mirror of
https://github.com/mihakralj/QuanTAlib.git
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389 lines
12 KiB
C#
389 lines
12 KiB
C#
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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/// MCNMA: McNicholl EMA (Zero-Lag TEMA)
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/// </summary>
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/// <remarks>
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/// Applies DEMA lag-cancellation to TEMA itself, using six cascaded EMA stages.
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/// Three stages compute inner TEMA from source, three more compute outer TEMA
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/// from the inner TEMA output. Result: 2×TEMA₁ - TEMA₂.
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///
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/// Dennis McNicholl, "Better Bollinger Bands," Futures Magazine, October 1998.
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///
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/// Calculation: <c>MCNMA = 2×TEMA(src,N) - TEMA(TEMA(src,N),N)</c>.
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///
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/// All six EMA stages are seeded to the first source value (matching Pine
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/// reference implementation). No warmup compensator; output is valid from bar 1.
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/// </remarks>
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/// <seealso href="Mcnma.md">Detailed documentation</seealso>
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/// <seealso href="mcnma.pine">Reference Pine Script implementation</seealso>
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[SkipLocalsInit]
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public sealed class Mcnma : AbstractBase
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{
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[StructLayout(LayoutKind.Auto)]
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private record struct EmaState(double Ema, bool IsInit)
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{
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public static EmaState New() => new() { Ema = 0, IsInit = false };
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}
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private readonly double _alpha;
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private readonly double _decay;
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// Inner TEMA stages (source → EMA1 → EMA2 → EMA3)
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private EmaState _s1 = EmaState.New();
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private EmaState _s2 = EmaState.New();
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private EmaState _s3 = EmaState.New();
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// Outer TEMA stages (TEMA1 → EMA4 → EMA5 → EMA6)
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private EmaState _s4 = EmaState.New();
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private EmaState _s5 = EmaState.New();
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private EmaState _s6 = EmaState.New();
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private EmaState _ps1 = EmaState.New();
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private EmaState _ps2 = EmaState.New();
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private EmaState _ps3 = EmaState.New();
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private EmaState _ps4 = EmaState.New();
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private EmaState _ps5 = EmaState.New();
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private EmaState _ps6 = EmaState.New();
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private double _lastValidValue = double.NaN;
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private double _p_lastValidValue = double.NaN;
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private bool _isNew = true;
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private readonly ITValuePublisher? _publisher;
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private readonly TValuePublishedHandler? _listener;
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public bool IsNew => _isNew;
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public override bool IsHot => _s1.IsInit;
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public Mcnma(int period)
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{
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if (period <= 0)
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{
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throw new ArgumentException("Period must be greater than 0", nameof(period));
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}
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_alpha = 2.0 / (period + 1);
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_decay = 1.0 - _alpha;
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Name = $"Mcnma({period})";
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WarmupPeriod = period;
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}
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public Mcnma(ITValuePublisher source, int period) : this(period)
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{
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_publisher = source;
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_listener = Handle;
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source.Pub += _listener;
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}
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public Mcnma(double alpha)
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{
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if (alpha <= 0 || alpha > 1)
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{
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throw new ArgumentException("Alpha must be between 0 and 1", nameof(alpha));
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}
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_alpha = alpha;
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_decay = 1.0 - alpha;
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Name = $"Mcnma(α={alpha:F4})";
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WarmupPeriod = (int)((2.0 / alpha) - 1.0);
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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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_isNew = isNew;
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if (isNew)
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{
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_ps1 = _s1; _ps2 = _s2; _ps3 = _s3;
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_ps4 = _s4; _ps5 = _s5; _ps6 = _s6;
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_p_lastValidValue = _lastValidValue;
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}
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else
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{
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_s1 = _ps1; _s2 = _ps2; _s3 = _ps3;
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_s4 = _ps4; _s5 = _ps5; _s6 = _ps6;
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_lastValidValue = _p_lastValidValue;
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}
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double val = input.Value;
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if (double.IsFinite(val))
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{
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_lastValidValue = val;
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}
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else
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{
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val = _lastValidValue;
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}
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if (double.IsNaN(val))
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{
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Last = new TValue(input.Time, double.NaN);
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PubEvent(Last, isNew);
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return Last;
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}
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// Seed all 6 stages on first valid value (matches Pine na-guard init)
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if (!_s1.IsInit)
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{
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_s1 = new EmaState(val, true);
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_s2 = new EmaState(val, true);
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_s3 = new EmaState(val, true);
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_s4 = new EmaState(val, true);
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_s5 = new EmaState(val, true);
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_s6 = new EmaState(val, true);
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// TEMA1 = 3*val - 3*val + val = val; TEMA2 = same; MCNMA = 2*val - val = val
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Last = new TValue(input.Time, val);
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PubEvent(Last, isNew);
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return Last;
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}
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// Inner TEMA: 3 cascaded EMAs
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double e1 = Compute(val, _alpha, _decay, ref _s1);
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double e2 = Compute(e1, _alpha, _decay, ref _s2);
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double e3 = Compute(e2, _alpha, _decay, ref _s3);
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// TEMA1 = 3*e1 - 3*e2 + e3
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double tema1 = Math.FusedMultiplyAdd(3.0, e1, Math.FusedMultiplyAdd(-3.0, e2, e3));
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// Outer TEMA: 3 cascaded EMAs of TEMA1
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double e4 = Compute(tema1, _alpha, _decay, ref _s4);
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double e5 = Compute(e4, _alpha, _decay, ref _s5);
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double e6 = Compute(e5, _alpha, _decay, ref _s6);
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// TEMA2 = 3*e4 - 3*e5 + e6
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double tema2 = Math.FusedMultiplyAdd(3.0, e4, Math.FusedMultiplyAdd(-3.0, e5, e6));
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// MCNMA = 2*TEMA1 - TEMA2
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double result = Math.FusedMultiplyAdd(2.0, tema1, -tema2);
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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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if (source.Count == 0)
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{
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return [];
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}
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int len = source.Count;
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List<long> t = new(len);
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List<double> v = new(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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var tSpan = CollectionsMarshal.AsSpan(t);
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var vSpan = CollectionsMarshal.AsSpan(v);
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source.Times.CopyTo(tSpan);
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var sourceValues = source.Values;
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EmaState preBatch_s1 = _s1, preBatch_s2 = _s2, preBatch_s3 = _s3;
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EmaState preBatch_s4 = _s4, preBatch_s5 = _s5, preBatch_s6 = _s6;
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double preBatch_lastValid = _lastValidValue;
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EmaState s1 = _s1, s2 = _s2, s3 = _s3;
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EmaState s4 = _s4, s5 = _s5, s6 = _s6;
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double lastValid = _lastValidValue;
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double alpha = _alpha;
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double decay = _decay;
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for (int i = 0; i < len; i++)
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{
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double val = sourceValues[i];
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if (double.IsFinite(val))
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{
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lastValid = val;
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}
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else
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{
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val = lastValid;
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}
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if (double.IsNaN(val))
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{
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vSpan[i] = double.NaN;
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continue;
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}
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// Seed on first valid value
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if (!s1.IsInit)
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{
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s1 = new EmaState(val, true);
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s2 = new EmaState(val, true);
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s3 = new EmaState(val, true);
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s4 = new EmaState(val, true);
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s5 = new EmaState(val, true);
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s6 = new EmaState(val, true);
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vSpan[i] = val;
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continue;
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}
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double e1v = Compute(val, alpha, decay, ref s1);
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double e2v = Compute(e1v, alpha, decay, ref s2);
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double e3v = Compute(e2v, alpha, decay, ref s3);
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double tema1 = Math.FusedMultiplyAdd(3.0, e1v, Math.FusedMultiplyAdd(-3.0, e2v, e3v));
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double e4v = Compute(tema1, alpha, decay, ref s4);
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double e5v = Compute(e4v, alpha, decay, ref s5);
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double e6v = Compute(e5v, alpha, decay, ref s6);
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double tema2 = Math.FusedMultiplyAdd(3.0, e4v, Math.FusedMultiplyAdd(-3.0, e5v, e6v));
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vSpan[i] = Math.FusedMultiplyAdd(2.0, tema1, -tema2);
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}
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_s1 = s1; _s2 = s2; _s3 = s3;
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_s4 = s4; _s5 = s5; _s6 = s6;
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_lastValidValue = lastValid;
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_ps1 = preBatch_s1; _ps2 = preBatch_s2; _ps3 = preBatch_s3;
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_ps4 = preBatch_s4; _ps5 = preBatch_s5; _ps6 = preBatch_s6;
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_p_lastValidValue = preBatch_lastValid;
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Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
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return new TSeries(t, v);
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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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foreach (var value in source)
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{
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Update(new TValue(DateTime.MinValue, value));
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
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private static double Compute(double input, double alpha, double decay, ref EmaState state)
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{
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// Raw EMA: ema = alpha * input + beta * ema (no compensator)
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state.Ema = Math.FusedMultiplyAdd(state.Ema, decay, alpha * input);
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return state.Ema;
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}
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public static TSeries Batch(TSeries source, int period)
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{
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var mcnma = new Mcnma(period);
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return mcnma.Update(source);
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}
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public static TSeries Batch(TSeries source, double alpha)
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{
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var mcnma = new Mcnma(alpha);
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return mcnma.Update(source);
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}
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public static void Batch(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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if (period <= 0)
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{
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throw new ArgumentException("Period must be greater than 0", nameof(period));
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}
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double alpha = 2.0 / (period + 1);
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Batch(source, output, alpha);
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}
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public static void Batch(ReadOnlySpan<double> source, Span<double> output, double alpha)
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{
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if (source.Length != output.Length)
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{
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throw new ArgumentException("Source and output must have the same length", nameof(output));
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}
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if (alpha <= 0 || alpha > 1)
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{
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throw new ArgumentException("Alpha must be between 0 and 1", nameof(alpha));
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}
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if (source.Length == 0)
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{
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return;
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}
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double decay = 1.0 - alpha;
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double lastValid = double.NaN;
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// 6 EMA stages — seeded on first valid value (no compensator)
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double e1 = 0, e2 = 0, e3 = 0, e4 = 0, e5 = 0, e6 = 0;
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bool isInit = false;
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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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lastValid = val;
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}
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else
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{
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val = lastValid;
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}
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if (double.IsNaN(val))
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{
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output[i] = double.NaN;
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continue;
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}
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if (!isInit)
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{
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e1 = val; e2 = val; e3 = val;
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e4 = val; e5 = val; e6 = val;
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isInit = true;
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output[i] = val;
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continue;
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}
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// Stage 1-3: Inner TEMA
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e1 = Math.FusedMultiplyAdd(e1, decay, alpha * val);
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e2 = Math.FusedMultiplyAdd(e2, decay, alpha * e1);
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e3 = Math.FusedMultiplyAdd(e3, decay, alpha * e2);
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// TEMA1 = 3*e1 - 3*e2 + e3
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double tema1 = Math.FusedMultiplyAdd(3.0, e1, Math.FusedMultiplyAdd(-3.0, e2, e3));
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// Stage 4-6: Outer TEMA
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e4 = Math.FusedMultiplyAdd(e4, decay, alpha * tema1);
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e5 = Math.FusedMultiplyAdd(e5, decay, alpha * e4);
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e6 = Math.FusedMultiplyAdd(e6, decay, alpha * e5);
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// TEMA2 = 3*e4 - 3*e5 + e6
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double tema2 = Math.FusedMultiplyAdd(3.0, e4, Math.FusedMultiplyAdd(-3.0, e5, e6));
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// MCNMA = 2*TEMA1 - TEMA2
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output[i] = Math.FusedMultiplyAdd(2.0, tema1, -tema2);
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}
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}
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public static (TSeries Results, Mcnma Indicator) Calculate(TSeries source, int period)
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{
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var indicator = new Mcnma(period);
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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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_s1 = EmaState.New(); _s2 = EmaState.New(); _s3 = EmaState.New();
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_s4 = EmaState.New(); _s5 = EmaState.New(); _s6 = EmaState.New();
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_ps1 = EmaState.New(); _ps2 = EmaState.New(); _ps3 = EmaState.New();
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_ps4 = EmaState.New(); _ps5 = EmaState.New(); _ps6 = EmaState.New();
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_lastValidValue = double.NaN;
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_p_lastValidValue = double.NaN;
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Last = default;
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}
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protected override void Dispose(bool disposing)
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{
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if (disposing && _publisher != null && _listener != null)
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{
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_publisher.Pub -= _listener;
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}
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base.Dispose(disposing);
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}
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private void Handle(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
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}
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