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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/trends_IIR/ema/Ema.Tests.cs
+14 -3
View File
@@ -444,7 +444,9 @@ public class EmaTests
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
Ema.Batch(source.AsSpan(), output.AsSpan(), 100);
@@ -525,7 +527,10 @@ public class EmaTests
// ...
// We can verify against a fresh EMA fed with same data
var verifyEma = new Ema(5);
foreach (var val in history) verifyEma.Update(new TValue(DateTime.UtcNow, val));
foreach (var val in history)
{
verifyEma.Update(new TValue(DateTime.UtcNow, val));
}
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
Assert.Equal(verifyEma.IsHot, ema.IsHot);
@@ -545,7 +550,10 @@ public class EmaTests
ema.Prime(history);
var verifyEma = new Ema(5);
foreach (var val in history) verifyEma.Update(new TValue(DateTime.UtcNow, val));
foreach (var val in history)
{
verifyEma.Update(new TValue(DateTime.UtcNow, val));
}
Assert.Equal(verifyEma.Last.Value, ema.Last.Value, 1e-10);
}
@@ -565,7 +573,10 @@ public class EmaTests
public void Calculate_ReturnsCorrectResultsAndHotIndicator()
{
var series = new TSeries();
for (int i = 1; i <= 20; i++) series.Add(DateTime.UtcNow, i * 10);
for (int i = 1; i <= 20; i++)
{
series.Add(DateTime.UtcNow, i * 10);
}
// EMA(5)
var (results, indicator) = Ema.Calculate(series, 5);
lib/trends_IIR/ema/Ema.cs
+76 -9
View File
@@ -91,7 +91,9 @@ public sealed class Ema : AbstractBase
public Ema(double alpha)
{
if (alpha <= 0 || alpha > 1)
{
throw new ArgumentException("Alpha must be greater than 0 and at most 1", nameof(alpha));
}
_alpha = alpha;
_decay = 1.0 - alpha;
@@ -118,7 +120,10 @@ public sealed class Ema : AbstractBase
/// <param name="source">Historical data</param>
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
// Reset state
_state = State.New();
@@ -170,7 +175,9 @@ public sealed class Ema : AbstractBase
finally
{
if (rented != null)
{
ArrayPool<double>.Shared.Return(rented);
}
}
}
@@ -215,7 +222,10 @@ public sealed class Ema : AbstractBase
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
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);
@@ -262,7 +272,9 @@ public sealed class Ema : AbstractBase
state.E *= decay;
if (!state.IsHot && state.E <= COVERAGE_THRESHOLD)
{
state.IsHot = true;
}
if (state.E <= COMPENSATOR_THRESHOLD)
{
@@ -300,21 +312,29 @@ public sealed class Ema : AbstractBase
{
double val = source[i];
if (double.IsFinite(val))
{
lastValidValue = val;
}
else
{
val = lastValidValue;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * val);
state.E *= decay;
if (!state.IsHot && state.E <= COVERAGE_THRESHOLD)
{
state.IsHot = true;
}
output[i] = state.Ema / (1.0 - state.E);
state.TickCount++;
}
if (state.E <= COMPENSATOR_THRESHOLD)
{
state.IsCompensated = true;
}
}
// Phase 2: Post-compensation (hot path) - optimized with loop unrolling
@@ -328,22 +348,54 @@ public sealed class Ema : AbstractBase
for (; i < unrollEnd; i += 4)
{
double v0 = Unsafe.Add(ref srcRef, i);
if (!double.IsFinite(v0)) v0 = lastValidValue; else lastValidValue = v0;
if (!double.IsFinite(v0))
{
v0 = lastValidValue;
}
else
{
lastValidValue = v0;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * v0);
Unsafe.Add(ref outRef, i) = state.Ema;
double v1 = Unsafe.Add(ref srcRef, i + 1);
if (!double.IsFinite(v1)) v1 = lastValidValue; else lastValidValue = v1;
if (!double.IsFinite(v1))
{
v1 = lastValidValue;
}
else
{
lastValidValue = v1;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * v1);
Unsafe.Add(ref outRef, i + 1) = state.Ema;
double v2 = Unsafe.Add(ref srcRef, i + 2);
if (!double.IsFinite(v2)) v2 = lastValidValue; else lastValidValue = v2;
if (!double.IsFinite(v2))
{
v2 = lastValidValue;
}
else
{
lastValidValue = v2;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * v2);
Unsafe.Add(ref outRef, i + 2) = state.Ema;
double v3 = Unsafe.Add(ref srcRef, i + 3);
if (!double.IsFinite(v3)) v3 = lastValidValue; else lastValidValue = v3;
if (!double.IsFinite(v3))
{
v3 = lastValidValue;
}
else
{
lastValidValue = v3;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * v3);
Unsafe.Add(ref outRef, i + 3) = state.Ema;
@@ -364,7 +416,14 @@ public sealed class Ema : AbstractBase
for (; i < len; i++)
{
double val = Unsafe.Add(ref srcRef, i);
if (!double.IsFinite(val)) val = lastValidValue; else lastValidValue = val;
if (!double.IsFinite(val))
{
val = lastValidValue;
}
else
{
lastValidValue = val;
}
state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * val);
Unsafe.Add(ref outRef, i) = state.Ema;
@@ -469,7 +528,9 @@ public sealed class Ema : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
{
if (period <= 0)
{
throw new ArgumentException("Period must be greater than 0", nameof(period));
}
double alpha = 2.0 / (period + 1);
Batch(source, output, alpha);
@@ -486,11 +547,17 @@ public sealed class Ema : AbstractBase
public static void Batch(ReadOnlySpan<double> source, Span<double> output, double alpha)
{
if (source.Length != output.Length)
{
throw new ArgumentException("Source and output must have the same length", nameof(output));
}
ArgumentOutOfRangeException.ThrowIfLessThanOrEqual(alpha, 0.0);
ArgumentOutOfRangeException.ThrowIfGreaterThan(alpha, 1.0);
if (source.Length == 0) return;
if (source.Length == 0)
{
return;
}
// For large, clean datasets, use optimized path without NaN handling
if (source.Length >= CleanPathThreshold && !source.ContainsNonFinite())
@@ -535,4 +602,4 @@ public sealed class Ema : AbstractBase
_p_lastValidValue = 0;
Last = default;
}
}
}