mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-15 09:08:04 +00:00
Minor update
This commit is contained in:
Miha Kralj
@@ -2,9 +2,9 @@
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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<Title>QuanTAlib</Title>
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<Version>0.2.5</Version>
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<AssemblyVersion>0.2.5</AssemblyVersion>
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<FileVersion>0.2.5</FileVersion>
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<Version>0.2.27</Version>
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<AssemblyVersion>0.2.27</AssemblyVersion>
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<FileVersion>0.2.27</FileVersion>
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<Product>Library of TA Calculations, Charts and Strategies for Quantower</Product>
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<Description>Quantitative Technical Analysis Library in C# for Quantower</Description>
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<RepositoryType>git</RepositoryType>
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@@ -24,7 +24,7 @@
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<IsPublishable>True</IsPublishable>
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<PlatformTarget>AnyCPU</PlatformTarget>
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<AllowUnsafeBlocks>False</AllowUnsafeBlocks>
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<DebugType>embedded</DebugType>
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<DebugType>full</DebugType>
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<ProduceReferenceAssembly>True</ProduceReferenceAssembly>
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<GeneratePackageOnBuild>True</GeneratePackageOnBuild>
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<PackageTags>
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+139
-127
@@ -21,144 +21,156 @@ Issues:
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</summary> */
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public class JMA_Series : TSeries {
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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private readonly System.Collections.Generic.List<double> volty_short = new();
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private readonly System.Collections.Generic.List<double> vsum_buff = new();
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private readonly double pr;
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private double upperBand, lowerBand, vsum, Kv;
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private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
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private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
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private readonly int _voltyS, _voltyL;
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public class JMA_Series : TSeries
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{
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protected readonly int _period;
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protected readonly bool _NaN;
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protected readonly TSeries _data;
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private readonly System.Collections.Generic.List<double> volty_short = new();
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private readonly System.Collections.Generic.List<double> vsum_buff = new();
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private readonly double pr;
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private double upperBand, lowerBand, vsum, Kv;
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private double prev_ma1, prev_det0, prev_det1, prev_vsum, prev_jma;
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private double p_upperBand, p_lowerBand, p_Kv, p_prev_ma1, p_prev_det0, p_prev_det1, p_prev_vsum, p_prev_jma;
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private readonly int _voltyS, _voltyL;
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//core constructors
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public JMA_Series(int period, double phase, int vshort, int vlong, bool useNaN) {
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_period = period;
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_NaN = useNaN;
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Name = $"JMA({period})";
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upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = 0.0;
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pr = (phase * 0.01) + 1.5;
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if (phase < -100) { pr = 0.5; }
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if (phase > 100) { pr = 2.5; }
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_voltyS = vshort;
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_voltyL = vlong;
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}
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//core constructors
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public JMA_Series(int period, double phase, int vshort, int vlong, bool useNaN)
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{
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_period = period;
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_NaN = useNaN;
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Name = $"JMA({period})";
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upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = 0.0;
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pr = (phase * 0.01) + 1.5;
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if (phase < -100) { pr = 0.5; }
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if (phase > 100) { pr = 2.5; }
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_voltyS = vshort;
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_voltyL = vlong;
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}
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public JMA_Series(TSeries source, int period, double phase, int vshort, int vlong, bool useNaN) : this(period, phase, vshort, vlong, useNaN) {
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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public JMA_Series() : this(period: 0, phase: 0, vshort:10, vlong:65, useNaN: false) { }
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public JMA_Series(int period) : this(period: period, phase: 0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TBars source) : this(source.Close, period:0, phase:0.0, vshort:10, vlong:65, useNaN:false) { }
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public JMA_Series(TBars source, int period) : this(source.Close, period, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, phase: 0.0, vshort: 10, vlong: 65, useNaN: useNaN) { }
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public JMA_Series(TSeries source) : this(source, period:0, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TSeries source, int period) : this(source: source, period: period, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, phase: 0.0, vshort: 10, vlong: 65, useNaN: useNaN) { }
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public JMA_Series(TSeries source, int period, double phase, int vshort, int vlong, bool useNaN) : this(period, phase, vshort, vlong, useNaN)
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{
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_data = source;
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Name = Name.Substring(0, Name.IndexOf(")")) + $", {(string.IsNullOrEmpty(_data.Name) ? "data" : _data.Name)})";
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_data.Pub += Sub;
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Add(_data);
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}
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public JMA_Series() : this(period: 0, phase: 0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(int period) : this(period: period, phase: 0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TBars source) : this(source.Close, period: 0, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TBars source, int period) : this(source.Close, period, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TBars source, int period, bool useNaN) : this(source.Close, period, phase: 0.0, vshort: 10, vlong: 65, useNaN: useNaN) { }
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public JMA_Series(TSeries source) : this(source, period: 0, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TSeries source, int period) : this(source: source, period: period, phase: 0.0, vshort: 10, vlong: 65, useNaN: false) { }
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public JMA_Series(TSeries source, int period, bool useNaN) : this(source: source, period: period, phase: 0.0, vshort: 10, vlong: 65, useNaN: useNaN) { }
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false) {
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if (this.Count == 0) { prev_ma1 = prev_jma = TValue.v; }
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if (update) {
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upperBand = p_upperBand;
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lowerBand = p_lowerBand;
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Kv = p_Kv;
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prev_vsum = p_prev_vsum;
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prev_ma1 = p_prev_ma1;
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prev_det0 = p_prev_det0;
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prev_det1 = p_prev_det1;
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prev_jma = p_prev_jma;
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}
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else {
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p_upperBand = upperBand;
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p_lowerBand = lowerBand;
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p_Kv = Kv;
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p_prev_vsum = prev_vsum;
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p_prev_ma1 = prev_ma1;
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p_prev_det0 = prev_det0;
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p_prev_det1 = prev_det1;
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p_prev_jma = prev_jma;
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}
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//////////////////
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// core Add() algo
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public override (DateTime t, double v) Add((DateTime t, double v) TValue, bool update = false)
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{
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if (this.Count == 0) { prev_ma1 = prev_jma = TValue.v; }
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if (update)
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{
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upperBand = p_upperBand;
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lowerBand = p_lowerBand;
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Kv = p_Kv;
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prev_vsum = p_prev_vsum;
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prev_ma1 = p_prev_ma1;
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prev_det0 = p_prev_det0;
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prev_det1 = p_prev_det1;
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prev_jma = p_prev_jma;
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}
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else
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{
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p_upperBand = upperBand;
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p_lowerBand = lowerBand;
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p_Kv = Kv;
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p_prev_vsum = prev_vsum;
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p_prev_ma1 = prev_ma1;
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p_prev_det0 = prev_det0;
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p_prev_det1 = prev_det1;
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p_prev_jma = prev_jma;
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}
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if (double.IsNaN(TValue.v)) {
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return base.Add((TValue.t, double.NaN),update);
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}
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if (double.IsNaN(TValue.v))
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{
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return base.Add((TValue.t, double.NaN), update);
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}
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// from Tvalue to volty
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double del1 = TValue.v - upperBand;
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double del2 = TValue.v - lowerBand;
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upperBand = (del1 > 0) ? TValue.v : TValue.v - (Kv * del1);
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lowerBand = (del2 < 0) ? TValue.v : TValue.v - (Kv * del2);
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double volty = 0;
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if (Math.Abs(del1) > Math.Abs(del2)) { volty = Math.Abs(del1); }
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if (Math.Abs(del1) < Math.Abs(del2)) { volty = Math.Abs(del2); }
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// from Tvalue to volty
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double del1 = TValue.v - upperBand;
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double del2 = TValue.v - lowerBand;
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upperBand = (del1 > 0) ? TValue.v : TValue.v - (Kv * del1);
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lowerBand = (del2 < 0) ? TValue.v : TValue.v - (Kv * del2);
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double volty = Math.Abs(del1) > Math.Abs(del2) ? Math.Abs(del1) :
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(Math.Abs(del1) < Math.Abs(del2) ? Math.Abs(del2) :
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Math.Abs(0.5 * (del1 + del2)));
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//// from volty to avolty
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if (update) { volty_short[volty_short.Count - 1] = volty; }
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else { volty_short.Add(volty); }
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if (volty_short.Count > _voltyS) { volty_short.RemoveAt(0); }
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vsum = prev_vsum + 0.1 * (volty - volty_short.First());
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prev_vsum = vsum;
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if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; }
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else { vsum_buff.Add(vsum); }
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if (vsum_buff.Count > _voltyL) { vsum_buff.RemoveAt(0); }
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double avolty = 0;
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for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; }
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avolty /= vsum_buff.Count;
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//// from volty to avolty
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if (update) { volty_short[volty_short.Count - 1] = volty; }
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else { volty_short.Add(volty); }
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if (volty_short.Count > _voltyS) { volty_short.RemoveAt(0); }
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vsum = prev_vsum + 0.1 * (volty - volty_short.First());
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prev_vsum = vsum;
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if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; }
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else { vsum_buff.Add(vsum); }
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if (vsum_buff.Count > _voltyL) { vsum_buff.RemoveAt(0); }
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double avolty = 0;
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for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; }
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avolty /= vsum_buff.Count;
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/// from avolty to rolty
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double rvolty = (avolty != 0) ? volty / avolty : 0;
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double len1 = (Math.Log(Math.Sqrt(_period)) / Math.Log(2.0)) + 2;
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if (len1 < 0) { len1 = 0; }
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/// from avolty to rolty
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double rvolty = (avolty != 0) ? volty / avolty : 0;
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double len1 = (Math.Log(Math.Sqrt(_period)) / Math.Log(2.0)) + 2;
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if (len1 < 0) { len1 = 0; }
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double pow1 = Math.Max(len1 - 2.0, 0.5);
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if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); }
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if (rvolty < 1) { rvolty = 1; }
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double pow1 = Math.Max(len1 - 2.0, 0.5);
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if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); }
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if (rvolty < 1) { rvolty = 1; }
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//// from rvolty to second smoothing
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double pow2 = Math.Pow(rvolty, pow1);
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double beta = 0.45 * (_period - 1) / (0.45 * (_period - 1) + 2);
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Kv = Math.Pow(beta, Math.Sqrt(pow2));
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double alpha = Math.Pow(beta, pow2);
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double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
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prev_ma1 = ma1;
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//// from rvolty to second smoothing
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double pow2 = Math.Pow(rvolty, pow1);
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double beta = 0.45 * (_period - 1) / (0.45 * (_period - 1) + 2);
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Kv = Math.Pow(beta, Math.Sqrt(pow2));
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double alpha = Math.Pow(beta, pow2);
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double ma1 = (1 - alpha) * TValue.v + alpha * prev_ma1;
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prev_ma1 = ma1;
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double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0;
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prev_det0 = det0;
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double ma2 = ma1 + pr * det0;
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double det0 = (1 - beta) * (TValue.v - ma1) + beta * prev_det0;
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prev_det0 = det0;
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double ma2 = ma1 + pr * det0;
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double det1 = ((1 - alpha) * (1 - alpha) * (ma2 - prev_jma)) + (alpha * alpha * prev_det1);
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prev_det1 = det1;
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double jma = prev_jma + det1;
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prev_jma = jma;
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : jma);
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return base.Add(res, update);
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}
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double det1 = ((1 - alpha) * (1 - alpha) * (ma2 - prev_jma)) + (alpha * alpha * prev_det1);
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prev_det1 = det1;
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double jma = prev_jma + det1;
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prev_jma = jma;
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public override (DateTime t, double v) Add(TSeries data) {
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update) {
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add() {
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e) {
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Add(TValue: _data.Last, update: e.update);
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}
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var res = (TValue.t, Count < _period - 1 && _NaN ? double.NaN : jma);
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return base.Add(res, update);
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}
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//reset calculation
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public override void Reset() {
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upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = 0.0;
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}
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public override (DateTime t, double v) Add(TSeries data)
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{
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if (data == null) { return (DateTime.Today, Double.NaN); }
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foreach (var item in data) { Add(item, false); }
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return _data.Last;
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}
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public (DateTime t, double v) Add(bool update)
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{
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return this.Add(TValue: _data.Last, update: update);
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}
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public (DateTime t, double v) Add()
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{
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return Add(TValue: _data.Last, update: false);
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}
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private new void Sub(object source, TSeriesEventArgs e)
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{
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Add(TValue: _data.Last, update: e.update);
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}
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//reset calculation
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public override void Reset()
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{
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upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = 0.0;
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}
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}
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@@ -22,7 +22,7 @@ public class TSeriesEventArgs : EventArgs {
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public class TSeries : List<(DateTime t, double v)> {
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public List<DateTime> t => this.Select(item => item.t).ToList();
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public List<double> v => this.Select(item => item.v).ToList();
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public (DateTime t, double v) Last => this[this.Count - 1];
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public (DateTime t, double v) Last => this[^1];
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public int Length => Count;
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public string Name { get; set; }
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