// When actual is zero or near-zero, should return 0 error (epsilon protection)
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// When actual is zero or near-zero, implementation substitutes 1.0 fallback
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// to avoid division by zero (epsilon protection means substitute, not return 0)
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var mdape = new Mdape(3);
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mdape.Update(0.0, 10);
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mdape.Update(0.0, 20);
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mdape.Update(0.0, 30);
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mdape.Update(0.0, 10); // actual=1.0 (substituted), pred=10 → |1-10|/1 * 100 = 900%
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mdape.Update(0.0, 20); // actual=1.0 (substituted), pred=20 → |1-20|/1 * 100 = 1900%
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mdape.Update(0.0, 30); // actual=1.0 (substituted), pred=30 → |1-30|/1 * 100 = 2900%
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// With epsilon protection, all errors are 0
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Assert.Equal(0.0, mdape.Last.Value, Precision);
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// Median of [900, 1900, 2900] = 1900
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Assert.Equal(1900.0, mdape.Last.Value, Precision);
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}
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[Fact]
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@@ -361,4 +362,4 @@ public class MdapeTests
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Assert.Equal(mdape1.Last.Value, mdape2.Last.Value, Precision);
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}
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}
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}
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@@ -74,9 +74,12 @@ public sealed class Mdape : AbstractBase
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private TValue UpdateCore(DateTime time, double actualVal, double predictedVal, bool isNew)
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{
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if (!double.IsFinite(actualVal))
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// Validate actual: must be finite AND have sufficient magnitude (matches Batch logic)
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if (!double.IsFinite(actualVal) || Math.Abs(actualVal) < 1e-10)
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{
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actualVal = double.IsFinite(_state.LastValidActual) ? _state.LastValidActual : 1.0;
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actualVal = double.IsFinite(_state.LastValidActual) && Math.Abs(_state.LastValidActual) >= 1e-10
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? _state.LastValidActual
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: 1.0;
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}
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else
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{
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@@ -92,10 +95,10 @@ public sealed class Mdape : AbstractBase
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_state.LastValidPredicted = predictedVal;
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}
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// Calculate absolute percentage error
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// Calculate absolute percentage error (absActual guaranteed >= 1e-10 by validation above)
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double absActual = Math.Abs(actualVal);
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double absError = Math.Abs(actualVal - predictedVal);
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double percentageError = absActual > 1e-10 ? (absError / absActual) * 100.0 : 0.0;
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double percentageError = (absError / absActual) * 100.0;
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if (isNew)
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{
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+12
-5
@@ -62,6 +62,17 @@ public sealed class Rae : AbstractBase
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double actualVal = actual.Value;
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double predictedVal = predicted.Value;
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// Snapshot BEFORE any mutations for correct rollback
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if (isNew)
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{
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_p_state = _state;
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}
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else
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{
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_state = _p_state;
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}
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// Sanitize non-finite values AFTER snapshot/restore
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if (!double.IsFinite(actualVal))
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{
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actualVal = double.IsFinite(_state.LastValidActual) ? _state.LastValidActual : 0.0;
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@@ -82,8 +93,6 @@ public sealed class Rae : AbstractBase
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if (isNew)
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{
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_p_state = _state;
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// Update actual buffer for mean calculation
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double removedActual = _actualBuffer.Count == _actualBuffer.Capacity ? _actualBuffer.Oldest : 0.0;
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_state.ActualSum = _state.ActualSum - removedActual + actualVal;
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@@ -115,8 +124,6 @@ public sealed class Rae : AbstractBase
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}
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else
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{
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_state = _p_state;
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// Update buffers and recalculate sums (buffer state is inconsistent with _p_state)
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_actualBuffer.UpdateNewest(actualVal);
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_state.ActualSum = _actualBuffer.RecalculateSum();
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@@ -348,4 +355,4 @@ public sealed class Rae : AbstractBase
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}
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}
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}
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}
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}
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+12
-12
@@ -222,22 +222,22 @@ public sealed class Wmape : AbstractBase
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double lastValidActual = 0;
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double lastValidPredicted = 0;
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for (int k = 0; k < len; k++)
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{
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if (double.IsFinite(actual[k]))
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for (int k = 0; k < len; k++)
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{
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lastValidActual = actual[k];
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break;
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if (double.IsFinite(actual[k]))
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{
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lastValidActual = actual[k];
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break;
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}
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}
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}
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for (int k = 0; k < len; k++)
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{
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if (double.IsFinite(predicted[k]))
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for (int k = 0; k < len; k++)
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{
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lastValidPredicted = predicted[k];
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break;
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if (double.IsFinite(predicted[k]))
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{
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lastValidPredicted = predicted[k];
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break;
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}
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}
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}
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int bufferIndex = 0;
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int i = 0;
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