using System; using System.Runtime.CompilerServices; using System.Runtime.InteropServices; namespace QuanTAlib; /// /// DWMA: Double Weighted Moving Average /// /// /// DWMA applies a Weighted Moving Average (WMA) twice. /// It provides a smoother curve than a standard WMA but with slightly more lag. /// /// Formula: /// DWMA = WMA(WMA(source, period), period) /// [SkipLocalsInit] public sealed class Dwma : AbstractBase { private readonly int _period; private readonly Wma _wma1; private readonly Wma _wma2; private readonly TValuePublishedHandler _handler; public override bool IsHot => _wma1.IsHot && _wma2.IsHot; /// /// Creates DWMA with specified period. /// /// Window size (must be > 0) public Dwma(int period) { if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period)); _period = period; _wma1 = new Wma(period); _wma2 = new Wma(period); _handler = Handle; Name = $"Dwma({period})"; WarmupPeriod = period * 2; } public Dwma(ITValuePublisher source, int period) : this(period) { source.Pub += _handler; } [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { TValue wma1Result = _wma1.Update(input, isNew); Last = _wma2.Update(wma1Result, isNew); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { if (source.Count == 0) return []; 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); source.Times.CopyTo(tSpan); Calculate(source.Values, vSpan, _period); // Restore state // We need to replay the last part to restore the internal WMAs state // Since DWMA is WMA(WMA), the effective lookback is roughly 2*Period // But to be safe and simple, we can just reset and replay the last 2*Period bars. _wma1.Reset(); _wma2.Reset(); int warmup = _period * 2; // Approximate warmup needed int startIndex = Math.Max(0, len - warmup); for (int i = startIndex; i < len; i++) { Update(new TValue(source.Times[i], source.Values[i])); } return new TSeries(t, v); } private void Handle(object? sender, TValueEventArgs args) { Update(args.Value, args.IsNew); } public override void Prime(ReadOnlySpan source) { Reset(); foreach (var value in source) { Update(new TValue(DateTime.MinValue, value)); } } public static TSeries Batch(TSeries source, int period) { var dwma = new Dwma(period); return dwma.Update(source); } [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Calculate(ReadOnlySpan source, Span output, int period) { if (period <= 0) throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than zero"); if (source.Length != output.Length) throw new ArgumentException("Source and output must have the same length", nameof(output)); // We need a temporary buffer for the first WMA pass // Use stackalloc for small sizes, heap for large if (source.Length <= 1024) { Span temp = stackalloc double[source.Length]; Wma.Batch(source, temp, period); Wma.Batch(temp, output, period); } else { double[] temp = new double[source.Length]; Wma.Batch(source, temp, period); Wma.Batch(temp, output, period); } } public override void Reset() { _wma1.Reset(); _wma2.Reset(); Last = default; } }