Comprehensive refactor across all indicators replacing the periodic
ResyncInterval-based drift correction (every 1000 ticks recalculate
from scratch) with Kahan compensated summation for running sums.
Key changes:
- Remove ResyncInterval constants and TickCount fields from all State records
- Add Kahan compensation fields (SumComp, SumSqComp, etc.) to State records
- Replace naive sum += val - removed with Kahan delta pattern
- Remove Resync()/RecalculateSum() methods that did O(N) recalculation
- Update batch/SIMD paths to use Kahan compensation instead of resync loops
- IIR filters (EMA, REMA, RGMA) simplified: inherently self-correcting
- Version bump to 0.8.7
- Build system: README version stamping via Directory.Build.props
- Minor doc/test tolerance adjustments for new numerical characteristics
Affected modules: channels, core, cycles, dynamics, errors, momentum,
oscillators, statistics, trends_FIR, trends_IIR, volatility, volume
Complete thin Dx-composition wrapper indicators with full test coverage:
- PlusDi/MinusDi: Directional Indicator wrappers (DiPlus/DiMinus from Dx)
- PlusDm/MinusDm: Directional Movement wrappers (DmPlus/DmMinus from Dx)
- Individual validation tests per indicator directory (TALib, Skender, bounds)
- Combined unit tests (DiDm.Tests.cs) and validation tests (DiDm.Validation.Tests.cs)
- Quantower wrappers + tests for all 4 indicators
- PineScript v6 implementations with compensated RMA
- Normalized .md documentation for all indicators and categories
- 182 tests passing, 0 failures
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
- Implemented Prime method in Vel, Ao, Apo, Frama, Adl, Adosc, Aobv, Cmf, Efi, Eom, Iii, Kvo, Mfi, Nvi, Obv, Pvd, Pvi, Pvo, Pvr, Pvt, Tvi, Twap, Va, Vf, Vo, Vroc, Vwad, Vwap, and Vwma classes.
- The Prime method resets the indicator state and processes the provided historical bar data to initialize the indicator.
- Added warmup period property to Adl and Wad classes to define the minimum number of data points required for validity.
- Updated benchmark tests to use Batch methods for performance evaluation.
- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components.
- Implemented calculation methods, including batch processing for TBarSeries and spans.
- Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications.
- Updated volume index documentation to reflect changes in file paths.
- Refactored VWMA calculation method to use a more generic source parameter instead of price.
Miha Kralj