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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/statistics/variance/Variance.Quantower.cs
+2
View File
@@ -52,7 +52,9 @@ public sealed class VarianceIndicator : Indicator, IWatchlistIndicator
protected override void OnUpdate(UpdateArgs args)
{
if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar)
{
return;
}
var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
double value = _priceSelector(item);
lib/statistics/variance/Variance.Tests.cs
+10 -7
View File
@@ -46,20 +46,20 @@ public class VarianceTests
{
// Use simple known values for easier debugging
var variance = new Variance(3);
// Add 3 values: 1, 2, 3
variance.Update(new TValue(DateTime.UtcNow, 1), isNew: true);
variance.Update(new TValue(DateTime.UtcNow, 2), isNew: true);
var originalResult = variance.Update(new TValue(DateTime.UtcNow, 3), isNew: true);
double expectedVariance = originalResult.Value; // Variance of [1,2,3]
// Now correct the 3rd value to 10 (isNew=false)
variance.Update(new TValue(DateTime.UtcNow, 10), isNew: false);
// Correct back to original value 3 (isNew=false)
var restoredResult = variance.Update(new TValue(DateTime.UtcNow, 3), isNew: false);
// Should match original variance
Assert.Equal(expectedVariance, restoredResult.Value, 1e-10);
}
@@ -351,7 +351,10 @@ public class VarianceTests
// Create large dataset to trigger SIMD path (>= 256)
const int count = 1000;
var data = new double[count];
for (int i = 0; i < count; i++) data[i] = (double)i;
for (int i = 0; i < count; i++)
{
data[i] = (double)i;
}
var series = new TSeries(new System.Collections.Generic.List<long>(new long[count]), new System.Collections.Generic.List<double>(data));
@@ -714,4 +717,4 @@ public class VarianceTests
Assert.Equal(0, output[0]); // N=1
Assert.Equal(50, output[1]); // Var([10,20]) = 50
}
}
}
lib/statistics/variance/Variance.cs
+72 -16
View File
@@ -100,7 +100,10 @@ public sealed class Variance : AbstractBase
double numerator = _sumSq - (_buffer.Sum * _buffer.Sum) / n;
// Handle floating point noise
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
double denominator = _isPopulation ? n : (n - 1);
variance = numerator / denominator;
@@ -113,7 +116,10 @@ public sealed class Variance : 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);
@@ -181,12 +187,20 @@ public sealed class Variance : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period, bool isPopulation = false)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (period < 2)
{
throw new ArgumentException("Period must be greater than or equal to 2", nameof(period));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
// Try SIMD path for large, clean datasets
const int SimdThreshold = 256;
@@ -237,7 +251,10 @@ public sealed class Variance : AbstractBase
for (; i < warmupEnd; i++)
{
double val = source[i];
if (!double.IsFinite(val)) val = 0; // Fallback
if (!double.IsFinite(val))
{
val = 0; // Fallback
}
sum += val;
sumSq = Math.FusedMultiplyAdd(val, val, sumSq);
@@ -247,7 +264,11 @@ public sealed class Variance : AbstractBase
if (n > 1)
{
double numerator = sumSq - (sum * sum) / n;
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
double denominator = isPopulation ? n : (n - 1);
output[i] = numerator / denominator;
}
@@ -262,7 +283,10 @@ public sealed class Variance : AbstractBase
for (; i < len; i++)
{
double val = source[i];
if (!double.IsFinite(val)) val = 0; // Fallback
if (!double.IsFinite(val))
{
val = 0; // Fallback
}
double oldVal = buffer[bufferIndex];
@@ -272,11 +296,18 @@ public sealed class Variance : AbstractBase
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period) bufferIndex = 0;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
double n = period;
double numerator = sumSq - (sum * sum) / n;
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
double denominator = isPopulation ? n : (n - 1);
output[i] = numerator / denominator;
@@ -305,7 +336,11 @@ public sealed class Variance : AbstractBase
if (n > 1)
{
double num = sumSq - (sum * sum) / n;
if (num < 0) num = 0;
if (num < 0)
{
num = 0;
}
double den = isPopulation ? n : (n - 1);
Unsafe.Add(ref outRef, i) = num / den;
}
@@ -330,7 +365,10 @@ public sealed class Variance : AbstractBase
WarmupVariance(period, isPopulation, ref srcRef, ref outRef, out double sum, out double sumSq);
if (len <= period) return;
if (len <= period)
{
return;
}
var vInvN = Vector512.Create(invN);
var vInvDenom = Vector512.Create(invDenom);
@@ -420,7 +458,11 @@ public sealed class Variance : AbstractBase
sumSq = Math.FusedMultiplyAdd(val, val, sumSq);
double numerator = sumSq - sum * sum * invN;
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
Unsafe.Add(ref outRef, i) = numerator * invDenom;
}
}
@@ -439,7 +481,10 @@ public sealed class Variance : AbstractBase
WarmupVariance(period, isPopulation, ref srcRef, ref outRef, out double sum, out double sumSq);
if (len <= period) return;
if (len <= period)
{
return;
}
var vInvN = Vector128.Create(invN);
var vInvDenom = Vector128.Create(invDenom);
@@ -517,7 +562,11 @@ public sealed class Variance : AbstractBase
sumSq = Math.FusedMultiplyAdd(val, val, sumSq);
double numerator = sumSq - sum * sum * invN;
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
Unsafe.Add(ref outRef, i) = numerator * invDenom;
}
}
@@ -536,7 +585,10 @@ public sealed class Variance : AbstractBase
WarmupVariance(period, isPopulation, ref srcRef, ref outRef, out double sum, out double sumSq);
if (len <= period) return;
if (len <= period)
{
return;
}
var vInvN = Vector256.Create(invN);
var vInvDenom = Vector256.Create(invDenom);
@@ -634,8 +686,12 @@ public sealed class Variance : AbstractBase
sumSq = Math.FusedMultiplyAdd(val, val, sumSq);
double numerator = sumSq - sum * sum * invN;
if (numerator < 0) numerator = 0;
if (numerator < 0)
{
numerator = 0;
}
Unsafe.Add(ref outRef, i) = numerator * invDenom;
}
}
}
}