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This commit is contained in:
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/forecasts/afirma/Afirma.Tests.cs
+6 -1
View File
@@ -438,7 +438,9 @@ public class AfirmaTests
var gbm = new GBM(startPrice: 100, mu: 0.05, sigma: 0.2, seed: 42);
for (int i = 0; i < source.Length; i++)
{
source[i] = gbm.Next().Close;
}
// Warm up
Afirma.Batch(source.AsSpan(), output.AsSpan(), 10);
@@ -567,7 +569,10 @@ public class AfirmaTests
public void Afirma_Calculate_ReturnsCorrectResultsAndHotIndicator()
{
var series = new TSeries();
for (int i = 1; i <= 10; i++) series.Add(DateTime.UtcNow, i * 10);
for (int i = 1; i <= 10; i++)
{
series.Add(DateTime.UtcNow, i * 10);
}
var (results, indicator) = Afirma.Calculate(series, 5);
lib/forecasts/afirma/Afirma.cs
+148 -92
View File
@@ -77,7 +77,9 @@ public sealed class Afirma : AbstractBase
public Afirma(int period, WindowType window = WindowType.BlackmanHarris, bool leastSquares = false)
{
if (period < 1)
{
throw new ArgumentException("Period must be at least 1", nameof(period));
}
_period = period;
_window = window;
@@ -133,7 +135,10 @@ public sealed class Afirma : AbstractBase
/// </summary>
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
// Reset state
_buffer.Clear();
@@ -185,7 +190,10 @@ public sealed class Afirma : AbstractBase
if (double.IsFinite(input))
{
if (updateState)
{
_state.LastValidValue = input;
}
return input;
}
return _state.LastValidValue;
@@ -220,7 +228,10 @@ public sealed class Afirma : AbstractBase
public override TSeries Update(TSeries source)
{
if (source.Count == 0) return [];
if (source.Count == 0)
{
return [];
}
int len = source.Count;
var t = new List<long>(len);
@@ -244,7 +255,10 @@ public sealed class Afirma : AbstractBase
private double CalculateAfirma()
{
int count = _buffer.Count;
if (count == 0) return double.NaN;
if (count == 0)
{
return double.NaN;
}
double result;
@@ -367,9 +381,14 @@ public sealed class Afirma : AbstractBase
double kTwoPiDivP = k * twoPiDivP;
double coef = a0 + a1 * Math.Cos(kTwoPiDivP);
if (Math.Abs(a2) > 1e-9)
{
coef += a2 * Math.Cos(2.0 * kTwoPiDivP);
}
if (Math.Abs(a3) > 1e-9)
{
coef += a3 * Math.Cos(3.0 * kTwoPiDivP);
}
_weights[k] = coef;
wsum += coef;
@@ -394,12 +413,20 @@ public sealed class Afirma : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period, WindowType window = WindowType.BlackmanHarris, bool leastSquares = false)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (period < 1)
{
throw new ArgumentException("Period must be at least 1", nameof(period));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
// If leastSquares is enabled, use standard Update loop via object or specialized loop.
// Implementing LS efficiently in Batch/Span is complex because of regression in inner loop.
@@ -425,115 +452,144 @@ public sealed class Afirma : AbstractBase
try
{
// Pre-calculate weights (Static version of CalculateWeights)
// ... (Copy of weights calc logic)
double a0 = 0.35875, a1 = -0.48829, a2 = 0.14128, a3 = -0.01168;
if (window == WindowType.Hanning) { a0 = 0.50; a1 = -0.50; a2 = 0.0; a3 = 0.0; }
else if (window == WindowType.Hamming) { a0 = 0.54; a1 = -0.46; a2 = 0.0; a3 = 0.0; }
else if (window == WindowType.Blackman) { a0 = 0.42; a1 = -0.50; a2 = 0.08; a3 = 0.0; }
else if (window == WindowType.Rectangular) { a0 = 1.0; a1 = 0.0; a2 = 0.0; a3 = 0.0; }
// Pre-calculate weights (Static version of CalculateWeights)
// ... (Copy of weights calc logic)
double a0 = 0.35875, a1 = -0.48829, a2 = 0.14128, a3 = -0.01168;
if (window == WindowType.Hanning) { a0 = 0.50; a1 = -0.50; a2 = 0.0; a3 = 0.0; }
else if (window == WindowType.Hamming) { a0 = 0.54; a1 = -0.46; a2 = 0.0; a3 = 0.0; }
else if (window == WindowType.Blackman) { a0 = 0.42; a1 = -0.50; a2 = 0.08; a3 = 0.0; }
else if (window == WindowType.Rectangular) { a0 = 1.0; a1 = 0.0; a2 = 0.0; a3 = 0.0; }
double twoPiDivP = 2.0 * Math.PI / period;
for (int k = 0; k < period; k++)
{
double kTwoPiDivP = k * twoPiDivP;
double coef = a0 + a1 * Math.Cos(kTwoPiDivP);
if (Math.Abs(a2) > 1e-9) coef += a2 * Math.Cos(2.0 * kTwoPiDivP);
if (Math.Abs(a3) > 1e-9) coef += a3 * Math.Cos(3.0 * kTwoPiDivP);
weights[k] = coef;
}
double lastValid = double.NaN;
for (int k = 0; k < len; k++)
if (double.IsFinite(source[k])) { lastValid = source[k]; break; }
int bufferIndex = 0;
int bufferCount = 0;
for (int i = 0; i < len; i++)
{
double val = source[i];
if (double.IsFinite(val)) lastValid = val; else val = lastValid;
buffer[bufferIndex] = val;
bufferIndex = (bufferIndex + 1) % period;
if (bufferCount < period) bufferCount++;
// Base AFIRMA (WMA)
double result = 0.0;
double effectiveWeightSum = 0.0;
int readIndex = (bufferIndex - bufferCount + period) % period;
for (int k = 0; k < bufferCount; k++)
double twoPiDivP = 2.0 * Math.PI / period;
for (int k = 0; k < period; k++)
{
// Match Streaming: weights[k] corresponds to Oldest + k
int idx = (readIndex + k) % period;
result = Math.FusedMultiplyAdd(buffer[idx], weights[k], result);
effectiveWeightSum += weights[k];
}
output[i] = effectiveWeightSum > 0 ? result / effectiveWeightSum : val;
// Least Squares Path
if (leastSquares && bufferCount > 2)
{
int n = Math.Min((bufferCount - 1) / 2, 50);
if (n >= 2)
double kTwoPiDivP = k * twoPiDivP;
double coef = a0 + a1 * Math.Cos(kTwoPiDivP);
if (Math.Abs(a2) > 1e-9)
{
double sx = 0.0, sx2 = 0.0, sy = 0.0, sxy = 0.0;
double dn = (double)n;
sx = (dn - 1.0) * dn * 0.5;
sx2 = (dn - 1.0) * dn * (2.0 * dn - 1.0) / 6.0;
coef += a2 * Math.Cos(2.0 * kTwoPiDivP);
}
for (int j = 0; j < n; j++)
if (Math.Abs(a3) > 1e-9)
{
coef += a3 * Math.Cos(3.0 * kTwoPiDivP);
}
weights[k] = coef;
}
double lastValid = double.NaN;
for (int k = 0; k < len; k++)
{
if (double.IsFinite(source[k]))
{
lastValid = source[k];
break;
}
}
int bufferIndex = 0;
int bufferCount = 0;
for (int i = 0; i < len; i++)
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
buffer[bufferIndex] = val;
bufferIndex = (bufferIndex + 1) % period;
if (bufferCount < period)
{
bufferCount++;
}
// Base AFIRMA (WMA)
double result = 0.0;
double effectiveWeightSum = 0.0;
int readIndex = (bufferIndex - bufferCount + period) % period;
for (int k = 0; k < bufferCount; k++)
{
// Match Streaming: weights[k] corresponds to Oldest + k
int idx = (readIndex + k) % period;
result = Math.FusedMultiplyAdd(buffer[idx], weights[k], result);
effectiveWeightSum += weights[k];
}
output[i] = effectiveWeightSum > 0 ? result / effectiveWeightSum : val;
// Least Squares Path
if (leastSquares && bufferCount > 2)
{
int n = Math.Min((bufferCount - 1) / 2, 50);
if (n >= 2)
{
// lag j
int idx = (readIndex + bufferCount - 1 - j + period) % period;
double v = buffer[idx];
sy += v;
sxy += j * v;
}
double sx = 0.0, sx2 = 0.0, sy = 0.0, sxy = 0.0;
double dn = (double)n;
sx = (dn - 1.0) * dn * 0.5;
sx2 = (dn - 1.0) * dn * (2.0 * dn - 1.0) / 6.0;
double denom = dn * sx2 - sx * sx;
if (Math.Abs(denom) > 1e-10)
{
double slope = (dn * sxy - sx * sy) / denom;
double intercept = (sy - slope * sx) / dn;
double lsSum = 0.0;
double lsCount = 0.0;
for (int j = 0; j < bufferCount; j++)
for (int j = 0; j < n; j++)
{
// lag j
double v_ls;
if (j < n)
{
v_ls = intercept + slope * j;
}
else
{
int idx = (readIndex + bufferCount - 1 - j + period) % period;
v_ls = buffer[idx];
}
lsSum += v_ls;
lsCount++;
// lag j
int idx = (readIndex + bufferCount - 1 - j + period) % period;
double v = buffer[idx];
sy += v;
sxy += j * v;
}
if (lsCount > 0)
double denom = dn * sx2 - sx * sx;
if (Math.Abs(denom) > 1e-10)
{
output[i] = lsSum / lsCount;
double slope = (dn * sxy - sx * sy) / denom;
double intercept = (sy - slope * sx) / dn;
double lsSum = 0.0;
double lsCount = 0.0;
for (int j = 0; j < bufferCount; j++)
{
// lag j
double v_ls;
if (j < n)
{
v_ls = intercept + slope * j;
}
else
{
int idx = (readIndex + bufferCount - 1 - j + period) % period;
v_ls = buffer[idx];
}
lsSum += v_ls;
lsCount++;
}
if (lsCount > 0)
{
output[i] = lsSum / lsCount;
}
}
}
}
}
}
}
finally
{
// Return rented arrays to the pool
if (rentedWeights != null)
{
ArrayPool<double>.Shared.Return(rentedWeights);
}
if (rentedBuffer != null)
{
ArrayPool<double>.Shared.Return(rentedBuffer);
}
}
}