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https://github.com/mihakralj/QuanTAlib.git
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feat: add new indicators (Decay, Edecay, MinusDi, MinusDm, PlusDi, PlusDm, Maxindex, Minindex, Sarext) and update pine scripts, core libs, validation tests, and python bindings
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@@ -45,6 +45,7 @@ public sealed class Correlation : AbstractBase
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private const int ResyncInterval = 1000;
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private const double Epsilon = 1e-10;
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/// <inheritdoc />
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public override bool IsHot => _bufferX.Count >= WarmupPeriod;
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/// <summary>
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@@ -108,16 +109,23 @@ public sealed class Correlation : AbstractBase
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/// <summary>
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/// Updates with raw double values.
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/// </summary>
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/// <remarks>
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/// Stamps both inputs with <c>DateTime.UtcNow</c> as their timestamp. For
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/// deterministic or replay-safe sequences use
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/// <see cref="Update(TValue, TValue, bool)"/> with explicit timestamps instead.
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/// </remarks>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(double seriesX, double seriesY, bool isNew = true)
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{
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return Update(new TValue(DateTime.MinValue, seriesX), new TValue(DateTime.MinValue, seriesY), isNew);
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return Update(new TValue(DateTime.UtcNow, seriesX), new TValue(DateTime.UtcNow, seriesY), isNew);
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}
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/// <summary>Not supported. This indicator requires two inputs; use <see cref="Update(TValue, TValue, bool)"/> instead.</summary>
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/// <remarks>Not supported for bi-input indicator. Use Update(seriesX, seriesY) instead.</remarks>
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public override TValue Update(TValue input, bool isNew = true)
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{
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throw new NotSupportedException("Correlation requires two inputs (seriesX and seriesY). Use Update(seriesX, seriesY).");
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}
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/// <summary>Not supported. This indicator requires two inputs; use <see cref="Batch(TSeries, TSeries, int)"/> instead.</summary>
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/// <remarks>Not supported for bi-input indicator. Use Calculate(seriesX, seriesY, period) instead.</remarks>
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public override TSeries Update(TSeries source)
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{
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@@ -259,11 +267,13 @@ public sealed class Correlation : AbstractBase
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_sumXY = FusedMultiplyAdd(x, y, _sumXY);
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}
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}
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/// <summary>Not supported. This indicator requires two input spans.</summary>
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public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
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{
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throw new NotSupportedException("Correlation requires two inputs.");
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}
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/// <inheritdoc />
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public override void Reset()
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{
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_bufferX.Clear();
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@@ -323,6 +333,9 @@ public sealed class Correlation : AbstractBase
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}
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}
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/// <summary>
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/// Calculates Pearson correlation for two time series and returns both the result series and the live indicator instance.
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/// </summary>
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public static (TSeries Results, Correlation Indicator) Calculate(TSeries seriesX, TSeries seriesY, int period = 20)
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{
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if (seriesX.Count != seriesY.Count)
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@@ -1,4 +1,4 @@
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// The MIT License (MIT)
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// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Pearson's Correlation (CORRELATION)", "CORRELATION", overlay=false)
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