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Slope and Curvature

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Miha Kralj
2024-09-30 18:59:05 -07:00
parent 697fa19cfa
commit 11100b0685
7 changed files with 328 additions and 23 deletions
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lib/statistics/Curvature.cs
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using System;
using System.Collections.Generic;
namespace QuanTAlib
{
public class Curvature : AbstractBase
{
private readonly int _period;
private readonly Slope _slopeCalculator;
private readonly CircularBuffer _slopeBuffer;
public double? Intercept { get; private set; }
public double? StdDev { get; private set; }
public double? RSquared { get; private set; }
public double? Line { get; private set; }
public Curvature(int period)
{
if (period <= 2)
{
throw new ArgumentOutOfRangeException(nameof(period), period,
"Period must be greater than 2 for Curvature calculation.");
}
_period = period;
WarmupPeriod = period * 2 - 1; // We need this many points to get period number of slopes
_slopeCalculator = new Slope(period);
_slopeBuffer = new CircularBuffer(period);
Name = $"Curvature(period={period})";
Init();
}
public Curvature(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
public override void Init()
{
base.Init();
_slopeBuffer.Clear();
Intercept = null;
StdDev = null;
RSquared = null;
Line = null;
}
protected override void ManageState(bool isNew)
{
if (isNew)
{
_lastValidValue = Input.Value;
_index++;
}
}
protected override double Calculation()
{
ManageState(Input.IsNew);
// Calculate slope
var slopeResult = _slopeCalculator.Calc(Input);
_slopeBuffer.Add(slopeResult.Value, Input.IsNew);
double curvature = 0;
if (_slopeBuffer.Count < 2)
{
return curvature; // Return 0 when there are fewer than 2 slope points
}
int count = Math.Min(_slopeBuffer.Count, _period);
var slopes = _slopeBuffer.GetSpan().ToArray();
// Calculate averages
double sumX = 0, sumY = 0;
for (int i = 0; i < count; i++)
{
sumX += i + 1;
sumY += slopes[i];
}
double avgX = sumX / count;
double avgY = sumY / count;
// Least squares method
double sumSqX = 0, sumSqY = 0, sumSqXY = 0;
for (int i = 0; i < count; i++)
{
double devX = (i + 1) - avgX;
double devY = slopes[i] - avgY;
sumSqX += devX * devX;
sumSqY += devY * devY;
sumSqXY += devX * devY;
}
if (sumSqX > 0)
{
curvature = sumSqXY / sumSqX;
Intercept = avgY - (curvature * avgX);
// Calculate Standard Deviation and R-Squared
double stdDevX = Math.Sqrt(sumSqX / count);
double stdDevY = Math.Sqrt(sumSqY / count);
StdDev = stdDevY;
if (stdDevX * stdDevY != 0)
{
double r = sumSqXY / (stdDevX * stdDevY) / count;
RSquared = r * r;
}
// Calculate last Line value (y = mx + b)
Line = (curvature * count) + Intercept;
}
else
{
Intercept = null;
StdDev = null;
RSquared = null;
Line = null;
}
IsHot = _slopeBuffer.Count == _period;
return curvature;
}
}
}
lib/statistics/Slope.cs
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using System;
using System.Collections.Generic;
namespace QuanTAlib
{
public class Slope : AbstractBase
{
private readonly int _period;
private readonly CircularBuffer _buffer;
private readonly CircularBuffer _timeBuffer;
public double? Intercept { get; private set; }
public double? StdDev { get; private set; }
public double? RSquared { get; private set; }
public double? Line { get; private set; }
public Slope(int period)
{
if (period <= 1)
{
throw new ArgumentOutOfRangeException(nameof(period), period,
"Period must be greater than 1 for Slope/Linear Regression.");
}
_period = period;
WarmupPeriod = period;
_buffer = new CircularBuffer(period);
_timeBuffer = new CircularBuffer(period);
Name = $"Slope(period={period})";
Init();
}
public Slope(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
public override void Init()
{
base.Init();
_buffer.Clear();
_timeBuffer.Clear();
Intercept = null;
StdDev = null;
RSquared = null;
Line = null;
}
protected override void ManageState(bool isNew)
{
if (isNew)
{
_lastValidValue = Input.Value;
_index++;
}
}
protected override double Calculation()
{
ManageState(Input.IsNew);
_buffer.Add(Input.Value, Input.IsNew);
_timeBuffer.Add(Input.Time.Ticks, Input.IsNew);
double slope = 0;
if (_buffer.Count < 2)
{
return slope; // Return 0 when there are fewer than 2 points
}
int count = Math.Min(_buffer.Count, _period);
var values = _buffer.GetSpan().ToArray();
// Calculate averages
double sumX = 0, sumY = 0;
for (int i = 0; i < count; i++)
{
sumX += i + 1;
sumY += values[i];
}
double avgX = sumX / count;
double avgY = sumY / count;
// Least squares method
double sumSqX = 0, sumSqY = 0, sumSqXY = 0;
for (int i = 0; i < count; i++)
{
double devX = (i + 1) - avgX;
double devY = values[i] - avgY;
sumSqX += devX * devX;
sumSqY += devY * devY;
sumSqXY += devX * devY;
}
if (sumSqX > 0)
{
slope = sumSqXY / sumSqX;
Intercept = avgY - (slope * avgX);
// Calculate Standard Deviation and R-Squared
double stdDevX = Math.Sqrt(sumSqX / count);
double stdDevY = Math.Sqrt(sumSqY / count);
StdDev = stdDevY;
if (stdDevX * stdDevY != 0)
{
double r = sumSqXY / (stdDevX * stdDevY) / count;
RSquared = r * r;
}
// Calculate last Line value (y = mx + b)
Line = (slope * count) + Intercept;
}
else
{
Intercept = null;
StdDev = null;
RSquared = null;
Line = null;
}
IsHot = _buffer.Count == _period;
return slope;
}
}
}