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Enhance SIMD support in moving average implementations; add AVX512 and ARM64 optimizations for HMA, SMA, and WMA

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This commit is contained in:
Miha Kralj
2025-12-10 21:12:14 -05:00
parent 053234045f
commit cfc54bf1f7
5 changed files with 476 additions and 78 deletions
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lib/core/simd/SimdExtensions.cs
+9 -64
View File
@@ -383,7 +383,7 @@ public static class SimdExtensions
/// <summary>
/// Calculates the dot product of two spans using SIMD intrinsics.
/// Supports AVX512, AVX2, SSE2, and NEON.
/// Supports AVX512, AVX2, and NEON (ARM64).
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static double DotProduct(this ReadOnlySpan<double> a, ReadOnlySpan<double> b)
@@ -410,26 +410,25 @@ public static class SimdExtensions
if (Avx2.IsSupported)
return DotProductAvx2(a, b);
if (Sse2.IsSupported)
return DotProductSse2(a, b);
if (AdvSimd.Arm64.IsSupported)
return DotProductNeon(a, b);
double s = 0;
double s1 = 0, s2 = 0, s3 = 0, s4 = 0;
ref double ar = ref MemoryMarshal.GetReference(a);
ref double br = ref MemoryMarshal.GetReference(b);
int i = 0;
// Unroll scalar loop
// Unroll scalar loop with 4 accumulators to break dependency chains
for (; i <= len - 4; i += 4)
{
s += Unsafe.Add(ref ar, i) * Unsafe.Add(ref br, i);
s += Unsafe.Add(ref ar, i + 1) * Unsafe.Add(ref br, i + 1);
s += Unsafe.Add(ref ar, i + 2) * Unsafe.Add(ref br, i + 2);
s += Unsafe.Add(ref ar, i + 3) * Unsafe.Add(ref br, i + 3);
s1 += Unsafe.Add(ref ar, i) * Unsafe.Add(ref br, i);
s2 += Unsafe.Add(ref ar, i + 1) * Unsafe.Add(ref br, i + 1);
s3 += Unsafe.Add(ref ar, i + 2) * Unsafe.Add(ref br, i + 2);
s4 += Unsafe.Add(ref ar, i + 3) * Unsafe.Add(ref br, i + 3);
}
double s = s1 + s2 + s3 + s4;
for (; i < len; i++)
{
s += Unsafe.Add(ref ar, i) * Unsafe.Add(ref br, i);
@@ -647,58 +646,4 @@ public static class SimdExtensions
return sum;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double DotProductSse2(ReadOnlySpan<double> a, ReadOnlySpan<double> b)
{
int len = a.Length;
int i = 0;
Vector128<double> vSum = Vector128<double>.Zero;
Vector128<double> vSum2 = Vector128<double>.Zero;
ref double aRef = ref MemoryMarshal.GetReference(a);
ref double bRef = ref MemoryMarshal.GetReference(b);
// Process 4 doubles at a time using 2 accumulators
for (; i <= len - 4; i += 4)
{
var va1 = Vector128.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb1 = Vector128.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
var va2 = Vector128.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 2));
var vb2 = Vector128.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 2));
if (Fma.IsSupported)
{
vSum = Fma.MultiplyAdd(va1, vb1, vSum);
vSum2 = Fma.MultiplyAdd(va2, vb2, vSum2);
}
else
{
vSum = Sse2.Add(vSum, Sse2.Multiply(va1, vb1));
vSum2 = Sse2.Add(vSum2, Sse2.Multiply(va2, vb2));
}
}
// Process remaining 2 doubles if available
if (i <= len - 2)
{
var va = Vector128.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb = Vector128.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
vSum = Fma.IsSupported
? Fma.MultiplyAdd(va, vb, vSum)
: Sse2.Add(vSum, Sse2.Multiply(va, vb));
i += 2;
}
vSum = Sse2.Add(vSum, vSum2);
double sum = vSum.GetElement(0) + vSum.GetElement(1);
// Scalar remainder (0-1 elements)
for (; i < len; i++)
{
sum += Unsafe.Add(ref aRef, i) * Unsafe.Add(ref bRef, i);
}
return sum;
}
}
lib/trends/hma/Hma.cs
+30 -9
View File
@@ -2,6 +2,8 @@ using System;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.Arm;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
@@ -163,24 +165,43 @@ public sealed class Hma : ITValuePublisher
int len = halfWma.Length;
int i = 0;
if (Vector256.IsHardwareAccelerated && len >= Vector256<double>.Count)
ref double halfRef = ref MemoryMarshal.GetReference(halfWma);
ref double fullRef = ref MemoryMarshal.GetReference(fullWma);
ref double outRef = ref MemoryMarshal.GetReference(output);
if (Avx512F.IsSupported && len >= Vector512<double>.Count)
{
var vTwo = Vector512.Create(2.0);
for (; i <= len - Vector512<double>.Count; i += Vector512<double>.Count)
{
var vHalf = Vector512.LoadUnsafe(ref Unsafe.Add(ref halfRef, i));
var vFull = Vector512.LoadUnsafe(ref Unsafe.Add(ref fullRef, i));
var vResult = Avx512F.Subtract(Avx512F.Multiply(vHalf, vTwo), vFull);
Vector512.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
}
}
else if (Avx2.IsSupported && len >= Vector256<double>.Count)
{
var vTwo = Vector256.Create(2.0);
ref double halfRef = ref MemoryMarshal.GetReference(halfWma);
ref double fullRef = ref MemoryMarshal.GetReference(fullWma);
ref double outRef = ref MemoryMarshal.GetReference(output);
for (; i <= len - Vector256<double>.Count; i += Vector256<double>.Count)
{
var vHalf = Vector256.LoadUnsafe(ref Unsafe.Add(ref halfRef, i));
var vFull = Vector256.LoadUnsafe(ref Unsafe.Add(ref fullRef, i));
// vResult = 2 * half - full
var vResult = (vHalf * vTwo) - vFull;
var vResult = Avx.Subtract(Avx.Multiply(vHalf, vTwo), vFull);
Vector256.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
}
}
else if (AdvSimd.Arm64.IsSupported && len >= Vector128<double>.Count)
{
var vTwo = Vector128.Create(2.0);
for (; i <= len - Vector128<double>.Count; i += Vector128<double>.Count)
{
var vHalf = Vector128.LoadUnsafe(ref Unsafe.Add(ref halfRef, i));
var vFull = Vector128.LoadUnsafe(ref Unsafe.Add(ref fullRef, i));
var vResult = AdvSimd.Arm64.Subtract(AdvSimd.Arm64.Multiply(vHalf, vTwo), vFull);
Vector128.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
}
}
for (; i < len; i++)
{
lib/trends/sma/Sma.cs
+160 -5
View File
@@ -3,6 +3,7 @@ using System.Numerics;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.Arm;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
@@ -223,12 +224,27 @@ public sealed class Sma : ITValuePublisher
if (len == 0) return;
// Try SIMD path for large, clean datasets
// Requirements: AVX2 support, large enough dataset, no NaN values
// Requirements: SIMD support, large enough dataset, no NaN values
const int SimdThreshold = 256;
if (Avx2.IsSupported && len >= SimdThreshold && !source.ContainsNonFinite())
if (len >= SimdThreshold && !source.ContainsNonFinite())
{
CalculateSimdCore(source, output, period);
return;
if (Avx512F.IsSupported)
{
CalculateAvx512Core(source, output, period);
return;
}
if (Avx2.IsSupported)
{
CalculateAvx2Core(source, output, period);
return;
}
if (AdvSimd.Arm64.IsSupported)
{
CalculateNeonCore(source, output, period);
return;
}
}
// Scalar path with NaN handling
@@ -297,7 +313,79 @@ public sealed class Sma : ITValuePublisher
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
private static void CalculateAvx512Core(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 8;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double invPeriod = 1.0 / period;
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
{
sum += Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum / (i + 1);
}
if (len <= period)
return;
var vInvPeriod = Vector512.Create(invPeriod);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
var vOld = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
var vDelta = Avx512F.Subtract(vNew, vOld);
// Prefix sum of Delta
var vShift1 = Vector512.Create(0.0, vDelta.GetElement(0), vDelta.GetElement(1), vDelta.GetElement(2), vDelta.GetElement(3), vDelta.GetElement(4), vDelta.GetElement(5), vDelta.GetElement(6));
var vP1 = Avx512F.Add(vDelta, vShift1);
var vShift2 = Vector512.Create(0.0, 0.0, vP1.GetElement(0), vP1.GetElement(1), vP1.GetElement(2), vP1.GetElement(3), vP1.GetElement(4), vP1.GetElement(5));
var vP2 = Avx512F.Add(vP1, vShift2);
var vShift4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vP2.GetElement(0), vP2.GetElement(1), vP2.GetElement(2), vP2.GetElement(3));
var vP4 = Avx512F.Add(vP2, vShift4);
var vSumPrev = Vector512.Create(sum);
var vSums = Avx512F.Add(vSumPrev, vP4);
var vResult = Avx512F.Multiply(vSums, vInvPeriod);
Vector512.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
sum = vSums.GetElement(7);
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
{
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
}
sum = recalcSum;
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum * invPeriod;
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateAvx2Core(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 4;
@@ -367,6 +455,73 @@ public sealed class Sma : ITValuePublisher
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateNeonCore(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 2;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double invPeriod = 1.0 / period;
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
{
sum += Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum / (i + 1);
}
if (len <= period)
return;
var vInvPeriod = Vector128.Create(invPeriod);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
var vOld = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
var vDelta = AdvSimd.Arm64.Subtract(vNew, vOld);
// Prefix sum of Delta: [d0, d0+d1]
double d0 = vDelta.GetElement(0);
double d1 = vDelta.GetElement(1);
double ps0 = sum + d0;
double ps1 = ps0 + d1;
var vSums = Vector128.Create(ps0, ps1);
var vResult = AdvSimd.Arm64.Multiply(vSums, vInvPeriod);
Vector128.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
sum = ps1;
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
{
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
}
sum = recalcSum;
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum * invPeriod;
}
}
/// <summary>
/// Resets the SMA state.
/// </summary>
lib/trends/wma/Wma.cs
+276
View File
@@ -3,6 +3,7 @@ using System.Numerics;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.Arm;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
@@ -213,12 +214,24 @@ public sealed class Wma : ITValuePublisher
if (len == 0) return;
const int SimdThreshold = 256;
if (Avx512F.IsSupported && len >= SimdThreshold && !source.ContainsNonFinite())
{
CalculateAvx512Core(source, output, period);
return;
}
if (Avx2.IsSupported && len >= SimdThreshold && !source.ContainsNonFinite())
{
CalculateSimdCore(source, output, period);
return;
}
if (AdvSimd.Arm64.IsSupported && len >= SimdThreshold && !source.ContainsNonFinite())
{
CalculateNeonCore(source, output, period);
return;
}
CalculateScalarCore(source, output, period);
}
@@ -295,6 +308,121 @@ public sealed class Wma : ITValuePublisher
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateAvx512Core(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 8;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double divisor = (double)period * (period + 1) * 0.5;
double invDivisor = 1.0 / divisor;
int warmupEnd = Math.Min(period, len);
double sum = 0;
double wsum = 0;
for (int i = 0; i < warmupEnd; i++)
{
double val = Unsafe.Add(ref srcRef, i);
sum += val;
wsum += (i + 1) * val;
double currentDivisor = (double)(i + 1) * (i + 2) * 0.5;
Unsafe.Add(ref outRef, i) = wsum / currentDivisor;
}
if (len <= period)
return;
var vInvDivisor = Vector512.Create(invDivisor);
var vPeriod = Vector512.Create((double)period);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
var vSumState = Vector512.Create(sum);
var vWsumState = Vector512.Create(wsum);
int idx = period;
while (idx < simdEnd)
{
int nextSync = Math.Min(simdEnd, idx + ResyncInterval);
for (; idx < nextSync; idx += VectorWidth)
{
var vNew = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
var vOld = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
var vDeltaS = Avx512F.Subtract(vNew, vOld);
// Prefix sum of DeltaS
var vShiftS1 = Vector512.Create(0.0, vDeltaS.GetElement(0), vDeltaS.GetElement(1), vDeltaS.GetElement(2), vDeltaS.GetElement(3), vDeltaS.GetElement(4), vDeltaS.GetElement(5), vDeltaS.GetElement(6));
var vPS1 = Avx512F.Add(vDeltaS, vShiftS1);
var vShiftS2 = Vector512.Create(0.0, 0.0, vPS1.GetElement(0), vPS1.GetElement(1), vPS1.GetElement(2), vPS1.GetElement(3), vPS1.GetElement(4), vPS1.GetElement(5));
var vPS2 = Avx512F.Add(vPS1, vShiftS2);
var vShiftS4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vPS2.GetElement(0), vPS2.GetElement(1), vPS2.GetElement(2), vPS2.GetElement(3));
var vPS4 = Avx512F.Add(vPS2, vShiftS4);
var vSums = Avx512F.Add(vSumState, vPS4);
// Calculate Wsum update
var vSumsShifted = Avx512F.Subtract(vSums, vDeltaS);
var vU = Avx512F.FusedMultiplySubtract(vPeriod, vNew, vSumsShifted);
// Prefix sum of vU
var vShiftW1 = Vector512.Create(0.0, vU.GetElement(0), vU.GetElement(1), vU.GetElement(2), vU.GetElement(3), vU.GetElement(4), vU.GetElement(5), vU.GetElement(6));
var vPW1 = Avx512F.Add(vU, vShiftW1);
var vShiftW2 = Vector512.Create(0.0, 0.0, vPW1.GetElement(0), vPW1.GetElement(1), vPW1.GetElement(2), vPW1.GetElement(3), vPW1.GetElement(4), vPW1.GetElement(5));
var vPW2 = Avx512F.Add(vPW1, vShiftW2);
var vShiftW4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vPW2.GetElement(0), vPW2.GetElement(1), vPW2.GetElement(2), vPW2.GetElement(3));
var vPW4 = Avx512F.Add(vPW2, vShiftW4);
var vWsums = Avx512F.Add(vWsumState, vPW4);
var vResult = Avx512F.Multiply(vWsums, vInvDivisor);
Vector512.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, idx));
// Update state for next iteration
vSumState = Vector512.Create(vSums.GetElement(7));
vWsumState = Vector512.Create(vWsums.GetElement(7));
}
if (idx < len)
{
int lastIdx = idx - 1;
double recalcSum = 0;
double recalcWsum = 0;
for (int k = 0; k < period; k++)
{
double val = Unsafe.Add(ref srcRef, lastIdx - k);
recalcSum += val;
recalcWsum += (period - k) * val;
}
sum = recalcSum;
wsum = recalcWsum;
vSumState = Vector512.Create(sum);
vWsumState = Vector512.Create(wsum);
}
}
sum = vSumState.GetElement(0);
wsum = vWsumState.GetElement(0);
for (; idx < len; idx++)
{
double val = Unsafe.Add(ref srcRef, idx);
double oldSum = sum;
double oldest = Unsafe.Add(ref srcRef, idx - period);
sum = sum - oldest + val;
wsum = wsum - oldSum + (period * val);
Unsafe.Add(ref outRef, idx) = wsum * invDivisor;
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
{
@@ -475,6 +603,154 @@ public sealed class Wma : ITValuePublisher
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateNeonCore(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 2;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double divisor = (double)period * (period + 1) * 0.5;
double invDivisor = 1.0 / divisor;
int warmupEnd = Math.Min(period, len);
double sum = 0;
double wsum = 0;
for (int i = 0; i < warmupEnd; i++)
{
double val = Unsafe.Add(ref srcRef, i);
sum += val;
wsum += (i + 1) * val;
double currentDivisor = (double)(i + 1) * (i + 2) * 0.5;
Unsafe.Add(ref outRef, i) = wsum / currentDivisor;
}
if (len <= period)
return;
var vInvDivisor = Vector128.Create(invDivisor);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
double sumState = sum;
double wsumState = wsum;
int idx = period;
while (idx < simdEnd)
{
int nextSync = Math.Min(simdEnd, idx + ResyncInterval);
// Unrolled loop: process 4 elements (2 vectors) at a time
int unrolledSync = nextSync - (2 * VectorWidth);
for (; idx <= unrolledSync; idx += 2 * VectorWidth)
{
var vNew1 = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
var vOld1 = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
var vNew2 = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth));
var vOld2 = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth - period));
var vDeltaS1 = AdvSimd.Arm64.Subtract(vNew1, vOld1);
var vDeltaS2 = AdvSimd.Arm64.Subtract(vNew2, vOld2);
// Prefix sum for first vector: [d0, d0+d1]
double d1_0 = vDeltaS1.GetElement(0);
double d1_1 = vDeltaS1.GetElement(1);
double ps1_0 = sumState + d1_0;
double ps1_1 = ps1_0 + d1_1;
// Prefix sum for second vector
double d2_0 = vDeltaS2.GetElement(0);
double d2_1 = vDeltaS2.GetElement(1);
double ps2_0 = ps1_1 + d2_0;
double ps2_1 = ps2_0 + d2_1;
// Calculate Wsum update: W_new = W_old - S_prev + n*new
// For element i: u_i = period * new_i - S_(i-1)
double u1_0 = period * vNew1.GetElement(0) - sumState;
double u1_1 = period * vNew1.GetElement(1) - ps1_0;
double u2_0 = period * vNew2.GetElement(0) - ps1_1;
double u2_1 = period * vNew2.GetElement(1) - ps2_0;
// Prefix sum of U values
double pw1_0 = wsumState + u1_0;
double pw1_1 = pw1_0 + u1_1;
double pw2_0 = pw1_1 + u2_0;
double pw2_1 = pw2_0 + u2_1;
var vWsums1 = Vector128.Create(pw1_0, pw1_1);
var vWsums2 = Vector128.Create(pw2_0, pw2_1);
var vResult1 = AdvSimd.Arm64.Multiply(vWsums1, vInvDivisor);
var vResult2 = AdvSimd.Arm64.Multiply(vWsums2, vInvDivisor);
Vector128.StoreUnsafe(vResult1, ref Unsafe.Add(ref outRef, idx));
Vector128.StoreUnsafe(vResult2, ref Unsafe.Add(ref outRef, idx + VectorWidth));
sumState = ps2_1;
wsumState = pw2_1;
}
// Process remaining pairs
for (; idx < nextSync; idx += VectorWidth)
{
var vNew = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
var vOld = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
var vDeltaS = AdvSimd.Arm64.Subtract(vNew, vOld);
double d0 = vDeltaS.GetElement(0);
double d1 = vDeltaS.GetElement(1);
double ps0 = sumState + d0;
double ps1 = ps0 + d1;
double u0 = period * vNew.GetElement(0) - sumState;
double u1 = period * vNew.GetElement(1) - ps0;
double pw0 = wsumState + u0;
double pw1 = pw0 + u1;
var vWsums = Vector128.Create(pw0, pw1);
var vResult = AdvSimd.Arm64.Multiply(vWsums, vInvDivisor);
Vector128.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, idx));
sumState = ps1;
wsumState = pw1;
}
// Resync to prevent floating-point drift
if (idx < len)
{
int lastIdx = idx - 1;
double recalcSum = 0;
double recalcWsum = 0;
for (int k = 0; k < period; k++)
{
double val = Unsafe.Add(ref srcRef, lastIdx - k);
recalcSum += val;
recalcWsum += (period - k) * val;
}
sumState = recalcSum;
wsumState = recalcWsum;
}
}
sum = sumState;
wsum = wsumState;
// Scalar tail
for (; idx < len; idx++)
{
double val = Unsafe.Add(ref srcRef, idx);
double oldSum = sum;
double oldest = Unsafe.Add(ref srcRef, idx - period);
sum = sum - oldest + val;
wsum = wsum - oldSum + (period * val);
Unsafe.Add(ref outRef, idx) = wsum * invDivisor;
}
}
public void Reset()
{
_buffer.Clear();
lib/trends/wma/Wma.md
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@@ -211,6 +211,7 @@ The implementation uses:
* **Scalar state save/restore** for O(1) bar correction
* **Pinned memory** in RingBuffer for cache-friendly access
* **CollectionsMarshal.SetCount** for zero-allocation batch processing
* **SIMD Acceleration** (AVX512/AVX2) for high-performance batch processing
## Interpretation Details