QuanTAlib/lib/averages/Maaf.cs

using System.Runtime.CompilerServices;
namespace QuanTAlib;

/// <summary>
/// MAAF: Median Adaptive Average Filter
/// A sophisticated moving average that combines median filtering with adaptive smoothing
/// to provide robust noise reduction while maintaining signal fidelity. The filter
/// automatically adjusts its length based on market conditions.
/// </summary>
/// <remarks>
/// The MAAF calculation process:
/// 1. Applies initial smoothing using weighted moving average
/// 2. Uses median filtering to remove outliers
/// 3. Adaptively adjusts filter length based on price deviation
/// 4. Applies final EMA smoothing with adaptive period
///
/// Key characteristics:
/// - Combines median and exponential filtering
/// - Adaptive period adjustment
/// - Robust noise reduction
/// - Preserves significant price movements
/// - Reduces impact of outliers
///
/// Sources:
///     John F. Ehlers - "The Secret Behind The Filter"
///     https://efs.kb.esignal.com/hc/en-us/articles/6362791434395-2005-Mar-The-Secret-Behind-The-Filter-MedianAdaptiveFilter-efs
///
/// Note: Initial values handling is currently under development.
/// </remarks>
public class Maaf : AbstractBase
{
    private readonly CircularBuffer _priceBuffer;
    private readonly CircularBuffer _smoothBuffer;
    private readonly double _threshold;
    private readonly int _period;
    private readonly double _invSix = 1.0 / 6.0;
    private readonly double[] _sortBuffer;  // Pre-allocated buffer for sorting

    private double _prevFilter, _prevValue2;
    private double _p_prevFilter, _p_prevValue2;

    /// <param name="period">The initial period for the filter (default 39).</param>
    /// <param name="threshold">The threshold for adaptive adjustment (default 0.002).</param>
    public Maaf(int period = 39, double threshold = 0.002)
    {
        _period = period;
        _threshold = threshold;
        _priceBuffer = new CircularBuffer(4);
        _smoothBuffer = new CircularBuffer(period);
        _sortBuffer = new double[period];  // Pre-allocate sorting buffer
        Name = "MAAF";
        WarmupPeriod = period;
        Init();
    }

    /// <param name="source">The data source object that publishes updates.</param>
    /// <param name="period">The initial period for the filter (default 39).</param>
    /// <param name="threshold">The threshold for adaptive adjustment (default 0.002).</param>
    public Maaf(object source, int period = 39, double threshold = 0.002) : this(period, threshold)
    {
        var pubEvent = source.GetType().GetEvent("Pub");
        pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    public override void Init()
    {
        base.Init();
        _priceBuffer.Clear();
        _smoothBuffer.Clear();
        _prevFilter = 0;
        _prevValue2 = 0;
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    protected override void ManageState(bool isNew)
    {
        if (isNew)
        {
            _lastValidValue = Input.Value;
            _index++;
            _p_prevFilter = _prevFilter;
            _p_prevValue2 = _prevValue2;
        }
        else
        {
            _prevFilter = _p_prevFilter;
            _prevValue2 = _p_prevValue2;
        }
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    private double CalculateSmooth()
    {
        return (_priceBuffer[^1] + (2.0 * (_priceBuffer[^2] + _priceBuffer[^3])) + _priceBuffer[^4]) * _invSix;
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    private double GetMedian(int length)
    {
        // Copy values to pre-allocated buffer
        var span = _smoothBuffer.GetSpan().Slice(_smoothBuffer.Count - length, length);
        span.CopyTo(_sortBuffer.AsSpan(0, length));

        // Sort the required portion
        System.Array.Sort(_sortBuffer, 0, length);
        return _sortBuffer[length / 2];
    }

    [MethodImpl(MethodImplOptions.AggressiveInlining)]
    private static double CalculateAlpha(int length)
    {
        return 2.0 / (length + 1);
    }

    protected override double Calculation()
    {
        ManageState(IsNew);

        _priceBuffer.Add(Input.Value, Input.IsNew);

        if (_priceBuffer.Count < 4)
        {
            return Input.Value;
        }

        double smooth = CalculateSmooth();
        _smoothBuffer.Add(smooth, Input.IsNew);

        if (_smoothBuffer.Count < _period)
        {
            return smooth;
        }

        int length = _period;
        double value3 = 0.2;
        double value2 = _prevValue2;

        while (value3 > _threshold && length > 0)
        {
            double alpha = CalculateAlpha(length);
            double value1 = GetMedian(length);
            value2 = (alpha * (smooth - _prevValue2)) + _prevValue2;

            if (value1 >= double.Epsilon)
            {
                value3 = Math.Abs(value1 - value2) / value1;
            }

            length -= 2;
        }

        length = Math.Max(length, 3);
        double finalAlpha = CalculateAlpha(length);
        double filter = (finalAlpha * (smooth - _prevFilter)) + _prevFilter;

        _prevFilter = filter;
        _prevValue2 = value2;

        IsHot = _index >= WarmupPeriod;
        return filter;
    }
}