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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/trends_FIR/alma/Alma.cs
+36 -4
View File
@@ -46,11 +46,19 @@ public sealed class Alma : AbstractBase
public Alma(int period, double offset = 0.85, double sigma = 6.0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (sigma <= 0)
{
throw new ArgumentException("Sigma must be greater than 0", nameof(sigma));
}
if (offset < 0 || offset > 1)
{
throw new ArgumentOutOfRangeException(nameof(offset), "Offset must be between 0 and 1");
}
_period = period;
_offset = offset;
@@ -161,7 +169,10 @@ public sealed class Alma : 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);
@@ -201,7 +212,10 @@ public sealed class Alma : AbstractBase
private double CalculateWeightedSum()
{
int count = _buffer.Count;
if (count == 0) return 0;
if (count == 0)
{
return 0;
}
if (count < _period)
{
@@ -250,13 +264,24 @@ public sealed class Alma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period, double offset = 0.85, double sigma = 6.0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (sigma <= 0)
{
throw new ArgumentException("Sigma must be greater than 0", nameof(sigma));
}
if (offset < 0 || offset > 1)
{
throw new ArgumentOutOfRangeException(nameof(offset), "Offset must be between 0 and 1");
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
// Allocation Strategy: Stack for small periods, Pool for large
double[]? weightsArray = period > 256 ? ArrayPool<double>.Shared.Rent(period) : null;
@@ -352,8 +377,15 @@ public sealed class Alma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (bufferArray != null) ArrayPool<double>.Shared.Return(bufferArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (bufferArray != null)
{
ArrayPool<double>.Shared.Return(bufferArray);
}
}
}
lib/trends_FIR/blma/Blma.Tests.cs
+1 -1
View File
@@ -170,4 +170,4 @@ public class BlmaTests
Assert.Equal(input[1].AsDateTime, timestamps[1]);
Assert.Equal(input[2].AsDateTime, timestamps[2]);
}
}
}
lib/trends_FIR/blma/Blma.cs
+16 -4
View File
@@ -308,7 +308,11 @@ public sealed class Blma : AbstractBase
{
int srcIdx = i - count + 1 + j;
double srcVal = source[srcIdx];
if (!double.IsFinite(srcVal)) srcVal = lastValid;
if (!double.IsFinite(srcVal))
{
srcVal = lastValid;
}
sum += srcVal * currentWeights[j];
}
@@ -317,7 +321,11 @@ public sealed class Blma : AbstractBase
{
int srcIdx = i - count + 1 + j;
double srcVal = source[srcIdx];
if (!double.IsFinite(srcVal)) srcVal = lastValid;
if (!double.IsFinite(srcVal))
{
srcVal = lastValid;
}
avg += srcVal;
}
avg /= count;
@@ -334,7 +342,11 @@ public sealed class Blma : AbstractBase
{
int srcIdx = i - period + 1 + j;
double srcVal = source[srcIdx];
if (!double.IsFinite(srcVal)) srcVal = lastValid;
if (!double.IsFinite(srcVal))
{
srcVal = lastValid;
}
sum += srcVal * weights[j];
avg += srcVal;
}
@@ -361,4 +373,4 @@ public sealed class Blma : AbstractBase
{
Calculate(source, destination, period);
}
}
}
lib/trends_FIR/bwma/Bwma.Quantower.Tests.cs
+1 -1
View File
@@ -214,4 +214,4 @@ public class BwmaIndicatorTests
Assert.Contains("Bessel", indicator.Description, StringComparison.Ordinal);
}
}
}
lib/trends_FIR/bwma/Bwma.Quantower.cs
+3 -1
View File
@@ -54,7 +54,9 @@ public sealed class BwmaIndicator : Indicator, IWatchlistIndicator
protected override void OnUpdate(UpdateArgs args)
{
if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar && args.Reason != UpdateReason.NewTick)
{
return;
}
var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
TValue result = _ma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), args.IsNewBar());
@@ -62,4 +64,4 @@ public sealed class BwmaIndicator : Indicator, IWatchlistIndicator
_series.SetValue(result.Value, _ma.IsHot, ShowColdValues);
_series.SetMarker(0, Color.Transparent);
}
}
}
lib/trends_FIR/bwma/Bwma.Validation.Tests.cs
+6 -2
View File
@@ -23,7 +23,11 @@ public sealed class BwmaValidationTests : IDisposable
private void Dispose(bool disposing)
{
if (_disposed) return;
if (_disposed)
{
return;
}
_disposed = true;
if (disposing)
{
@@ -345,4 +349,4 @@ public sealed class BwmaValidationTests : IDisposable
// The parabolic window emphasizes the center, so result should be > mean (1.8)
Assert.True(result.Value > 1.8);
}
}
}
lib/trends_FIR/bwma/Bwma.cs
+68 -11
View File
@@ -47,9 +47,14 @@ public sealed class Bwma : AbstractBase
public Bwma(int period, int order = 0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (order < 0)
{
throw new ArgumentOutOfRangeException(nameof(order), "Order must be non-negative");
}
_period = period;
_order = order;
@@ -180,7 +185,10 @@ public sealed class Bwma : 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);
@@ -241,13 +249,20 @@ public sealed class Bwma : AbstractBase
private double CalculateWeightedSum(double fallbackValue)
{
int count = _buffer.Count;
if (count == 0) return 0;
if (count == 0)
{
return 0;
}
if (count < _period)
{
return CalculateWeightedSumWarmup(_buffer.GetSpan(), count, _order, _power, fallbackValue);
}
if (_invWeightSum == 0.0)
{
return fallbackValue;
}
ReadOnlySpan<double> internalBuf = _buffer.InternalBuffer;
int head = _buffer.StartIndex;
@@ -262,9 +277,20 @@ public sealed class Bwma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double CalculateWeightedSumWarmup(ReadOnlySpan<double> window, int p, int order, double power, double fallbackValue)
{
if (p <= 0) return 0.0;
if (p == 1) return fallbackValue;
if (p == 2) return fallbackValue;
if (p <= 0)
{
return 0.0;
}
if (p == 1)
{
return fallbackValue;
}
if (p == 2)
{
return fallbackValue;
}
double scale = 2.0 / (p - 1);
double sum = 0.0;
@@ -275,7 +301,9 @@ public sealed class Bwma : AbstractBase
double x = Math.FusedMultiplyAdd(i, scale, -1.0);
double arg = Math.FusedMultiplyAdd(-x, x, 1.0);
if (arg <= 0.0)
{
continue;
}
double w;
if (order == 0)
@@ -292,7 +320,9 @@ public sealed class Bwma : AbstractBase
}
if (w == 0.0)
{
continue;
}
sum = Math.FusedMultiplyAdd(window[i], w, sum);
wSum += w;
@@ -311,14 +341,25 @@ public sealed class Bwma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period, int order = 0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (order < 0)
{
throw new ArgumentOutOfRangeException(nameof(order), "Order must be non-negative");
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
double power = order * 0.5 + 0.5;
@@ -352,7 +393,10 @@ public sealed class Bwma : AbstractBase
}
finally
{
if (bufferArray != null) ArrayPool<double>.Shared.Return(bufferArray);
if (bufferArray != null)
{
ArrayPool<double>.Shared.Return(bufferArray);
}
}
return;
@@ -390,9 +434,15 @@ public sealed class Bwma : AbstractBase
ring[ringIdx] = val;
ringIdx++;
if (ringIdx >= period) ringIdx = 0;
if (ringIdx >= period)
{
ringIdx = 0;
}
if (count < period) count++;
if (count < period)
{
count++;
}
if (count < period)
{
@@ -415,8 +465,15 @@ public sealed class Bwma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (ringArray != null) ArrayPool<double>.Shared.Return(ringArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (ringArray != null)
{
ArrayPool<double>.Shared.Return(ringArray);
}
}
}
lib/trends_FIR/conv/Conv.cs
+23 -4
View File
@@ -40,7 +40,9 @@ public sealed class Conv : AbstractBase
public Conv(double[] kernel)
{
if (kernel == null || kernel.Length == 0)
{
throw new ArgumentException("Kernel must not be empty", nameof(kernel));
}
_period = kernel.Length;
_kernel = new double[_period];
@@ -134,7 +136,10 @@ public sealed class Conv : AbstractBase
public override TSeries Update(TSeries source)
{
if (source.Count == 0) return [];
if (source.Count == 0)
{
return [];
}
int len = source.Count;
List<long> t = new(len);
@@ -209,13 +214,21 @@ public sealed class Conv : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, double[] kernel)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (kernel == null || kernel.Length == 0)
{
throw new ArgumentException("Kernel must not be empty", nameof(kernel));
}
int len = source.Length;
int period = kernel.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
// Use stackalloc for small kernels to avoid heap allocation
Span<double> window = period <= 256 ? stackalloc double[period] : new double[period];
@@ -240,9 +253,15 @@ public sealed class Conv : AbstractBase
window[windowIdx] = val;
windowIdx = (windowIdx + 1);
if (windowIdx >= period) windowIdx = 0;
if (windowIdx >= period)
{
windowIdx = 0;
}
if (count < period) count++;
if (count < period)
{
count++;
}
double sum = 0;
lib/trends_FIR/dwma/Dwma.cs
+23 -4
View File
@@ -33,7 +33,9 @@ public sealed class Dwma : AbstractBase
public Dwma(int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_wma1 = new Wma(period);
@@ -61,7 +63,10 @@ public sealed class Dwma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override TValue Update(TValue input, bool isNew = true)
{
if (isNew) _sampleCount++;
if (isNew)
{
_sampleCount++;
}
TValue wma1Result = _wma1.Update(input, isNew);
Last = _wma2.Update(wma1Result, isNew);
@@ -71,7 +76,10 @@ public sealed class Dwma : 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);
@@ -124,12 +132,20 @@ public sealed class Dwma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
double[]? tempArray = len > 1024 ? ArrayPool<double>.Shared.Rent(len) : null;
Span<double> temp = len <= 1024
@@ -143,7 +159,10 @@ public sealed class Dwma : AbstractBase
}
finally
{
if (tempArray != null) ArrayPool<double>.Shared.Return(tempArray);
if (tempArray != null)
{
ArrayPool<double>.Shared.Return(tempArray);
}
}
}
lib/trends_FIR/gwma/Gwma.Quantower.Tests.cs
+1 -1
View File
@@ -203,4 +203,4 @@ public class GwmaIndicatorTests
// Different sigma should produce different results
Assert.NotEqual(narrowResult, wideResult);
}
}
}
lib/trends_FIR/gwma/Gwma.Quantower.cs
+1 -1
View File
@@ -58,4 +58,4 @@ public class GwmaIndicator : Indicator, IWatchlistIndicator
Series.SetValue(result.Value, ma.IsHot, ShowColdValues);
}
}
}
lib/trends_FIR/gwma/Gwma.Validation.Tests.cs
+1 -1
View File
@@ -242,4 +242,4 @@ public sealed class GwmaValidationTests : IDisposable
Assert.Equal(expected, gwma.Last.Value, 1e-10);
}
}
}
lib/trends_FIR/gwma/Gwma.cs
+64 -11
View File
@@ -49,11 +49,19 @@ public sealed class Gwma : AbstractBase
public Gwma(int period, double sigma = 0.4)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (sigma <= 0)
{
throw new ArgumentException("Sigma must be greater than 0", nameof(sigma));
}
if (sigma > 1)
{
throw new ArgumentOutOfRangeException(nameof(sigma), "Sigma must be between 0 and 1");
}
_period = period;
_sigma = sigma;
@@ -159,7 +167,10 @@ public sealed class Gwma : 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);
@@ -218,7 +229,10 @@ public sealed class Gwma : AbstractBase
private double CalculateWeightedSum(double fallbackValue)
{
int count = _buffer.Count;
if (count == 0) return 0;
if (count == 0)
{
return 0;
}
if (count < _period)
{
@@ -226,7 +240,9 @@ public sealed class Gwma : AbstractBase
}
if (_invWeightSum == 0.0)
{
return fallbackValue;
}
ReadOnlySpan<double> internalBuf = _buffer.InternalBuffer;
int head = _buffer.StartIndex;
@@ -242,8 +258,15 @@ public sealed class Gwma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double CalculateWeightedSumWarmup(ReadOnlySpan<double> window, int p, double sigma, double fallbackValue)
{
if (p <= 0) return 0.0;
if (p == 1) return fallbackValue;
if (p <= 0)
{
return 0.0;
}
if (p == 1)
{
return fallbackValue;
}
double center = (p - 1) * 0.5;
double invSigmaP = 1.0 / (sigma * p);
@@ -271,16 +294,30 @@ public sealed class Gwma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period, double sigma = 0.4)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (sigma <= 0)
{
throw new ArgumentException("Sigma must be greater than 0", nameof(sigma));
}
if (sigma > 1)
{
throw new ArgumentOutOfRangeException(nameof(sigma), "Sigma must be between 0 and 1");
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
if (period > len)
{
@@ -316,7 +353,10 @@ public sealed class Gwma : AbstractBase
}
finally
{
if (bufferArray != null) ArrayPool<double>.Shared.Return(bufferArray);
if (bufferArray != null)
{
ArrayPool<double>.Shared.Return(bufferArray);
}
}
return;
@@ -358,9 +398,15 @@ public sealed class Gwma : AbstractBase
ring[ringIdx] = val;
ringIdx++;
if (ringIdx >= period) ringIdx = 0;
if (ringIdx >= period)
{
ringIdx = 0;
}
if (count < period) count++;
if (count < period)
{
count++;
}
if (count < period)
{
@@ -383,8 +429,15 @@ public sealed class Gwma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (ringArray != null) ArrayPool<double>.Shared.Return(ringArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (ringArray != null)
{
ArrayPool<double>.Shared.Return(ringArray);
}
}
}
@@ -395,4 +448,4 @@ public sealed class Gwma : AbstractBase
_p_state = _state;
Last = default;
}
}
}
lib/trends_FIR/hamma/Hamma.Quantower.Tests.cs
+1 -1
View File
@@ -164,4 +164,4 @@ public class HammaIndicatorTests
Assert.Equal(20, indicator.Period);
Assert.Equal(0, HammaIndicator.MinHistoryDepths);
}
}
}
lib/trends_FIR/hamma/Hamma.Quantower.cs
+1 -1
View File
@@ -55,4 +55,4 @@ public class HammaIndicator : Indicator, IWatchlistIndicator
Series.SetValue(result.Value, ma.IsHot, ShowColdValues);
}
}
}
lib/trends_FIR/hamma/Hamma.Tests.cs
+1 -1
View File
@@ -409,4 +409,4 @@ public class HammaTests
Assert.Equal(i * 10.0, result.Value, 1e-9);
}
}
}
}
lib/trends_FIR/hamma/Hamma.Validation.Tests.cs
+1 -1
View File
@@ -203,4 +203,4 @@ public sealed class HammaValidationTests : IDisposable
// All edge weights should be equal
Assert.Equal(w0, w4, 1e-10);
}
}
}
lib/trends_FIR/hamma/Hamma.cs
+24 -4
View File
@@ -62,7 +62,9 @@ public sealed class Hamma : AbstractBase
public Hamma(int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_buffer = new RingBuffer(period);
@@ -184,7 +186,10 @@ public sealed class Hamma : 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);
@@ -224,7 +229,10 @@ public sealed class Hamma : AbstractBase
private double CalculateWeightedSum()
{
int count = _buffer.Count;
if (count == 0) return 0;
if (count == 0)
{
return 0;
}
if (count < _period)
{
@@ -283,9 +291,14 @@ public sealed class Hamma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
// Allocation Strategy: Stack for small periods, Pool for large
double[]? weightsArray = period > 256 ? ArrayPool<double>.Shared.Rent(period) : null;
@@ -381,8 +394,15 @@ public sealed class Hamma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (bufferArray != null) ArrayPool<double>.Shared.Return(bufferArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (bufferArray != null)
{
ArrayPool<double>.Shared.Return(bufferArray);
}
}
}
lib/trends_FIR/hanma/Hanma.Quantower.Tests.cs
+1 -1
View File
@@ -164,4 +164,4 @@ public class HanmaIndicatorTests
Assert.Equal(20, indicator.Period);
Assert.Equal(0, HanmaIndicator.MinHistoryDepths);
}
}
}
lib/trends_FIR/hanma/Hanma.Quantower.cs
+1 -1
View File
@@ -55,4 +55,4 @@ public class HanmaIndicator : Indicator, IWatchlistIndicator
Series.SetValue(result.Value, ma.IsHot, ShowColdValues);
}
}
}
lib/trends_FIR/hanma/Hanma.Tests.cs
+1 -1
View File
@@ -444,4 +444,4 @@ public class HanmaTests
// Result should be 100.0 (weighted average of middle values only)
Assert.Equal(100.0, hanma.Last.Value, 1e-9);
}
}
}
lib/trends_FIR/hanma/Hanma.Validation.Tests.cs
+1 -1
View File
@@ -172,4 +172,4 @@ public class HanmaValidationTests
// Should be different (different window coefficients)
Assert.NotEqual(hanmaResults.Last.Value, hammaResults.Last.Value);
}
}
}
lib/trends_FIR/hanma/Hanma.cs
+32 -5
View File
@@ -58,7 +58,9 @@ public sealed class Hanma : AbstractBase
public Hanma(int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_buffer = new RingBuffer(period);
@@ -178,7 +180,10 @@ public sealed class Hanma : 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);
@@ -218,7 +223,10 @@ public sealed class Hanma : AbstractBase
private double CalculateWeightedSum()
{
int count = _buffer.Count;
if (count == 0) return 0;
if (count == 0)
{
return 0;
}
if (count < _period)
{
@@ -289,9 +297,14 @@ public sealed class Hanma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
// Allocation Strategy: Stack for small periods, Pool for large
double[]? weightsArray = period > 256 ? ArrayPool<double>.Shared.Rent(period) : null;
@@ -393,15 +406,22 @@ public sealed class Hanma : AbstractBase
if (startIdx + count <= period)
{
for (int j = 0; j < count; j++)
{
avg += buffer[startIdx + j];
}
}
else
{
int p1Len = period - startIdx;
for (int j = 0; j < p1Len; j++)
{
avg += buffer[startIdx + j];
}
for (int j = 0; j < count - p1Len; j++)
{
avg += buffer[j];
}
}
output[i] = avg / count;
}
@@ -410,8 +430,15 @@ public sealed class Hanma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (bufferArray != null) ArrayPool<double>.Shared.Return(bufferArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (bufferArray != null)
{
ArrayPool<double>.Shared.Return(bufferArray);
}
}
}
@@ -422,4 +449,4 @@ public sealed class Hanma : AbstractBase
_p_state = _state;
Last = default;
}
}
}
lib/trends_FIR/hma/Hma.cs
+21 -4
View File
@@ -33,7 +33,10 @@ public sealed class Hma : AbstractBase
public Hma(int period)
{
if (period <= 1) throw new ArgumentException("Period must be greater than 1", nameof(period));
if (period <= 1)
{
throw new ArgumentException("Period must be greater than 1", nameof(period));
}
_period = period;
int halfPeriod = period / 2;
@@ -56,7 +59,10 @@ public sealed class Hma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public override TValue Update(TValue input, bool isNew = true)
{
if (isNew) _sampleCount++;
if (isNew)
{
_sampleCount++;
}
// 1. Calculate WMA(n)
TValue full = _wmaFull.Update(input, isNew);
@@ -76,7 +82,10 @@ public sealed class Hma : 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);
@@ -147,12 +156,20 @@ public sealed class Hma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period)
{
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 greater than 1", nameof(period));
}
int len = source.Length;
if (len == 0) return;
if (len == 0)
{
return;
}
int halfPeriod = period / 2;
int sqrtPeriod = (int)Math.Sqrt(period);
lib/trends_FIR/hwma/Hwma.Quantower.Tests.cs
+1 -1
View File
@@ -164,4 +164,4 @@ public class HwmaIndicatorTests
Assert.Equal(20, indicator.Period);
Assert.Equal(0, HwmaIndicator.MinHistoryDepths);
}
}
}
lib/trends_FIR/hwma/Hwma.Quantower.cs
+1 -1
View File
@@ -55,4 +55,4 @@ public class HwmaIndicator : Indicator, IWatchlistIndicator
Series.SetValue(result.Value, ma.IsHot, ShowColdValues);
}
}
}
lib/trends_FIR/hwma/Hwma.Tests.cs
+1 -1
View File
@@ -435,4 +435,4 @@ public class HwmaTests
Assert.True(double.IsFinite(result.Value));
}
}
}
}
lib/trends_FIR/hwma/Hwma.cs
+30 -5
View File
@@ -66,7 +66,9 @@ public sealed class Hwma : AbstractBase
public Hwma(int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_alpha = 2.0 / (period + 1.0);
_beta = 1.0 / period;
@@ -90,11 +92,19 @@ public sealed class Hwma : AbstractBase
public Hwma(double alpha, double beta, double gamma)
{
if (alpha <= 0 || alpha > 1)
{
throw new ArgumentException("Alpha must be between 0 (exclusive) and 1 (inclusive)", nameof(alpha));
}
if (beta < 0 || beta > 1)
{
throw new ArgumentException("Beta must be between 0 and 1", nameof(beta));
}
if (gamma < 0 || gamma > 1)
{
throw new ArgumentException("Gamma must be between 0 and 1", nameof(gamma));
}
int effectivePeriod = (int)(2.0 / alpha - 1.0); // Reverse calculate for display
_alpha = alpha;
@@ -169,7 +179,11 @@ public sealed class Hwma : AbstractBase
{
// First value is NaN - return NaN
Last = new TValue(input.Time, double.NaN);
if (publish) PubEvent(Last);
if (publish)
{
PubEvent(Last);
}
return Last;
}
@@ -215,7 +229,10 @@ public sealed class Hwma : 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);
@@ -268,11 +285,19 @@ public sealed class Hwma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period = 10)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
if (source.Length != output.Length)
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (source.Length == 0) return;
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (source.Length == 0)
{
return;
}
double alpha = 2.0 / (period + 1.0);
double beta = 1.0 / period;
lib/trends_FIR/lsma/Lsma.cs
+22 -3
View File
@@ -62,7 +62,9 @@ public sealed class Lsma : AbstractBase
public Lsma(int period, int offset = 0)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_offset = offset;
@@ -219,7 +221,10 @@ public sealed class Lsma : 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);
@@ -295,12 +300,20 @@ public sealed class Lsma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period, int offset = 0, double initialLastValid = double.NaN)
{
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;
}
const int StackAllocThreshold = 256;
Span<double> buffer = period <= StackAllocThreshold
@@ -322,9 +335,13 @@ public sealed class Lsma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
if (count < period)
{
@@ -382,7 +399,9 @@ public sealed class Lsma : AbstractBase
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;
@@ -418,4 +437,4 @@ public sealed class Lsma : AbstractBase
}
base.Dispose(disposing);
}
}
}
lib/trends_FIR/pwma/Pwma.cs
+32 -5
View File
@@ -44,7 +44,10 @@ public sealed class Pwma : AbstractBase
public Pwma(int period)
{
if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period));
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_divisor = (double)period * ((double)period + 1.0) * (2.0 * (double)period + 1.0) / 6.0;
@@ -171,7 +174,10 @@ public sealed class Pwma : 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;
List<long> t = new(len);
@@ -244,12 +250,20 @@ public sealed class Pwma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period)
{
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;
}
CalculateScalarCore(source, output, period);
}
@@ -273,9 +287,13 @@ public sealed class Pwma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
sum += val;
wsum = Math.FusedMultiplyAdd(i + 1, val, wsum);
@@ -291,9 +309,13 @@ public sealed class Pwma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
double oldSum = sum;
double oldWSum = wsum;
@@ -306,7 +328,9 @@ public sealed class Pwma : AbstractBase
buffer[bufferIdx] = val;
bufferIdx++;
if (bufferIdx >= period)
{
bufferIdx = 0;
}
tickCount++;
if (tickCount >= ResyncInterval)
@@ -319,7 +343,10 @@ public sealed class Pwma : AbstractBase
for (int k = 0; k < period; k++)
{
int idx = bufferIdx + k;
if (idx >= period) idx -= period;
if (idx >= period)
{
idx -= period;
}
double v = buffer[idx];
recalcSum += v;
@@ -342,4 +369,4 @@ public sealed class Pwma : AbstractBase
_p_state = default;
Last = default;
}
}
}
lib/trends_FIR/sgma/Sgma.Tests.cs
+11 -2
View File
@@ -124,7 +124,9 @@ public class SgmaTests
var sgma = new Sgma(5, 0);
for (int i = 0; i < 5; i++)
{
sgma.Update(new TValue(DateTime.UtcNow, 100.0), isNew: true);
}
Assert.Equal(100.0, sgma.Last.Value, 1e-9);
@@ -390,8 +392,15 @@ public class SgmaTests
public void Sgma_ShapePreservation_HighDegreePreservesPeaks()
{
double[] prices = new double[20];
for (int i = 0; i < 10; i++) prices[i] = 100 + i * 5;
for (int i = 10; i < 20; i++) prices[i] = 145 - (i - 10) * 5;
for (int i = 0; i < 10; i++)
{
prices[i] = 100 + i * 5;
}
for (int i = 10; i < 20; i++)
{
prices[i] = 145 - (i - 10) * 5;
}
var sgma2 = new Sgma(5, 2);
var sgma4 = new Sgma(5, 4);
lib/trends_FIR/sgma/Sgma.cs
+68 -15
View File
@@ -58,9 +58,14 @@ public sealed class Sgma : AbstractBase
public Sgma(int period = 9, int degree = 2)
{
if (period < 3)
{
throw new ArgumentException("Period must be at least 3", nameof(period));
}
if (degree < 0 || degree > 4)
{
throw new ArgumentException("Degree must be between 0 and 4", nameof(degree));
}
// Ensure period is odd
_period = period % 2 == 0 ? period + 1 : period;
@@ -115,7 +120,11 @@ public sealed class Sgma : AbstractBase
weights[5] = 0.0952;
weights[6] = -0.0476;
double sum7 = 0.0;
for (int i = 0; i < 7; i++) sum7 += weights[i];
for (int i = 0; i < 7; i++)
{
sum7 += weights[i];
}
invWeightSum = Math.Abs(sum7) > double.Epsilon ? 1.0 / sum7 : 0.0;
return;
}
@@ -132,7 +141,11 @@ public sealed class Sgma : AbstractBase
weights[7] = 0.0337;
weights[8] = -0.0281;
double sum9 = 0.0;
for (int i = 0; i < 9; i++) sum9 += weights[i];
for (int i = 0; i < 9; i++)
{
sum9 += weights[i];
}
invWeightSum = Math.Abs(sum9) > double.Epsilon ? 1.0 / sum9 : 0.0;
return;
}
@@ -209,7 +222,11 @@ public sealed class Sgma : AbstractBase
if (!double.IsFinite(val))
{
Last = new TValue(input.Time, double.NaN);
if (publish) PubEvent(Last, isNew);
if (publish)
{
PubEvent(Last, isNew);
}
return Last;
}
@@ -264,7 +281,10 @@ public sealed class Sgma : 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);
@@ -318,13 +338,24 @@ public sealed class Sgma : AbstractBase
public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period = 9, int degree = 2)
{
if (period < 3)
{
throw new ArgumentException("Period must be at least 3", nameof(period));
if (degree < 0 || degree > 4)
throw new ArgumentException("Degree must be between 0 and 4", nameof(degree));
if (source.Length != output.Length)
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (source.Length == 0) return;
if (degree < 0 || degree > 4)
{
throw new ArgumentException("Degree must be between 0 and 4", nameof(degree));
}
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
if (source.Length == 0)
{
return;
}
int usePeriod = period % 2 == 0 ? period + 1 : period;
int useDegree = degree >= usePeriod ? 2 : degree;
@@ -366,9 +397,15 @@ public sealed class Sgma : AbstractBase
ring[ringIdx] = val;
ringIdx++;
if (ringIdx >= usePeriod) ringIdx = 0;
if (ringIdx >= usePeriod)
{
ringIdx = 0;
}
if (count < usePeriod) count++;
if (count < usePeriod)
{
count++;
}
if (count < usePeriod)
{
@@ -391,8 +428,15 @@ public sealed class Sgma : AbstractBase
}
finally
{
if (weightsArray != null) ArrayPool<double>.Shared.Return(weightsArray);
if (ringArray != null) ArrayPool<double>.Shared.Return(ringArray);
if (weightsArray != null)
{
ArrayPool<double>.Shared.Return(weightsArray);
}
if (ringArray != null)
{
ArrayPool<double>.Shared.Return(ringArray);
}
}
}
@@ -400,7 +444,9 @@ public sealed class Sgma : AbstractBase
private static double CalculateWeightedSumFull(RingBuffer buffer, double[] weights, double invWeightSum, double fallbackValue)
{
if (Math.Abs(invWeightSum) < double.Epsilon)
{
return fallbackValue;
}
ReadOnlySpan<double> internalBuf = buffer.InternalBuffer;
int head = buffer.StartIndex;
@@ -416,8 +462,15 @@ public sealed class Sgma : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static double CalculateWeightedSumWarmup(ReadOnlySpan<double> window, int p, int degree, double fallbackValue)
{
if (p <= 0) return 0.0;
if (p == 1) return fallbackValue;
if (p <= 0)
{
return 0.0;
}
if (p == 1)
{
return fallbackValue;
}
if (degree == 2)
{
lib/trends_FIR/sinema/Sinema.Quantower.Tests.cs
+1 -1
View File
@@ -157,4 +157,4 @@ public class SinemaIndicatorTests
Assert.Equal(20, indicator.Period);
Assert.Equal(0, SinemaIndicator.MinHistoryDepths);
}
}
}
lib/trends_FIR/sinema/Sinema.Quantower.cs
+1 -1
View File
@@ -51,4 +51,4 @@ public sealed class SinemaIndicator : Indicator, IWatchlistIndicator
double value = _sinema.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), isNew).Value;
_series.SetValue(value, _sinema.IsHot, ShowColdValues);
}
}
}
lib/trends_FIR/sinema/Sinema.Tests.cs
+7 -2
View File
@@ -420,7 +420,9 @@ public class SinemaTests
double[] output = new double[10000];
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
Sinema.Batch(source.AsSpan(), output.AsSpan(), 100);
@@ -562,7 +564,10 @@ public class SinemaTests
public void 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) = Sinema.Calculate(series, 5);
@@ -579,4 +584,4 @@ public class SinemaTests
indicator.Update(new TValue(DateTime.UtcNow, 110));
Assert.True(double.IsFinite(indicator.Last.Value));
}
}
}
lib/trends_FIR/sinema/Sinema.Validation.Tests.cs
+6 -2
View File
@@ -27,7 +27,11 @@ public sealed class SinemaValidationTests : IDisposable
private void Dispose(bool disposing)
{
if (_disposed) return;
if (_disposed)
{
return;
}
_disposed = true;
if (disposing)
{
@@ -319,4 +323,4 @@ public sealed class SinemaValidationTests : IDisposable
_output.WriteLine($"SINEMA({period}) all modes consistent: {batchResult:F10}");
}
}
}
lib/trends_FIR/sinema/Sinema.cs
+41 -5
View File
@@ -44,7 +44,9 @@ public sealed class Sinema : AbstractBase
public Sinema(int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_buffer = new RingBuffer(period);
@@ -101,7 +103,10 @@ public sealed class Sinema : AbstractBase
/// <param name="step">Optional time step (unused)</param>
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
// Reset state
_buffer.Clear();
@@ -165,7 +170,10 @@ public sealed class Sinema : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private double CalculateFromBuffer()
{
if (_buffer.Count == 0) return double.NaN;
if (_buffer.Count == 0)
{
return double.NaN;
}
int count = _buffer.Count;
double sum = 0;
@@ -222,7 +230,10 @@ public sealed class Sinema : 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);
@@ -269,12 +280,20 @@ public sealed class Sinema : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
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;
}
CalculateScalarCore(source, output, period);
}
@@ -318,9 +337,13 @@ public sealed class Sinema : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
buffer[i] = val;
@@ -351,14 +374,20 @@ public sealed class Sinema : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
// Calculate weighted sum using circular buffer
double sum = 0;
@@ -368,7 +397,9 @@ public sealed class Sinema : AbstractBase
sum += buffer[bufIdx] * weights[j];
bufIdx++;
if (bufIdx >= period)
{
bufIdx = 0;
}
}
output[i] = sum / fullWeightSum;
@@ -377,9 +408,14 @@ public sealed class Sinema : AbstractBase
finally
{
if (rentedBuffer != null)
{
ArrayPool<double>.Shared.Return(rentedBuffer);
}
if (rentedWeights != null)
{
ArrayPool<double>.Shared.Return(rentedWeights);
}
}
}
@@ -407,4 +443,4 @@ public sealed class Sinema : AbstractBase
_p_state = default;
Last = default;
}
}
}
lib/trends_FIR/sma/Sma.Tests.cs
+6 -1
View File
@@ -425,7 +425,9 @@ public class SmaTests
double[] output = new double[10000];
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
Sma.Batch(source.AsSpan(), output.AsSpan(), 100);
@@ -571,7 +573,10 @@ public class SmaTests
public void 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);
}
// 10, 20, 30, 40, 50, 60, 70, 80, 90, 100
// SMA(5)
lib/trends_FIR/sma/Sma.cs
+37 -3
View File
@@ -45,7 +45,9 @@ public sealed class Sma : AbstractBase
public Sma(int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_buffer = new RingBuffer(period);
@@ -92,7 +94,10 @@ public sealed class Sma : AbstractBase
/// <param name="source">Historical data (only the last 'period' is actually needed)</param>
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
// Reset state
_buffer.Clear();
@@ -213,7 +218,10 @@ public sealed class Sma : 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);
@@ -262,12 +270,20 @@ public sealed class Sma : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
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;
}
// Try SIMD path for large, clean datasets
// Requirements: SIMD support, large enough dataset, no NaN values
@@ -345,9 +361,13 @@ public sealed class Sma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
sum += val;
buffer[i] = val;
@@ -359,16 +379,22 @@ public sealed class Sma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
sum = Math.FusedMultiplyAdd(-1.0, buffer[bufferIndex], sum + val);
buffer[bufferIndex] = val;
bufferIndex++;
if (bufferIndex >= period)
{
bufferIndex = 0;
}
output[i] = sum / period;
@@ -388,7 +414,9 @@ public sealed class Sma : AbstractBase
finally
{
if (rented != null)
{
ArrayPool<double>.Shared.Return(rented);
}
}
}
@@ -412,7 +440,9 @@ public sealed class Sma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvPeriod = Vector512.Create(invPeriod);
int simdEnd = period + (len - period) / VectorWidth * VectorWidth;
@@ -486,7 +516,9 @@ public sealed class Sma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvPeriod = Vector256.Create(invPeriod);
var vZero = Vector256<double>.Zero;
@@ -559,7 +591,9 @@ public sealed class Sma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvPeriod = Vector128.Create(invPeriod);
int simdEnd = period + (len - period) / VectorWidth * VectorWidth;
lib/trends_FIR/trima/Trima.Quantower.cs
+2
View File
@@ -51,7 +51,9 @@ public sealed class TrimaIndicator : Indicator, IWatchlistIndicator
protected override void OnUpdate(UpdateArgs args)
{
if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar && args.Reason != UpdateReason.NewTick)
{
return;
}
var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
TValue result = _ma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), args.IsNewBar());
lib/trends_FIR/trima/Trima.cs
+14 -3
View File
@@ -34,7 +34,10 @@ public sealed class Trima : AbstractBase
public Trima(int period)
{
if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period));
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
int p1 = (period + 1) / 2;
@@ -81,7 +84,10 @@ public sealed class Trima : 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);
@@ -143,9 +149,14 @@ public sealed class Trima : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
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 p1 = (period + 1) / 2;
int p2 = period / 2 + 1;
@@ -163,4 +174,4 @@ public sealed class Trima : AbstractBase
ArrayPool<double>.Shared.Return(tempArray);
}
}
}
}
lib/trends_FIR/wma/Wma.Coverage.Tests.cs
+18 -4
View File
@@ -12,7 +12,10 @@ public class WmaCoverageTests
const int period = 10;
int len = 100; // < 256
double[] source = new double[len];
for (int i = 0; i < len; i++) source[i] = i;
for (int i = 0; i < len; i++)
{
source[i] = i;
}
double[] output = new double[len];
@@ -25,12 +28,19 @@ public class WmaCoverageTests
[Fact]
public void Cover_Avx2_Explicitly()
{
if (!Avx2.IsSupported) return;
if (!Avx2.IsSupported)
{
return;
}
int period = 10;
int len = 1000;
double[] source = new double[len];
for (int i = 0; i < len; i++) source[i] = i;
for (int i = 0; i < len; i++)
{
source[i] = i;
}
double[] output = new double[len];
// Use reflection to invoke private static CalculateSimdCore
@@ -78,7 +88,11 @@ public class WmaCoverageTests
int period = 10;
int len = 1000;
double[] source = new double[len];
for (int i = 0; i < len; i++) source[i] = i;
for (int i = 0; i < len; i++)
{
source[i] = i;
}
double[] output = new double[len];
InvokePrivateStaticMethod_WithSpans("CalculateScalarCore", source, output, period);
lib/trends_FIR/wma/Wma.Quantower.cs
+2
View File
@@ -51,7 +51,9 @@ public sealed class WmaIndicator : Indicator, IWatchlistIndicator
protected override void OnUpdate(UpdateArgs args)
{
if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar && args.Reason != UpdateReason.NewTick)
{
return;
}
var item = HistoricalData[Count - 1, SeekOriginHistory.Begin];
TValue result = _ma.Update(new TValue(item.TimeLeft.Ticks, _priceSelector(item)), args.IsNewBar());
lib/trends_FIR/wma/Wma.Validation.Tests.cs
+9 -2
View File
@@ -27,9 +27,16 @@ public sealed class WmaValidationTests : IDisposable
private void Dispose(bool disposing)
{
if (_disposed) return;
if (_disposed)
{
return;
}
_disposed = true;
if (disposing) _testData?.Dispose();
if (disposing)
{
_testData?.Dispose();
}
}
[Fact]
lib/trends_FIR/wma/Wma.cs
+41 -5
View File
@@ -53,7 +53,10 @@ public sealed class Wma : AbstractBase
public Wma(int period)
{
if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period));
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
_period = period;
_divisor = (double)period * (period + 1) * 0.5;
@@ -173,7 +176,10 @@ public sealed class Wma : 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);
@@ -197,7 +203,10 @@ public sealed class Wma : AbstractBase
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
int len = source.Length;
int windowSize = Math.Min(len, _period);
@@ -258,12 +267,20 @@ public sealed class Wma : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
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;
}
const int simdThreshold = 256;
if (Avx512F.IsSupported && len >= simdThreshold && !source.ContainsNonFinite())
@@ -305,9 +322,13 @@ public sealed class Wma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
sum += val;
wsum = Math.FusedMultiplyAdd(i + 1, val, wsum);
@@ -322,9 +343,13 @@ public sealed class Wma : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValid = val;
}
else
{
val = lastValid;
}
double oldSum = sum;
double oldest = buffer[bufferIdx];
@@ -334,7 +359,9 @@ public sealed class Wma : AbstractBase
buffer[bufferIdx] = val;
bufferIdx++;
if (bufferIdx >= period)
{
bufferIdx = 0;
}
output[i] = wsum / divisor;
@@ -349,7 +376,10 @@ public sealed class Wma : AbstractBase
for (int k = 0; k < period; k++)
{
int idx = bufferIdx + k;
if (idx >= period) idx -= period;
if (idx >= period)
{
idx -= period;
}
double v = buffer[idx];
recalcSum += v;
@@ -386,7 +416,9 @@ public sealed class Wma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvDivisor = Vector512.Create(invDivisor);
var vPeriod = Vector512.Create((double)period);
@@ -501,7 +533,9 @@ public sealed class Wma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvDivisor = Vector256.Create(invDivisor);
var vPeriod = Vector256.Create((double)period);
@@ -704,7 +738,9 @@ public sealed class Wma : AbstractBase
}
if (len <= period)
{
return;
}
var vInvDivisor = Vector128.Create(invDivisor);
int simdEnd = period + ((len - period) / vectorWidth) * vectorWidth;