2 x faster MACD implementation...

[tecel007]

Hi Dave and contributors,

I created a reference MACD implementation that is more than 2 x faster. It processes the 3 x Ema's simultaneously, thereby reducing the complexity from O(n*n) to O(n). The same idea can be used for a variety of indicators...

NOTE: I just realised you did the same in 3.0.0.... I was profiling 2.6.1 :(

    public MacdResult[] GetMacd(Quote[] history, int _a, int _b, int _c)
    {
        SmaEma a = new SmaEma(_a), b = new SmaEma(_b), c = new SmaEma(_c);

        var result = new MacdResult[history.Length];

        for (int i = 0; i < history.Length; i++)
        {
            result[i] = new(history[i].Date);

            var value = (double) history[i].Close;

            a.Add(value);
            b.Add(value);
            
            if (a.Full())
            {
                result[i].FastEma = a.Ema();
            }
            if (b.Full())
            {
                result[i].SlowEma = b.Ema();
                result[i].Macd = result[i].FastEma - result[i].SlowEma;
                c.Add((double)result[i].Macd);
            }
            if(c.Full())
            {
                result[i].Signal = c.Ema();
                result[i].Histogram = result[i].Macd - result[i].Signal;
            }
        }
        return result;
    }

    public class SmaEma
    {
        double[] values;
        double k, sum, ema = 0.0;
        int i = 0;

        public SmaEma(int n)
        {
            values = new double[n];

            k = 2.0 / (1.0 + n);
        }

        public void Add(double value)
        {
            sum += value - values[i % values.Length];

            values[i++ % values.Length] = value;

            ema = i <= values.Length ? Sma() : value * k + ema * (1.0 - k);
        }

        public double Sma()
        {
            return sum / Math.Min(i, values.Length);
        }

        public double Ema()
        {
            return ema;
        }

        public bool Full()
        {
            return i >= values.Length;
        }
    }