1#[cfg(all(feature = "python", feature = "cuda"))]
2use crate::utilities::dlpack_cuda::{make_device_array_py, DeviceArrayF32Py};
3#[cfg(feature = "python")]
4use crate::utilities::kernel_validation::validate_kernel;
5#[cfg(all(feature = "python", feature = "cuda"))]
6use numpy::PyUntypedArrayMethods;
7#[cfg(feature = "python")]
8use numpy::{IntoPyArray, PyArray1, PyArrayMethods, PyReadonlyArray1};
9#[cfg(feature = "python")]
10use pyo3::exceptions::PyValueError;
11#[cfg(feature = "python")]
12use pyo3::prelude::*;
13#[cfg(feature = "python")]
14use pyo3::types::PyDict;
15#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
16use serde::{Deserialize, Serialize};
17#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
18use wasm_bindgen::prelude::*;
19
20use crate::utilities::data_loader::{source_type, Candles};
21use crate::utilities::enums::Kernel;
22use crate::utilities::helpers::{
23 alloc_with_nan_prefix, detect_best_batch_kernel, detect_best_kernel, init_matrix_prefixes,
24 make_uninit_matrix,
25};
26use aligned_vec::{AVec, CACHELINE_ALIGN};
27#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
28use core::arch::x86_64::*;
29#[cfg(not(target_arch = "wasm32"))]
30use rayon::prelude::*;
31use std::convert::AsRef;
32use std::error::Error;
33#[cfg(all(feature = "python", feature = "cuda"))]
34use std::sync::Arc;
35use thiserror::Error;
36
37impl<'a> AsRef<[f64]> for KurtosisInput<'a> {
38 #[inline(always)]
39 fn as_ref(&self) -> &[f64] {
40 match &self.data {
41 KurtosisData::Slice(slice) => slice,
42 KurtosisData::Candles { candles, source } => source_type(candles, source),
43 }
44 }
45}
46
47#[derive(Debug, Clone)]
48pub enum KurtosisData<'a> {
49 Candles {
50 candles: &'a Candles,
51 source: &'a str,
52 },
53 Slice(&'a [f64]),
54}
55
56#[derive(Debug, Clone)]
57pub struct KurtosisOutput {
58 pub values: Vec<f64>,
59}
60
61#[derive(Debug, Clone)]
62#[cfg_attr(
63 all(target_arch = "wasm32", feature = "wasm"),
64 derive(Serialize, Deserialize)
65)]
66pub struct KurtosisParams {
67 pub period: Option<usize>,
68}
69
70impl Default for KurtosisParams {
71 fn default() -> Self {
72 Self { period: Some(5) }
73 }
74}
75
76#[derive(Debug, Clone)]
77pub struct KurtosisInput<'a> {
78 pub data: KurtosisData<'a>,
79 pub params: KurtosisParams,
80}
81
82impl<'a> KurtosisInput<'a> {
83 #[inline]
84 pub fn from_candles(c: &'a Candles, s: &'a str, p: KurtosisParams) -> Self {
85 Self {
86 data: KurtosisData::Candles {
87 candles: c,
88 source: s,
89 },
90 params: p,
91 }
92 }
93 #[inline]
94 pub fn from_slice(sl: &'a [f64], p: KurtosisParams) -> Self {
95 Self {
96 data: KurtosisData::Slice(sl),
97 params: p,
98 }
99 }
100 #[inline]
101 pub fn with_default_candles(c: &'a Candles) -> Self {
102 Self::from_candles(c, "hl2", KurtosisParams::default())
103 }
104 #[inline]
105 pub fn get_period(&self) -> usize {
106 self.params.period.unwrap_or(5)
107 }
108}
109
110#[derive(Copy, Clone, Debug)]
111pub struct KurtosisBuilder {
112 period: Option<usize>,
113 kernel: Kernel,
114}
115
116impl Default for KurtosisBuilder {
117 fn default() -> Self {
118 Self {
119 period: None,
120 kernel: Kernel::Auto,
121 }
122 }
123}
124
125impl KurtosisBuilder {
126 #[inline(always)]
127 pub fn new() -> Self {
128 Self::default()
129 }
130 #[inline(always)]
131 pub fn period(mut self, n: usize) -> Self {
132 self.period = Some(n);
133 self
134 }
135 #[inline(always)]
136 pub fn kernel(mut self, k: Kernel) -> Self {
137 self.kernel = k;
138 self
139 }
140 #[inline(always)]
141 pub fn apply(self, c: &Candles) -> Result<KurtosisOutput, KurtosisError> {
142 let p = KurtosisParams {
143 period: self.period,
144 };
145 let i = KurtosisInput::from_candles(c, "hl2", p);
146 kurtosis_with_kernel(&i, self.kernel)
147 }
148 #[inline(always)]
149 pub fn apply_slice(self, d: &[f64]) -> Result<KurtosisOutput, KurtosisError> {
150 let p = KurtosisParams {
151 period: self.period,
152 };
153 let i = KurtosisInput::from_slice(d, p);
154 kurtosis_with_kernel(&i, self.kernel)
155 }
156 #[inline(always)]
157 pub fn into_stream(self) -> Result<KurtosisStream, KurtosisError> {
158 let p = KurtosisParams {
159 period: self.period,
160 };
161 KurtosisStream::try_new(p)
162 }
163}
164
165#[derive(Debug, Error)]
166pub enum KurtosisError {
167 #[error("kurtosis: Input data slice is empty.")]
168 EmptyInputData,
169 #[error("kurtosis: All values are NaN.")]
170 AllValuesNaN,
171 #[error("kurtosis: Invalid period: period = {period}, data length = {data_len}")]
172 InvalidPeriod { period: usize, data_len: usize },
173 #[error("kurtosis: Not enough valid data: needed = {needed}, valid = {valid}")]
174 NotEnoughValidData { needed: usize, valid: usize },
175 #[error("kurtosis: Output length mismatch: expected {expected}, got {got}")]
176 OutputLengthMismatch { expected: usize, got: usize },
177 #[error("kurtosis: Invalid range: start={start}, end={end}, step={step}")]
178 InvalidRange {
179 start: String,
180 end: String,
181 step: String,
182 },
183 #[error("kurtosis: Invalid kernel for batch: {0:?}")]
184 InvalidKernelForBatch(Kernel),
185 #[error("kurtosis: Invalid period (zero or missing).")]
186 ZeroOrMissingPeriod,
187}
188
189#[inline]
190pub fn kurtosis(input: &KurtosisInput) -> Result<KurtosisOutput, KurtosisError> {
191 kurtosis_with_kernel(input, Kernel::Auto)
192}
193
194pub fn kurtosis_with_kernel(
195 input: &KurtosisInput,
196 kernel: Kernel,
197) -> Result<KurtosisOutput, KurtosisError> {
198 let data: &[f64] = input.as_ref();
199
200 if data.is_empty() {
201 return Err(KurtosisError::EmptyInputData);
202 }
203
204 let first = data
205 .iter()
206 .position(|x| !x.is_nan())
207 .ok_or(KurtosisError::AllValuesNaN)?;
208
209 let len = data.len();
210 let period = input.get_period();
211
212 if period == 0 || period > len {
213 return Err(KurtosisError::InvalidPeriod {
214 period,
215 data_len: len,
216 });
217 }
218 if (len - first) < period {
219 return Err(KurtosisError::NotEnoughValidData {
220 needed: period,
221 valid: len - first,
222 });
223 }
224
225 let mut out = alloc_with_nan_prefix(len, first + period - 1);
226
227 let chosen = match kernel {
228 Kernel::Auto => Kernel::Scalar,
229 other => other,
230 };
231
232 unsafe {
233 match chosen {
234 Kernel::Scalar | Kernel::ScalarBatch => kurtosis_scalar(data, period, first, &mut out),
235 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
236 Kernel::Avx2 | Kernel::Avx2Batch => kurtosis_avx2(data, period, first, &mut out),
237 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
238 Kernel::Avx512 | Kernel::Avx512Batch => kurtosis_avx512(data, period, first, &mut out),
239 #[cfg(not(all(feature = "nightly-avx", target_arch = "x86_64")))]
240 Kernel::Avx2 | Kernel::Avx2Batch | Kernel::Avx512 | Kernel::Avx512Batch => {
241 kurtosis_scalar(data, period, first, &mut out)
242 }
243 _ => unreachable!(),
244 }
245 }
246 Ok(KurtosisOutput { values: out })
247}
248
249#[inline]
250pub fn kurtosis_into_slice(
251 dst: &mut [f64],
252 input: &KurtosisInput,
253 kernel: Kernel,
254) -> Result<(), KurtosisError> {
255 let data: &[f64] = input.as_ref();
256
257 if data.is_empty() {
258 return Err(KurtosisError::EmptyInputData);
259 }
260
261 let first = data
262 .iter()
263 .position(|x| !x.is_nan())
264 .ok_or(KurtosisError::AllValuesNaN)?;
265
266 let len = data.len();
267 let period = input.get_period();
268
269 if period == 0 || period > len {
270 return Err(KurtosisError::InvalidPeriod {
271 period,
272 data_len: len,
273 });
274 }
275 if (len - first) < period {
276 return Err(KurtosisError::NotEnoughValidData {
277 needed: period,
278 valid: len - first,
279 });
280 }
281 if dst.len() != data.len() {
282 return Err(KurtosisError::OutputLengthMismatch {
283 expected: data.len(),
284 got: dst.len(),
285 });
286 }
287
288 let warmup_end = first + period - 1;
289 for v in &mut dst[..warmup_end] {
290 *v = f64::NAN;
291 }
292
293 let chosen = match kernel {
294 Kernel::Auto => Kernel::Scalar,
295 other => other,
296 };
297
298 unsafe {
299 match chosen {
300 Kernel::Scalar | Kernel::ScalarBatch => kurtosis_scalar(data, period, first, dst),
301 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
302 Kernel::Avx2 | Kernel::Avx2Batch => kurtosis_avx2(data, period, first, dst),
303 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
304 Kernel::Avx512 | Kernel::Avx512Batch => kurtosis_avx512(data, period, first, dst),
305 #[cfg(not(all(feature = "nightly-avx", target_arch = "x86_64")))]
306 Kernel::Avx2 | Kernel::Avx2Batch | Kernel::Avx512 | Kernel::Avx512Batch => {
307 kurtosis_scalar(data, period, first, dst)
308 }
309 _ => unreachable!(),
310 }
311 }
312
313 Ok(())
314}
315
316#[cfg(not(all(target_arch = "wasm32", feature = "wasm")))]
317#[inline]
318pub fn kurtosis_into(input: &KurtosisInput, out: &mut [f64]) -> Result<(), KurtosisError> {
319 kurtosis_into_slice(out, input, Kernel::Auto)?;
320
321 let data: &[f64] = input.as_ref();
322 let first = data
323 .iter()
324 .position(|x| !x.is_nan())
325 .ok_or(KurtosisError::AllValuesNaN)?;
326 let warmup_end = first + input.get_period() - 1;
327 let qnan = f64::from_bits(0x7ff8_0000_0000_0000);
328 let warm = warmup_end.min(out.len());
329 for v in &mut out[..warm] {
330 *v = qnan;
331 }
332
333 Ok(())
334}
335
336#[inline]
337pub fn kurtosis_scalar(data: &[f64], period: usize, first: usize, out: &mut [f64]) {
338 for i in (first + period - 1)..data.len() {
339 let start = i + 1 - period;
340 let window = &data[start..start + period];
341
342 let mut has_nan = false;
343 let mut sum = 0.0f64;
344 for &v in window {
345 if v.is_nan() {
346 has_nan = true;
347 break;
348 }
349 sum += v;
350 }
351 if has_nan {
352 out[i] = f64::NAN;
353 continue;
354 }
355 let n = period as f64;
356 let mean = sum / n;
357 let mut m2 = 0.0;
358 let mut m4 = 0.0;
359 for &val in window {
360 let diff = val - mean;
361 let d2 = diff * diff;
362 m2 += d2;
363 m4 += d2 * d2;
364 }
365 m2 /= n;
366 m4 /= n;
367
368 if m2.abs() < f64::EPSILON {
369 out[i] = f64::NAN;
370 } else {
371 out[i] = (m4 / (m2 * m2)) - 3.0;
372 }
373 }
374}
375
376#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
377#[inline]
378pub fn kurtosis_avx512(data: &[f64], period: usize, first: usize, out: &mut [f64]) {
379 if period <= 32 {
380 unsafe { kurtosis_avx512_short(data, period, first, out) }
381 } else {
382 unsafe { kurtosis_avx512_long(data, period, first, out) }
383 }
384}
385
386#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
387#[inline]
388pub fn kurtosis_avx2(data: &[f64], period: usize, first: usize, out: &mut [f64]) {
389 unsafe { kurtosis_scalar(data, period, first, out) }
390}
391
392#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
393#[inline]
394pub unsafe fn kurtosis_avx512_short(data: &[f64], period: usize, first: usize, out: &mut [f64]) {
395 kurtosis_scalar(data, period, first, out)
396}
397
398#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
399#[inline]
400pub unsafe fn kurtosis_avx512_long(data: &[f64], period: usize, first: usize, out: &mut [f64]) {
401 kurtosis_scalar(data, period, first, out)
402}
403
404#[inline(always)]
405pub fn kurtosis_batch_with_kernel(
406 data: &[f64],
407 sweep: &KurtosisBatchRange,
408 k: Kernel,
409) -> Result<KurtosisBatchOutput, KurtosisError> {
410 let kernel = match k {
411 Kernel::Auto => Kernel::ScalarBatch,
412 other if other.is_batch() => other,
413 other => return Err(KurtosisError::InvalidKernelForBatch(other)),
414 };
415 let simd = match kernel {
416 Kernel::Avx512Batch => Kernel::Avx512,
417 Kernel::Avx2Batch => Kernel::Avx2,
418 Kernel::ScalarBatch => Kernel::Scalar,
419 _ => unreachable!(),
420 };
421 kurtosis_batch_par_slice(data, sweep, simd)
422}
423
424#[derive(Clone, Debug)]
425pub struct KurtosisBatchRange {
426 pub period: (usize, usize, usize),
427}
428
429impl Default for KurtosisBatchRange {
430 fn default() -> Self {
431 Self {
432 period: (5, 254, 1),
433 }
434 }
435}
436
437#[derive(Clone, Debug, Default)]
438pub struct KurtosisBatchBuilder {
439 range: KurtosisBatchRange,
440 kernel: Kernel,
441}
442
443impl KurtosisBatchBuilder {
444 pub fn new() -> Self {
445 Self::default()
446 }
447 pub fn kernel(mut self, k: Kernel) -> Self {
448 self.kernel = k;
449 self
450 }
451 #[inline]
452 pub fn period_range(mut self, start: usize, end: usize, step: usize) -> Self {
453 self.range.period = (start, end, step);
454 self
455 }
456 #[inline]
457 pub fn period_static(mut self, p: usize) -> Self {
458 self.range.period = (p, p, 0);
459 self
460 }
461 pub fn apply_slice(self, data: &[f64]) -> Result<KurtosisBatchOutput, KurtosisError> {
462 kurtosis_batch_with_kernel(data, &self.range, self.kernel)
463 }
464 pub fn with_default_slice(
465 data: &[f64],
466 k: Kernel,
467 ) -> Result<KurtosisBatchOutput, KurtosisError> {
468 KurtosisBatchBuilder::new().kernel(k).apply_slice(data)
469 }
470 pub fn apply_candles(
471 self,
472 c: &Candles,
473 src: &str,
474 ) -> Result<KurtosisBatchOutput, KurtosisError> {
475 let slice = source_type(c, src);
476 self.apply_slice(slice)
477 }
478 pub fn with_default_candles(c: &Candles) -> Result<KurtosisBatchOutput, KurtosisError> {
479 KurtosisBatchBuilder::new()
480 .kernel(Kernel::Auto)
481 .apply_candles(c, "hl2")
482 }
483}
484
485#[derive(Clone, Debug)]
486pub struct KurtosisBatchOutput {
487 pub values: Vec<f64>,
488 pub combos: Vec<KurtosisParams>,
489 pub rows: usize,
490 pub cols: usize,
491}
492
493impl KurtosisBatchOutput {
494 pub fn row_for_params(&self, p: &KurtosisParams) -> Option<usize> {
495 self.combos
496 .iter()
497 .position(|c| c.period.unwrap_or(5) == p.period.unwrap_or(5))
498 }
499 pub fn values_for(&self, p: &KurtosisParams) -> Option<&[f64]> {
500 self.row_for_params(p).map(|row| {
501 let start = row * self.cols;
502 &self.values[start..start + self.cols]
503 })
504 }
505}
506
507#[inline(always)]
508fn expand_grid(r: &KurtosisBatchRange) -> Result<Vec<KurtosisParams>, KurtosisError> {
509 fn axis_usize((start, end, step): (usize, usize, usize)) -> Result<Vec<usize>, KurtosisError> {
510 if step == 0 || start == end {
511 return Ok(vec![start]);
512 }
513 if start < end {
514 return Ok((start..=end).step_by(step.max(1)).collect());
515 }
516 let mut v = Vec::new();
517 let mut x = start as isize;
518 let end_i = end as isize;
519 let st = (step as isize).max(1);
520 while x >= end_i {
521 v.push(x as usize);
522 x -= st;
523 }
524 if v.is_empty() {
525 return Err(KurtosisError::InvalidRange {
526 start: start.to_string(),
527 end: end.to_string(),
528 step: step.to_string(),
529 });
530 }
531 Ok(v)
532 }
533 let periods = axis_usize(r.period)?;
534 let mut out = Vec::with_capacity(periods.len());
535 for &p in &periods {
536 out.push(KurtosisParams { period: Some(p) });
537 }
538 Ok(out)
539}
540
541#[inline(always)]
542pub fn kurtosis_batch_slice(
543 data: &[f64],
544 sweep: &KurtosisBatchRange,
545 kern: Kernel,
546) -> Result<KurtosisBatchOutput, KurtosisError> {
547 kurtosis_batch_inner(data, sweep, kern, false)
548}
549
550#[inline(always)]
551pub fn kurtosis_batch_par_slice(
552 data: &[f64],
553 sweep: &KurtosisBatchRange,
554 kern: Kernel,
555) -> Result<KurtosisBatchOutput, KurtosisError> {
556 kurtosis_batch_inner(data, sweep, kern, true)
557}
558
559#[inline(always)]
560fn kurtosis_batch_inner(
561 data: &[f64],
562 sweep: &KurtosisBatchRange,
563 kern: Kernel,
564 parallel: bool,
565) -> Result<KurtosisBatchOutput, KurtosisError> {
566 let combos = expand_grid(sweep)?;
567 if combos.is_empty() {
568 return Err(KurtosisError::InvalidRange {
569 start: "range".into(),
570 end: "range".into(),
571 step: "empty".into(),
572 });
573 }
574
575 let first = data
576 .iter()
577 .position(|x| !x.is_nan())
578 .ok_or(KurtosisError::AllValuesNaN)?;
579 let max_p = combos.iter().map(|c| c.period.unwrap()).max().unwrap();
580 if data.len() - first < max_p {
581 return Err(KurtosisError::NotEnoughValidData {
582 needed: max_p,
583 valid: data.len() - first,
584 });
585 }
586
587 let rows = combos.len();
588 let cols = data.len();
589 let _ = rows
590 .checked_mul(cols)
591 .ok_or_else(|| KurtosisError::InvalidRange {
592 start: rows.to_string(),
593 end: cols.to_string(),
594 step: "rows*cols".into(),
595 })?;
596 let mut values_mu = make_uninit_matrix(rows, cols);
597
598 let warmup_periods: Vec<usize> = combos
599 .iter()
600 .map(|c| first + c.period.unwrap() - 1)
601 .collect();
602 init_matrix_prefixes(&mut values_mu, cols, &warmup_periods);
603
604 let mut values_guard = core::mem::ManuallyDrop::new(values_mu);
605 let values: &mut [f64] = unsafe {
606 core::slice::from_raw_parts_mut(values_guard.as_mut_ptr() as *mut f64, values_guard.len())
607 };
608
609 let do_row = |row: usize, out_row: &mut [f64]| unsafe {
610 let period = combos[row].period.unwrap();
611 match kern {
612 Kernel::Scalar => kurtosis_row_scalar(data, first, period, out_row),
613 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
614 Kernel::Avx2 => kurtosis_row_avx2(data, first, period, out_row),
615 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
616 Kernel::Avx512 => kurtosis_row_avx512(data, first, period, out_row),
617 _ => unreachable!(),
618 }
619 };
620
621 if parallel {
622 #[cfg(not(target_arch = "wasm32"))]
623 {
624 values
625 .par_chunks_mut(cols)
626 .enumerate()
627 .for_each(|(row, slice)| do_row(row, slice));
628 }
629
630 #[cfg(target_arch = "wasm32")]
631 {
632 for (row, slice) in values.chunks_mut(cols).enumerate() {
633 do_row(row, slice);
634 }
635 }
636 } else {
637 for (row, slice) in values.chunks_mut(cols).enumerate() {
638 do_row(row, slice);
639 }
640 }
641
642 let values_vec = unsafe {
643 Vec::from_raw_parts(
644 values_guard.as_mut_ptr() as *mut f64,
645 values_guard.len(),
646 values_guard.capacity(),
647 )
648 };
649
650 Ok(KurtosisBatchOutput {
651 values: values_vec,
652 combos,
653 rows,
654 cols,
655 })
656}
657
658#[inline(always)]
659fn kurtosis_batch_inner_into(
660 data: &[f64],
661 sweep: &KurtosisBatchRange,
662 kern: Kernel,
663 parallel: bool,
664 out: &mut [f64],
665) -> Result<Vec<KurtosisParams>, KurtosisError> {
666 let combos = expand_grid(sweep)?;
667 if combos.is_empty() {
668 return Err(KurtosisError::InvalidRange {
669 start: "range".into(),
670 end: "range".into(),
671 step: "empty".into(),
672 });
673 }
674
675 let first = data
676 .iter()
677 .position(|x| !x.is_nan())
678 .ok_or(KurtosisError::AllValuesNaN)?;
679 let max_p = combos.iter().map(|c| c.period.unwrap()).max().unwrap();
680 if data.len() - first < max_p {
681 return Err(KurtosisError::NotEnoughValidData {
682 needed: max_p,
683 valid: data.len() - first,
684 });
685 }
686
687 let rows = combos.len();
688 let cols = data.len();
689 let expected = rows
690 .checked_mul(cols)
691 .ok_or_else(|| KurtosisError::InvalidRange {
692 start: rows.to_string(),
693 end: cols.to_string(),
694 step: "rows*cols".into(),
695 })?;
696 if out.len() != expected {
697 return Err(KurtosisError::OutputLengthMismatch {
698 expected,
699 got: out.len(),
700 });
701 }
702
703 for (row, combo) in combos.iter().enumerate() {
704 let period = combo.period.unwrap();
705 let warmup = first + period - 1;
706 let row_start = row * cols;
707 for i in 0..warmup.min(cols) {
708 out[row_start + i] = f64::NAN;
709 }
710 }
711
712 let out_uninit = unsafe {
713 std::slice::from_raw_parts_mut(
714 out.as_mut_ptr() as *mut std::mem::MaybeUninit<f64>,
715 out.len(),
716 )
717 };
718
719 let do_row = |row: usize, dst_mu: &mut [std::mem::MaybeUninit<f64>]| unsafe {
720 let period = combos[row].period.unwrap();
721 let dst = core::slice::from_raw_parts_mut(dst_mu.as_mut_ptr() as *mut f64, dst_mu.len());
722
723 match kern {
724 Kernel::Scalar => kurtosis_row_scalar(data, first, period, dst),
725 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
726 Kernel::Avx2 => kurtosis_row_avx2(data, first, period, dst),
727 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
728 Kernel::Avx512 => kurtosis_row_avx512(data, first, period, dst),
729 _ => unreachable!(),
730 }
731 };
732
733 if parallel {
734 #[cfg(not(target_arch = "wasm32"))]
735 {
736 out_uninit
737 .par_chunks_mut(cols)
738 .enumerate()
739 .for_each(|(row, slice)| do_row(row, slice));
740 }
741
742 #[cfg(target_arch = "wasm32")]
743 {
744 for (row, slice) in out_uninit.chunks_mut(cols).enumerate() {
745 do_row(row, slice);
746 }
747 }
748 } else {
749 for (row, slice) in out_uninit.chunks_mut(cols).enumerate() {
750 do_row(row, slice);
751 }
752 }
753
754 Ok(combos)
755}
756
757#[inline(always)]
758unsafe fn kurtosis_row_scalar(data: &[f64], first: usize, period: usize, out: &mut [f64]) {
759 kurtosis_scalar(data, period, first, out)
760}
761
762#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
763#[inline(always)]
764unsafe fn kurtosis_row_avx2(data: &[f64], first: usize, period: usize, out: &mut [f64]) {
765 kurtosis_scalar(data, period, first, out)
766}
767
768#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
769#[inline(always)]
770unsafe fn kurtosis_row_avx512(data: &[f64], first: usize, period: usize, out: &mut [f64]) {
771 kurtosis_avx512(data, period, first, out)
772}
773
774#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
775#[inline(always)]
776unsafe fn kurtosis_row_avx512_short(data: &[f64], first: usize, period: usize, out: &mut [f64]) {
777 kurtosis_avx512_short(data, period, first, out)
778}
779
780#[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
781#[inline(always)]
782unsafe fn kurtosis_row_avx512_long(data: &[f64], first: usize, period: usize, out: &mut [f64]) {
783 kurtosis_avx512_long(data, period, first, out)
784}
785
786#[derive(Debug, Clone)]
787pub struct KurtosisStream {
788 period: usize,
789 buffer: Vec<f64>,
790 head: usize,
791 filled: bool,
792
793 nan_count: usize,
794 mean: f64,
795 c2: f64,
796 c3: f64,
797 c4: f64,
798 inv_n: f64,
799 moments_valid: bool,
800 rebuild_ctr: usize,
801}
802
803impl KurtosisStream {
804 pub fn try_new(params: KurtosisParams) -> Result<Self, KurtosisError> {
805 let period = params.period.unwrap_or(5);
806 if period == 0 {
807 return Err(KurtosisError::InvalidPeriod {
808 period,
809 data_len: 0,
810 });
811 }
812 Ok(Self {
813 period,
814 buffer: vec![f64::NAN; period],
815 head: 0,
816 filled: false,
817 nan_count: 0,
818 mean: 0.0,
819 c2: 0.0,
820 c3: 0.0,
821 c4: 0.0,
822 inv_n: 1.0 / (period as f64),
823 moments_valid: false,
824 rebuild_ctr: 0,
825 })
826 }
827
828 #[inline(always)]
829 pub fn update(&mut self, value: f64) -> Option<f64> {
830 let old = self.buffer[self.head];
831 self.buffer[self.head] = value;
832 self.head += 1;
833 if self.head == self.period {
834 self.head = 0;
835 if !self.filled {
836 self.filled = true;
837 self.nan_count = self.buffer.iter().filter(|v| v.is_nan()).count();
838 if self.nan_count > 0 {
839 self.moments_valid = false;
840 return Some(f64::NAN);
841 }
842 self.recompute_moments_from_ring();
843 return Some(self.finalize_kurtosis());
844 }
845 }
846
847 if !self.filled {
848 return None;
849 }
850
851 if old.is_nan() {
852 self.nan_count = self.nan_count.saturating_sub(1);
853 }
854 if value.is_nan() {
855 self.nan_count += 1;
856 }
857
858 if self.nan_count > 0 {
859 self.moments_valid = false;
860 return Some(f64::NAN);
861 }
862
863 if !self.moments_valid {
864 self.recompute_moments_from_ring();
865 return Some(self.finalize_kurtosis());
866 }
867
868 self.rebuild_ctr += 1;
869 if self.rebuild_ctr >= 1 {
870 self.recompute_moments_from_ring();
871 return Some(self.finalize_kurtosis());
872 }
873
874 let n = self.period as f64;
875 let diff = value - old;
876 let d = diff * self.inv_n;
877 let mu_new = self.mean + d;
878
879 let diff2 = diff * diff;
880 let d2 = d * d;
881 let inv_n2 = self.inv_n * self.inv_n;
882 let inv_n3 = inv_n2 * self.inv_n;
883 let d3 = diff * diff2 * inv_n2;
884 let d4 = diff2 * diff2 * inv_n3;
885
886 let c2s = self.c2 + diff2 * self.inv_n;
887 let c3s = self.c3 - 3.0 * d * self.c2 - d3;
888 let c4s = self.c4 - 4.0 * d * self.c3 + 6.0 * d2 * self.c2 + d4;
889
890 let dy = old - mu_new;
891 let dx = value - mu_new;
892 let dy2 = dy * dy;
893 let dx2 = dx * dx;
894
895 self.c2 = c2s - dy2 + dx2;
896 self.c3 = c3s - dy * dy2 + dx * dx2;
897 self.c4 = c4s - (dy2 * dy2) + (dx2 * dx2);
898 self.mean = mu_new;
899
900 Some(self.finalize_kurtosis())
901 }
902
903 #[inline(always)]
904 fn finalize_kurtosis(&self) -> f64 {
905 let c2 = self.c2;
906 let c4 = self.c4;
907 let n = self.period as f64;
908 if c2.abs() < f64::EPSILON * n {
909 return f64::NAN;
910 }
911 (c4 * n) / (c2 * c2) - 3.0
912 }
913
914 #[inline(always)]
915 fn recompute_moments_from_ring(&mut self) {
916 debug_assert!(self.nan_count == 0);
917
918 let n = self.period as f64;
919
920 let mut sum = 0.0;
921 for k in 0..self.period {
922 let idx = (self.head + k) % self.period;
923 sum += self.buffer[idx];
924 }
925 let mean = sum / n;
926
927 let mut c2 = 0.0;
928 let mut c3 = 0.0;
929 let mut c4 = 0.0;
930 for k in 0..self.period {
931 let idx = (self.head + k) % self.period;
932 let v = self.buffer[idx];
933 let d = v - mean;
934 let d2 = d * d;
935 c2 += d2;
936 c3 += d * d2;
937 c4 += d2 * d2;
938 }
939 self.mean = mean;
940 self.c2 = c2;
941 self.c3 = c3;
942 self.c4 = c4;
943 self.moments_valid = true;
944 self.rebuild_ctr = 0;
945 }
946}
947
948#[cfg(test)]
949mod tests {
950 use super::*;
951 use crate::skip_if_unsupported;
952 use crate::utilities::data_loader::read_candles_from_csv;
953
954 fn check_kurtosis_partial_params(
955 test_name: &str,
956 kernel: Kernel,
957 ) -> Result<(), Box<dyn Error>> {
958 skip_if_unsupported!(kernel, test_name);
959 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
960 let candles = read_candles_from_csv(file_path)?;
961
962 let default_params = KurtosisParams { period: None };
963 let input = KurtosisInput::from_candles(&candles, "close", default_params);
964 let output = kurtosis_with_kernel(&input, kernel)?;
965 assert_eq!(output.values.len(), candles.close.len());
966
967 Ok(())
968 }
969
970 #[test]
971 fn test_kurtosis_into_matches_api() -> Result<(), Box<dyn Error>> {
972 let len = 256usize;
973 let mut data = Vec::with_capacity(len);
974 for i in 0..len {
975 let x = i as f64;
976
977 let v = (x * 0.01).sin() * 2.0 + (x * 0.007).cos() * 0.5 + x * 1e-3;
978 data.push(v);
979 }
980
981 let input = KurtosisInput::from_slice(&data, KurtosisParams::default());
982
983 let baseline = kurtosis(&input)?.values;
984
985 let mut out = vec![0.0f64; len];
986 #[cfg(not(all(target_arch = "wasm32", feature = "wasm")))]
987 {
988 kurtosis_into(&input, &mut out)?;
989 }
990 #[cfg(all(target_arch = "wasm32", feature = "wasm"))]
991 {
992 kurtosis_into_slice(&mut out, &input, Kernel::Auto)?;
993 }
994
995 assert_eq!(baseline.len(), out.len());
996
997 fn eq_or_both_nan(a: f64, b: f64) -> bool {
998 (a.is_nan() && b.is_nan()) || (a - b).abs() <= 1e-12
999 }
1000
1001 for i in 0..len {
1002 assert!(
1003 eq_or_both_nan(baseline[i], out[i]),
1004 "mismatch at index {}: baseline={}, into={}",
1005 i,
1006 baseline[i],
1007 out[i]
1008 );
1009 }
1010
1011 Ok(())
1012 }
1013
1014 fn check_kurtosis_accuracy(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1015 skip_if_unsupported!(kernel, test_name);
1016 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1017 let candles = read_candles_from_csv(file_path)?;
1018
1019 let input = KurtosisInput::from_candles(&candles, "hl2", KurtosisParams::default());
1020 let result = kurtosis_with_kernel(&input, kernel)?;
1021 let expected_last_five = [
1022 -0.5438903789933454,
1023 -1.6848139264816433,
1024 -1.6331336745945797,
1025 -0.6130805596586351,
1026 -0.027802601135927585,
1027 ];
1028 let start = result.values.len().saturating_sub(5);
1029 for (i, &val) in result.values[start..].iter().enumerate() {
1030 let diff = (val - expected_last_five[i]).abs();
1031 assert!(
1032 diff < 1e-6,
1033 "[{}] KURTOSIS {:?} mismatch at idx {}: got {}, expected {}",
1034 test_name,
1035 kernel,
1036 i,
1037 val,
1038 expected_last_five[i]
1039 );
1040 }
1041 Ok(())
1042 }
1043
1044 fn check_kurtosis_default_candles(
1045 test_name: &str,
1046 kernel: Kernel,
1047 ) -> Result<(), Box<dyn Error>> {
1048 skip_if_unsupported!(kernel, test_name);
1049 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1050 let candles = read_candles_from_csv(file_path)?;
1051
1052 let input = KurtosisInput::with_default_candles(&candles);
1053 match input.data {
1054 KurtosisData::Candles { source, .. } => assert_eq!(source, "hl2"),
1055 _ => panic!("Expected KurtosisData::Candles"),
1056 }
1057 let output = kurtosis_with_kernel(&input, kernel)?;
1058 assert_eq!(output.values.len(), candles.close.len());
1059
1060 Ok(())
1061 }
1062
1063 fn check_kurtosis_zero_period(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1064 skip_if_unsupported!(kernel, test_name);
1065 let input_data = [10.0, 20.0, 30.0];
1066 let params = KurtosisParams { period: Some(0) };
1067 let input = KurtosisInput::from_slice(&input_data, params);
1068 let res = kurtosis_with_kernel(&input, kernel);
1069 assert!(
1070 res.is_err(),
1071 "[{}] KURTOSIS should fail with zero period",
1072 test_name
1073 );
1074 Ok(())
1075 }
1076
1077 fn check_kurtosis_period_exceeds_length(
1078 test_name: &str,
1079 kernel: Kernel,
1080 ) -> Result<(), Box<dyn Error>> {
1081 skip_if_unsupported!(kernel, test_name);
1082 let data_small = [10.0, 20.0, 30.0];
1083 let params = KurtosisParams { period: Some(10) };
1084 let input = KurtosisInput::from_slice(&data_small, params);
1085 let res = kurtosis_with_kernel(&input, kernel);
1086 assert!(
1087 res.is_err(),
1088 "[{}] KURTOSIS should fail with period exceeding length",
1089 test_name
1090 );
1091 Ok(())
1092 }
1093
1094 fn check_kurtosis_very_small_dataset(
1095 test_name: &str,
1096 kernel: Kernel,
1097 ) -> Result<(), Box<dyn Error>> {
1098 skip_if_unsupported!(kernel, test_name);
1099 let single_point = [42.0];
1100 let params = KurtosisParams { period: Some(5) };
1101 let input = KurtosisInput::from_slice(&single_point, params);
1102 let res = kurtosis_with_kernel(&input, kernel);
1103 assert!(
1104 res.is_err(),
1105 "[{}] KURTOSIS should fail with insufficient data",
1106 test_name
1107 );
1108 Ok(())
1109 }
1110
1111 fn check_kurtosis_reinput(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1112 skip_if_unsupported!(kernel, test_name);
1113 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1114 let candles = read_candles_from_csv(file_path)?;
1115
1116 let first_params = KurtosisParams { period: Some(5) };
1117 let first_input = KurtosisInput::from_candles(&candles, "close", first_params);
1118 let first_result = kurtosis_with_kernel(&first_input, kernel)?;
1119
1120 let second_params = KurtosisParams { period: Some(5) };
1121 let second_input = KurtosisInput::from_slice(&first_result.values, second_params);
1122 let second_result = kurtosis_with_kernel(&second_input, kernel)?;
1123
1124 assert_eq!(second_result.values.len(), first_result.values.len());
1125 Ok(())
1126 }
1127
1128 fn check_kurtosis_nan_handling(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1129 skip_if_unsupported!(kernel, test_name);
1130 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1131 let candles = read_candles_from_csv(file_path)?;
1132
1133 let input =
1134 KurtosisInput::from_candles(&candles, "close", KurtosisParams { period: Some(5) });
1135 let res = kurtosis_with_kernel(&input, kernel)?;
1136 assert_eq!(res.values.len(), candles.close.len());
1137 if res.values.len() > 20 {
1138 for (i, &val) in res.values[20..].iter().enumerate() {
1139 assert!(
1140 !val.is_nan(),
1141 "[{}] Found unexpected NaN at out-index {}",
1142 test_name,
1143 20 + i
1144 );
1145 }
1146 }
1147 Ok(())
1148 }
1149
1150 fn check_kurtosis_streaming(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1151 skip_if_unsupported!(kernel, test_name);
1152 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1153 let candles = read_candles_from_csv(file_path)?;
1154
1155 let period = 5;
1156
1157 let input = KurtosisInput::from_candles(
1158 &candles,
1159 "close",
1160 KurtosisParams {
1161 period: Some(period),
1162 },
1163 );
1164 let batch_output = kurtosis_with_kernel(&input, kernel)?.values;
1165
1166 let mut stream = KurtosisStream::try_new(KurtosisParams {
1167 period: Some(period),
1168 })?;
1169 let mut stream_values = Vec::with_capacity(candles.close.len());
1170 for &price in &candles.close {
1171 match stream.update(price) {
1172 Some(kurtosis_val) => stream_values.push(kurtosis_val),
1173 None => stream_values.push(f64::NAN),
1174 }
1175 }
1176
1177 assert_eq!(batch_output.len(), stream_values.len());
1178 for (i, (&b, &s)) in batch_output.iter().zip(stream_values.iter()).enumerate() {
1179 if b.is_nan() && s.is_nan() {
1180 continue;
1181 }
1182 let diff = (b - s).abs();
1183 assert!(
1184 diff < 1e-9,
1185 "[{}] KURTOSIS streaming f64 mismatch at idx {}: batch={}, stream={}, diff={}",
1186 test_name,
1187 i,
1188 b,
1189 s,
1190 diff
1191 );
1192 }
1193 Ok(())
1194 }
1195
1196 #[cfg(debug_assertions)]
1197 fn check_kurtosis_no_poison(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1198 skip_if_unsupported!(kernel, test_name);
1199
1200 let file_path = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1201 let candles = read_candles_from_csv(file_path)?;
1202
1203 let test_params = vec![
1204 KurtosisParams::default(),
1205 KurtosisParams { period: Some(2) },
1206 KurtosisParams { period: Some(3) },
1207 KurtosisParams { period: Some(4) },
1208 KurtosisParams { period: Some(5) },
1209 KurtosisParams { period: Some(7) },
1210 KurtosisParams { period: Some(10) },
1211 KurtosisParams { period: Some(14) },
1212 KurtosisParams { period: Some(20) },
1213 KurtosisParams { period: Some(30) },
1214 KurtosisParams { period: Some(50) },
1215 KurtosisParams { period: Some(100) },
1216 KurtosisParams { period: Some(200) },
1217 KurtosisParams { period: Some(6) },
1218 KurtosisParams { period: Some(25) },
1219 KurtosisParams { period: Some(75) },
1220 ];
1221
1222 for (param_idx, params) in test_params.iter().enumerate() {
1223 let input = KurtosisInput::from_candles(&candles, "close", params.clone());
1224 let output = kurtosis_with_kernel(&input, kernel)?;
1225
1226 for (i, &val) in output.values.iter().enumerate() {
1227 if val.is_nan() {
1228 continue;
1229 }
1230
1231 let bits = val.to_bits();
1232
1233 if bits == 0x11111111_11111111 {
1234 panic!(
1235 "[{}] Found alloc_with_nan_prefix poison value {} (0x{:016X}) at index {} \
1236 with params: period={} (param set {})",
1237 test_name,
1238 val,
1239 bits,
1240 i,
1241 params.period.unwrap_or(5),
1242 param_idx
1243 );
1244 }
1245
1246 if bits == 0x22222222_22222222 {
1247 panic!(
1248 "[{}] Found init_matrix_prefixes poison value {} (0x{:016X}) at index {} \
1249 with params: period={} (param set {})",
1250 test_name,
1251 val,
1252 bits,
1253 i,
1254 params.period.unwrap_or(5),
1255 param_idx
1256 );
1257 }
1258
1259 if bits == 0x33333333_33333333 {
1260 panic!(
1261 "[{}] Found make_uninit_matrix poison value {} (0x{:016X}) at index {} \
1262 with params: period={} (param set {})",
1263 test_name,
1264 val,
1265 bits,
1266 i,
1267 params.period.unwrap_or(5),
1268 param_idx
1269 );
1270 }
1271 }
1272 }
1273
1274 Ok(())
1275 }
1276
1277 #[cfg(not(debug_assertions))]
1278 fn check_kurtosis_no_poison(_test_name: &str, _kernel: Kernel) -> Result<(), Box<dyn Error>> {
1279 Ok(())
1280 }
1281
1282 macro_rules! generate_all_kurtosis_tests {
1283 ($($test_fn:ident),*) => {
1284 paste::paste! {
1285 $(
1286 #[test]
1287 fn [<$test_fn _scalar_f64>]() {
1288 let _ = $test_fn(stringify!([<$test_fn _scalar_f64>]), Kernel::Scalar);
1289 }
1290 )*
1291 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
1292 $(
1293 #[test]
1294 fn [<$test_fn _avx2_f64>]() {
1295 let _ = $test_fn(stringify!([<$test_fn _avx2_f64>]), Kernel::Avx2);
1296 }
1297 #[test]
1298 fn [<$test_fn _avx512_f64>]() {
1299 let _ = $test_fn(stringify!([<$test_fn _avx512_f64>]), Kernel::Avx512);
1300 }
1301 )*
1302 }
1303 }
1304 }
1305
1306 #[cfg(feature = "proptest")]
1307 fn check_kurtosis_property(test_name: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1308 use proptest::prelude::*;
1309 skip_if_unsupported!(kernel, test_name);
1310
1311 let strat = (2usize..=50)
1312 .prop_flat_map(|period| {
1313 let min_len = period * 2;
1314 let max_len = 400.min(period * 20);
1315 (min_len..=max_len, Just(period))
1316 })
1317 .prop_flat_map(|(len, period)| {
1318 (
1319 proptest::collection::vec(
1320 (50.0f64..150.0f64).prop_flat_map(move |base| {
1321 let trend = (-0.01f64..0.01f64);
1322 trend.prop_flat_map(move |t| {
1323 let noise = (-2.0f64..2.0f64);
1324 noise.prop_map(move |n| base * (1.0 + t) + n)
1325 })
1326 }),
1327 len,
1328 ),
1329 Just(period),
1330 )
1331 });
1332
1333 proptest::test_runner::TestRunner::default().run(&strat, |(data, period)| {
1334 let params = KurtosisParams {
1335 period: Some(period),
1336 };
1337 let input = KurtosisInput::from_slice(&data, params.clone());
1338
1339 let result = kurtosis_with_kernel(&input, kernel)?;
1340 let scalar_result = kurtosis_with_kernel(&input, Kernel::Scalar)?;
1341
1342 prop_assert_eq!(result.values.len(), data.len(), "Output length mismatch");
1343
1344 let warmup_end = period - 1;
1345 for i in 0..warmup_end.min(data.len()) {
1346 prop_assert!(
1347 result.values[i].is_nan(),
1348 "Expected NaN during warmup at index {}",
1349 i
1350 );
1351 }
1352
1353 for i in warmup_end..data.len() {
1354 let window_start = i + 1 - period;
1355 let window = &data[window_start..=i];
1356 let has_nan = window.iter().any(|x| x.is_nan());
1357
1358 if has_nan {
1359 prop_assert!(
1360 result.values[i].is_nan(),
1361 "Expected NaN when window contains NaN at index {}",
1362 i
1363 );
1364 } else {
1365 prop_assert!(
1366 result.values[i].is_finite() || result.values[i].is_nan(),
1367 "Expected finite or NaN value at index {}, got {}",
1368 i,
1369 result.values[i]
1370 );
1371 }
1372 }
1373
1374 for i in warmup_end..data.len() {
1375 let val = result.values[i];
1376 let scalar_val = scalar_result.values[i];
1377
1378 if val.is_nan() && scalar_val.is_nan() {
1379 continue;
1380 }
1381
1382 if val.is_finite() && scalar_val.is_finite() {
1383 let val_bits = val.to_bits();
1384 let scalar_bits = scalar_val.to_bits();
1385 let ulp_diff = val_bits.abs_diff(scalar_bits);
1386
1387 prop_assert!(
1388 (val - scalar_val).abs() <= 1e-9 || ulp_diff <= 5,
1389 "Kernel mismatch at index {}: {} vs {} (ULP diff: {})",
1390 i,
1391 val,
1392 scalar_val,
1393 ulp_diff
1394 );
1395 } else {
1396 prop_assert_eq!(
1397 val.is_nan(),
1398 scalar_val.is_nan(),
1399 "NaN mismatch at index {}",
1400 i
1401 );
1402 }
1403 }
1404
1405 let constant_data = vec![42.0; data.len()];
1406 let constant_input = KurtosisInput::from_slice(&constant_data, params.clone());
1407 let constant_result = kurtosis_with_kernel(&constant_input, kernel)?;
1408
1409 for i in warmup_end..constant_data.len() {
1410 prop_assert!(
1411 constant_result.values[i].is_nan(),
1412 "Expected NaN for constant values at index {}, got {}",
1413 i,
1414 constant_result.values[i]
1415 );
1416 }
1417
1418 if period >= 30 && data.len() >= 100 {
1419 let stable_start = data.len() / 4;
1420 let stable_end = data.len() * 3 / 4;
1421 let stable_kurtosis: Vec<f64> = result.values[stable_start..stable_end]
1422 .iter()
1423 .filter(|x| x.is_finite())
1424 .copied()
1425 .collect();
1426
1427 if stable_kurtosis.len() > 10 {
1428 let mean_kurtosis =
1429 stable_kurtosis.iter().sum::<f64>() / stable_kurtosis.len() as f64;
1430
1431 prop_assert!(
1432 mean_kurtosis >= -0.5 && mean_kurtosis <= 0.5,
1433 "Mean kurtosis {} outside expected range [-0.5, 0.5] for pseudo-normal data", mean_kurtosis
1434 );
1435 }
1436 }
1437
1438 for i in warmup_end..data.len() {
1439 if result.values[i].is_finite() {
1440 prop_assert!(
1441 result.values[i] >= -2.0 - 1e-10,
1442 "Kurtosis {} at index {} violates theoretical minimum of -2.0",
1443 result.values[i],
1444 i
1445 );
1446 }
1447 }
1448
1449 if data.len() > period * 2 && period >= 3 {
1450 let mut outlier_data = data.clone();
1451 let mid = data.len() / 2;
1452 if mid >= period {
1453 let window_start = mid - period + 1;
1454 let window = &data[window_start..=mid];
1455 let mean = window.iter().sum::<f64>() / period as f64;
1456 let variance =
1457 window.iter().map(|x| (x - mean).powi(2)).sum::<f64>() / period as f64;
1458 let std_dev = variance.sqrt();
1459
1460 outlier_data[mid] = mean + std_dev * 10.0;
1461
1462 let outlier_input = KurtosisInput::from_slice(&outlier_data, params.clone());
1463 let outlier_result = kurtosis_with_kernel(&outlier_input, kernel)?;
1464
1465 if result.values[mid].is_finite()
1466 && outlier_result.values[mid].is_finite()
1467 && std_dev > 0.01
1468 {
1469 prop_assert!(
1470 outlier_result.values[mid] > result.values[mid],
1471 "Outlier should increase kurtosis: original {}, with outlier {}",
1472 result.values[mid],
1473 outlier_result.values[mid]
1474 );
1475
1476 let kurtosis_increase = outlier_result.values[mid] - result.values[mid];
1477 prop_assert!(
1478 kurtosis_increase > 0.5,
1479 "Outlier should substantially increase kurtosis: increase of {} is too small",
1480 kurtosis_increase
1481 );
1482 }
1483 }
1484 }
1485
1486 if period >= 4 {
1487 let uniform_data: Vec<f64> = (0..data.len())
1488 .map(|i| {
1489 let base = (i / period) as f64 * 10.0;
1490
1491 base + ((i % period) as f64) * 0.001
1492 })
1493 .collect();
1494
1495 let uniform_input = KurtosisInput::from_slice(&uniform_data, params.clone());
1496 let uniform_result = kurtosis_with_kernel(&uniform_input, kernel)?;
1497
1498 let check_start = warmup_end + period;
1499 let check_end = (check_start + 5).min(uniform_data.len());
1500
1501 for i in check_start..check_end {
1502 if uniform_result.values[i].is_finite() {
1503 prop_assert!(
1504 uniform_result.values[i] < 0.0,
1505 "Nearly uniform distribution should have negative excess kurtosis at index {}, got {}",
1506 i, uniform_result.values[i]
1507 );
1508 }
1509 }
1510 }
1511
1512 Ok(())
1513 })?;
1514
1515 Ok(())
1516 }
1517
1518 generate_all_kurtosis_tests!(
1519 check_kurtosis_partial_params,
1520 check_kurtosis_accuracy,
1521 check_kurtosis_default_candles,
1522 check_kurtosis_zero_period,
1523 check_kurtosis_period_exceeds_length,
1524 check_kurtosis_very_small_dataset,
1525 check_kurtosis_reinput,
1526 check_kurtosis_nan_handling,
1527 check_kurtosis_streaming,
1528 check_kurtosis_no_poison
1529 );
1530
1531 #[cfg(feature = "proptest")]
1532 generate_all_kurtosis_tests!(check_kurtosis_property);
1533
1534 fn check_batch_default_row(test: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1535 skip_if_unsupported!(kernel, test);
1536
1537 let file = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1538 let c = read_candles_from_csv(file)?;
1539
1540 let output = KurtosisBatchBuilder::new()
1541 .kernel(kernel)
1542 .apply_candles(&c, "hl2")?;
1543
1544 let def = KurtosisParams::default();
1545 let row = output.values_for(&def).expect("default row missing");
1546
1547 assert_eq!(row.len(), c.close.len());
1548
1549 let expected = [
1550 -0.5438903789933454,
1551 -1.6848139264816433,
1552 -1.6331336745945797,
1553 -0.6130805596586351,
1554 -0.027802601135927585,
1555 ];
1556 let start = row.len() - 5;
1557 for (i, &v) in row[start..].iter().enumerate() {
1558 assert!(
1559 (v - expected[i]).abs() < 1e-6,
1560 "[{test}] default-row mismatch at idx {i}: {v} vs {expected:?}"
1561 );
1562 }
1563 Ok(())
1564 }
1565
1566 #[cfg(debug_assertions)]
1567 fn check_batch_no_poison(test: &str, kernel: Kernel) -> Result<(), Box<dyn Error>> {
1568 skip_if_unsupported!(kernel, test);
1569
1570 let file = "src/data/2018-09-01-2024-Bitfinex_Spot-4h.csv";
1571 let c = read_candles_from_csv(file)?;
1572 let data = source_type(&c, "close");
1573
1574 let test_configs = vec![
1575 (2, 10, 2),
1576 (5, 25, 5),
1577 (30, 60, 15),
1578 (2, 5, 1),
1579 (10, 20, 2),
1580 (20, 50, 10),
1581 (5, 5, 0),
1582 ];
1583
1584 for (cfg_idx, &(p_start, p_end, p_step)) in test_configs.iter().enumerate() {
1585 let output = KurtosisBatchBuilder::new()
1586 .kernel(kernel)
1587 .period_range(p_start, p_end, p_step)
1588 .apply_slice(data)?;
1589
1590 for (idx, &val) in output.values.iter().enumerate() {
1591 if val.is_nan() {
1592 continue;
1593 }
1594
1595 let bits = val.to_bits();
1596 let row = idx / output.cols;
1597 let col = idx % output.cols;
1598 let combo = &output.combos[row];
1599
1600 if bits == 0x11111111_11111111 {
1601 panic!(
1602 "[{}] Config {}: Found alloc_with_nan_prefix poison value {} (0x{:016X}) \
1603 at row {} col {} (flat index {}) with params: period={}",
1604 test,
1605 cfg_idx,
1606 val,
1607 bits,
1608 row,
1609 col,
1610 idx,
1611 combo.period.unwrap_or(5)
1612 );
1613 }
1614
1615 if bits == 0x22222222_22222222 {
1616 panic!(
1617 "[{}] Config {}: Found init_matrix_prefixes poison value {} (0x{:016X}) \
1618 at row {} col {} (flat index {}) with params: period={}",
1619 test,
1620 cfg_idx,
1621 val,
1622 bits,
1623 row,
1624 col,
1625 idx,
1626 combo.period.unwrap_or(5)
1627 );
1628 }
1629
1630 if bits == 0x33333333_33333333 {
1631 panic!(
1632 "[{}] Config {}: Found make_uninit_matrix poison value {} (0x{:016X}) \
1633 at row {} col {} (flat index {}) with params: period={}",
1634 test,
1635 cfg_idx,
1636 val,
1637 bits,
1638 row,
1639 col,
1640 idx,
1641 combo.period.unwrap_or(5)
1642 );
1643 }
1644 }
1645 }
1646
1647 Ok(())
1648 }
1649
1650 #[cfg(not(debug_assertions))]
1651 fn check_batch_no_poison(_test: &str, _kernel: Kernel) -> Result<(), Box<dyn Error>> {
1652 Ok(())
1653 }
1654
1655 macro_rules! gen_batch_tests {
1656 ($fn_name:ident) => {
1657 paste::paste! {
1658 #[test] fn [<$fn_name _scalar>]() {
1659 let _ = $fn_name(stringify!([<$fn_name _scalar>]), Kernel::ScalarBatch);
1660 }
1661 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
1662 #[test] fn [<$fn_name _avx2>]() {
1663 let _ = $fn_name(stringify!([<$fn_name _avx2>]), Kernel::Avx2Batch);
1664 }
1665 #[cfg(all(feature = "nightly-avx", target_arch = "x86_64"))]
1666 #[test] fn [<$fn_name _avx512>]() {
1667 let _ = $fn_name(stringify!([<$fn_name _avx512>]), Kernel::Avx512Batch);
1668 }
1669 #[test] fn [<$fn_name _auto_detect>]() {
1670 let _ = $fn_name(stringify!([<$fn_name _auto_detect>]), Kernel::Auto);
1671 }
1672 }
1673 };
1674 }
1675 gen_batch_tests!(check_batch_default_row);
1676 gen_batch_tests!(check_batch_no_poison);
1677}
1678
1679#[cfg(feature = "python")]
1680#[pyfunction(name = "kurtosis")]
1681#[pyo3(signature = (data, period, kernel=None))]
1682pub fn kurtosis_py<'py>(
1683 py: Python<'py>,
1684 data: PyReadonlyArray1<'py, f64>,
1685 period: usize,
1686 kernel: Option<&str>,
1687) -> PyResult<Bound<'py, PyArray1<f64>>> {
1688 use numpy::{IntoPyArray, PyArrayMethods};
1689
1690 let slice_in = data.as_slice()?;
1691 let kern = validate_kernel(kernel, false)?;
1692
1693 let params = KurtosisParams {
1694 period: Some(period),
1695 };
1696 let input = KurtosisInput::from_slice(slice_in, params);
1697
1698 let result_vec: Vec<f64> = py
1699 .allow_threads(|| kurtosis_with_kernel(&input, kern).map(|o| o.values))
1700 .map_err(|e| PyValueError::new_err(e.to_string()))?;
1701
1702 Ok(result_vec.into_pyarray(py))
1703}
1704
1705#[cfg(feature = "python")]
1706#[pyclass(name = "KurtosisStream")]
1707pub struct KurtosisStreamPy {
1708 stream: KurtosisStream,
1709}
1710
1711#[cfg(feature = "python")]
1712#[pymethods]
1713impl KurtosisStreamPy {
1714 #[new]
1715 fn new(period: usize) -> PyResult<Self> {
1716 let params = KurtosisParams {
1717 period: Some(period),
1718 };
1719 let stream =
1720 KurtosisStream::try_new(params).map_err(|e| PyValueError::new_err(e.to_string()))?;
1721 Ok(KurtosisStreamPy { stream })
1722 }
1723
1724 fn update(&mut self, value: f64) -> Option<f64> {
1725 self.stream.update(value)
1726 }
1727}
1728
1729#[cfg(feature = "python")]
1730#[pyfunction(name = "kurtosis_batch")]
1731#[pyo3(signature = (data, period_range, kernel=None))]
1732pub fn kurtosis_batch_py<'py>(
1733 py: Python<'py>,
1734 data: PyReadonlyArray1<'py, f64>,
1735 period_range: (usize, usize, usize),
1736 kernel: Option<&str>,
1737) -> PyResult<Bound<'py, PyDict>> {
1738 use numpy::{IntoPyArray, PyArray1, PyArrayMethods};
1739 use pyo3::types::PyDict;
1740
1741 let slice_in = data.as_slice()?;
1742 let kern = validate_kernel(kernel, true)?;
1743
1744 let sweep = KurtosisBatchRange {
1745 period: period_range,
1746 };
1747
1748 let combos = expand_grid(&sweep).map_err(|e| PyValueError::new_err(e.to_string()))?;
1749 let rows = combos.len();
1750 let cols = slice_in.len();
1751
1752 let expected = rows
1753 .checked_mul(cols)
1754 .ok_or_else(|| PyValueError::new_err("kurtosis: rows*cols overflow"))?;
1755 let out_arr = unsafe { PyArray1::<f64>::new(py, [expected], false) };
1756 let slice_out = unsafe { out_arr.as_slice_mut()? };
1757
1758 let combos = py
1759 .allow_threads(|| {
1760 let kernel = match kern {
1761 Kernel::Auto => detect_best_batch_kernel(),
1762 k => k,
1763 };
1764 let simd = match kernel {
1765 Kernel::Avx512Batch => Kernel::Avx512,
1766 Kernel::Avx2Batch => Kernel::Avx2,
1767 Kernel::ScalarBatch => Kernel::Scalar,
1768 _ => unreachable!(),
1769 };
1770 kurtosis_batch_inner_into(slice_in, &sweep, simd, true, slice_out)
1771 })
1772 .map_err(|e| PyValueError::new_err(e.to_string()))?;
1773
1774 let dict = PyDict::new(py);
1775 dict.set_item("values", out_arr.reshape((rows, cols))?)?;
1776 dict.set_item(
1777 "periods",
1778 combos
1779 .iter()
1780 .map(|p| p.period.unwrap() as u64)
1781 .collect::<Vec<_>>()
1782 .into_pyarray(py),
1783 )?;
1784
1785 Ok(dict)
1786}
1787
1788#[cfg(all(feature = "python", feature = "cuda"))]
1789#[pyfunction(name = "kurtosis_cuda_batch_dev")]
1790#[pyo3(signature = (data_f32, period_range, device_id=0))]
1791pub fn kurtosis_cuda_batch_dev_py(
1792 py: Python<'_>,
1793 data_f32: numpy::PyReadonlyArray1<'_, f32>,
1794 period_range: (usize, usize, usize),
1795 device_id: usize,
1796) -> PyResult<DeviceArrayF32Py> {
1797 use crate::cuda::cuda_available;
1798 use crate::cuda::kurtosis_wrapper::CudaKurtosis;
1799 if !cuda_available() {
1800 return Err(PyValueError::new_err("CUDA not available"));
1801 }
1802 let slice_in = data_f32.as_slice()?;
1803 let sweep = KurtosisBatchRange {
1804 period: period_range,
1805 };
1806 let inner = py.allow_threads(|| {
1807 let cuda =
1808 CudaKurtosis::new(device_id).map_err(|e| PyValueError::new_err(e.to_string()))?;
1809 let (dev, _combos) = cuda
1810 .kurtosis_batch_dev(slice_in, &sweep)
1811 .map_err(|e| PyValueError::new_err(e.to_string()))?;
1812 Ok::<_, PyErr>(dev)
1813 })?;
1814 let handle = make_device_array_py(device_id, inner)?;
1815 Ok(handle)
1816}
1817
1818#[cfg(all(feature = "python", feature = "cuda"))]
1819#[pyfunction(name = "kurtosis_cuda_many_series_one_param_dev")]
1820#[pyo3(signature = (data_tm_f32, period, device_id=0))]
1821pub fn kurtosis_cuda_many_series_one_param_dev_py(
1822 py: Python<'_>,
1823 data_tm_f32: numpy::PyReadonlyArray2<'_, f32>,
1824 period: usize,
1825 device_id: usize,
1826) -> PyResult<DeviceArrayF32Py> {
1827 use crate::cuda::cuda_available;
1828 use crate::cuda::kurtosis_wrapper::CudaKurtosis;
1829 if !cuda_available() {
1830 return Err(PyValueError::new_err("CUDA not available"));
1831 }
1832 let shape = data_tm_f32.shape();
1833 if shape.len() != 2 {
1834 return Err(PyValueError::new_err("expected 2D time-major array"));
1835 }
1836 let rows = shape[0];
1837 let cols = shape[1];
1838 let slice_in = data_tm_f32.as_slice()?;
1839 let inner = py.allow_threads(|| {
1840 let cuda =
1841 CudaKurtosis::new(device_id).map_err(|e| PyValueError::new_err(e.to_string()))?;
1842 let dev = cuda
1843 .kurtosis_many_series_one_param_time_major_dev(slice_in, cols, rows, period)
1844 .map_err(|e| PyValueError::new_err(e.to_string()))?;
1845 Ok::<_, PyErr>(dev)
1846 })?;
1847 let handle = make_device_array_py(device_id, inner)?;
1848 Ok(handle)
1849}
1850
1851#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1852#[wasm_bindgen]
1853pub fn kurtosis_js(data: &[f64], period: usize) -> Result<Vec<f64>, JsValue> {
1854 let params = KurtosisParams {
1855 period: Some(period),
1856 };
1857 let input = KurtosisInput::from_slice(data, params);
1858
1859 let mut output = vec![0.0; data.len()];
1860
1861 kurtosis_into_slice(&mut output, &input, Kernel::Auto)
1862 .map_err(|e| JsValue::from_str(&e.to_string()))?;
1863
1864 Ok(output)
1865}
1866
1867#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1868#[wasm_bindgen]
1869pub fn kurtosis_alloc(len: usize) -> *mut f64 {
1870 let mut vec = Vec::<f64>::with_capacity(len);
1871 let ptr = vec.as_mut_ptr();
1872 std::mem::forget(vec);
1873 ptr
1874}
1875
1876#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1877#[wasm_bindgen]
1878pub fn kurtosis_free(ptr: *mut f64, len: usize) {
1879 if !ptr.is_null() {
1880 unsafe {
1881 let _ = Vec::from_raw_parts(ptr, len, len);
1882 }
1883 }
1884}
1885
1886#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1887#[wasm_bindgen]
1888pub fn kurtosis_into(
1889 in_ptr: *const f64,
1890 out_ptr: *mut f64,
1891 len: usize,
1892 period: usize,
1893) -> Result<(), JsValue> {
1894 if in_ptr.is_null() || out_ptr.is_null() {
1895 return Err(JsValue::from_str("null pointer passed to kurtosis_into"));
1896 }
1897
1898 unsafe {
1899 let data = std::slice::from_raw_parts(in_ptr, len);
1900
1901 if period == 0 || period > len {
1902 return Err(JsValue::from_str("Invalid period"));
1903 }
1904
1905 let params = KurtosisParams {
1906 period: Some(period),
1907 };
1908 let input = KurtosisInput::from_slice(data, params);
1909
1910 if in_ptr == out_ptr {
1911 let mut temp = vec![0.0; len];
1912 kurtosis_into_slice(&mut temp, &input, Kernel::Auto)
1913 .map_err(|e| JsValue::from_str(&e.to_string()))?;
1914 let out = std::slice::from_raw_parts_mut(out_ptr, len);
1915 out.copy_from_slice(&temp);
1916 } else {
1917 let out = std::slice::from_raw_parts_mut(out_ptr, len);
1918 kurtosis_into_slice(out, &input, Kernel::Auto)
1919 .map_err(|e| JsValue::from_str(&e.to_string()))?;
1920 }
1921
1922 Ok(())
1923 }
1924}
1925
1926#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1927#[derive(Serialize, Deserialize)]
1928pub struct KurtosisBatchConfig {
1929 pub period_range: (usize, usize, usize),
1930}
1931
1932#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1933#[derive(Serialize, Deserialize)]
1934pub struct KurtosisBatchJsOutput {
1935 pub values: Vec<f64>,
1936 pub combos: Vec<KurtosisParams>,
1937 pub periods: Vec<usize>,
1938 pub rows: usize,
1939 pub cols: usize,
1940}
1941
1942#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1943#[wasm_bindgen(js_name = kurtosis_batch)]
1944pub fn kurtosis_batch_unified_js(data: &[f64], config: JsValue) -> Result<JsValue, JsValue> {
1945 let config: KurtosisBatchConfig = serde_wasm_bindgen::from_value(config)
1946 .map_err(|e| JsValue::from_str(&format!("Invalid config: {}", e)))?;
1947
1948 let sweep = KurtosisBatchRange {
1949 period: config.period_range,
1950 };
1951
1952 let output = kurtosis_batch_with_kernel(data, &sweep, Kernel::Auto)
1953 .map_err(|e| JsValue::from_str(&e.to_string()))?;
1954
1955 let js_output = KurtosisBatchJsOutput {
1956 values: output.values,
1957 periods: output.combos.iter().map(|c| c.period.unwrap()).collect(),
1958 combos: output.combos,
1959 rows: output.rows,
1960 cols: output.cols,
1961 };
1962
1963 serde_wasm_bindgen::to_value(&js_output)
1964 .map_err(|e| JsValue::from_str(&format!("Serialization error: {}", e)))
1965}
1966
1967#[cfg(all(target_arch = "wasm32", feature = "wasm"))]
1968#[wasm_bindgen]
1969pub fn kurtosis_batch_into(
1970 in_ptr: *const f64,
1971 out_ptr: *mut f64,
1972 len: usize,
1973 period_start: usize,
1974 period_end: usize,
1975 period_step: usize,
1976) -> Result<usize, JsValue> {
1977 if in_ptr.is_null() || out_ptr.is_null() {
1978 return Err(JsValue::from_str(
1979 "null pointer passed to kurtosis_batch_into",
1980 ));
1981 }
1982
1983 unsafe {
1984 let data = std::slice::from_raw_parts(in_ptr, len);
1985
1986 let sweep = KurtosisBatchRange {
1987 period: (period_start, period_end, period_step),
1988 };
1989
1990 let combos = expand_grid(&sweep).map_err(|e| JsValue::from_str(&e.to_string()))?;
1991 let rows = combos.len();
1992 let cols = len;
1993
1994 let expected = rows.checked_mul(cols).ok_or_else(|| {
1995 JsValue::from_str(
1996 &KurtosisError::InvalidRange {
1997 start: rows.to_string(),
1998 end: cols.to_string(),
1999 step: "rows*cols".into(),
2000 }
2001 .to_string(),
2002 )
2003 })?;
2004 let out = std::slice::from_raw_parts_mut(out_ptr, expected);
2005
2006 let kernel = detect_best_kernel();
2007 kurtosis_batch_inner_into(data, &sweep, kernel, false, out)
2008 .map_err(|e| JsValue::from_str(&e.to_string()))?;
2009
2010 Ok(rows)
2011 }
2012}