Improve perf for backtests

This commit is contained in:
2025-11-10 02:15:43 +07:00
parent 7e52b7a734
commit 51a227e27e
24 changed files with 1327 additions and 443 deletions

View File

@@ -28,25 +28,10 @@ public class EmaTrendIndicatorBase : EmaBaseIndicatorBase
try
{
var ema = candles.GetEma(Period.Value).ToList();
var emaCandles = MapEmaToCandle(ema, candles.TakeLast(Period.Value));
if (ema.Count == 0)
return null;
var previousCandle = emaCandles[0];
foreach (var currentCandle in emaCandles.Skip(1))
{
if (currentCandle.Close > (decimal)currentCandle.Ema)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.None);
}
else
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.None);
}
previousCandle = currentCandle;
}
ProcessEmaTrendSignals(ema, candles);
return Signals.OrderBy(s => s.Date).ToList();
}
@@ -56,6 +41,74 @@ public class EmaTrendIndicatorBase : EmaBaseIndicatorBase
}
}
/// <summary>
/// Runs the indicator using pre-calculated EMA values for performance optimization.
/// </summary>
public override List<LightSignal> Run(HashSet<Candle> candles, IndicatorsResultBase preCalculatedValues)
{
if (candles.Count <= 2 * Period)
{
return null;
}
try
{
// Use pre-calculated EMA values if available
List<EmaResult> ema = null;
if (preCalculatedValues?.Ema != null && preCalculatedValues.Ema.Any())
{
// Filter pre-calculated EMA values to match the candles we're processing
ema = preCalculatedValues.Ema
.Where(e => candles.Any(c => c.Date == e.Date))
.OrderBy(e => e.Date)
.ToList();
}
// If no pre-calculated values or they don't match, fall back to regular calculation
if (ema == null || !ema.Any())
{
return Run(candles);
}
ProcessEmaTrendSignals(ema, candles);
return Signals.OrderBy(s => s.Date).ToList();
}
catch (RuleException)
{
return null;
}
}
/// <summary>
/// Processes EMA trend signals based on price position relative to EMA line.
/// This method is shared between the regular Run() and optimized Run() methods.
/// </summary>
/// <param name="ema">List of EMA calculation results</param>
/// <param name="candles">Candles to process</param>
private void ProcessEmaTrendSignals(List<EmaResult> ema, HashSet<Candle> candles)
{
var emaCandles = MapEmaToCandle(ema, candles.TakeLast(Period.Value));
if (emaCandles.Count == 0)
return;
var previousCandle = emaCandles[0];
foreach (var currentCandle in emaCandles.Skip(1))
{
if (currentCandle.Close > (decimal)currentCandle.Ema)
{
AddSignal(currentCandle, TradeDirection.Long, Confidence.None);
}
else
{
AddSignal(currentCandle, TradeDirection.Short, Confidence.None);
}
previousCandle = currentCandle;
}
}
public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
{
return new IndicatorsResultBase()