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feat: Enhance volume indicators with ADOSC and SSF implementation and validation

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This commit is contained in:
Miha Kralj
2025-12-20 15:08:07 -08:00
parent 5549c7329a
commit d21fea3c18
85 changed files with 5144 additions and 3954 deletions
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perf/Benchmark.cs
+54
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@@ -68,6 +68,15 @@ public class IndicatorBenchmarks
private double[] _tulipHmaOptions = null!;
private double[][] _tulipHmaOutputs = null!;
// Pre-allocated outputs for ADOSC
private double[] _highValues = null!;
private double[] _lowValues = null!;
private double[] _volumeValues = null!;
private TBarSeries _bars = null!;
private double[][] _tulipAdoscInputs = null!;
private double[] _tulipAdoscOptions = null!;
private double[][] _tulipAdoscOutputs = null!;
// Pre-allocated outputs for QuanTAlib Span API
private double[] _quantalibOutput = null!;
@@ -78,7 +87,11 @@ public class IndicatorBenchmarks
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
var bars = gbm.Fetch(BarCount, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
_bars = bars;
_closeValues = bars.Close.Values.ToArray();
_highValues = bars.High.Values.ToArray();
_lowValues = bars.Low.Values.ToArray();
_volumeValues = bars.Volume.Values.ToArray();
_closeTseries = bars.Close;
// Create Skender Quote format
@@ -133,10 +146,51 @@ public class IndicatorBenchmarks
_tulipHmaOptions = new double[] { Period };
_tulipHmaOutputs = new[] { new double[BarCount - hmaLookback] };
// Pre-allocate Tulip ADOSC
_tulipAdoscInputs = new[] { _highValues, _lowValues, _closeValues, _volumeValues };
_tulipAdoscOptions = new double[] { 3, 10 }; // Fast=3, Slow=10
_tulipAdoscOutputs = new[] { new double[BarCount - 1] }; // Tulip ADOSC starts at index 1?
// Pre-allocate QuanTAlib output
_quantalibOutput = new double[BarCount];
}
// ==================== ADOSC ====================
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "QuanTAlib ADOSC (Span)")]
public void QuanTAlib_Adosc_Span() => Adosc.Calculate(_highValues.AsSpan(), _lowValues.AsSpan(), _closeValues.AsSpan(), _volumeValues.AsSpan(), _quantalibOutput.AsSpan(), 3, 10);
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "QuanTAlib ADOSC (Batch)")]
public TSeries QuanTAlib_Adosc_TSeries() => Adosc.Batch(_bars, 3, 10);
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "QuanTAlib ADOSC (Streaming)")]
public void QuanTAlib_Adosc_Streaming()
{
var adosc = new Adosc(3, 10);
for (int i = 0; i < _bars.Count; i++)
{
_quantalibOutput[i] = adosc.Update(_bars[i]).Value;
}
}
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "Tulip ADOSC")]
public void Tulip_Adosc() => Tulip.Indicators.adosc.Run(_tulipAdoscInputs, _tulipAdoscOptions, _tulipAdoscOutputs);
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "TALib ADOSC")]
public Core.RetCode TALib_Adosc() => TALib.Functions.AdOsc(_highValues, _lowValues, _closeValues, _volumeValues, 0..^0, _quantalibOutput, out _, 3, 10);
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "Skender ADOSC")]
public object Skender_Adosc() => _quotes.GetChaikinOsc(3, 10);
[BenchmarkCategory("ADOSC")]
[Benchmark(Description = "Ooples ADOSC")]
public object Ooples_Adosc() => new StockData(_ooplesData).CalculateChaikinOscillator(MovingAvgType.ExponentialMovingAverage, 3, 10);
// ==================== SMA ====================
[BenchmarkCategory("SMA")]
[Benchmark(Description = "QuanTAlib SMA (Span)")]