using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// DPO: Detrended Price Oscillator /// /// /// Removes the trend component from price by subtracting a displaced SMA, /// isolating short-term cycles: /// DPO = price − SMA[displacement] /// where displacement = floor(period / 2) + 1. /// /// Uses O(1) streaming via RingBuffer running sum for SMA and a second /// RingBuffer to store SMA history for the displacement lookback. /// /// References: /// William Blau, "Momentum, Direction, and Divergence", 1995 /// PineScript reference: dpo.pine /// [SkipLocalsInit] public sealed class Dpo : AbstractBase { private readonly int _period; private readonly int _displacement; private readonly RingBuffer _smaBuffer; private readonly RingBuffer _smaHistory; [StructLayout(LayoutKind.Auto)] private record struct State( int Count, double LastValid); private State _state; private State _p_state; /// /// Creates DPO with specified period. /// /// Lookback period for SMA calculation (must be > 0) public Dpo(int period = 20) { if (period <= 0) { throw new ArgumentException("Period must be greater than 0", nameof(period)); } _period = period; _displacement = (period / 2) + 1; _smaBuffer = new RingBuffer(period); _smaHistory = new RingBuffer(_displacement + 1); Name = $"Dpo({period})"; WarmupPeriod = period + _displacement; } /// /// Creates DPO with specified source and period. /// public Dpo(ITValuePublisher source, int period = 20) : this(period) { source.Pub += Handle; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew); /// /// True if the indicator has enough data for valid results. /// public override bool IsHot => _state.Count >= WarmupPeriod; /// /// Period of the indicator. /// public int Period => _period; /// /// Displacement of the SMA lookback. /// public int Displacement => _displacement; [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { double value = input.Value; if (!double.IsFinite(value)) { value = double.IsFinite(_state.LastValid) ? _state.LastValid : 0.0; } else { _state.LastValid = value; } if (isNew) { _p_state = _state; _smaBuffer.Snapshot(); _smaHistory.Snapshot(); _smaBuffer.Add(value); _state.Count++; if (_smaBuffer.IsFull) { double sma = _smaBuffer.Sum / _period; _smaHistory.Add(sma); } } else { _state = _p_state; _smaBuffer.Restore(); _smaHistory.Restore(); // skipcq:CS-R1140 - Mirror isNew=true path: Restore undoes the Add, so re-Add the corrected value _smaBuffer.Add(value); _state.Count++; if (_smaBuffer.IsFull) { double sma = _smaBuffer.Sum / _period; _smaHistory.Add(sma); } } double result; if (_smaHistory.IsFull) { double displacedSma = _smaHistory.Oldest; result = value - displacedSma; } else { result = 0.0; } Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { int len = source.Count; var t = new List(len); var v = new List(len); CollectionsMarshal.SetCount(t, len); CollectionsMarshal.SetCount(v, len); var tSpan = CollectionsMarshal.AsSpan(t); var vSpan = CollectionsMarshal.AsSpan(v); Batch(source.Values, vSpan, _period); source.Times.CopyTo(tSpan); for (int i = 0; i < len; i++) { Update(new TValue(source.Times[i], source.Values[i]), isNew: true); } return new TSeries(t, v); } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { for (int i = 0; i < source.Length; i++) { Update(new TValue(DateTime.UtcNow, source[i]), isNew: true); } } public override void Reset() { _smaBuffer.Clear(); _smaHistory.Clear(); _state = default; _p_state = default; Last = default; } /// /// Calculates DPO for entire series. /// public static TSeries Batch(TSeries source, int period = 20) { int len = source.Count; var t = new List(len); var v = new List(len); CollectionsMarshal.SetCount(t, len); CollectionsMarshal.SetCount(v, len); var tSpan = CollectionsMarshal.AsSpan(t); var vSpan = CollectionsMarshal.AsSpan(v); Batch(source.Values, vSpan, period); source.Times.CopyTo(tSpan); return new TSeries(t, v); } /// /// Batch DPO calculation with O(1) streaming SMA and displacement. /// [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Batch(ReadOnlySpan source, Span output, int period = 20) { 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; } int displacement = (period / 2) + 1; var smaBuffer = new RingBuffer(period); var smaHistory = new RingBuffer(displacement + 1); double lastValid = 0.0; for (int i = 0; i < len; i++) { double val = source[i]; if (!double.IsFinite(val)) { val = lastValid; } else { lastValid = val; } smaBuffer.Add(val); if (smaBuffer.IsFull) { double sma = smaBuffer.Sum / period; smaHistory.Add(sma); } if (smaHistory.IsFull) { output[i] = val - smaHistory.Oldest; } else { output[i] = 0.0; } } } /// /// Creates DPO indicator and calculates results for the source series. /// public static (TSeries Results, Dpo Indicator) Calculate(TSeries source, int period = 20) { var indicator = new Dpo(period); TSeries results = indicator.Update(source); return (results, indicator); } }