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Miha Kralj
2026-01-25 16:01:45 -08:00
parent 2836f253c4
commit e59665c8f0
399 changed files with 6892 additions and 1323 deletions
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lib/cycles/stc/Stc.Validation.Tests.cs
+8 -8
View File
@@ -50,14 +50,14 @@ public sealed class StcValidationTests : IDisposable
for (int i = skip; i < qResult.Count; i++)
{
double sVal = sResult[i].Stc ?? double.NaN;
double qVal = qResult[i].Value;
double sVal = sResult[i].Stc ?? double.NaN;
double qVal = qResult[i].Value;
if (!double.IsNaN(sVal) && !double.IsNaN(qVal))
{
sumSq += (sVal - qVal) * (sVal - qVal);
count++;
}
if (!double.IsNaN(sVal) && !double.IsNaN(qVal))
{
sumSq += (sVal - qVal) * (sVal - qVal);
count++;
}
}
double rmse = Math.Sqrt(sumSq / count);
@@ -68,7 +68,7 @@ public sealed class StcValidationTests : IDisposable
Assert.True(rmse > 5.0, "QuanTAlib STC matches Skender STC, which suggests regression to Single Smoothed logic.");
// Assert values are valid
for(int i = skip; i < qResult.Count; i++)
for (int i = skip; i < qResult.Count; i++)
{
Assert.True(double.IsFinite(qResult[i].Value));
Assert.InRange(qResult[i].Value, 0, 100);
lib/cycles/stc/Stc.cs
+108 -18
View File
@@ -113,7 +113,11 @@ public sealed class Stc : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double Clamp100(double x)
{
if (double.IsNaN(x)) return x;
if (double.IsNaN(x))
{
return x;
}
return Math.Clamp(x, 0, 100);
}
@@ -139,9 +143,19 @@ public sealed class Stc : AbstractBase
break;
case StcSmoothing.Digital:
if (stoch2Raw > 75) stc = 100;
else if (stoch2Raw < 25) stc = 0;
else stc = double.IsNaN(prevStc) ? stoch2Raw : prevStc;
if (stoch2Raw > 75)
{
stc = 100;
}
else if (stoch2Raw < 25)
{
stc = 0;
}
else
{
stc = double.IsNaN(prevStc) ? stoch2Raw : prevStc;
}
break;
default: // Includes StcSmoothing.None
@@ -159,26 +173,48 @@ public sealed class Stc : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static bool UpdateMinMaxCore(double added, double removed, bool hasRemoved, ref double min, ref double max)
{
if (double.IsNaN(added)) return false;
if (double.IsNaN(added))
{
return false;
}
bool expandMin = added < min;
bool expandMax = added > max;
if (!hasRemoved)
{
if (expandMin) min = added;
if (expandMax) max = added;
if (expandMin)
{
min = added;
}
if (expandMax)
{
max = added;
}
return false;
}
// Use relative tolerance for floating-point comparison
double tolerance = Math.Max(Math.Abs(min), Math.Abs(max)) * 1e-12;
if (tolerance < 1e-15) tolerance = 1e-15; // minimum absolute tolerance
if (tolerance < 1e-15)
{
tolerance = 1e-15; // minimum absolute tolerance
}
bool removedMin = Math.Abs(removed - min) <= tolerance;
bool removedMax = Math.Abs(removed - max) <= tolerance;
if (expandMin) min = added;
if (expandMax) max = added;
if (expandMin)
{
min = added;
}
if (expandMax)
{
max = added;
}
return (removedMin && !expandMin) || (removedMax && !expandMax);
}
@@ -193,9 +229,20 @@ public sealed class Stc : AbstractBase
max = double.NegativeInfinity;
foreach (double v in span)
{
if (double.IsNaN(v)) continue;
if (v < min) min = v;
if (v > max) max = v;
if (double.IsNaN(v))
{
continue;
}
if (v < min)
{
min = v;
}
if (v > max)
{
max = v;
}
}
}
@@ -225,8 +272,14 @@ public sealed class Stc : AbstractBase
public override TValue Update(TValue input, bool isNew = true)
{
_isNew = isNew;
if (isNew) _ps = _s;
else _s = _ps;
if (isNew)
{
_ps = _s;
}
else
{
_s = _ps;
}
var s = _s;
@@ -276,9 +329,13 @@ public sealed class Stc : AbstractBase
{
double span = s.MacdMax - s.MacdMin;
if (span > double.Epsilon)
{
stoch1Raw = 100.0 * (macd - s.MacdMin) / span;
}
else
{
stoch1Raw = double.IsNaN(s.Stoch1Ema) ? 50.0 : s.Stoch1Ema;
}
stoch1Raw = Clamp100(stoch1Raw);
}
@@ -322,9 +379,13 @@ public sealed class Stc : AbstractBase
{
double span = s.Stoch1Max - s.Stoch1Min;
if (span > double.Epsilon)
{
stoch2Raw = 100.0 * (stoch1 - s.Stoch1Min) / span;
}
else
{
stoch2Raw = double.IsNaN(s.Stoch2Ema) ? stoch1 : s.Stoch2Ema;
}
stoch2Raw = Clamp100(stoch2Raw);
}
@@ -340,7 +401,10 @@ public sealed class Stc : AbstractBase
stc = ApplySmoothing(stoch2Raw, _smoothing, _dAlpha, ref s.Stoch2Ema, ref s.PrevStc);
}
if (isNew) _samples++;
if (isNew)
{
_samples++;
}
_s = s;
Last = new TValue(input.Time, stc);
@@ -352,14 +416,19 @@ public sealed class Stc : AbstractBase
{
var result = new TSeries();
foreach (var item in source)
{
result.Add(Update(item, isNew: true));
}
return result;
}
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
foreach (double v in source)
{
Update(new TValue(DateTime.MinValue, v), isNew: true);
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
@@ -389,7 +458,9 @@ public sealed class Stc : AbstractBase
int kPeriod = 10, int dPeriod = 3, int fastLength = 23, int slowLength = 50, StcSmoothing smoothing = StcSmoothing.Ema)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output spans must be of equal length.", nameof(output));
}
double fastAlpha = 2.0 / (fastLength + 1.0);
double slowAlpha = 2.0 / (slowLength + 1.0);
@@ -465,7 +536,10 @@ public sealed class Stc : AbstractBase
double macdRemoved = macdBuf[macdIdx];
macdBuf[macdIdx] = macd;
macdIdx = (macdIdx + 1) % kPeriod;
if (!macdHasRemoved) macdCount++;
if (!macdHasRemoved)
{
macdCount++;
}
ReadOnlySpan<double> macdValidSpan = macdBuf.Slice(0, macdCount);
UpdateMinMax(macd, macdRemoved, macdHasRemoved, macdValidSpan, ref macdMin, ref macdMax);
@@ -476,9 +550,13 @@ public sealed class Stc : AbstractBase
{
double span = macdMax - macdMin;
if (span > double.Epsilon)
{
stoch1Raw = 100.0 * (macd - macdMin) / span;
}
else
{
stoch1Raw = double.IsNaN(stoch1Ema) ? 50.0 : stoch1Ema;
}
stoch1Raw = Clamp100(stoch1Raw);
}
@@ -505,7 +583,10 @@ public sealed class Stc : AbstractBase
double stochRemoved = stoch1Buf[stoch1Idx];
stoch1Buf[stoch1Idx] = stoch1;
stoch1Idx = (stoch1Idx + 1) % kPeriod;
if (!stochHasRemoved) stoch1Count++;
if (!stochHasRemoved)
{
stoch1Count++;
}
ReadOnlySpan<double> stochValidSpan = stoch1Buf.Slice(0, stoch1Count);
UpdateMinMax(stoch1, stochRemoved, stochHasRemoved, stochValidSpan, ref stoch1Min, ref stoch1Max);
@@ -517,9 +598,13 @@ public sealed class Stc : AbstractBase
{
double span = stoch1Max - stoch1Min;
if (span > double.Epsilon)
{
stoch2Raw = 100.0 * (stoch1 - stoch1Min) / span;
}
else
{
stoch2Raw = double.IsNaN(stoch2Ema) ? stoch1 : stoch2Ema;
}
stoch2Raw = Clamp100(stoch2Raw);
}
@@ -541,9 +626,14 @@ public sealed class Stc : AbstractBase
finally
{
if (rentedMacd != null)
{
ArrayPool<double>.Shared.Return(rentedMacd);
}
if (rentedStoch1 != null)
{
ArrayPool<double>.Shared.Return(rentedStoch1);
}
}
}
}