QuanTAlib/archive/Calculations/_Updated/EMA_Series.cs

namespace QuanTAlib;

using System;
using System.Linq;

/* <summary>
EMA: Exponential Moving Average
    EMA needs very short history buffer and calculates the EMA value using just the
    previous EMA value. The weight of the new datapoint (k) is k = 2 / (period-1)

Sources:
    https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
    https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
    https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA

Issues:
    There is no consensus what the first EMA value should be - a zero, a first
    datapoint, or an average of the initial Period bars. All three starting methods
    converge within 20+ bars to the same moving average. Most implementations (including this one)
    use SMA() for the first Period bars as a seeding value for EMA.

</summary> */

public class EMA_Series : TSeries {
    private double _k;
    private double _lastema, _oldema;
    private double _sum, _oldsum;
    private int _len;
    private readonly bool _useSMA;
    protected readonly int _period;
    protected readonly bool _NaN;
    protected readonly TSeries _data;

    //core constructors

    public EMA_Series(int period, bool useNaN, bool useSMA) {
        _period = period;
        _NaN = useNaN;
        _useSMA = useSMA;
        Name = $"EMA({period})";
        _k = 2.0 / (_period + 1);
        _len = 0;
        _sum = _oldsum = _lastema = _oldema = 0;
    }
    public EMA_Series(TSeries source, int period, bool useNaN, bool useSMA) : this(period, useNaN, useSMA) {
        _data = source;
        Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
        _data.Pub += Sub;
        Add(_data);
    }
    public EMA_Series() : this(0, false, true) { }
    public EMA_Series(int period) : this(period, false, true) { }
    public EMA_Series(TBars source) : this(source.Close, 0, false) { }
    public EMA_Series(TBars source, int period) : this(source.Close, period, false) { }
    public EMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, useNaN) { }
    public EMA_Series(TSeries source, int period) : this(source, period, false, true) { }
    public EMA_Series(TSeries source, int period, bool useNaN) : this(source, period, useNaN, true) { }


    //////////////////
    // core Add() algo
    public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
        if (update) {
            _lastema = _oldema;
            _sum = _oldsum;
        } else {
            _oldema = _lastema;
            _oldsum = _sum;
            _len++;
        }

        double _ema = 0;
        if (_period == 0) {
            _k = 2.0 / (_len + 1);
        }

        if (Count == 0) {
            _ema = _sum = TValue.v;
        } else if (_len <= _period && _useSMA && _period != 0) {
            _sum += TValue.v;
            if (_period != 0 && _len > _period) {
                _sum -= _data[Count - _period - (update ? 1 : 0)].v;
            }

            _ema = _sum / Math.Min(_len, _period);
        } else {
            _ema = _k * (TValue.v - _lastema) + _lastema;
        }

        _lastema = double.IsNaN(_ema) ? _lastema : _ema;

        var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : _ema);
        return base.Add(res, update);
    }

    //variation of Add()
    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 this.Add(TValue: _data.Last, update: update);
    }
    public (DateTime t, double v) Add() {
        return Add(TValue: _data.Last, update: false);
    }
    private new void Sub(object source, TSeriesEventArgs e) {
        Add(TValue: _data.Last, update: e.update);
    }

    //reset calculation
    public override void Reset() {
        _sum = _oldsum = _lastema = _oldema = 0;
        _len = 0;
    }
}