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Remove multiple Pine Script indicators: SSFDSP, STARCHANNEL, STBANDS, STC, UBANDS, UCHANNEL, VWAPBANDS, and VWAPSD. These indicators were deleted to streamline the library and remove unused or redundant code.
This commit is contained in:
Miha Kralj
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// ER: Efficiency Ratio (Kaufman)
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/// </summary>
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/// <remarks>
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/// Measures the signal-to-noise ratio of price movement over a lookback period.
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/// ER = |Price − Price[period]| / Σ|Price[i] − Price[i−1]| for i over period bars.
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/// Output ranges from 0 (choppy/noisy) to 1 (perfectly trending).
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///
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/// Uses dual circular buffers with a running sum for O(1) per-bar updates:
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/// - Close buffer (period+1): stores source values; signal = |newest − oldest|
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/// - Noise buffer (period): stores |bar-to-bar change|; noise = running sum
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///
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/// References:
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/// Perry Kaufman, "Trading Systems and Methods", 1995
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/// PineScript reference: er.pine
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Er : AbstractBase
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{
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private readonly int _period;
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private readonly RingBuffer _closeBuf;
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private readonly RingBuffer _noiseBuf;
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[StructLayout(LayoutKind.Auto)]
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private record struct State(
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double NoiseSum,
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double PrevValue,
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double LastValid,
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int Count);
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private State _state;
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private State _p_state;
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/// <summary>
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/// Creates Efficiency Ratio indicator with specified period.
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/// </summary>
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/// <param name="period">Lookback period for efficiency measurement (must be > 0)</param>
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public Er(int period = 10)
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{
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if (period <= 0)
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{
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throw new ArgumentException("Period must be greater than 0", nameof(period));
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}
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_period = period;
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_closeBuf = new RingBuffer(period + 1);
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_noiseBuf = new RingBuffer(period);
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Name = $"Er({period})";
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WarmupPeriod = period + 1;
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}
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/// <summary>
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/// Creates Efficiency Ratio with specified source and period.
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/// </summary>
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public Er(ITValuePublisher source, int period = 10) : this(period)
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{
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source.Pub += Handle;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
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/// <summary>
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/// True if the indicator has enough data for valid results.
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/// </summary>
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public override bool IsHot => _closeBuf.IsFull;
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/// <summary>
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/// Period of the indicator.
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/// </summary>
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public int Period => _period;
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/// <inheritdoc/>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override TValue Update(TValue input, bool isNew = true)
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{
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double value = input.Value;
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// Sanitize input
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if (!double.IsFinite(value))
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{
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value = double.IsFinite(_state.LastValid) ? _state.LastValid : 0.0;
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}
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else
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{
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_state.LastValid = value;
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}
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if (isNew)
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{
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_p_state = _state;
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// Compute bar-to-bar absolute change
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double absChange = double.IsFinite(_state.PrevValue) ? Math.Abs(value - _state.PrevValue) : 0.0;
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// Update noise running sum: subtract oldest, add newest
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if (_noiseBuf.IsFull)
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{
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_state.NoiseSum -= _noiseBuf[0];
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}
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_state.NoiseSum += absChange;
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_noiseBuf.Add(absChange);
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// Update close buffer
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_closeBuf.Add(value);
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_state.PrevValue = value;
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_state.Count++;
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}
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else
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{
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_state = _p_state;
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double absChange = double.IsFinite(_state.PrevValue) ? Math.Abs(value - _state.PrevValue) : 0.0;
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if (_noiseBuf.IsFull)
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{
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_state.NoiseSum -= _noiseBuf[0];
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}
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_state.NoiseSum += absChange;
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_noiseBuf.UpdateNewest(absChange);
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_closeBuf.UpdateNewest(value);
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_state.PrevValue = value;
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_state.Count++;
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}
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// Signal = |current - oldest close|
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double signal = _closeBuf.Count > _period
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? Math.Abs(value - _closeBuf[0])
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: 0.0;
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// ER = signal / noise, clamped to [0, 1]
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double er = _state.NoiseSum > 0.0 ? signal / _state.NoiseSum : 0.0;
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er = Math.Clamp(er, 0.0, 1.0);
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Last = new TValue(input.Time, er);
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PubEvent(Last, isNew);
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return Last;
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}
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/// <inheritdoc/>
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public override TSeries Update(TSeries source)
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{
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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var tSpan = CollectionsMarshal.AsSpan(t);
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var vSpan = CollectionsMarshal.AsSpan(v);
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Batch(source.Values, vSpan, _period);
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source.Times.CopyTo(tSpan);
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for (int i = 0; i < len; i++)
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{
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Update(new TValue(source.Times[i], source.Values[i]), isNew: true);
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}
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return new TSeries(t, v);
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}
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/// <inheritdoc/>
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public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
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{
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TimeSpan interval = step ?? TimeSpan.FromTicks(1);
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DateTime baseTime = DateTime.UtcNow - (interval * (source.Length - 1));
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for (int i = 0; i < source.Length; i++)
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{
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Update(new TValue(baseTime + (interval * i), source[i]), isNew: true);
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}
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}
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/// <inheritdoc/>
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public override void Reset()
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{
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_closeBuf.Clear();
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_noiseBuf.Clear();
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_state = default;
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_p_state = default;
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Last = default;
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}
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/// <summary>
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/// Calculates Efficiency Ratio for entire series.
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/// </summary>
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public static TSeries Batch(TSeries source, int period = 10)
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{
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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var tSpan = CollectionsMarshal.AsSpan(t);
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var vSpan = CollectionsMarshal.AsSpan(v);
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Batch(source.Values, vSpan, period);
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source.Times.CopyTo(tSpan);
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return new TSeries(t, v);
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}
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/// <summary>
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/// Batch Efficiency Ratio calculation via dual circular buffers with running sum.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period = 10)
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{
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if (source.Length != output.Length)
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{
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throw new ArgumentException("Source and output must have the same length", nameof(output));
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}
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if (period <= 0)
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{
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throw new ArgumentException("Period must be greater than 0", nameof(period));
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}
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int len = source.Length;
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if (len == 0)
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{
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return;
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}
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var closeBuf = new RingBuffer(period + 1);
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var noiseBuf = new RingBuffer(period);
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double noiseSum = 0.0;
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double lastValid = 0.0;
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double prevValue = double.NaN;
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for (int i = 0; i < len; i++)
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{
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double val = source[i];
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if (!double.IsFinite(val))
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{
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val = lastValid;
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}
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else
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{
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lastValid = val;
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}
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double absChange = double.IsFinite(prevValue) ? Math.Abs(val - prevValue) : 0.0;
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prevValue = val;
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// Update noise
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if (noiseBuf.IsFull)
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{
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noiseSum -= noiseBuf[0];
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}
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noiseSum += absChange;
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noiseBuf.Add(absChange);
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// Update close
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closeBuf.Add(val);
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// Signal
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double signal = closeBuf.Count > period
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? Math.Abs(val - closeBuf[0])
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: 0.0;
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double er = noiseSum > 0.0 ? signal / noiseSum : 0.0;
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output[i] = Math.Clamp(er, 0.0, 1.0);
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}
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}
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/// <summary>
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/// Creates an ER indicator, processes the source, and returns results with the indicator.
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/// </summary>
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public static (TSeries Results, Er Indicator) Calculate(TSeries source, int period = 10)
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{
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var indicator = new Er(period);
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return (indicator.Update(source), indicator);
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}
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}
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