gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-21 12:08:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

style patterns

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files
lib/statistics/linreg/LinReg.cs
+83 -62
View File
@@ -76,7 +76,9 @@ public sealed class LinReg : AbstractBase
public LinReg(int period, int offset = 0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_offset = offset;
@@ -262,7 +264,10 @@ public sealed class LinReg : AbstractBase
public override TSeries Update(TSeries source)
{
if (source.Count == 0) return new TSeries([], []);
if (source.Count == 0)
{
return new TSeries([], []);
}
int len = source.Count;
var t = new List<long>(len);
@@ -332,12 +337,20 @@ public sealed class LinReg : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period, int offset = 0, double initialLastValid = 0)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
// Stack allocate for typical periods (most < 100)
// ArrayPool for large periods to avoid stack overflow
@@ -353,87 +366,95 @@ public sealed class LinReg : AbstractBase
try
{
double sum_y = 0;
double sum_xy = 0;
double lastValid = initialLastValid;
int bufferIndex = 0;
int count = 0;
double sum_y = 0;
double sum_xy = 0;
double lastValid = initialLastValid;
int bufferIndex = 0;
int count = 0;
double full_sum_x = 0.5 * period * (period - 1);
double full_sum_x2 = (period - 1.0) * period * (2.0 * period - 1.0) / 6.0;
double full_denom = period * full_sum_x2 - full_sum_x * full_sum_x;
double full_sum_x = 0.5 * period * (period - 1);
double full_sum_x2 = (period - 1.0) * period * (2.0 * period - 1.0) / 6.0;
double full_denom = period * full_sum_x2 - full_sum_x * full_sum_x;
for (int i = 0; i < len; i++)
{
double val = source[i];
if (double.IsFinite(val))
lastValid = val;
else
val = lastValid;
if (count < period)
for (int i = 0; i < len; i++)
{
buffer[count] = val;
sum_y += val;
count++;
sum_xy = 0;
for (int j = 0; j < count; j++)
double val = source[i];
if (double.IsFinite(val))
{
sum_xy = Math.FusedMultiplyAdd(count - 1 - j, buffer[j], sum_xy);
}
if (count <= 1)
{
output[i] = val;
lastValid = val;
}
else
{
double n = count;
double sx = 0.5 * n * (n - 1);
double sx2 = (n - 1.0) * n * (2.0 * n - 1.0) / 6.0;
double denom = n * sx2 - sx * sx;
val = lastValid;
}
if (Math.Abs(denom) < MinDenominator)
if (count < period)
{
buffer[count] = val;
sum_y += val;
count++;
sum_xy = 0;
for (int j = 0; j < count; j++)
{
sum_xy = Math.FusedMultiplyAdd(count - 1 - j, buffer[j], sum_xy);
}
if (count <= 1)
{
output[i] = val;
}
else
{
double m = Math.FusedMultiplyAdd(n, sum_xy, -sx * sum_y) / denom;
double b = Math.FusedMultiplyAdd(-m, sx, sum_y) / n;
output[i] = Math.FusedMultiplyAdd(-m, offset, b);
double n = count;
double sx = 0.5 * n * (n - 1);
double sx2 = (n - 1.0) * n * (2.0 * n - 1.0) / 6.0;
double denom = n * sx2 - sx * sx;
if (Math.Abs(denom) < MinDenominator)
{
output[i] = val;
}
else
{
double m = Math.FusedMultiplyAdd(n, sum_xy, -sx * sum_y) / denom;
double b = Math.FusedMultiplyAdd(-m, sx, sum_y) / n;
output[i] = Math.FusedMultiplyAdd(-m, offset, b);
}
}
if (count == period)
{
bufferIndex = 0;
}
}
else
{
double oldest = buffer[bufferIndex];
double prev_sum_y = sum_y;
if (count == period)
{
bufferIndex = 0;
sum_xy = sum_xy + prev_sum_y - period * oldest;
sum_y = sum_y - oldest + val;
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
double m = Math.FusedMultiplyAdd(period, sum_xy, -full_sum_x * sum_y) / full_denom;
double b = Math.FusedMultiplyAdd(-m, full_sum_x, sum_y) / period;
output[i] = Math.FusedMultiplyAdd(-m, offset, b);
}
}
}
else
{
double oldest = buffer[bufferIndex];
double prev_sum_y = sum_y;
sum_xy = sum_xy + prev_sum_y - period * oldest;
sum_y = sum_y - oldest + val;
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period)
bufferIndex = 0;
double m = Math.FusedMultiplyAdd(period, sum_xy, -full_sum_x * sum_y) / full_denom;
double b = Math.FusedMultiplyAdd(-m, full_sum_x, sum_y) / period;
output[i] = Math.FusedMultiplyAdd(-m, offset, b);
}
}
}
finally
{
if (rentedBuffer != null)
{
ArrayPool<double>.Shared.Return(rentedBuffer);
}
}
}
@@ -448,4 +469,4 @@ public sealed class LinReg : AbstractBase
Intercept = 0;
RSquared = 0;
}
}
}