mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-25 22:08:05 +00:00
@@ -19,7 +19,7 @@ public class PSDEV_chart : Indicator
|
|||||||
private TBars bars;
|
private TBars bars;
|
||||||
|
|
||||||
///////dotnet
|
///////dotnet
|
||||||
private PSDEV_Series indicator;
|
private SDEV_Series indicator;
|
||||||
///////
|
///////
|
||||||
|
|
||||||
public PSDEV_chart()
|
public PSDEV_chart()
|
||||||
|
|||||||
@@ -19,7 +19,7 @@ public class SDEV_chart : Indicator
|
|||||||
private TBars bars;
|
private TBars bars;
|
||||||
|
|
||||||
///////dotnet
|
///////dotnet
|
||||||
private SDEV_Series indicator;
|
private SSDEV_Series indicator;
|
||||||
///////
|
///////
|
||||||
|
|
||||||
public SDEV_chart()
|
public SDEV_chart()
|
||||||
|
|||||||
@@ -113,7 +113,7 @@ public class Alphavantage_Feed : TBars
|
|||||||
{
|
{
|
||||||
Interval.Month => "_MONTHLY",
|
Interval.Month => "_MONTHLY",
|
||||||
Interval.Week => "_WEEKLY",
|
Interval.Week => "_WEEKLY",
|
||||||
Interval.Day => "_DAILY",
|
Interval.Day => "_DAILY_ADJUSTED",
|
||||||
Interval.Hour => "_INTRADAY&interval=60min",
|
Interval.Hour => "_INTRADAY&interval=60min",
|
||||||
Interval.Min30 => "_INTRADAY&interval=30min",
|
Interval.Min30 => "_INTRADAY&interval=30min",
|
||||||
Interval.Min15 => "_INTRADAY&interval=15min",
|
Interval.Min15 => "_INTRADAY&interval=15min",
|
||||||
|
|||||||
@@ -1,44 +0,0 @@
|
|||||||
namespace QuanTAlib;
|
|
||||||
using System;
|
|
||||||
|
|
||||||
/* <summary>
|
|
||||||
PSDEV: Population Standard Deviation
|
|
||||||
Population Standard Deviation is the square root of the biased variance, also knons as
|
|
||||||
Uncorrected Sample Standard Deviation
|
|
||||||
|
|
||||||
Sources:
|
|
||||||
https://en.wikipedia.org/wiki/Standard_deviation#Uncorrected_sample_standard_deviation
|
|
||||||
|
|
||||||
Remark:
|
|
||||||
PSDEV (Population Standard Deviation) is also known as a biased/uncorrected Standard Deviation.
|
|
||||||
For unbiased version that uses Bessel's correction, use SDEV instead.
|
|
||||||
|
|
||||||
</summary> */
|
|
||||||
|
|
||||||
public class PSDEV_Series : Single_TSeries_Indicator
|
|
||||||
{
|
|
||||||
public PSDEV_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
|
|
||||||
{
|
|
||||||
if (base._data.Count > 0) { base.Add(base._data); }
|
|
||||||
}
|
|
||||||
private readonly System.Collections.Generic.List<double> _buffer = new();
|
|
||||||
|
|
||||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
|
||||||
{
|
|
||||||
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
|
|
||||||
else { _buffer.Add(TValue.v); }
|
|
||||||
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
|
|
||||||
|
|
||||||
double _sma = 0;
|
|
||||||
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
|
|
||||||
_sma /= this._buffer.Count;
|
|
||||||
|
|
||||||
double _pvar = 0;
|
|
||||||
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
|
|
||||||
_pvar /= this._buffer.Count;
|
|
||||||
double _psdev = Math.Sqrt(_pvar);
|
|
||||||
|
|
||||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _psdev);
|
|
||||||
base.Add(result, update);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
@@ -2,17 +2,17 @@
|
|||||||
using System;
|
using System;
|
||||||
|
|
||||||
/* <summary>
|
/* <summary>
|
||||||
SDEV: (Corrected) Sample Standard Deviation
|
SDEV: Population Standard Deviation
|
||||||
Sample Standard Deviaton uses Bessel's correction to correct the bias in the variance.
|
Population Standard Deviation is the square root of the biased variance, also knons as
|
||||||
|
Uncorrected Sample Standard Deviation
|
||||||
|
|
||||||
Sources:
|
Sources:
|
||||||
https://en.wikipedia.org/wiki/Standard_deviation#Corrected_sample_standard_deviation
|
https://en.wikipedia.org/wiki/Standard_deviation#Uncorrected_sample_standard_deviation
|
||||||
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
|
|
||||||
|
|
||||||
Remark:
|
Remark:
|
||||||
SSDEV (Sample Standard Deviation) is also known as a unbiased/corrected Standard Deviation.
|
SDEV (Population Standard Deviation) is also known as a biased/uncorrected Standard Deviation.
|
||||||
For a population/biased/uncorrected Standard Deviation, use PSDEV instead
|
For unbiased version that uses Bessel's correction, use SDEV instead.
|
||||||
|
|
||||||
</summary> */
|
</summary> */
|
||||||
|
|
||||||
public class SDEV_Series : Single_TSeries_Indicator
|
public class SDEV_Series : Single_TSeries_Indicator
|
||||||
@@ -25,20 +25,20 @@ public class SDEV_Series : Single_TSeries_Indicator
|
|||||||
|
|
||||||
public override void Add((System.DateTime t, double v) TValue, bool update)
|
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||||
{
|
{
|
||||||
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
if (update) { _buffer[_buffer.Count - 1] = TValue.v; }
|
||||||
else { this._buffer.Add(TValue.v); }
|
else { _buffer.Add(TValue.v); }
|
||||||
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
if (_buffer.Count > this._p && this._p != 0) { _buffer.RemoveAt(0); }
|
||||||
|
|
||||||
double _sma = 0;
|
double _sma = 0;
|
||||||
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._buffer[i]; }
|
for (int i = 0; i < _buffer.Count; i++) { _sma += _buffer[i]; }
|
||||||
_sma /= this._buffer.Count;
|
_sma /= this._buffer.Count;
|
||||||
|
|
||||||
double _svar = 0;
|
double _pvar = 0;
|
||||||
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
|
for (int i = 0; i < _buffer.Count; i++) { _pvar += (_buffer[i] - _sma) * (_buffer[i] - _sma); }
|
||||||
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
|
_pvar /= this._buffer.Count;
|
||||||
double _ssdev = Math.Sqrt(_svar);
|
double _psdev = Math.Sqrt(_pvar);
|
||||||
|
|
||||||
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
|
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _psdev);
|
||||||
base.Add(result, update);
|
base.Add(result, update);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
@@ -0,0 +1,44 @@
|
|||||||
|
namespace QuanTAlib;
|
||||||
|
using System;
|
||||||
|
|
||||||
|
/* <summary>
|
||||||
|
SSDEV: (Corrected) Sample Standard Deviation
|
||||||
|
Sample Standard Deviaton uses Bessel's correction to correct the bias in the variance.
|
||||||
|
|
||||||
|
Sources:
|
||||||
|
https://en.wikipedia.org/wiki/Standard_deviation#Corrected_sample_standard_deviation
|
||||||
|
Bessel's correction: https://en.wikipedia.org/wiki/Bessel%27s_correction
|
||||||
|
|
||||||
|
Remark:
|
||||||
|
SSDEV (Sample Standard Deviation) is also known as a unbiased/corrected Standard Deviation.
|
||||||
|
For a population/biased/uncorrected Standard Deviation, use PSDEV instead
|
||||||
|
|
||||||
|
</summary> */
|
||||||
|
|
||||||
|
public class SSDEV_Series : Single_TSeries_Indicator
|
||||||
|
{
|
||||||
|
public SSDEV_Series(TSeries source, int period, bool useNaN = false) : base(source, period, useNaN)
|
||||||
|
{
|
||||||
|
if (base._data.Count > 0) { base.Add(base._data); }
|
||||||
|
}
|
||||||
|
private readonly System.Collections.Generic.List<double> _buffer = new();
|
||||||
|
|
||||||
|
public override void Add((System.DateTime t, double v) TValue, bool update)
|
||||||
|
{
|
||||||
|
if (update) { this._buffer[this._buffer.Count - 1] = TValue.v; }
|
||||||
|
else { this._buffer.Add(TValue.v); }
|
||||||
|
if (this._buffer.Count > this._p && this._p != 0) { this._buffer.RemoveAt(0); }
|
||||||
|
|
||||||
|
double _sma = 0;
|
||||||
|
for (int i = 0; i < this._buffer.Count; i++) { _sma += this._buffer[i]; }
|
||||||
|
_sma /= this._buffer.Count;
|
||||||
|
|
||||||
|
double _svar = 0;
|
||||||
|
for (int i = 0; i < this._buffer.Count; i++) { _svar += (this._buffer[i] - _sma) * (this._buffer[i] - _sma); }
|
||||||
|
_svar /= (this._buffer.Count > 1) ? this._buffer.Count - 1 : 1; // Bessel's correction
|
||||||
|
double _ssdev = Math.Sqrt(_svar);
|
||||||
|
|
||||||
|
var result = (TValue.t, (this.Count < this._p - 1 && this._NaN) ? double.NaN : _ssdev);
|
||||||
|
base.Add(result, update);
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -9,7 +9,7 @@ public class PSDEV_Test
|
|||||||
public void Add_Test()
|
public void Add_Test()
|
||||||
{
|
{
|
||||||
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
|
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
|
||||||
PSDEV_Series c = new(a, 3);
|
SDEV_Series c = new(a, 3);
|
||||||
Assert.Equal(6, c.Count);
|
Assert.Equal(6, c.Count);
|
||||||
a.Add(5);
|
a.Add(5);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
@@ -21,7 +21,7 @@ public class PSDEV_Test
|
|||||||
public void Edge_Test()
|
public void Edge_Test()
|
||||||
{
|
{
|
||||||
TSeries a = new() { double.NaN, double.Epsilon, double.PositiveInfinity, double.MaxValue };
|
TSeries a = new() { double.NaN, double.Epsilon, double.PositiveInfinity, double.MaxValue };
|
||||||
PSDEV_Series c = new(a, 3);
|
SDEV_Series c = new(a, 3);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
a.Add(double.NaN);
|
a.Add(double.NaN);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
|
|||||||
@@ -9,7 +9,7 @@ public class SDEV_Test
|
|||||||
public void Add_Test()
|
public void Add_Test()
|
||||||
{
|
{
|
||||||
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
|
TSeries a = new() { 0, 1, 2, 3, 4, 5 };
|
||||||
SDEV_Series c = new(a, 3);
|
SSDEV_Series c = new(a, 3);
|
||||||
Assert.Equal(6, c.Count);
|
Assert.Equal(6, c.Count);
|
||||||
a.Add(5);
|
a.Add(5);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
@@ -21,7 +21,7 @@ public class SDEV_Test
|
|||||||
public void Edge_Test()
|
public void Edge_Test()
|
||||||
{
|
{
|
||||||
TSeries a = new() { double.NaN, double.Epsilon, double.PositiveInfinity, double.MaxValue };
|
TSeries a = new() { double.NaN, double.Epsilon, double.PositiveInfinity, double.MaxValue };
|
||||||
SDEV_Series c = new(a, 3);
|
SSDEV_Series c = new(a, 3);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
a.Add(double.NaN);
|
a.Add(double.NaN);
|
||||||
Assert.Equal(a.Count, c.Count);
|
Assert.Equal(a.Count, c.Count);
|
||||||
|
|||||||
@@ -28,7 +28,16 @@ public class TA_LIB
|
|||||||
this.involume = this.bars.Volume.v.ToArray();
|
this.involume = this.bars.Volume.v.ToArray();
|
||||||
}
|
}
|
||||||
|
|
||||||
/////////////////////////////////////////
|
/////////////////////////////////////////
|
||||||
|
|
||||||
|
[Fact]
|
||||||
|
public void SDEV()
|
||||||
|
{
|
||||||
|
SDEV_Series QL = new(this.bars.Close, this.period, false);
|
||||||
|
Core.StdDev(this.inclose, 0, this.bars.Count - 1, this.TALIB, out int outBegIdx, out _, this.period);
|
||||||
|
|
||||||
|
Assert.Equal(Math.Round(this.TALIB[this.TALIB.Length - outBegIdx - 1], 8), Math.Round(QL.Last().v, 8));
|
||||||
|
}
|
||||||
|
|
||||||
[Fact]
|
[Fact]
|
||||||
public void SMA()
|
public void SMA()
|
||||||
|
|||||||
Reference in New Issue
Block a user