mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-30 10:37:44 +00:00
Miha Kralj
298 lines
8.5 KiB
C#
298 lines
8.5 KiB
C#
// EXPDIST: Exponential Distribution CDF
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// Applies the exponential CDF F(x; λ) = 1 - exp(-λx) to a min-max normalized
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// price series over a rolling lookback window.
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// Pipeline: MinMax normalization → closed-form CDF evaluation (single exp() call).
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// EXPDIST: Exponential Distribution CDF
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/// Computes the exponential CDF F(x; λ) = 1 - exp(-λx) applied to a min-max
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/// normalized price series over a rolling lookback window.
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/// </summary>
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/// <remarks>
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/// Key properties:
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/// - Output always in [0, 1]
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/// - Rolling window tracks min/max for normalization; flat range returns F(0.5; λ)
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/// - λ (lambda) controls curvature: higher λ compresses the CDF toward 1.0 faster
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/// - λ = 1: gentle curve, F(0.5) ≈ 0.39; λ = 3 (default): F(0.5) ≈ 0.78
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/// - CDF evaluation is O(1): a single exp() — no special functions required
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/// - NaN/Infinity inputs use last-valid-value substitution
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Expdist : AbstractBase
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{
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private readonly int _period;
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private readonly double _lambda;
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private readonly RingBuffer _buffer;
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[StructLayout(LayoutKind.Auto)]
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private record struct State(double LastValid);
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private State _state, _p_state;
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public override bool IsHot => _buffer.Count >= _period;
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/// <summary>
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/// Initializes a new Expdist indicator.
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/// </summary>
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/// <param name="period">Lookback window for min-max normalization (default 50)</param>
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/// <param name="lambda">Rate parameter λ > 0 (default 3.0)</param>
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public Expdist(int period = 50, double lambda = 3.0)
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{
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if (period < 1)
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{
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throw new ArgumentException("Period must be >= 1", nameof(period));
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}
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if (lambda <= 0.0)
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{
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throw new ArgumentException("Lambda must be > 0", nameof(lambda));
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}
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_period = period;
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_lambda = lambda;
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_buffer = new RingBuffer(period);
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Name = $"Expdist({period},{lambda:F2})";
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WarmupPeriod = period;
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_state = new State(0.0);
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_p_state = _state;
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}
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/// <summary>
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/// Initializes a new Expdist indicator with source for event-based chaining.
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/// </summary>
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/// <param name="source">Source indicator for chaining</param>
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/// <param name="period">Lookback window (default 50)</param>
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/// <param name="lambda">Rate parameter λ > 0 (default 3.0)</param>
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public Expdist(ITValuePublisher source, int period = 50, double lambda = 3.0)
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: this(period, lambda)
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{
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source.Pub += HandleUpdate;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
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/// <summary>
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/// Exponential CDF: F(x; λ) = 1 - exp(-λx) for x > 0, else 0.
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/// Closed-form; requires only a single exp() call.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double ExpCdf(double x, double lambda)
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{
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if (x <= 0.0)
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{
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return 0.0;
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}
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return 1.0 - Math.Exp(-lambda * x);
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}
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/// <summary>
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/// Exponential PDF: f(x; λ) = λ * exp(-λx) for x >= 0, else 0.
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double ExpPdf(double x, double lambda)
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{
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if (x < 0.0)
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{
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return 0.0;
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}
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return lambda * Math.Exp(Math.FusedMultiplyAdd(-lambda, x, 0.0));
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static (double min, double max) FindMinMax(ReadOnlySpan<double> values)
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{
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if (values.Length == 0)
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{
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return (double.MaxValue, double.MinValue);
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}
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double min = values[0];
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double max = values[0];
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for (int i = 1; i < values.Length; i++)
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{
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double v = values[i];
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if (v < min)
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{
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min = v;
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}
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if (v > max)
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{
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max = v;
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}
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}
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return (min, max);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override TValue Update(TValue input, bool isNew = true)
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{
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if (isNew)
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{
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_p_state = _state;
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}
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else
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{
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_state = _p_state;
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}
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double value = input.Value;
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double result;
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if (double.IsFinite(value))
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{
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_buffer.Add(value, isNew);
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var (min, max) = FindMinMax(_buffer.GetSpan());
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double range = max - min;
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// Flat range → use midpoint 0.5 to avoid degenerate output
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double x = range > 0.0 ? (value - min) / range : 0.5;
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result = ExpCdf(x, _lambda);
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_state = new State(result);
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}
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else
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{
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result = _state.LastValid;
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}
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Last = new TValue(input.Time, result);
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PubEvent(Last, isNew);
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return Last;
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}
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public override TSeries Update(TSeries source)
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{
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var result = new TSeries(source.Count);
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ReadOnlySpan<double> values = source.Values;
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ReadOnlySpan<long> times = source.Times;
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for (int i = 0; i < source.Count; i++)
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{
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var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true);
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result.Add(tv, true);
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}
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return result;
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}
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public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
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{
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TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
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DateTime time = DateTime.UtcNow - (interval * source.Length);
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for (int i = 0; i < source.Length; i++)
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{
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Update(new TValue(time, source[i]), true);
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time += interval;
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}
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}
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public static TSeries Batch(TSeries source, int period = 50, double lambda = 3.0)
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{
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var indicator = new Expdist(period, lambda);
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return indicator.Update(source);
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}
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/// <summary>
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/// Calculates Exponential Distribution CDF over a span of values.
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/// Uses a sliding window min-max normalization identical to the streaming path.
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/// </summary>
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public static void Batch(
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ReadOnlySpan<double> source, Span<double> output,
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int period = 50, double lambda = 3.0)
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{
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if (source.Length == 0)
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{
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throw new ArgumentException("Source cannot be empty", nameof(source));
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}
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if (output.Length < source.Length)
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{
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throw new ArgumentException("Output length must be >= source length", nameof(output));
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}
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if (period < 1)
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{
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throw new ArgumentException("Period must be >= 1", nameof(period));
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}
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if (lambda <= 0.0)
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{
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throw new ArgumentException("Lambda must be > 0", nameof(lambda));
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}
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double lastValid = 0.0;
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for (int i = 0; i < source.Length; i++)
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{
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double val = source[i];
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if (!double.IsFinite(val))
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{
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output[i] = lastValid;
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continue;
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}
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int start = Math.Max(0, i - period + 1);
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double min = double.PositiveInfinity;
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double max = double.NegativeInfinity;
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for (int j = start; j <= i; j++)
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{
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double v = source[j];
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if (double.IsFinite(v))
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{
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if (v < min)
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{
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min = v;
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}
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if (v > max)
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{
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max = v;
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}
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}
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}
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if (!double.IsFinite(min) || !double.IsFinite(max))
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{
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output[i] = lastValid;
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continue;
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}
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double range = max - min;
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double x = range > 0.0 ? (val - min) / range : 0.5;
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double result = ExpCdf(x, lambda);
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lastValid = result;
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output[i] = result;
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}
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}
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public static (TSeries Results, Expdist Indicator) Calculate(
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TSeries source, int period = 50, double lambda = 3.0)
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{
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var indicator = new Expdist(period, lambda);
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TSeries results = indicator.Update(source);
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return (results, indicator);
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}
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public override void Reset()
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{
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_buffer.Clear();
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_state = new State(0.0);
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_p_state = _state;
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Last = default;
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}
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}
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