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https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-28 01:37:43 +00:00
Slope and Curvature
This commit is contained in:
Miha Kralj
+22
-21
@@ -10,9 +10,10 @@ public class TradyTests
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private readonly GbmFeed feed;
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private readonly Random rnd;
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private readonly double range;
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private readonly int period, iterations;
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private readonly int iterations;
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private int period;
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private readonly int skip;
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private readonly IEnumerable<IOhlcv> Candles;
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private readonly IEnumerable<IOhlcv> Candles;
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public TradyTests()
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{
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@@ -44,20 +45,20 @@ public class TradyTests
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foreach (TBar item in feed)
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{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
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var Trady = new SimpleMovingAverage(Candles, period)
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.Compute()
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.Select(result => new
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{
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Date = result.DateTime,
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Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
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})
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.ToList();
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var Trady = new SimpleMovingAverage(Candles, period)
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.Compute()
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.Select(result => new
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{
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Date = result.DateTime,
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Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
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})
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.ToList();
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Assert.Equal(QL.Length, Trady.Count);
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for (int i = QL.Length - 1; i > skip; i--)
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{
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double QL_item = QL[i].Value;
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double Tr_item = Trady[i].Value;
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double Tr_item = Trady[i].Value;
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Assert.InRange(Tr_item - QL_item, -range, range);
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}
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}
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@@ -74,20 +75,20 @@ public class TradyTests
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foreach (TBar item in feed)
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{ QL.Add(ma.Calc(new TValue(item.Time, item.Close))); }
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var Trady = new ExponentialMovingAverage(Candles, period)
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.Compute()
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.Select(result => new
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{
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Date = result.DateTime,
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Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
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})
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.ToList();
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var Trady = new ExponentialMovingAverage(Candles, period)
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.Compute()
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.Select(result => new
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{
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Date = result.DateTime,
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Value = result.Tick.HasValue ? (double)result.Tick.Value : double.NaN
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})
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.ToList();
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Assert.Equal(QL.Length, Trady.Count);
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for (int i = QL.Length - 1; i > skip*2; i--)
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for (int i = QL.Length - 1; i > skip * 2; i--)
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{
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double QL_item = QL[i].Value;
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double Tr_item = Trady[i].Value;
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double Tr_item = Trady[i].Value;
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Assert.InRange(Tr_item - QL_item, -range, range);
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}
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}
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+1
-1
@@ -9,7 +9,7 @@ public class TulipTests
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private readonly Random rnd;
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private readonly double range;
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private int period;
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private int readonly iterations;
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private readonly int iterations;
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private readonly double[] data;
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private readonly double[] outdata;
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private readonly int skip;
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+1
-1
@@ -9,7 +9,7 @@ public class TAlibTests
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private readonly Random rnd;
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private readonly double range;
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private int period;
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private int readonly iterations;
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private readonly int iterations;
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private readonly double[] data;
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private readonly double[] TALIB;
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@@ -0,0 +1,128 @@
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using System;
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using System.Collections.Generic;
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namespace QuanTAlib
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{
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public class Curvature : AbstractBase
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{
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private readonly int _period;
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private readonly Slope _slopeCalculator;
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private readonly CircularBuffer _slopeBuffer;
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public double? Intercept { get; private set; }
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public double? StdDev { get; private set; }
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public double? RSquared { get; private set; }
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public double? Line { get; private set; }
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public Curvature(int period)
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{
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if (period <= 2)
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{
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throw new ArgumentOutOfRangeException(nameof(period), period,
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"Period must be greater than 2 for Curvature calculation.");
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}
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_period = period;
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WarmupPeriod = period * 2 - 1; // We need this many points to get period number of slopes
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_slopeCalculator = new Slope(period);
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_slopeBuffer = new CircularBuffer(period);
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Name = $"Curvature(period={period})";
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Init();
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}
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public Curvature(object source, int period) : this(period)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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public override void Init()
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{
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base.Init();
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_slopeBuffer.Clear();
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Intercept = null;
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StdDev = null;
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RSquared = null;
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Line = null;
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}
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Input.Value;
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_index++;
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}
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}
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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// Calculate slope
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var slopeResult = _slopeCalculator.Calc(Input);
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_slopeBuffer.Add(slopeResult.Value, Input.IsNew);
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double curvature = 0;
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if (_slopeBuffer.Count < 2)
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{
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return curvature; // Return 0 when there are fewer than 2 slope points
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}
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int count = Math.Min(_slopeBuffer.Count, _period);
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var slopes = _slopeBuffer.GetSpan().ToArray();
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// Calculate averages
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double sumX = 0, sumY = 0;
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for (int i = 0; i < count; i++)
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{
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sumX += i + 1;
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sumY += slopes[i];
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}
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double avgX = sumX / count;
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double avgY = sumY / count;
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// Least squares method
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double sumSqX = 0, sumSqY = 0, sumSqXY = 0;
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for (int i = 0; i < count; i++)
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{
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double devX = (i + 1) - avgX;
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double devY = slopes[i] - avgY;
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sumSqX += devX * devX;
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sumSqY += devY * devY;
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sumSqXY += devX * devY;
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}
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if (sumSqX > 0)
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{
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curvature = sumSqXY / sumSqX;
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Intercept = avgY - (curvature * avgX);
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// Calculate Standard Deviation and R-Squared
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double stdDevX = Math.Sqrt(sumSqX / count);
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double stdDevY = Math.Sqrt(sumSqY / count);
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StdDev = stdDevY;
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if (stdDevX * stdDevY != 0)
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{
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double r = sumSqXY / (stdDevX * stdDevY) / count;
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RSquared = r * r;
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}
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// Calculate last Line value (y = mx + b)
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Line = (curvature * count) + Intercept;
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}
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else
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{
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Intercept = null;
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StdDev = null;
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RSquared = null;
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Line = null;
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}
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IsHot = _slopeBuffer.Count == _period;
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return curvature;
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}
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}
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}
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@@ -0,0 +1,128 @@
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using System;
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using System.Collections.Generic;
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namespace QuanTAlib
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{
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public class Slope : AbstractBase
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{
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private readonly int _period;
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private readonly CircularBuffer _buffer;
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private readonly CircularBuffer _timeBuffer;
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public double? Intercept { get; private set; }
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public double? StdDev { get; private set; }
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public double? RSquared { get; private set; }
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public double? Line { get; private set; }
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public Slope(int period)
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{
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if (period <= 1)
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{
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throw new ArgumentOutOfRangeException(nameof(period), period,
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"Period must be greater than 1 for Slope/Linear Regression.");
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}
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_period = period;
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WarmupPeriod = period;
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_buffer = new CircularBuffer(period);
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_timeBuffer = new CircularBuffer(period);
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Name = $"Slope(period={period})";
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Init();
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}
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public Slope(object source, int period) : this(period)
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{
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var pubEvent = source.GetType().GetEvent("Pub");
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pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
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}
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public override void Init()
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{
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base.Init();
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_buffer.Clear();
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_timeBuffer.Clear();
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Intercept = null;
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StdDev = null;
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RSquared = null;
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Line = null;
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}
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protected override void ManageState(bool isNew)
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{
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if (isNew)
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{
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_lastValidValue = Input.Value;
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_index++;
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}
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}
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protected override double Calculation()
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{
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ManageState(Input.IsNew);
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_buffer.Add(Input.Value, Input.IsNew);
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_timeBuffer.Add(Input.Time.Ticks, Input.IsNew);
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double slope = 0;
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if (_buffer.Count < 2)
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{
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return slope; // Return 0 when there are fewer than 2 points
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}
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int count = Math.Min(_buffer.Count, _period);
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var values = _buffer.GetSpan().ToArray();
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// Calculate averages
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double sumX = 0, sumY = 0;
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for (int i = 0; i < count; i++)
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{
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sumX += i + 1;
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sumY += values[i];
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}
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double avgX = sumX / count;
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double avgY = sumY / count;
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// Least squares method
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double sumSqX = 0, sumSqY = 0, sumSqXY = 0;
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for (int i = 0; i < count; i++)
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{
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double devX = (i + 1) - avgX;
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double devY = values[i] - avgY;
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sumSqX += devX * devX;
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sumSqY += devY * devY;
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sumSqXY += devX * devY;
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}
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if (sumSqX > 0)
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{
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slope = sumSqXY / sumSqX;
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Intercept = avgY - (slope * avgX);
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// Calculate Standard Deviation and R-Squared
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double stdDevX = Math.Sqrt(sumSqX / count);
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double stdDevY = Math.Sqrt(sumSqY / count);
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StdDev = stdDevY;
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if (stdDevX * stdDevY != 0)
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{
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double r = sumSqXY / (stdDevX * stdDevY) / count;
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RSquared = r * r;
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}
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// Calculate last Line value (y = mx + b)
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Line = (slope * count) + Intercept;
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}
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else
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{
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Intercept = null;
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StdDev = null;
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RSquared = null;
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Line = null;
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}
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IsHot = _buffer.Count == _period;
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return slope;
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}
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}
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}
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@@ -0,0 +1,24 @@
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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public class CurvatureIndicator : IndicatorBase
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{
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[InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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private Curvature? curvature;
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protected override AbstractBase QuanTAlib => curvature!;
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public override string ShortName => $"CURVATURE {Period} : {SourceName}";
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public CurvatureIndicator()
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{
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Name = "CURVATURE - Rate of Change of Slope";
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SeparateWindow = true;
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}
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protected override void InitIndicator()
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{
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curvature = new(Period);
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MinHistoryDepths = curvature.WarmupPeriod;
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}
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}
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@@ -0,0 +1,24 @@
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using TradingPlatform.BusinessLayer;
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namespace QuanTAlib;
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public class SlopeIndicator : IndicatorBase
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{
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[InputParameter("Period", sortIndex: 1, 2, 2000, 1, 0)]
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public int Period { get; set; } = 20;
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private Slope? slope;
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protected override AbstractBase QuanTAlib => slope!;
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public override string ShortName => $"SLOPE {Period} : {SourceName}";
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public SlopeIndicator()
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{
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Name = "SLOPE - Trend Slope";
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SeparateWindow = true;
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}
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protected override void InitIndicator()
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{
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slope = new(Period);
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MinHistoryDepths = slope.WarmupPeriod;
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}
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}
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