QuanTAlib/archive/Calculations/_Updated/DWMA_Series.cs

namespace QuanTAlib;

using System;
using System.Collections.Generic;
using System.Threading.Tasks;

/* <summary>
DWMA: Double Weighted Moving Average
    The weights are decreasing over the period with p^2 decay
		and the most recent data has the heaviest weight.

</summary> */

public class DWMA_Series : TSeries {
    private readonly List<double> _buffer = new();
    private List<double> _weights;
    protected readonly int _period;
    protected readonly bool _NaN;
    protected readonly TSeries _data;
    protected int _len;

    //core constructors
    public DWMA_Series(int period, bool useNaN) {
        _period = period;
        _NaN = useNaN;
        Name = $"DWMA({period})";
        _len = 0;
        _weights = CalculateWeights(_period);
    }

    public DWMA_Series(TSeries source, int period, bool useNaN) : this(period, useNaN) {
        _data = source;
        Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
        _data.Pub += Sub;
        Add(_data);
    }

    public DWMA_Series() : this(0, false) {
    }

    public DWMA_Series(int period) : this(period, false) {
    }

    public DWMA_Series(TBars source) : this(source.Close, 0, false) {
    }

    public DWMA_Series(TBars source, int period) : this(source.Close, period, false) {
    }

    public DWMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) {
    }

    public DWMA_Series(TSeries source, int period) : this(source, period, false) {
    }

    //////////////////
    // core Add() algo
    public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
        BufferTrim(_buffer, TValue.v, _period, update);
        if (_period == 0) {
            _len++;
            _weights = CalculateWeights(_len);
        }

        double _dwma = 0, _wsum = 0;
        var bufferCount = _buffer.Count;

        var lockObj = new object();
        Parallel.For(0, bufferCount, i => {
            var temp = _buffer[i] * _weights[i];
            lock (lockObj) {
                _dwma += temp;
                _wsum += _weights[i];
            }
        });
        _dwma /= _wsum;
        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _dwma);
        return base.Add(res, update);
    }

    public override (DateTime t, double v) Add(TSeries data) {
        if (data == null) {
            return (DateTime.Today, double.NaN);
        }

        foreach (var item in data) {
            Add(item, false);
        }

        return _data.Last;
    }

    public (DateTime t, double v) Add(bool update) {
        return Add(_data.Last, update);
    }

    public (DateTime t, double v) Add() {
        return Add(_data.Last, false);
    }

    private new void Sub(object source, TSeriesEventArgs e) {
        Add(_data.Last, e.update);
    }

    //calculating weights
    private static List<double> CalculateWeights(int period) {
        var weights = new List<double>(period);
        for (var i = 0; i < period; i++) {
            weights.Add((i + 1) * (i + 1));
        }

        return weights;
    }

    //reset calculation
    public override void Reset() {
        _len = 0;
        _buffer.Clear();
        _weights = CalculateWeights(_period);
    }
}